Footnote Exhibits - Page 5460 CONFIDENTIAL CONFIDENTIAL U.S.$ 9,000,000 Class S-1 Floating Rate Notes Due 2011 u.s.$ 9,000,000 Class 5-1 Floating Rate Notes Due 2011 U.S.$ 8,300,000 Class S-2 Floating Rate Notes Due 2011 U.S.$ 8,300,000 Class 5-2 Floating Rate Notes Due 2011 U.S.$ 100,000,000 Class A-la Floating Rate Notes Due 2039 U.S.$100,000,000 Class A-1a Floating Rate N.otes Due 2039 U.S.$ 200,000,000 A-lb Floating Rate Due 2039 U.S.$ 200,000,000 Class A-1 b Floating Rate Notes Due 2039 U.S.$ 100,000,000 Class A-1c Floating Rate Notes Due 2044 U.S.$100,000,000Class A-1c Floating Rate Notes Due 2044 U.S.$ 100,000,000 Class A-Id Floating Rate Notes Due 2044 U.S.$100,000,000 Class A-1d Floating Rate Notes Due 2044 U.S.$ Class Floating Rate Notes Due U.S.$ 305,000,000 Class A-2 Floating Rate Notes Due 2047 U.S.$ 107,000,000 Class B Floating Rate Notes Due U.S.$107,000,000 Class B Floating Rate Notes Due 2047 U.S.$ 36,000,000 C Deferrable Floating Rate U.S.$ ?36,000,000 Class C Deferrable Floating Rate Notes Due 2047 Due 2047 U.S.$ D Deferrable Floating Rate U.S.$ 30,000,000 Class 0 Deferrable Floating Rate Notes Due 2047 2047 U.S.$ 22,000,000 income .Notes Due . U.S.$ 22,000,000 Income .Notes Due 2047 . (with Respect Primarily by a Portfolio of CDO Secured (with Respect to the Notes) Primarily by a Portfolio of COO Securities and Synthetic and (referencing Securities (referencing CDO Securities) t The Income Notes (as (collectively, "Securities bein, offered heraby IUnitd S ates to The Notes (as defined herein) and the Income Not.es (as defined herein) (collect!vely, the "Securities") are being offered hereby in the Unite!! S!ates !e defined Rule 144A States Securities Act of 1933, . qualified institutional buyers (as defined in Rule 144A under the United States Securities Ad of 1933, as amended (the "Securities Act"), in reliance on Rule 1.44A "Securities Act")), in 144A under the Securities Ad, solely in the case the Income to Investors (as under the Securities Act, and, solely in the case of the Income Notes, to accredited investors (as defined in Rule 501 (a) under the Securities Ad) who have a net Rule 501(a) Act) a net worth of not less than U.S.$10 million intransadions exempt from registration under the Securities Ad. The Securities are being offered hereby In the United of not less than million in transactions registration Securities Act. The worth hereby in United States only of Section 3(c)(7) States only to persons that are also "qualified purchasers" for purposes of Section 3(c)(7) under the United States Investment Company Ad of 1940, as amended United States Investment Act 1940, as (the "Investment Company Act"). Securities hereby States non (the "Investment Company Adi. The Securities are being offered hereby outside the United States to non U.S. Persons In offshore transadions in reliance on In offshore transactions reliance on Regulation S ("Regulation S") under Act. See "Underwriting." Regulation S C'Regulation Si under the Securities Act. See "Underwriting." . TIMBERWOLF I, LTD. TIMBERWOLF I, LTD. TIMBERWOLF (DELAWARE) CORP. TIMBERWOLF II (DELAWARE) CORP. 'Rsk for a discussion See "Risk Factors" for 8 discussion of certain factors to be considered in connection with an investment in the Securities. Securities. is Securities. There Is no established trading market for the Securities. Application may be made to admit the Securities on a stock exchange of the Issuer's choice, if made a Issuer's if practicable. There can be no assurance that such admission will be sought, granted or maintained. such maintained. practicable. There can be no assurance It is a condition of the issuance of the Securities that the Class 5-1 Notes, the Class 5-2 Notes, the Class A-1 a Notes. the Class A-1 b Notes. the Class S-1 Class S-2 Class A-i a Notes, b Notes, A-1c A-id issued .A-1c Notes, the Class A-1d Notes and the Class A-2 Notes be issued with a rating of 'Aaa" by Moody's Investors Service, Inc. ("Moody'si and "AAA' by Standard "Aaa" by Moody's Inc. ("Moody's") &Poor's Services, a division McGraw-Hill Companies, Inc. ("S&P," and & Poor's Ratings Services. a division of The McGraw-Hili Companies. Inc. ("S&P; and together with Moody's, the "Rating Agenciesi. that the Class B Notes be Moody's. Agencies, issued with a rating least at least "AA" the issued with a rating of at least "Aa2" by Moody's and atleast"AA" by S&P, that the Class C Notes be issued with a rating of at least "A2" by Moody's and at least "A2" Notes be "A" by and Notes "Baa2" Moody's "A" by S&P and that the Class D Notes be Issued with a rating of at least "Baa2" by Moody's and at least "BBB" by S&P. The Income Notes will not be rated. A least "BBB" A credit buy, credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. See a recommendation "Ratings of the Notes." "Ratings ofthe Notes." See "Underwriting" for a discussion of the terms and conditions of the purchase of the Securities by the Initial Purchaser. "Underwriting" 8 THE ASSETS OF THE ISSUER (AS DEFINED HEREIN) ARE THE SOLE SOURCE OF PAYMENTS ON THE SECURITIES. THE SECURITIES DO NOT ISSUER DEFINED SOURCE THE ASSETS PAYMENTS SECURITIES. SECURITIES NOT REPRESENT AN INTEREST IN NOT INSURED GUARANTEED BY, THE SECURITIES. THE. REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY. THE HOLDERS OF THE SECURITIES, THE. HOLDERS COLLATERAL MANAGER (AS DEFINED HEREIN), THE CASH FLOW SWAP COUNTERPARTY (AS DEFINED HEREIN). GOLDMAN. SACHS & CO. (AS MANAGER DEFINED HEREIN), CASHFLOW SWAP COUNTERPARTY COLLATERAL DEFINED HEREIN). GOLDMAN, SACHS & INITIAL PURCHASER DEFINED HEREIN>>. ISSUER ADMINISTRATOR DEFINED HEREIN), INITIAL PURCHASER (AS DEFINED HEREIN)), THE ISSUER ADMINISTRATOR (AS DEFINED HEREIN), THE AGENTS (AS DEFINED HEREIN), THE AGENTS DEFINED HEREIN). TRUSTEE (AS DEFINED HEREIN), THE SHARE TRUSTEE (AS DEFINED HEREIN) OR ANY OF THEIR RESPECTIVE AFFILIATES. TRUSTEE TRUSTEE DEF1NED HEREIN). THE DEFINED HEREIN) OF THEIR RESPECTIVE AFFILIATES. ->. . THE SECURITIES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, AND NEITHER OF THE ISSUERS (AS DEFINED THE SECURITIES HAVE NOT BEEN AND WILL BE REGISTERED UNDER SECURITIES ACT. ISSUERS DEFINED NEITHER HEREIN) WILL BE REGISTERED UNDER INVESTMENT COMPANY SECURITIES NOT BE OFFERED WITHIN THE UNITED HEREIN) WILL BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. THE SECURITIES MAY NOT BE OFFERED OR SOLD WITHIN THE UNITED. STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS SUCH TERMS ARE DEFINED UNDER THE SECURITIES ACT) EXCEPT STATES OR TO. OR FOR THE ACCOUNT BENEFIT OF. PERSONS SUCH TERMS ARE DEFINED UNDER SECURITIES ACT) EXCEPT PURSUANT TO AN EXEMPTION FROM. TRANSACTION NOT PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT. TO. THE REGISTRATION REQUIREMENTS SECURITIES ACCORDINGLY, THE SECURITIES ARE BEING OFFERED HEREBY ONLY TO (A) (1) QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED IN RULE 144A OFFERED HEREBY ONLY ACCORDINGLY. THE SECURITIES DEFINED IN RULE 144A (1) QUALIFIED INSTITUTIONAL BUYERS UNDER THE SECURITIES ACT) AND. SOLELY IN THE CASE THE INCOME NOTES, ACCREDITED INVESTORS UNDER UNDER THE SECURITIES ACT) AND, SOlELY IN THE CASE OF THE INCOME NOTES, ACCREDITED INVESTORS (AS DEFINED IN RULE 501(a) UNDER DEFINED IN RULE THE SECURITIES ACT) THAT HAVE A NET WORTH OF NOT LESS THAN U.S.$10 MILLION AND, WHO ARE (2) QUALIFIED PURCHASERS FOR THE SECURITIES THAT HAVE NET OF NOT THAN U.S.$10 AND. WHO ARE QUALIFIED PURCHASERS FOR PURPOSES OF SECTION 3(c)(7) UNDER THE INVESTMENT COMPANY ACT AND (B) CERTAIN NON-U.S. PERSONS OUTSIDE THE UNITED STATES IN PURPOSES OF SECTION UNDER THE INVESTMENT COMPANY (B) CERTAIN NON-U.S. PERSONS OUTSIDE THE UNITED STATES IN RELIANCE ON REGULATION S UNDER THE SECURITIES ACT. PURCHASERS AND SUBSEQUENT TRANSFEREES OF CLASS D NOTES AND INCOME RELIANCE ON REGULA'TION UNDER SECURITIES PURCHASERS AND SUBSEQUENT TRANSFEREES D NOTES AND INCOME NOTES (OTHER THAN REGULATION S CLASS D NOTES AND REGULATION S INCOME NOTES) WILL BE REQUIRED TO EXECUTE AND DELIVER A NOTES (OTHER THAN REGULATION S NOTES REGULATION INCOME NOTES) WILL BE REQUIRED EXECUTE AND DELIVER A LETTER CONTAINING CERTAIN REPRESENTATIONS AND AGREEMENTS, AND PURCHASERS AND SUBSEQUENT TRANSFEREES OF CLASS S LETTER CONTAINING CERTAIN REPRESENTATIONS AGREEMENTS. AND PURCHASERS SUBSEQUENT TRANSFEREES OF NOTES, CLASS A-ia NOTES. CLASS A-1b NOTES, CLASS A-ic NOTES. CLASS A-id NOTES. CLASS A-2 NOTES, CLASS B NOTES, CLASS C NOTES NOTES, CLASS A-1a NOTES, CLASS A?1b NOTES. ClASS A-1c NOTES, CLASS A-1d NOTES, NOTES, CLASS NOTES, ClASS C NOTES AND CLASS D NOTES AND REGULATION S INCOME NOTES WILL BE DEEMED TO HAVE MADE SUCH REPRESENTATIONS AND AGREEMENTS, AS CLASS D NOTES REGULATION INCOME NOTES BE DEEMED AGREEMENTS. HAVE MADE SUCH REPRESENTATIONS SET FORTH UNDER "NOTICE TO INVESTORS." THE SECURITIES ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH UNDER INVESTORS:" THE SECURITIES ARE NOT TRANSFERABLE EXCEPT ACCORDANCE RESTRICTIONS DESCRIBED UNDER "NOTICE TO INVESTORS." DESCRIBED UNDER "NOTICE TO INVESTORS." The Securities are being offered by Goldman, Sachs & Co. (in the case of the Securities offered outside the United States, selling through its selling The Securities are offered Goldman. Securities the United States. selfing through Its seiling agent) (the "Initial Purchaser"), in each case, as specified herein, subject to its right to reject any order in whole or In part, in one or more negotiated transactions agent) (the "Initial Purchaserj. each case. as herein. subject right to rejed in whole or In part. In more negotiated transactions or otherwise at varying prices to be determined at the time of sale plus accrued Interest, If any, from the Closing Date (as defined herein). It is expected that the or otherwise prices 10 be determined sale plus accrued Interest. any. from the Closing Date (as expeded that Class S-1 Notes, Class S-2 Notes, Class A-ia Notes, Class A-lb Notes, Class A-1c Notes, Class A-id Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class 5-1 Notes. Class 5-2 Noles. Class A-1a Notes. Class A-1b Notes. Class A-1c Noles, Class A-1d Notes. Class Notes. Class C Notes. Regulation S Class D Notes and the Regulation S Income Notes will be ready for delivery in book entry form only in New York, New York, on or about March 27, Regulation S Class 0 Notes the Income be ready book entry form only in New York. New York. on or about March 27. 2007 (the "Closing Date", through the facilities of DTC and in the case of the Securities sold outside the United States, for the accounts of Euroclear Bank 2007 (the ?Closlng Datei, the of DTC and in the case Securities sold the United States. the of Euroclear Bank S.A./N.V.,.o as operator of the Eurociear System ("Euroclear") and Clearstream Banking, soci~td anonyme ("Clearstream"), against payment therefor In immediately SA/N.V as operator of the Euroclear System {"Euroclearj and C1earslream Banking. societe anonyme C'Clearstreamj. payment therefor in immediately available funds. It is expected that the Class D Notes (other than the Regulation S Class D Notes) the Income Notes (other than the Regulation S Income Notes) Income Noles (other the Regulation S Income available funds. It is expected that the Class D Notes (other than the Regulation S Class D Notes) will be ready for delivery in definitive form In New York, New York on the Closing Date, against payment therefor In immediately available funds. The Notes sold in will be ready for delivery definitive form New York. New on the Closing Date, against payment therefor immediately available The in reliance on Rule 144A will be issued in minimum denominations of U.S.$250,000 and Integral multiples of U.S.$1 in excess thereof. The Notes sold in reliance on reliance on Rule 144A be In minimum denominations of U.S.$250,OOO and Integral multiples of U.S.$1 in excess thereof. The sold in on Regulation S will be issued in minimum denominations of U.S.$100,000 and integral multiples of U.S.$1 in excess thereof. The Income Notes will be issued in Regulation S will be issued in minimum denominations of U.S.$100.000 and integral multiples of U.S.$1 excess The Income will be in minimum denominations of U.S.$100,000 and integral multiples of U.S.51 in excess thereof. minimum denominations of U.S.$100.000 and integral multiples of U.S.$1 thereof. Goldman, Sachs Co, Goldman, Sachs & Co. Offering Circular dated March 23;2007. Offering Circular dated March 23, 2007. ,.. ; Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The FinancialCrisis Wall Street & The Financial Crisis Report Footnote #2724 Re ort Footnote #2724 GS MBS-E-02182S371 GS MBS-E-021825371 G Footnote Exhibits - Page 5461 Timberwolf I Ltd., an exempted company incorporated with limited liability under the laws of the incorporated Timberwolf 1,Ltd., Cayman Islands (th~ "Issuer"), arid Timberwolf I (Delaware) Corp., a Delaware corporation (the "CoIslands (the "Issuer"), and (Delaware) Corp., a Cayman Issuer" and, together with the Issuer, U.S.$9,000,000 Issuer' and, together with the Issuer, the "Issuers"), will issue U.S.$9,OOO,OOO principal amount of Class amount S-1 Floating Rate Notes Due September 2011 (the "Class S-1 Notes"), U.S.$8,300,000 principal amount S-1 Floating Rate Notes Due September of Class S-2 Floating Rate Notes Due September 2011, (the "Class S-2 Notes" and, together with the 2011, of Class S-2 Floating Rate Notes Due September Class S-1 Notes, the "Class S Notes"), U.S.$ 100,000,000 A-la Class S-1 Notes, the "Class S Notes"), U.S.$ 100,000,000 principal amount of Class A-1a Floating Rate Notes Due 2039 (the "Class A-la Notes"), U.S.$ 200,000,000 principal amount of Class A-1b Floating Notes Due 2039 (the "Class A-1a Notes"), U.S.$ A-1c Rate Notes Due 2039 (the "Class A-1b Notes"), U.S.$ 100,000,000 principal amount of Class A-1c U.S.$ Rate Notes Due 2039 (the "Class A-lb Floating Rate Notes Due 2044 (the "Class A-1c Notes"), U.S.$ 100,000,000 principal amount of Class A"Class AU.S.$ 2044 Rate Notes Floating 1d Floating Rate Notes Due 2044 (the "Class A-1d Notes" and, together with the Class A-1a Notes, Class A-la A-ld ld Floating Rate Notes A-1b Notes and Class "Class U.S.$ of A-lb Notes and Class A-1c Notes, the "Class A-1 Notes"), U.S.$ 305,000,000 principal amount of Class A-2 Floating Rate Notes Due 2047 "Class A-2 Class A-2 Floating Rate Notes Due 2047 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes"), U.S.$ p~ncipal B the "Class A Notes"), U.S.$ 107,000,000 principal amount of Class B Floating Rate Notes Due 2047 (the "Class B Notes") and U.S.$ C Due "Class B Notes") ?and U.S.$ 36,000,000 principal amount of Class C Deferrable Floating Rate Notes Due D U.S.$ C 2047 (the "Class C Notes"), and the Issuer will issue U.S.$ 30,000,000 principal amount of Class 0 Deferrable Floating Rate Notes Due 2047 (the "Class D Notes" and, together with the Class S Notes, S "Indenture") Class A Notes, Class B Notes and Class C Notes, the "Notes") pursuant to an Indenture (the "Indenture") "Notes") C A Oi rJ1arch Bank of f\Je\A! York. dated on or about March 27, 2007 among the Issuers and The Bank of New York, as trustee and securities intermediary (the "Trustee" and the "Securities Intermediary," respectively). ''Trustee'' Intermediary," In Income U.S.$ In addition, the Issuer will issue U.S.$ 22,000,000 notional principal amount of Income Notes (the "Income Notes" and, together with the Notes, the "Securities") constituted by the deed of covenant "Deed executed by the Issuer on March 27, 2007 (the "Deed of Covenant") and subject to the terms and Covenant") conditions thereof (the "Terms and Conditions") and issued pursuant to a fiscal agency agreement (the agreement a "Terms New "Fiscal Agency Agreement") dated on or about March 27, 2007 between the Issuer and The Bank of New 27,2007 Agreement') Agent'). York, London Branch, as fiscal agent (the "Fiscal Agent"). The net proceeds received from the offering of the Securities will be applied by the Issuer to to purchase a portfolio of CDO Securities and Synthetic Securities (the Reference Obligations of which are CDO COO described together CDO Securities) as described herein (collectively, together with Deliverable Obligations and any Default Swap Collateral that has been released from the lien of the Synthetic Security Counterparty and credited to the Collateral Account as described herein, "Collateral Assets"), Default Swap Collateral and Eligible Investments. Certain summary information about the Collateral Assets and the Reference Obligations is information is set forth in Appendix B to this Offering Circular. On the Closing Date, the Issuer will enter into the in B Cash flow Cashflow Swap Agreement. The Collateral Assets, the Eligible Investments and certain other assets of Secured the Issuer will be pledged under the Indenture to the Trustee, for the benefit of the Secured Parties, as as security for, among other obligations, the Issuers' obligations under the Notes (but not the Income Notes) for, and to certain service providers. The Income Notes will be unsecured obligations of the Issuer. Income Interest will be payable on the Class S-1 Notes, the Class S-2 Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes in arrears on the 3rd day 0 C in of March, June, September and December of each year, or if any such date is not a Business Day, the December year, immediately following Business Day (each such date, a "Payment Date") commencing on September 4, immediately commencing on September 4, a "Payment 2007. The Class 8-1 Notes will bear interest at a per annum rate equal to UBOR plus 0.20% for each S-1 a LIBOR Interest Accrual Period (as defined herein). The Class S-2 Notes will bear interest at a per annum rate a A-1a equal to UBOR plus 0.35% for each Interest Accrual Period. The Class A-Ia Notes will bear interest at a LIBOR a pet A-1 b per annum rate equal to UBOR plus 0.05% for each Interest Accrual Period. The Class A-1b Notes will LIBOR a bear interest at a per annum rate equal to LIBOR plus 0.50% for each Interest Accrual Period. The Class UBOR A-ic Notes will bear interest at a per annum rate equal to UBOR plus 0.80% for each Interest Accrual A-1c 0.80% LIBOR Period. The Class A-Id Notes will bear interest at a per annum rate equal to UBOR plus 1.30% for each A-1 d a LIBOR 1.30% Interest Accrual Period. The Class A-2 Notes will bear interest at a per annum rate equal to LIBOR plus UBOR a 0.90% for each Interest Accrual Period. The Class B Notes will bear interest at a per annum rate equal to B LIBOR UBOR plus 1.40% for each Interest Accrual Period. The Class C Notes will bear interest at a per annum 1.40% C rate equal to LIBOR plus 4.00% for each Interest Accrual Period. The Class 0 Notes will bear interest at UBOR D at a a per annum rate equal to UBOR plus 10.00% for each Interest Accrual Period. Payments will be 10.00% be LIBOR payable on the Income Notes from funds available in accordance with the Priority of Payments. in 2 .. Sachs Treatment Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825372 MBS-E-021825372 Footnote Exhibits - Page 5462 All payments on the Securities will be made from Proceeds available in accordance with the All payments on the Securities will be made from Proceeds available in accordance with the Priority of Payments. On each Payment Date, except as otherwise provided in the Priority of Payments, Priority of Payments. On each Payment Date, except as otherwise provided in the Priority of Payments, payments on the Class 5-1 Notes will be senior to payments on the Class S-2 Notes, the Class A-1 payments on the Class S-1 Notes will be senior to payments on the Class S-2 Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes; payments on the Class S-2 Notes will be senior to payments on the Class A-2 Notes (provided, Notes; payments on the Class S-2 Notes will be senior to payments on the Class A-2 Notes (provided, that payments of interest on the Class 8-2 Notes and the Class A Notes will be paid pro rata), the Class B that payments of interest on the Class S-2 Notes and the Class A Notes will be paid pro rata), the Class B Notes, the Class C the Class D Notes and the Income Notes; payments on the Class A-1 Notes Notes, the Class C Notes, the Class D Notes and the Income Notes; payments on the Class A-1 Notes will be senior to payments on the Class A-2 Notes that payments of interest on the Class A will be senior to payments on the Class A-2 Notes (provided, that payments of interest on the Class A the Class D Notes and the Income Notes will be paid pro rata), the Class B Notes, the Class C Notes will be paid pro rata), the Class B Notes, the Class C Notes, the Class D Notes and the Income I;I/otes; payments on the Class A-2 Notes will be senior to payments on the Class B Notes, the Class C Notes; payments on the Class A-2 Notes will be senior to payments on the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes; payments on the Class Notes will be senior to Notes, the Class D Notes and the Income Notes; payments on the Class B Notes will be senior to payments on the Class C Notes, the Class Notes and the Income Notes; payments on the Class C payments on the Class C Notes, the Class D Notes and the Income Notes; payments on the Class C Notes will be senior to payments on the Class D Notes and the Income Notes; and payments on the Notes will be senior to payments on the Class D Notes and the Income Notes; and payments on the accordance the of Class D Notes will be senior payments on the Income Notes, Class D Notes will be senior to payments on the Income Notes, in accordance with the Priority of S-1 Notes) are subject to mandatory Payments as described herein. Notes (other than the Payments as described herein. The Notes (other than the Class S-1 Notes) are subject to mandatory on any date of determination which may result variations redemption a Coverage Test is not redemption if a Coverage Test is not satisfied on any date of determination which may result in variations the Priority of Payments. seniorities of distributions described above and as more to the seniorities of distributions described above and as more fully described in the Priority of Payments. Payments of principai on ine Cia$$ A-I Notes will be paid iii accordance ..?,:th Class ,A.-1 Note Payment Payments of principal on the Class A-i Notes will be paid in accordance with the Class A-1 Note Payment Sequence. Sequence. The the described herein, Income subject to (i) at The Notes and, to the extent described herein, the Income Notes, are subject to redemption, (i)at Redemption, (ii) Auction Payment Date of successful any time as a result of a Tax Redemption, (ii) on an Auction Payment Date as a result of a successful by (iii) of Redemption Refinancing or Auction or (iii) as a result of an Optional Redemption by Refinancing or an Optional Redemption by or after the March 2010 Payment Date. Income Notes redeemed in or Liquidation on or after the March 2010 Payment Date. The Income Notes will not be redeemed in full, or in Redemption Refinancing. The of and in in part, in connection with an Optional Redemption by Refinancing. The stated maturity of the Notes and the Income Notes (other than the Class S Notes and the Class A-1 Notes) is the Payment Date in Income Notes is Payment in in September 2011. The December of December 2047. The stated maturity of the Class S Notes is the Payment Date in September 2011. The A-1a A-1b is Payment Date in December stated maturity of the Class A-Ia Notes and the Class A-lb Notes is the Payment Date in December Notes Payment Date in stated maturity 2039. The stated maturity of the Class A-1c Notes and the Class A-1d Notes is the Payment Date in S Notes) is September September 2044. The actual final distribution on the Securities (other than the Class S Notes) is Factorsexpected to occur substantially earlier than their respective stated maturities. See "Risk FactorsSecurities-Average Prepayment Considerations." Securities-Average Lives, Duration and Prepayment Considerations." by 144A") will be Notes sold in reliance on Rule 144A under the Securities Act ("Rule 144A") will be evidenced by in without in one or more global notes (the "Rule 144A Global Notes") in fully registered form without coupons, Depository Trust in deposited for, a deposited with a custodian for, and registered in the name of, a nominee of The Depository Trust in DTC's Same Company ("DTC"). Beneficial interests in the Rule 144A Global Notes will trade in DTC's Same Day 144A in will therefore settle in activity in Funds Settlement System, and secondary market trading activity in such interests will therefore settle in in the Rule 144A Global immediately available funds. Except as described herein, beneficial interests in the Rule 144A Global records maintained by DTC Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC on Rule 144A under the sold in and its direct and indirect participants. The Income Notes sold in reliance on Rule 144A under the Income participants. direct registered form. in Securities Act will be evidenced by one or more Definitive Notes in fully registered form. from registration under The Securities that are being offered hereby in reliance on the exemption from registration under hereby in Securities Regulation 8 (the "Regulation S Securities") have not been and will not be registered under the Securities and will not registered under the Securities not S S the Investment Company Act. The Regulation S Act and neither of the Issuers will be registered under the Investment Company Act. The Regulation S registered the Issuers Act and U.S. Persons (as defined in Securities may not be offered or sold within the United States or to U.S. Persons (as defined in within the United States not that it is a qualified institutional Regulation S) unless the purchaser certifies or is deemed to have certified that it is a qualified institutional or is deemed have purchaser Regulation S) unless buyer as defined in Rule 144A (a "Qualified Institutional Buyer'1 and a "qualified purchaser" for the Institutional Buyer') and a "qualified purchaser' for the in Rule 144A (a buyer as Act (a "Qualified Purchaser') or, solely in the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser") or, solely in the Investment 3(c)(7) of purposes 501(a) under the case of the Income Notes, that it is an "accredited investor" as defined in Rule 501 (a) under the Securities Income Notes, that it is an "accredited investor" defined in case Act (an "Accredited Investor") who has a net worth of not less than U.S. $10 million and a Qualified (an "Accredited Investor') who has a net worth of not less than U.S. $10 million and a Qualified Purchaser. See "Description of the Securities" and?"Underwriting." Securities" and "Underwriting." Purchaser. See "Description of 3 3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825373 GS MBS-E-021825373 Footnote Exhibits - Page 5463 The Income Notes (other than the Regulation S Income Notes) The Income Notes (other than the Regulation S Income Notes) will be evidenced by one or more be evidenced by one or more definitive notes in fully registered form (each, an "Income Note Certificate"). See "Description of the definitive notes in fully registered fonn (each, an "Income Note Certificate"). See "Description of the Securities." Securities." . This Offering Circular is confidential and is being fumished by the Issuers in connection with an This Offering Circular is confidential and is being furnished by the Issuers in connection with an offering exempt from registration under the Securities Act, solely for the purpose of enabling a prospective offering exempt from registration under the Securities Act, solely for the purpose of enabling a prospective investor to consider the purchase of the Securities described herein. The investor to consider the purchase of the Securities described herein. The information contained in this contained in this Offering Circular been provided by the Issuers and Offering Circular has been provided by the Issuers and other sources identified herein. . Except in respect sources herein. in of the information contained under the heading "The Collateral Manager," (other than the of the information contained under the heading "The Col/ateral Manager, n (other than the information contained under the subheading "General") for which Collateral Manager contained under the subheading "General") for which the Col/ateral Manager accepts sole responsibility, sole responsibility, to the extent described in such section, no representation or warranty, express or implied, made by the to the extent described in such section, no representation or warranty, express or implied, is made by the Initial Purchaser, the Collateral Manager, the Cashflow Swap Counterparty (or Initial Purchaser, the Collateral Manager, the Cashflow Swap Counterparty (or any guarantor thereof), the guarantor thereof), the Trustee, the Col/ateral Administrato;, the Note Agents (as defined herein) or the Fiscal Agent (the Note Collateral Administrator, Agents (as defined Agent Note Agents, the Collateral Administrator the Agent together, Agents, the Col/ateral Administrator and the Fiscal Agent together, the "Agents") as to the accuracy or "Agents") or completeness of such information, and nothing contained in this Offering completeness of such information, and nothing contained in this Offering Circular is, or shal/ be relied is, shall upon as, a promise or representation the Initial Purchaser, the Trustee, the Collateral Manager, the upon as, a promise or representation by the Initial Purchaser, the Trustee, the Col/ateral Manager, the Cashflow Swap Counterparty (or Cashflow Swap Counterparty (or any guarantor thereof) or the Agents. Any reproduction or distribution of thereof) or reproduction of this Offering Circular, in whole or in part, and any disclosure of its contents or use of any information Circular, in part, disclosure use information herein for any purpose other than considering herein for any purpose other than considering an investment in the Securities is prohibited. Each offeree in the Securities isprohibited. of the Securities, by accepting delivery of this Offering Circular, of the Securities, by accepting delivery of this Offering Circular, agrees to the foregoing. foregoing. SECURITIES OFFERED HEREBY HAVE THE SECURITIES OFFERED HEREBY HAVE NOT BEEN RECOMMENDED BY ANY UNITED RECOMMENDED UNITED FEDERAL SECURITIES COMMISSION STATES FEDERAL OR STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. REGULATORY AUTHORITY. FURTHERMORE, FOREGOING AUTHORITIES HAVE FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR CONFIRMED ACCURACY DETERMINED ADEQUACY DOCUMENT. REPRESENTATION DETERMINED THE ADEQUACY OF THIS DOCUMENT. ANY REPRESENTATION TO THE THE IS A CONTRARY IS A CRIMINAL OFFENSE. OFFENSE. of The distribution of this Offering Circular and the offering and sale 'of the Securities in certain jurisdictions in may be restricted by law. The Issuers and the Initial Purchaser require persons into whose possession this Offering Circular comes to inform themselves about and to observe any such restrictions. For a further description of certain restrictions on offering and sales of the Securities, see "Underwriting." This "Underwriting." Offering Circular does not constitute an offer of, or an invitation to purchase, any of the Securities in any jurisdiction In which such offer or invitation would be unlawful. in NOTICE TO NEW HAMPSHIRE RESIDENTS NOTICE TO NEW HAMPSHIRE RESIDENTS NEITHER THE FACT REGISTRATION STATEMENT NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF APPLICATION FOR LICENSE BEEN FILED UNDER CHAPTER NEW HAMPSHIRE REVISED STATUTES ANNOTATED THE NEW HAMPSHIRE REVISED STATUTES ANNOTATED ("RSA 421-B") WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS SECURITY IS STATE OF NEW HAMPSHIRE NOR THE FACT THAT EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW PERSON IS LICENSED IN THE STATE EFFECTIVELY REGISTERED NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE CONSTITUTES FINDING THE SECRETARY OF STATE OF NEW HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, IS TRUE, HAMPSHIRE THAT DOCUMENT FILED UNDER COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT COMPLETE NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A FOR SECURITY THAT EXEMPTION OR EXCEPTION IS TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN WAY UPON THE MERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR UPON THE MERITS QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR TRANSACTION. IT IS GIVEN TO, PERSON, SECURITY, OR TRANSACTION. IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO PROSPECTIVE PURCHASER, CUSTOMER-OR -CLIENT ANY REPRESENTATION INCONSISTENT PURCHASER, CUSTOMER.OR ?CLlENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH. WITH THE PROVISIONS OF THIS PARAGRAPH. - 0" -:~.7:i....::'-_ 4 4 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825374 GS MBS-E-021825374 Footnote Exhibits - Page 5464 in No invitation may be made to the public in the Cayman Islands to subscribe for the Securities. or (i) The Initial Purchaser has represented, warranted and agreed that: (i) it has only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or communicated or in inducement to engage in investment activity (within the meaning of section 21 of the Financial Services sale of any in it in and Markets Act 2000 C'FSMA'1) received by it in connection with the issue or sale of any Securities in CFSMA')) complied to Issuer; and (ii) it 21(1) the FSMA does not circumstances in which section 21{1} of the FSMA does not apply to the Issuer; and (ii) it has complied in in FSMA and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to "Underwriting." the Securities in, from or otherwise invoMng the United Kingdom. See "Underwriting." in, docum~nt The Securities may not be offered or sold by means of any document other than to persons In is whose ordinary business is to buy or sell shares or debentures, whether as principal or agent, or In of the Companies circumstances which do not constitute an offer to the public within the meaning of the Companies to Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or document relating to the is directed at, or the contents of in eisewhere, Securities may be issued, whether in Hong Kong or elsewhere, which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under in if be the securities laws of Hong Kong) other than with respect to Securities which are or are intended to be of disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder. 571) of a This Offering Circular has not been registered as a prospectus with the Monetary Authority of in Singapore. Accordingly, this Offering Circular and any other document or material in connection with the be circulated or offer or sale, or invitation or subscription or purchase, of the Securities may not be circulated or invitation distributed, nor may the Securities be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than under in invitation circumstances in which such offer, sale or invitation does not constitute an offer or sale, or invitation for in subscription or purchase, of the Securities to the public in Singapore. in The Securities have not been and will not be registered under the Securities and Exchange Law or it of Japan (the Securities and Exchange Law) and the Initial Purchaser has agreed that it will not offer or in sell any Securities, directly or indirectly, in Japan or to, or for the benefit of, any resident of Japan (which in term as used herein means any person resident in Japan, including any corporation or other entity in Japan or organized under the laws of Japan), or to others for re-offering or resale, directly or indirectly, in Japan or requirements of, to a resident of Japan, except pursuant to an exemption from the registration requirements of, and a applicable laws, otherwise in compliance with, the Securities and Exchange Law and any other applicable laws, in regulations and ministerial guidelines of Japan. NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND RESIDENTS NOTICE REPUBLIC IRELAND CONSTITUTE DOES PROSPECTUS THIS OFFERING CIRCULAR IS NOT A PROSPECTUS AND DOES NOT CONSTITUTE AN OFFERING CIRCULAR IS SECURITIES INVITATION TO THE PUBLIC TO PURCHASE OR SUBSCRIBE FOR ANY SECURITIES AND SUBSCRIBE PURCHASE INVITATION DISTRIBUTED FORM BE ISSUED, CIRCULATED NEITHER IT NOR ANY FORM OF APPLICATION WILL BE ISSUED, CIRCULATED OR DISTRIBUTED APPLICATION NEITHER TO THE PUBLIC. THE THIS OFFERING CIRCULAR AND THE INFORMATION CONTAINED HEREIN IS OFFERING CIRCULAR INFORMATION CONTAINED HEREIN IS CONFIDENTIAL AND IS FOR THE USE SOLELY OF THE PERSON TO WHOM IT IS ADDRESSED. WHOM IS ADDRESSED. IS USE CONFIDENTIAL REPRODUCED IN WHOLE ACCORDINGLY, IT MAY NOT BE REPRODUCED IN WHOLE OR IN PART, NOR MAY ITS CONTENTS MAY NOT CONTENTS IN BE DISTRIBUTED-IN WRITING-ORORALtY MAY SOLELY? PARTY BE DISTRIBUTED IN WRITING OR:ORALIY TO ANY THIRD PARTY AND IT MAY BE READ SOLELYBY THE PERSON TO WHOM IT ISADDRESSED AND HIS/HER PROFESSIONAL ADVISERS. PERSON PROFESSIONAL IT IS ADDRESSED - -- .'. --.,'. 5 5 Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825375 MBS-E-021825375 Footnote Exhibits - Page 5465 In this offering circular, references to "U.S. Dollars," "$"and "U.S.$" are to United States dollars. Inthis offering circular, references to "U.S. Dollars," "$" and"U.S.$" are to United States dollars. The Issuers (and, with respect to the information contained in this offering circular under the The Issuers (and, with respect to the information contained in this offering circular under the heading'The Collateral Manager' (other than the information contained under the subheading "General"), heading ''The Collateral Manager" (other than the information contained under the subheading "Generar'), the Collateral Manager to the extent described in such section), having made all reasonable inquiries, the Collateral Manager to the extent described in such section), having made all reasonable inquiries, confirm that the information contained in this offering circular is true and correct in all material respects confirm that the information contained in this offering circular is true and correct in all material respects and is not misleading, that the opinions and intentions expressed in this offering circular are honestly held and is not misleading, that the opinions and intentions expressed in this offering circular are honestly held and that there are no other facts the omission of which would make any such information or the and that there are no other facts the omission of which would make any such information or the expression of any such opinions or intentions misleading. The Issuers (and, with respect to the expression of any such opinions or intentions misleading. The Issuers (and, with respect to the information in this offering circular under the heading ''The Collateral Manager" (other than the information information in this offering circular under the heading 'The Collateral Manager" (other than the information contained under the subheading "General"), the Collateral Manager, to the extent described in such contained under the subheading "General"), the Collateral Manager, to the extent described in such section) take responsibility accordingly. section) take responsibility accordingly. No person has been authorized to give any information or to make any representation other than No person has been authorized to give any information or to make any representation other than those contained in this offering circular, and, if given or made, such information or representation must not contained in this offering circular, and, if gIven or made, such information or representation must not those be relied upon as having been authorized. This offering circular does not constitute an offer to sell or the be relied upon as having been authorized. This offering circular does not constitute an offer to sell or the solicitation of an offer to buy any securities other than the securities to which it relates, or an offer to sell solicitation of an offer to buy any securities other than the securities to which itrelates, or an offer to sell or the solicitation of an offer to buy such securities by any person in any circumstances in which such or the solicitation of an offer to buy such securities by any person in any circumstances in which such offer or solicitation is unlawful. Neither the delivery of this offering circular nor any sale hereunder shall, offer or solicitation is unlawful. Neither the delivery of this offering circular nor any sale hereunder shall, under any circumstances, create any implication that the information contained herein correct as of any under any circumstances, create any implication that the information contained herein is correct as of any time subsequent to the date of this offering circular. time subsequent to the date of this offering circular. IMPLIED AGREEMENT TO THE NOTWITHSTANDING OTHER EXPRESS NOTWITHSTANDING ANY OTHER EXPRESS OR IMPLIED AGREEMENT TO THE CONTRARY, EACH RECIPIENT OF THIS OFFERING CIRCULAR AGREES AND ACKNOWLEDGES CONTRARY, EACH RECIPIENT OF THIS OFFERING CIRCULAR AGREES AND ACKNOWLEDGES THAT THE ISSUERS HAVE AGREED THAT EACH OF THEM AND THEIR EMPLOYEES, THAT THE ISSUERS HAVE AGREED THAT EACH OF THEM AND THEIR EMPLOYEES, REPRESENTATIVES AND OTHER AGENTS MAY DISCLOSE, IMMEDIATELY UPON REPRESENTATIVES AND OTHER AGENTS MAY DISCLOSE, IMMEDIATELY UPON COMMENCEMENT OF DISCUSSIONS, ANY AND PERSONS THE TAX TREATMENT AND COMMENCEMENT OF DISCUSSIONS, TO ANY AND ALL PERSONS THE TAX TREATMENT AND TAX STRUCTURE OF THE SECURITIES, THE TRANSACTIONS DESCRIBED HEREIN AND ALL THE SECURITIES, THE TRANSACTIONS DESCRIBED HEREIN AND ALL TAX STRUCTURE MATERIALS OF (INCLUDING OPINIONS OTHER TAX ANALYSES) THAT ARE MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT ARE PROVIDED TO ANY THEM RELATING SUCH TREATMENT AND TAX STRUCTURE PROVIDED TO ANY OF THEM RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE EXCEPT WHERE CONFIDENTIALITY IS REASONABLY NECESSARY COMPLY WITH THE EXCEPT WHERE CONFIDENTIALITY IS REASONABLY NECESSARY TO COMPLY WITH THE SECURITIES LAWS OF APPLICABLE JURISDICTION. SECURITIES LAWS OF ANY APPLICABLE JURISDICTION. OFFERING CIRCULAR CAREFULLY PROSPECTIVE INVESTORS SHOULD READ THIS OFFERING CIRCULAR CAREFULLY PROSPECTIVE INVESTORS SHOULD SHOULD PAY PARTICULAR BEFORE DECIDING WHETHER TO INVEST IN THE SECURITIES AND SHOULD PAY PARTICULAR SECURITIES WHETHER TO INVEST IN BEFORE DECIDING "RISK FACTORS". ATIENTION TO THE INFORMATION SET FORTH UNDER ATTENTION TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS". INVESTMENT IN THE SECURITIES IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. INVESTMENT IN THE SECURITIES HAVE THE FINANCIAL ABILITY AND INVESTORS SHOULD UNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND INVESTORS SHOULD UNDERSTAND SUCH PERIOD OF TIME. WILLINGNESS TO ACCEPT THEM FOR AN EXTENDED PERIOD OF TIME. WILLINGNESS TO ACCEPT THEM FOR AN EXTENDED 66 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825376 GS MBS-E-021825376 Footnote Exhibits - Page 5466 NOTICE TO INVESTORS NOTICE TO INVESTORS of prior to Because of the following restrictions, purchasers are advised to consult legal counsel prior to making offer, other the offered making any offer, resale, pledge or other transfer of the Notes or the Income Notes offered hereby. Each purchaser who A B S Each purchaser who has purchased Class S Notes, Class A Notes, Class B Notes, Class C Notes Income have represented, Notes, Regulation S Class D Notes and Regulation S Income Notes will be deemed to have represented. Income Note is and and agreed, and each purchaser of a Class D Note that is a Definitive Note and an Income Note be required in Certificate will be required to represent and agree, in each case with respect to such Securities, as follows in 144A (terms used herein that are defined in Rule 144A or Regulation S are used herein as defined therein): 1. (a) In the case of Notes sold in reliance on Rule 144A (the "Rule 144A Notes"), the Notes in "Rule 144A Notes"), the 1. (a) In in 144A) (a purchaser 144A Notes (i) is purchaser of such Rule 144A Notes (i) is a qualified institutional buyer (as defined in Rule 144A) (a Buyer'1, (ii) is aware it on made in "Qualified Institutional Buyer"), (ii) is aware that the sale of Notes to itis being made in reliance on Rule a is its account 144A, (iii) is acquiring the Rule 144A Notes for its own account or for the account of a Qualified 144A, Buyer purchaser discretion, in Institutional Buyer as to which the purchaser exercises sole investment discretion, and in a principal amount of not less than U.S.$250,000 and (iv)will provide notice of the transfer restrictions described in (iv) described in U.S.$250,000 this Ut-Jotice to Investois" to any susu AInsferees. this "Notice to ivestuors" to any subsequent transferees. . on (b) In in Income Income (b) In the case of the Income Notes, other than any Income Notes sold in reliance on that (i) is a (ii) is Regulation S, the purchaser of such Income Notes (i) is a Qualified Institutional Buyer, (ii) is aware that Income in it is is the sale of the Income Notes to it is being made in reliance on Rule 144A, (iii) is acquiring the Income purchaser Notes for its own account or for the account of a Qualified Institutional Buyer as to which the purchaser is exercises sole investment discretion, and, unless otherwise permitted by the Fiscal Agency Agreement, is the U.S.$100,000 Income purchasing an aggregate notional principal amount of not less than U.S.$100,000 Income Notes for the described in purchaser and for each such account and (iv) will provide notice of the transfer restrictions described in "Notice purchaser is this "Notice to Investors" to any subsequent transferees; or, if the purchaser is not a Qualified Institutional under in Buyer, such purchaser (w) is a person who is an "accredited investor' (as defined in Rule 501(a) under is "accredited investor" (w)is a U.S.$10 million thatis a' the Securities Act) (an "Accredited Investor") who has a net worth of not less than U.S.$10 million that is to a Income purchasing the Income Notes for its own account, (x) is not acquiring the Income Notes with a view to any (x)is (y) is resale or distribution thereof, other than in accordance with the restrictions set forth below, (y) is in ,I purchasing an aggregate notional principal amount of not less than U.S.$100,000 Income Notes (unless purchasing an aggregate notional principal amount of not less than U.S.$100,000 Income Notes provide notice of the (z) otherwise permitted by the Fiscal Agency Agreement) and (z) will provide notice of the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. in 2. The purchaser understands that the Securities have not been and will not be registered 2. of any or qualified under the Securities Act or any applicable state securities laws or the securities laws of any be other jurisdiction, are being offered only in a transaction not involving any public offering, and may be in the a person ohly reoffered, resold or pledged or otherwise transferred only (A)(i) to a person whom the purchaser the is reasonably believes is a Qualified Institutional Buyer and is purchasing for its own account or for the Institutional is a account of a Qualified Institutional Buyer as to which the purchaser exercises sole investment discretion in an offshore (ii) a in a' in a transaction meeting the requirements of Rule 144A, (ii) to a non-U.S. Person in an offshore Income in S transaction complying with Rule 903 or Rule 904 of Regulation S or (iii) solely in the case of the Income shall have Notes, to an Accredited Investor who has a net worth of not less than U.S.$10 million, and who shall have a D in satisfied, and shall have represented, warranted, covenanted and agreed in the case of the Class D S Income D Notes and S Notes and the Income Notes (other than the Regulation S Class D Notes and Regulation S Income Income represented, Notes), or shall be deemed to have satisfied, and shall otherwise be deemed to have represented, of the for it warranted, covenanted and agreed that it will continue to comply with, all requirements for transfer of the D Securities specified in this offering circular, the Indenture, and, in the case of the Class 0 Notes and the in circular, in in S D Income Notes (other than the Regulation S Class D Notes and Regulation S Income Notes), in the S case of the in Income Notes Purchase and Transfer Letter and the fiscal Agency Agreement, and, in the case of the Fiscal Income it Regulation S Income Notes, in the Fiscal Agency Agreement, and all other requirements for it to qualify in S for an exemption from registration under the Securities Act and (B) in accordance with all applicable (B) in registration.-under may be in a any securities laws of the states of the United States. Before any interest in a Rule 144A Note may be ah interest in in - offered,' sold, pledged or otherwise transferred to a person who takes delivery in the form of an interest in a pledged offered, with a Note a Regulation S Global Note, the transferor will be required to provide the Note Transfer Agent with a S a restrictions written certification (in the form provided in the Indenture) as to compliance with the transfer restrictions in Indenture) (in form 7 7 Sachs Confidential Treatment Requested by Goldman Sachs MBS-E-021825377 GS MBS-E-021825377 Footnote Exhibits - Page 5467 described herein. Before any interest in an Income Note Certificate or a Class D Note that is a Definitive described herein. Before any interest in an Income Note Certificate or a Class D Note that is a Definitive Note may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the Note may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the Issuer and the Fiscal Agent with a letter substantially in the form attached to this Offering Circular as Issuer and the Fiscal Agent with a letter substantially in the form attached to this Offering Circular as Annex A-1 {the "Income Notes Purchase and Transfer Lette!'} The purchaser understands and agrees Annex A-1 (the "Income Notes Purchase and Transfer Letter"). The purchaser understands and agrees that any purported transfer of Securities to a purchaser that does not comply with the requirements of this that any purported transfer of Securities to a purchaser that does not comply with the requirements of this paragraph (2) will, in the case of the Class S Notes, Class A Notes, Class B Notes, Class C Notes, the paragraph (2)will, in the case of the Class S Notes, Class A Notes, Class B Notes, Class C Notes, the Regulation S Class D Notes and the Regulation S Income Notes, be null and void ab initio and, in the Regulation S Class D Notes and the Regulation S Income Notes, be null and void ab initio and, in the case of the Class D Notes (other than the Regulation S Class D Notes) and Income Notes {other than the case of the Class D Notes (other than the Regulation S Class D Notes) and Income Notes (other than the Regulation S Income Notes}, not be permitted or registered by the Trustee or the Registrar or the Fiscal Regulation S Income Notes), not be permitted or registered by the Trustee or the Registrar or the Fiscal Agent or the Income Note Registrar, as applicable. The purchaser further understands that the Issuers Agent or the Income Note Registrar, as applicable. The purchaser further understands that the Issuers have the right to compel any beneficial owner of Securities that is a U.S. Person and is not a Qualified have the right to compel any beneficial owner of Securities that is a U.S. Person and is not a Qualified Institutional Buyer or, in the case of the Income Notes, an Accredited Investor to sell its interest in such Institutional Buyer or, in the case of the Income Notes, an Accredited Investor to sell its interest in such Securities, or the Issuers may sell such Securities on behalf of such owner. Securities, or the Issuers may sell such Securities on behalf of such owner. 3. The purchaser of such Securities also understands that neither of the Issuers has been 3. The purchaser of such Securities also understands that neither of the Issuers has been registered under the Investment Company Act. Inthe case of the Rule 144A Notes and the Income Notes under the Investment Company Act. the case of the Rule 144A Notes and the Income Notes registered described in paragraph {1} above, the purchaser and each account for which the purchaser is acquiring described in paragraph (1) above, the purchaser and each account for which the purchaser is acquiring such Securities is a qualified purchaser for the purposes of Section 3{c)(7) of the Investment Company such Securities is a qualified purchaser for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser"). The purchaser is acquiring Notes in a principal amount, in the case of Rule Act (a "Qualified Purchaser"). The purchaser is acquiring Notes in a principal amount, in the case of Rule 144A Notes, of not less than U.S.$250,OOO, or, in the case of Notes sold in reliance on Regulation S 144A Notes, of not less than U.S.$250,000, or, in the case of Notes sold in reliance on Regulation S ("Regulation S Notes"), of not less than U.S.$100,000, or is purchasing Income Notes in the aggregate ("Regulation S Notes"), of not less than U.S.$100,OOO, or is purchasing Income Notes the aggregate than U.S.$100,OOO. The purchaser purchaser is acquiring notional principal amount of not notional principal amount of not less than U.S.$100,000. The purchaser (or if the purchaser is acquiring Securities for any account, each such account) is acquiring the Securities as principal for its own account for any acquiring Securities as principal for its own account Securities for investment and not sale in connection with any distribution thereof. The purchaser and each such for investment and not for sale in connection with any distribution thereof. The purchaser and each such investing in Securities (except when each account: (a) was not formed for account: (a)was not formed for the specific purpose of investing in the Securities (except when each {b} to the extent the beneficial owner beneficial owner of the purchaser and each such account is a Qualified Purchaser), (b)to the extent the has received the the purchaser is a private investment company formed purchaser is a private investment company formed before April 30, 1996, the purchaser has receivedtrust necessary consent from its beneficial owners, (c)is not a pension, profit sharing or other retirement trust consent from owners, (c) is or other retirement necessary may designate the fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the fund or plan in on particular investments to be made and (d)is particular investments to be made and (d) is not a broker dealer that owns and invests on a discretionary basis less U.S.$25,OOO,OOO in the purchaser agrees with basis less than U.S.$25,000,000 in securities of unaffiliated issuers. Further, the purchaser agrees with the benefit of any respect to itself and each such account: (i) that it shall not hold such Securities for the benefit of any (i) respect to itself and each such for all purposes and (ii) that it shall not sell other person and other person and shall be the sole beneficial owner thereof for all purposes and (ii) that it shall not sell arrangement pursuant to which any other participation interests in the Securities or enter into any other arrangement pursuant to which any other participation interests in the Securities. The purchaser on person shall be entitled to a beneficial interest in the distributions qn the Securities. The purchaser shall be entitled to a in person a purchaser that does not comply understands and agrees that any purported transfer of Securities to a purchaser that does not comply purported understands and agrees Class S Notes, Class A Notes, Class B with the requirements of this paragraph (3)will, in case with the requirements of this paragraph (3) will, in the case of the Class S Notes, Class A Notes, Class B S Income Notes, be null and void Notes, Class C Notes, the Regulation S Class D Notes and Regulation S Income Notes, be null and void D Notes, Class C Notes, the Regulation S the Regulation S Class D Notes) and the ab initio and, in the case of the Class D Notes {other than the Regulation S Class D Notes} and the Class D Notes (other ab initio and, in the case the Income Notes (other than the Regulation S Income Notes), not be permitted or registered by the Trustee Income Notes (other than the Regulation S Income Notes), not permitted or registered by the Trustee or the Note Registrar or the Fiscal Agent or the Income Note Registrar, as applicable. The purchaser Fiscal Agent the Income Note Registrar, as applicable. The purchaser or the Note Registrar or any beneficial owner of Securities that is a further understands that the Issuers have the right to compel any beneficial owner of Securities that is a that the Issuers have the right to further understands U.S. Person and is not a Qualified Purchaser to sell its interest in such Securities, or the Issuers may sell in such Securities, or the Issuers may sell sell its U.S. Person and is not a Qualified such Securities on behalf of such owner. such Securities on behalf of such owner. 4. (a) With respect to the Class S Notes, Class A Notes, Class B Notes and Class C 4. (a) With respect to the Class S Notes, Class A Notes, Class B Notes and Class C Notes, each purchaser will be deemed, by its purchase, to have represented and warranted that either (i) Notes, each purchaser will be deemed, by its purchase, to have represented and warranted that either (i) the purchaser is not and will not be an ERISA Plan (as defined herein), a plan that is subject to Section the purchaser is not and will not be an ERISA Plan (as defined herein), a plan that is subject to Section 4975 of the United States Intemal Revenue Code of 1986, as amended (the "Code'), or any entity whose 4975 of the United States Internal Revenue Code of 1986, as amended (the "Code'), or any entity whose underlying assets include "plan assets" by reason of any such plan's investment in the entity C'Plan underlying assets include "plan assets" by reason of any such plan's investment in the entity ("Plan Assets') or (ii) the purchaser's purchase and holding of a Class S Note. Class A Note, Class B Note or Assets") or (ii)the purchaser's purchase and holding of a Class S Note, Class A Note, Class B Note or Class C Note does not and will not constitute or result in a prohibited transaction under Section 406 of the Class C Note does not and will not constitute or result in a prohibited transaction under Section 406 of the Unitec;i States Employee Retirement Income Security Act of 1974, as amended ("ERISA'). or Section United States Employee Retirement Income Security Act of 1974, as amended ("ERISA"), or Section that agrees and understands purchaser The 4975 of the Code for which an exemption is not available. The purchaser understands and. agrees th~t _, available. not is exemption an which for Code of the 4975 any purported transfer of a Note to a purchaser that does not comply with the requirements of this any purported transfer of a Note to a purchaser that does not comply with the requirements of this paragraph (4)(a} shall be null and void ab initio. paragraph (4)(a) shall be null and void ab initio. 8 8 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825378 GS MBS-E-021825378 Footnote Exhibits - Page 5468 (b) With to Income 0 (b) With respect to each of the Income Notes and Class D Notes (other than Regulation or after the Date, Income Notes and Regulation 0 purchased or transferred S Income Notes and Regulation S Class D Notes) purchased or transferred on or after the Closing Date, transferee must in advance the Trustee or the Agent, as the purchaser or transferee must disclose in writing in advance to the Trustee or the Fiscal Agent, as it is (A) "employee benefit defined in 3(3) ERISA), (i) whether applicable, (i) whether or not it is (A)an "employee benefit plan" (as defined in Section 3(3) of ERISA),. . of ERISA, (B) "plan" described in the or (C) that is that is subject to Title I of ERISA, (B) a "plan" described in and subject to Section 4975 of the Code, or (C) ERISA an entity whose underlying assets include "plan assets" within the meaning of ERISA by reason of any include assets" meaning in (A) through (C) such investment in such plan's investment in the entity (all such persons and entities described in clauses (A)through (C) "Benefit Plan Investors"); (ii) p.urchaser is either being referred to herein as "Benefit Plan Investors"); (ii) if the purchaser is a Benefit Plan Investor, either Income 0 Notes (other than Regulation Income Notes (x) (x)the purchase and holding of Income Notes or Class D Notes (other than Regulation S Income Notes or result in a Regulation not D and Regulation S Class 0 Notes), as applicable, do not and will not constitute or result in a prohibited transaction under Section 406 of ERISA or Section 4975 of the Code for which an exemption is not under ERISA 4975 an is not (y) holding 0 available or (y) the purchase and holding of Income Notes or Class D Notes (other than Regulation S Income and 0 ap'plicable, is exempt under Income Notes and Regulation S Class D Notes), as applicable, is exempt under an identified Prohibited of Exemption Transaction Class Exemption or individual exemption, based on the assumption that less than 25% of D are owned Benefit Plan each of the outstanding Income Notes or Class 0 Notes, as applicable, are owned by Benefit Plan Investor) Investors; and (iii) whether or not it is the Issuer or any other person (other than a Benefit Plan Investor) whether not is other person (other Benefrt person that has discretionary authority or control with respect to the assets of the Issuer, a person who provides Issuer, of investment advice for a fee (direct or indirect) with respect to the assets of the Issuer, or any "affiliate" any such person (each, a "Controlling 2510.3-101(f)(3>> (within the meaning of 29 C.F.R. Section 2510.3-101(f)(3)) of any such person (each, a "Controlling company Person"). If a purchaser is an entity described in (i)(C) above, or an insurance company acting on behalf If in (i)(C) above, behalf is identify a of its general account, it may be required to so indicate, and to identify a maximum percentage of its general its it become plan assets, in assets or the assets in its general account, as applicable, that may be or become plan assets, in which in case it will be required to make certain further agreements that would apply in the event that such in maximum percentage would thereafter be exceeded. The purchaser agrees that, before any interest in interest in maximum Regulation Class 0 Income 0 a S Income an Income Note or a Class D Note (other than a Regulation S Income Note or a Regulation S Class D provide transferee Note) Note) may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the Transfer Letter Purchase Trustee or Fiscal Agent, as applicable, with an Income Notes Purchase and Transfer Letter or a Class D 0 the transferee is Benefit Notes Purchase and Transfer Letter stating, among other things, whether the transferee is a Benefit Plan and the be transfer Investor. The purchaser acknowledges and agrees that no purchase or transfer will be permitted, and the acknowledges purchase or transfer to the extent Trustee or Fiscal Agent will not register any such transfer, to the extent that the purchase or transfer Income Notes or the would result in Benefit Plan Investors owning 25% or more of either of the outstanding Income Notes or in the Class D Notes, immediately after such purchase or transfer (determined in accordance with the Fiscal 0 transfer in accordance D and Income to Agency Agreement). The foregoing procedures are intended to enable Income Notes and Class 0 Notes or purchased D Notes) to S S (other than Regulation S Income Notes and Regulation S Class 0 Notes) to be purchased by or not there given transferred to Benefit Plan Investors at any time, although no assurance can be given that there will not be requireQ to be Notes Class D Notes be circumstances in which purchases or transfers of Income Notes or Class 0 Notes will be required to be in or restricted in order to comply with the aforementioned 25% limitation. No Benefit Plan Investor or aforementioned 25% limitation. No Benefrt Plan in D Note. Purchasers Note or Controlling Person may purchase a Regulation S Income Note or Regulation S Class 0 Note. Purchasers S S a not they . of Regulation S Income Notes or Regulation S Class 0 Note are deemed to represent that they are not deemed to D S S Benefit Plan Investors or Controlling Persons. See "ERISA Considerations." "ERISA the resale, distribution a view 5. The purchaser is not purchasing the Securities with a view toward the resale, distribution is 5. that an or other disposition thereof in violation of the Securities Act. The purchaser understands that an in risk of loss of its entire investment in the investment in the Securities involves certain risks, including the risk of loss of its entire investment in the risks, in purchaser has had access to such financial and other Securities under certain circumstances. The purchaser has had access to such financial and other under as it deemed necessary appropriate in order to information concerning the Issuers and the Securities as it deemed necessary or appropriate in order to conceming of the Securities, including an respect to its make an informed investment decision with respect to its purchase of the Securities, including an request information from, the opportunity to ask questions of, and request information from, the Issuer. purchase the Securities: (i) none of the Issuers, the Initial 6. In connection with the purchase of the Securities: (i) none of the Issuers, the Initial 6. In Swap Purchaser, the Collateral Manager, the Trustee, the Agents, the Cashflow Swap Counterparty (or any as a is Trustee (as defined guarantor thereof), the Issuer Administrator or the Share Trustee (as defined herein) is acting as a for the purchaser (ii)the purchaser is not relying (for purposes fiduciary or financial or investment adviser for the purchaser; (ii) the purchaser is not relying (for purposes counsel or representations (whether of making any investment decision or otherwise) upon any advice, counselor representations (whether .Collateral Manager, the Trustee, the Agents, the written or oral) of the Issuers, the Initial Purchaser, the Collateral Manager, the Trustee, the Agents, the or the Issuer Administrator or the Share Trustee Cashflow Swap Counterparty (or any guarantor thereof), the Issuer Administrator or the Share Trustee Counterparty 9 9 -- Sachs Confidential Treatment.Requested by Goldman Sachs Treatment Requested GS MBS-E-021825379 GS MBS-E-021825379 Footnote Exhibits - Page 5469 other than in this offering circular for such Securities and any representations expressly set forth in a a other than in this written agreement with such party; (iii) none of the Issuers, the Initial Purchaser, the C9."ateral Manager, Collateral the Trustee, the Agents, the Cashflow Swap Counterparty (or any guarantor thereof), the Issuer Cashflow Administrator or the Share Trustee has given to the purchaser (directly or indirectly through any other person) any assurance, guarantee or representation whatsoever as to the expected or projected success, profitability, return, performance, results, effect, consequence or benefit (including legal, regulatory, tax, effect, financial, accounting or otherwise) as to an investment in the Securities; (iv) the purchaser has consulted in with its own legal, regulatory, tax, business, investment, financial and accounting advisors to the extent it it has deemed necessary, and it has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture and Fiscal Agency Agreement) based upon its own Agreement) judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by Issuers, the Initial Purchaser, the Collateral? Manager, the Trustee, the Agents, the Cashflow Cashflow Collateral Swap Counterparty (or any guarantor thereof), the Issuer Administrator or the Share Trustee; (v) the Administrator purchaser. has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Securities with a full understanding of all of the risks thereof (economic and otherwise), and is is capable of assuming and willing to assume (financially and otherwise) those risks; and (vi) the purchaser (vi) is a sophisticated investor. 7. 7. Pursuant to the terms of the Indenture, unless otherwise determined by the Issuers in determined in accordance with the Indenture, the Class S Notes, the Class A Notes, the Class B Notes, the Class .C A ClassC B in Notes and the Class D Notes sold to non-U.S. Persons in offshore transactions (the "Regulation S Class D Notes') D Notes'') will bear a legend to the following effect: THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED NOTE NOT BEEN NOT REGISTERED UNDER UNITED AMENDED (THE "SECURITIES ACT"), STATES SECURITIES STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT'), AND ISSUERS BEEN REGISTERED UNDER THE ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES UNITED STATES INVESTMENT COMPANY INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT AMENDED "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN PURCHASING COMPANY ACT'). NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT NOTE RESPECT WHICH BEEN ISSUED, BENEFIT OF THE ISSUERS, IN THE CASE OF THE NOTES OTHER THAN THE CLASS D ISSUERS, IN NOTES D NOTES, NOTES, AND THE ISSUER, IN THE CASE OF THE CLASS D NOTES, THAT THE ISSUER, CASE NOTES, NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, NOTES MAY BE OFFERED, PLEDGED OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A PERSON (A)(1) SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE DEFINED IN RULE 144A UNDER QUALIFIED INSTITUTIONAL SECURITIES A BROKER DEALER INVESTS SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS THAT IS OWNS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF A DISCRETIONARY INSECURITIES OF U.S.$25 ISSUERS ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER PERSONS PURCHASER IS A IN (a)(1)(i)(D) AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF REFERRED (a)(1)(i)(E) 144A A FUND REFERRED RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE IN PARAGRAPH (a)(1)(i)(F) 144A 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS HOLDS ASSETS SUCH A INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, WITH MADE BENEFICIARIES PURCHASING ACCOUNT ACCOUNT QUALIFIED PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL IN TRANSACTION MEETING INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS OF REQUIREMENTS OF 144A UNDER SECURITIES RULE 144A UNDER THE SECURITIES ACT OR (2) TO A NON U.S. PERSON IN AN A IN OFFSHORE TRANSACTION OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF OF REGULATION S UNDER IN CLAUSE (1), REGULATION S UNDER THE SECURITIES ACT AND, IN THE CASE OF CLAUSE (1), SECURITIES CASE IN PRINCIPAL AMOUNT IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$250,OOO OR IN THE CASE OF U.S.$250,000 CLAUSE (2), IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$100,OOO, FOR THE IN PRINCIPAL AMOUNT U.S.$100,000, PURCHASER EACH ACCOUNT WHICH PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING, TO A IS A PURCHASER THAT, OTHER THAN IN THE CASE OF CLAUSE (2), (V) IS A OTHER PURCHASER IN THE IS A QUALIFIED PURCHASER SECTION 3(c)(7) QUALIFIED PURCHASER FOR PURPOSES OF SECTION 3(c){7) OF THE PURPOSES THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTMENT COMPANY FORMED PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE INVESTING IN ISSUER (EXCEPT WHEN EACH BENEFICIAL PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE? NECESSARY PURCHASER IS QUALIFIED PURCHASER), (X) RECEIVED THE-NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A BENEFICIAL OWNERS THE PURCHASER IS A CONSENT FROM A PRIVATE INVESTMENT COMPANY FORMED BEFORE PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30,1996, (Y) IS NOT A 30, 1996, IS 10 10 Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S380 MBS-E-021825380 Footnote Exhibits - Page 5470 BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. EACH APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. EACH HOLDER HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND HOLDER HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE (AS DEFINED HEREIN). ANY AGREEMENTS SET FORTH IN THE INDENTURE (AS DEFINED HEREIN). ANY TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND? TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND. EFFECT, WILL BE NULL AND VOID AB INITIO AND WILL NOT OPERATE TO EFFECT, WILL BE NULL AND VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUERS, THE NOTE TRANSFER INSTRUCTIONS TO THE CONTRARY TO THE ISSUERS, THE NOTE TRANSFER AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF OF SUCH OWNER. OF SUCH OWNER. THE PURCHASER OR TRANSFEREE OF CLASS 0 NOTE IS DEEMED THE PURCHASER OR TRANSFEREE OF A CLASS D NOTE IS DEEMED REPRESENT THAT NOT (A) "EMPLOYEE BENEFIT PLAN" (AS DEFINED REPRESENT (i) THAT IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) ERISA) THAT SUB"JECT TO THE PROVISIONS OF TITLE OF IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE PROVISIONS OF TITLE II OF ERISA, (B) SUBJECT SECTION 4975 OF THE DESCRIBED IN ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE CODE, OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE ENTITY WHOSE ASSETS INCLUDE ASSETS" WITHIN THE CODE, OR (C) . MEANING OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE SUCH INVESTMENT IN THE REASON . MEANING OF ERISA ENTITIES DESCRIBED IN CLAUSES (A) ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) ENTITY (ALL SUCH PERSONS "BENEFIT PLAN INVESTORS"); HEREIN THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); THROUGH (C) BEING REFERRED AND (ii) COLLATERAL MANAGER OR ANY OTHER PERSON IS AND (ii) THAT IT IS NOT THE COLLATERAL MANAGER OR ANY OTHER PERSON DISCRETIONARY INVESTOR) (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY BENEFIT (OTHER THAN THE ISSUER OR A. THE AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A RESPECT AUTHORITY FEE (DIRECT OR FOR PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INVESTMENT PERSON WHO ISSUER, OR ANY "AFFILIATE" INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" THE ASSETS INDIRECT) WITH RESPECT SECTION 2510.3-101(f)(3)) OF ANY SUCH (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3>> OF ANY SUCH (WITHIN THE MEANING OF CLASS D NOTES WILL BE PERSON. NO PURCHASE OR TRANSFER OF CLASS 0 NOTES WILL BE PERSON. NO PURCHASE OR PERMITTED OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR PERMITTED TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR MORE OF THE OUTSTANDING CLASS 0 NOTES (OTHER THAN THE CLASS 0 MORE OF THE OUTSTANDING CLASS D NOTES (OTHER THAN THE CLASS D NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE INDENTURE). SECTION 2510.3-101 AND THE INDENTURE). ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY C'DTC"), NEW YORK, NEW YORK, TO THE ISSUERS OR THEIR TRUST COMPANY ('DTC"), NEW YORK, NEW YORK, TO THE ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO.?OR OF SUCH OTHER NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO.-OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). . ANY PAYMENT HEREON IS MADE TO CEDE & CO.). 11 11 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825381 GS MBS-E-021825381 Footnote Exhibits - Page 5471 TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. SET FORTH IN THE INDENTURE. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. NOTE PAYING AGENT. [CLASS NOTES AND CLASS D NOTES ONLy] THE FOLLOWING INFORMATION [CLASS C NOTES AND CLASS D NOTES ONLY] THE FOLLOWING INFORMATION IS PROVIDED PURSUANT TO UNITED STATES TREASURY REGULATION SECTION PROVIDED PURSUANT TO UNITED STATES TREASURY REGULATION SECTION 1.1275-3(b).THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT FOR 1.1275-3(b). THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. THE HOLDER OF THIS NOTE UNITED STATES FEDERAL INCOME TAX PURPOSES. THE HOLDER OF THIS NOTE MAY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY MAY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY REGULATION SECTION 1. 1275-3(b)(1)(Q FROM THE ADMINISTRATOR, AT THE REGULATION SECTION 1. 1275-3(b)(1)(i) FROM THE ADMINISTRATOR, AT THE FOLLOWING ADDRESS: BOX 1093 GT, GRAND CAYMAN, CAYMAN ISLANDS. FOLLOWING ADDRESS: P.O. BOX 1093 GT, GRAND CAYMAN, CAYMAN ISLANDS. 8. terms of unless determined Issuer 8. Pursuant to the terms of the Indenture, unless otherwise determined by the Issuer in accordance the (other the Notes) accordance with the Indenture, the Class D Notes (other than the Regulation S Class D Notes) will bear a legend following effect: legend to the following effect: THIS NOTE HAS NOT BEEN NOT BE REGISTERED UNDER THE UNITED THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES OF 1933, AMENDED "SECURITIES ACT1, AND STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT), AND ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES THE ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY AMENDED (THE "INVESTMENT INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN COMPANY ACT'). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN BENEFIT RESPECT WHICH NOTE BEEN ISSUED, RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF NOTES MAY BE OFFERED, PLEDGED OR ISSUER OF THE ISSUER THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, PERSON WHOM SELLER (A)(1) OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER DEFINED IN REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER BROKER DEALER RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER SECURITIES IS 144A UNDER THAN U.S.$25 WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U:S.$25 DISCRETIONARY OWNS AND INVESTS WHICH PERSONS OF ISSUERS MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF IN SECURITIES IN PARAGRAPH REFERRED IS THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH PURCHASER A (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN FUND REFERRED TO IN (a)(1)(i)(D) SUCH A 144A PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PARAGRAPH PLAN ARE MADE BY PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY IF INVESTMENT DECISIONS ACCOUNT OR THE BENEFICIARIES OF THE PLAN, PURCHASING FOR ITS OWN ACCOUNT OR THE PLAN, PURCHASING FOR ITS BENEFICIARIES A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION THE ACCOUNT UNDER THE SECURITIES ACT OR MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT OR REQUIREMENTS OF MEETING TRANSACTION COMPLYING WITH (2) TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH U.S. PERSON IN AN A SECURITIES ACT AND, IN RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND, IN REGULATION S UNDER 904 OR RULE (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN THE CASE OF CLAUSE (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN OF NOT (2), IN A PRINCIPAL AMOUNT U.S.$250,OOO OR IN THE CASE OF CLAUSE (2), IN A PRINCIPAL AMOUNT OF NOT CASE OF U.S.$250,000 OR IN PURCHASER AND FOR EACH ACCOUNT FOR LESS THAN U.S.$100,OOO, FOR THE PURCHASER AND FOR EACH ACCOUNT FOR U.S.$100,000, FOR LESS IN THE CASE OF WHICH IT IS ACTING, TO A PURCHASER THAT, OTHER THAN IN THE CASE OF IS ACTING, TO A WHICH SECTION 3(c)(7) CLAUSE (2), (V) IS A QUALIFIED PURCHASER FOR PURPOSES OF SECTION 3(c)(7) A QUALIFIED PURCHASER FOR PURPOSES CLAUSE (2), (V) IS OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE EACH BENEFICIAL OWNER OF OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF OF INVESTING IN THE ISSUER (EXCEPT THE PURCHASER IS A QUALIFIED PURCHASER)~ (X)- -HAS RECEIVED THE THE PURCHASER IS A QUALIFIED PURCHASER), (X)- HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER 12 12 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825382 GS MBS-E-021825382 Footnote Exhibits - Page 5472 IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30,1996, M IS IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS NOT A BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,OOO,OOO IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING ?OR OTHER RETIREMENT TRUST FUND OR IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR .PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACnON THAT MAY BE EFFECTED WITHOUT LOSS OF ANY AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH AU APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITIED OR REGISTERED BY THE NOTE TRANSFER AGENT. EACH NOT BE PERMITTED OR REGISTERED BY THE NOTE TRANSFER AGENT. EACH. TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER' TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. TRANSFEREE. IF THE TRANSFER OF CLASS 0 NOTES IS TO BE MADE PURSUANT TO CLAUSE IF THE TRANSFER OF CLASS D NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE CLASS 0 (A)(1) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE CLASS D NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE NOTE TRANSFER AGENT A CLASS 0 NOTES PURCHASE AND TRANSFER NOTE TRANSFER AGENT A CLASS D NOTES PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY THE FORM ATIACHED to THE INDENTURE, LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE INDENTURE, (1) A QUALIFIED STATING THAT AMONG OTHER THINGS, THE TRANSFEREE STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (1) A QUALIFIED INSTITUTIONAL BUYER AS DEFINED RULE 144A UNDER THE SECURITIES ACT INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT P\.JRCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER AND (2) QUALIFIED PURCHASER FOR THE PURPOSES INSTITUTIONAL BUYER AND (2) A QUALIFIED PURCHASER FOR THE PURPOSES OF THE INVESTMENT COMPANY ACT. INVESTMENT COMPANY ACT. OF THE PURCHASER TRANSFEREE THIS NOTE MUST DISCLOSE IN WRITING THE PURCHASER OR TRANSFEREE OF THIS NOTE MUST DISCLOSE IN WRITING (A) AN "EMPLOYEE IN ADVANCE NOT IT TRUSTEE O} WHETHER IN ADVANCE TO THE TRUSTEE (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE UNITED STATES BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES DEFINED IN SECTION 3(3) BENEFIT AS AMENDED EMPLOYEE RETIREMENT INCOME SECURITY ACT EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"}), IS SUBJECT PROVISIONS I OF ERISA, (B) A ("ERISA")), THAT IS SUBJECT TO THE PROVISIONS OF TITLE I OF ERISA, (B) A OF THE UNITED STATES SECTION "PLAN" DESCRIBED IN SUBJECT "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES "CODE"), OR (C) AN INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR (C) AN AMENDED INTERNAL REVENUE THE MEANING OF ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF INCLUDE ENTITY INVESTMENT IN THE ENTITY (ALL ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL ERISA BY REASON SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING SUCH PERSONS (ii) IF THE PURCHASER REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); (ii) IF THE PURCHASER PLAN HEREIN AS REFERRED PURCHASE AND THAT OR TRANSFEREE IS A BENEFIT PLAN INVESTOR, THAT THE PURCHASE AND OR TRANSFEREE IS BENEFIT D NOTES DO NOT AND WILL OF HOLDING OR TRANSFER AND HOLDING OF CLASS D NOTES DO NOT AND WILL HOLDING OR NOT CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION IN A PROHIBITED TRANSACTION UNDER SECTION NOT CONSTITUTE OR AN EXEMPTION IS FOR 406 OF ERISA OR SECTION 4975 OF THE CODE FOR WHICH AN EXEMPTION IS 406 OF ERISA OR SECTION 4975 OF MANAGER NOT AVAILABLE; AND (iii) WHETHER OR NOT IT IS THE COLLATERAL MANAGER (iii) WHETHER OR NOT IT IS THE AVAILABLE; NOT OR ANY OTHER PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS OR ANY OTHER PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECn WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3}) OF "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) OF ANY SUCH PERSON. IF A PURCHASER IS AN ENnTY AS DESCRIBED IN (i)(C) ANY SUCH PERSON. IF A PURCHASER IS AN ENTITY AS DESCRIBED IN (i)(C) ABOVE, OR AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ABOVE, OR AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT, IT WILL BE PERMITIED TO SO INDICATE, AND REQUIRED TO ACCOUNT, IT WILL BE PERMITTED TO SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM PERCENTAGE OF ITS ASSETS OR THE ASSETS IN ITS? IDENTIFY A MAXIMUM PERCENTAGE OF ITS ASSETS OR THE ASSETS IN ITS GENERAL ACCOUNT, AS APPLICABLE, THAT MAY BE OR BECOME PLAN ASSETS, GENERAL ACCOUNT, AS APPLICABLE, THAT MAY BE OR BECOME PLAN ASSETS, IN WHICH CASE IT WILL BE REQUIRED TO MAKE CERTAIN FI,JRTHER IN WHICH CASE IT WILL BE REQUIRED TO MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY- IN: THE EVENT THAT SUCH MAXIMUM AGREEMENTS THAT WOULD APPLY- IN: THE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER BE EXCEEDED. THE PURCHASER AGREES PERCENTAGE WOULD THEREAFTER BE EXCEEDED. THE PURCHASER AGREES THAT, BEFORE ANY INTEREST IN A CLASS 0 NOTE MAY BE OFFERED, SOLD, THAT, BEFORE ANY INTEREST IN A CLASS D NOTE MAY BE OFFERED, SOLD, 13 13 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825383 GS MBS-E-021825383 Footnote Exhibits - Page 5473 PLEDGED OR OTHERWISE TRANSFERRED, THE TRANSFEREE WILL BE PLEDGED OR OTHERWISE TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE NOTE TRANSFER AGENT WITH A CLASS 0 NOTES REQUIRED TO PROVIDE THE NOTE TRANSFER AGENT WITH A CLASS D NOTES PURCHASE AND TRANSFER LETTER (SUBSTANTIALLY IN THE FORM ATIACHED PURCHASE AND TRANSFER LETTER (SUBSTANTIALLY IN THE FORM ATTACHED TO THE INDENTURE) STATING, AMONG OTHER THINGS, WHETHER THE TO THE INDENTURE) STATING, AMONG OTHER THINGS, WHETHER THE TRANSFEREE IS A BENEFIT PLAN INVESTOR. NO PURCHASE OR TRANSFER OF TRANSFEREE IS A BENEFIT PLAN INVESTOR. NO PURCHASE OR TRANSFER OF CLASS 0 NOTES WILL BE PERMITIED OR REGISTERED TO THE EXTENT THAT CLASS D NOTES WILL BE PERMITTED OR REGISTERED TQ THE EXTENT THAT THE PURCHASE OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS THE PURCHASE OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR MORE OF THE OUTSTANDING CLASS D NOTES (OTHER THAN OWNING 25% OR MORE OF THE OUTSTANDING CLASS D NOTES (OTHER THAN THE CLASS 0 NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE THE CLASS D NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE INDENTURE). SECTION 2510.3-101 AND THE INDENTURE). TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. PRINCIPAL OF THIS NOTE IS PAYABLE ASSET FORTH HEREIN. ACCORDINGLY, PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE ANY TIME MAY BE LESS THAN THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN .THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. NOTE PAYING AGENT. THE FOLLOWING INFORMATION IS PROVIDED PURSUANT UNITED STATES THE FOLLOWING INFORMATION IS PROVIDED PURSUANT TO UNITED STATES TREASURY REGULATION SECTION 1.1275-3(b). THIS NOTE HAS BEEN ISSUED TREASURY REGULATION SECTION 1.1275-3(b). THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT FOR UNITED STATES FEDERAL INCOME TAX WITH ORIGINAL ISSUE DISCOUNT FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. HOLDER THIS NOTE MAY THE INFORMATION PURPOSES. THE HOLDER OF THIS NOTE MAY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY REGULATION SECTION 1. 1275DESCRIBED IN UNITED STATES TREASURY REGULATION SECTION 1. 1275THE FOLLOWING ADDRESS: BOX 3(b)(1}(i) FROM ADMINISTRATOR, 3(b)(1)(i) FROM THE ADMINISTRATOR, AT THE FOLLOWING ADDRESS: P.O. BOX 1093 GT, GRAND CAYMAN, CAYMAN ISLANDS. GT! GRAND CAYMAN, CAYMAN intent of it is it 9. The purchaser acknowledges that it is its intent and that it understands it is the intent of the Issuer that, for purposes of U.S. federal income, state and local income and franchise tax and any treated as other income taxes, the Issuer will be treated as a non-U.S. corporation; the Notes will be treated as treated.as Income indebtedness of the Issuer; and the Income Notes will be treated. as equity in the Issuer. The purchaser agrees to such treatment and agrees to take no action inconsistent with such treatment. 10. If the purchaser or beneficial owner is a Non-U.S. Holder, such purchaser or beneficial or beneficial purchaser If an extension of or not, owner represents that (x) either (i) its purchase of the Note is not, directly or indirectly, an extension of (i) owner course of its trade or credit made by a bank pursuant to a loan agreement entered into in the ordinary course of its trade or agreement a credit treaty with the United States business, (ii) it is a person that is eligible for benefits under an income tax treaty with the United States eligible person business, (ii) States source interest not attributable to a of that eliminates United States federal income taxation of United States source interest not attributable to a federal United that connected with Note all income or permanent establishment in the United States or (iii) all income from the Note is effectively connected with in the Code) 882(a)(1) are used in a trade or business within the United States (as such terms are used in Section 882(a)(1) of the Code) such States business United to in conducted by such Holder and (y) it is not purchasing the Note in order to reduce its United States federal (y) it is not purchasing the conducted by such Holder income tax liability or pursuant to a tax avoidance plan. pursuant to a tax tax of a 11. The purchaser agrees not to treat the Issuer as being engaged in the active conduct of a 11. The purchaser agrees not to treat the Issuer as being engaged in the active 954(h)(2) the Code. banking, finanCing, insurance, or other similar business for purposes of Section 954(h)(2) of the Code. other similar business for purposes of banking, financing, insurance, 12. The purchaser agrees to timely furnish the Issuer or its agents any U.S. federal income 12. The purchaser agrees to timely furnish the Issuer or its agents any U.S. federal income tax form or certification (such as IRS Form W-8BEN (Certification of Foreign Status), Form W-8IMY tax form or certification (such as IRS Form W-8BEN (Certification of Foreign Status), Form W-81MY (Certification of Foreign Intermediary Status), Form W-9 (Request for Taxpayer Identification Number and (Certification of Foreign Intermediary Status), Form W-9 (Request for Taxpayer Identification Number and Certification) or Form W-BECI (Certification of Foreign Person's Claim for Exemption from Withholding on Certification) or Form W-8ECI (Certification of Foreign Person's Claim for Exemption from Withholding on Income Effectively Connected with Conduct o1"a tJ.S. Trade or Business) or any successors to such IRS Income Effectively Connected with Conduct of a U.S. Trade or Business) or any successors to such IRS forms) that the Issuer or its agents may reasonably request and to update or replace such form or forms) that the Issuer or its agents may reasonably request and to update or replace such form or certification in accordance with its terms or its subsequent amendments. certification in accordance with its terms or its subsequent amendments. 14 14 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825384 GS MBS-E-02182S384 Footnote Exhibits - Page 5474 13. The purchaser agrees to timely furnish the Issuer, upon request, with such information as 13. The purchaser agrees to timely furnish the Issuer, upon request, with such information as may reasonably be requested by the Issuer (including but not limited to information relating to the reasonably be requested by the Issuer (including but not limited to information relating to the may beneficial owner of the Note) in connection with the Issuer's fulfillment of its tax reporting, notification, beneficial owner of the Note) in connection with the Issuer's fulfillment of its tax reporting, notification, withholding and similar obligations arising under the Code (as amended from time to time) or the withholding and similar obligations arising under the Code (as amended from time to time) or the Transaction Documents. Transaction Documents. 14. The purchaser understands that the Issuers, the Trustee, the Initial Purchaser and the 14. The purchaser understands that the Issuers, the Trustee, the Initial Purchaser and the Collateral Manager and their counsel will rely upon the accuracy and truth of the foregoing Manager and their counsel will rely upon the accuracy and truth of the foregoing Collateral representations, and the purchaser hereby consents to such reliance. representations, and the purchaser hereby consents to such reliance. 15. Pursuant to the terms of the Fiscal Agency Agreement, unless otherwise determined by 15. Pursuant to the terms of the Fiscal Agency Agreement, unless otherwise determined by the Issuer in accordance with the Fiscal Agency Agreement, the Income Notes (other than the Regulation the Issuer in accordance with the Fiscal Agency Agreement, the Income Notes (other than the Regulation S Income Notes) will bear a legend to the following effect: S Income Notes) will bear a legend to the following effect: THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE "FISCAL AGENCY AGREEMENT,) BY AND AMONG THE ISSUER AND THE BANK OF "FISCAL AGENCY AGREEMENT") BY AND AMONG THE ISSUER AND THE BANK OF . NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND TRANSFER AGENT. NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND TRANSFER AGENT. COPIES OF THE DEED OF COVENANT, THE TERMS AND CONDITIONS OF THE COPIES OF THE DEED ?OF COVENANT, THE TERMS AND CONDITIONS OF THE INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. FROM THE FISCAL AGENT. THE INCOME NOTES HAVE NOT BEEN AND WILL NOT REGISTERED UNDER THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT 1933, AMENDED "SECURITIES THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES UNITED ACT'), THE ISSUER HAS NOT BEEN REGISTERED UNDER ACT'), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT INVESTMENT COMPANY ACT OF AMENDED "INVESTMENT STATES PURCHASING THE INCOME NOTES COMPANY ACT'). THE HOLDER HEREOF, BY PURCHASING THE INCOME NOTES HEREOF, COMPANY ACTl THE ISSUER THAT BENEFIT REPRESENTED HEREBY, AGREES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT PLEDGED SUCH INCOME NOTES BE OFFERED, OTHERWISE SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE REASONABLY TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY (A)(1) TRANSFERRED, BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A DEFINED IN RULE 144A BELIEVES IS QUALIFIED INSTITUTIONAL BUYER UNDER ACCOUNT OR IS PURCHASING SECURITIES -UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR IN A TRANSACTION INSTITUTIONAL FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION ACCOUNT UNDER SECURITIES MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) REQUIREMENTS MEETING DEFINED IN RULE 501(a) UNDER THE TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501 (a) UNDER THE ACCREDITED INVESTOR TO U.S.$10 MILLION) OF NOT LESS SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION) NET WHO SECURITIES SECURITIES REGISTRATION UNDER IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES IN A TRANSACTION EXEMPT TRANSACTION ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION PERSON IN TO A ACT, OF REGULATION S UNDER THE COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE COMPLYING WITH RULE 903 OR RULE IN A MINIMUM DENOMINATION OF SECURITIES ACT, AND IN EACH CASE IN A MINIMUM DENOMINATION OF IN EACH SECURITIES ACT, AND U.S.$100,OOO. FURTHERMORE THE PURCHASER AND E:ACH ACCOUNT FOR U.S.$100,000. FURTHERMORE THE PURCHASER AND EACH ACCOUNT FOR CASE OF CLAUSE WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE A PURCHASER, OTHER THAN IN WHICH IT IS ACTING BENEFIT OF THE ISSUER THAT IT (V) IS A (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT M IS A REPRESENTS FOR (A)(3) QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30,1996, (Y) IS NOT A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARINGOROTMERRETIREMENT TRUST FUND OR PLAN IN A PENSION, PROFIT SHARING OR OTHER=RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A 15 15 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825385 GS MBS-E-021825385 Footnote Exhibits - Page 5475 TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY. APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OR (A}(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE (A)(1) OR (A)(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER INCOME NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE FISCAL AGENT. AN INCOME NOTES PURCHASE AND TRANSFER AND THE FISCAL AGENT. AN INCOME NOTES PURCHASE AND TRANSFER THE FORM ATTACHED TO THE FISCAL AGENCY LETTER, SUBSTANTIALLY LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (X) A AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (X) A QUALIFIED INSTITUTIONAL? BUYER AS DEFINED IN RULE 144A UNDER THE QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS OF A QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS . RULE 501 (a) UNDER THE SECURITIES ACn WHO HAS NET WORTH DEFINED DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION AND (Z) A QUALIFIED PURCHASER FOR THE OF NOT LESS THAN U.S.$10 MILLION AND (Z) A QUALIFIED PURCHASER FOR THE PURPOSES OF THE INVESTMENT COMPANY PURPOSES OF THE INVESTMENT COMPANY ACT. . TRANSFEREE MUST DISCLOSE IN WRITING ADVANCE THE PURCHASER THE PURCHASER OR TRANSFEREE MUST DISCLOSE IN WRITING IN ADVANCE NOT AN "EMPLOYEE BENEFIT TO THE FISCAL AGENT (i) WHETHER TO THE FISCAL AGENT (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT OF THE UNITED STATES EMPLOYEE PLAN" (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE DEFINED IN SECTION RETIREMENT INCOME SECURITY OF AMENDED C'ERISA">>, THAT IS RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA")), THAT IS SUBJECT OF TITLE (B) DESCRIBED SUBJECT TO THE PROVISIONS OF TITLE I OF ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 UNITED STATES INTERNAL REVENUE AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE (C) CODE AMENDED ENTITY WHOSE ASSETS "CODE"), CODE OF 1986, AS AMENDED (THE "CODE'), OR (C) AN ENTITY WHOSE ASSETS ANY MEANING INCLUDE WITHIN ERISA BY REASON INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY ENTITIES ENTITY (ALL SUCH PERSONS SUCH INVESTMENT IN SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES HEREIN (C) BEING REFERRED DESCRIBED IN CLAUSES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS TRANSFEREE IS PURCHASER "BENEFIT INVESTORS"); (ii) IF "BENEFIT PLAN INVESTORS"); (ii) IF THE PURCHASER OR TRANSFEREE IS A TRANSFER PURCHASE HOLDING BENEFIT PLAN INVESTOR,. THAT THE PURCHASE AND HOLDING OR TRANSFER INVESTOR, THAT BENEFIT IN A NOT CONSTITUTE OF INCOME NOTES DO NOT AND WILL NOT CONSTITUTE OR RESULT IN A INCOME NOTES DO SECTION ERISA PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 PROHIBITED TRANSACTION UNDER SECTION EXEMPTION IS NOT OF THE CODE FOR WHICH AN EXEMPTION IS NOT AVAILABLE; AND (iii) CODE PERSON WHETHER OR NOT IT IS THE COLLATERAL MANAGER OR ANY OTHER PERSON COLLATERAL IS DISCRETIONARY .(OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY INVESTOR) BENEFIT (OTHER ISSUER OR A ASSETS AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A RESPECT PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR "AFFILIATE" THE ISSUER, INDIRECn WITH RESPECT TO THE ASSETS OF THE ISSUeR, OR ANY "AFFILIATE" RESPECT INDIRECT) ANY SUCH C.F.R. SECTION 2510.3-101(f)(3)) (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3}} OF ANY SUCH MEANING (WITHIN OR AN DESCRIBED IN (i)(C) PERSON. IF A PURCHASER IS AN ENTITY AS DESCRIBED IN (i}(C) ABOVE, OR AN PERSON. IF PURCHASER IS IT WILL GENERAL ON BEHALF INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT, IT WILL INSURANCE COMPANY BE PERMITTED TO SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM BE PERMITTED ACCOUNT, AS ASSETS IN OR PERCENTAGE OF ITS ASSETS OR THE ASSETS IN ITS GENERAL ACCOUNT, AS PERCENTAGE ASSETS, IN WHICH CASE IT WILL APPLICABLE, THAT MAY BE OR BECOME PLAN ASSETS, IN WHICH CASE IT WILL BECOME MAY BE APPLICABLE, BE REQUIRED TO MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY MAKE CERTAIN FURTHER AGREEMENTS THAT BE REQUIRED IN THE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER BE IN THE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER BE ANY INTEREST IN AN EXCEEDED. THE PURCHASER AGREES THAT, BEFORE ANY INTEREST IN AN EXCEEDED. THE PURCHASER OTHERWISE PLEDGED INCOME NOTE MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE OFFERED, MAY INCOME TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE FISCAL TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE FISCAL LETTER AGENToWI:rHc~-AN ,?INCOME. --NOTES PURCHASE AND TRANSFER LETTER AGENT -WITH--AN -NCOME. -NOTES PURCHASE AND (SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY (SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY TRANSFEREE IS THINGS, WHETHER AGREEMENn STATING, AMONG OTHER THINGS, WHETHER THE TRANSFEREE IS AGREEMENT) STATING, AMONG 16 16 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825386 GS MBS-E-02182S386 Footnote Exhibits - Page 5476 BENEFIT INVESTOR. NO PURCHASE OR TRANSFER OF INCOME NOTES A BENEFIT PLAN INVESTOR. NO PURCHASE OR TRANSFER OF INCOME NOTES WILL BE PERMITTED REGISTERED THE EXTENT THAT THE PURCHASE OR WILL BE PERMITTED OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR TRANSFER WOULD RESULT BENEFIT PLAN INVESTORS OWNING 25% OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR MORE OF THE OUTSTANDING INCOME NOTES (OTHER THE INCOME MORE OF THE OUTSTANDING INCOME NOTES (OTHER THAN THE INCOME NOTES OWNED BY COLLATERAL MANAGER, THE TRUSTEE THEIR NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER (DETERMINED IN ACCORDANCE WITH SECTION ERISA, 29 (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). THE INCOME NOTES ARE SUBORDINATE PAYMENTS TO HOLDERS PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON PAYMENT EACH PAYMENT DATE OF PRINCIPAL OFAND INTEREST ON CERTAIN OTHER NOTES THE ISSUERS THE PAYMENT THE NOTES OF THE ISSUERS AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, TO THE EXTENT INDENTURE. DESCRIBED IN AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. BE LIMITED TO TRANSFERS MADE IN TRANSFERS THIS NOTE TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE RESTRICTIONS SET FORTH FISCAL AGENCY ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE FISCAL AGENCY AGREEMENT. AGREEMENT. determined by Pursuant to the terms of the Fiscal Agency Agreement, unless otherwise determined by terms 16. in the Issuer in accordance with the Fiscal Agency Agreement, the certificates in respect of the Regulation S Income Income Notes will bear a legend to the following effect: INCOME NOTES CONSTITUTED DEED COVENANT THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT SUBJECT EXECUTED ISSUER EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT THE TERMS CONDITIONS THEREOF CERTAIN CONDITIONS TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE MARCH FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE AGENCY AGREEMENT, DATED AGENCY AGREEMENT") BY AND AMONG THE ISSUER BANK OF "FISCAL AGENCY AGREEMENT') BY AND AMONG THE ISSUER AND THE BANK OF AGENT AND INCOME NOTE TRANSFER NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND INCOME NOTE TRANSFER NEW YORK, LONDON BRANCH, COVENANT, THE TERMS AGENT. COPIES THE DEED CONDITIONS OF AGENT. COPIES OF THE DEED OF COVENANT, THE TERMS AND CONDITIONS OF AGENCY AGREEMENT MAY OBTAINED INCOME NOTES THE INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. BE REGISTERED UNDER THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER INCOME NOTES HAVE BEEN "SECURITIES THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES UNITED STATES SECURITIES AMENDED ACr'), ISSUER NOT REGISTERED UNDER UNITED ACT"), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED "INVESTMENT STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT AMENDED STATES INVESTMENT COMPANY COMPANY ACr'). THE HOLDER HEREOF, BYPURCHASING THE INCOME NOTES BY PURCHASING THE INCOME NOTES HOLDER COMPANY ACT"). ISSUER THAT BENEFIT REPRESENTED AGREES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT OTHERWISE PLEDGED SUCH INCOME NOTES MAY OFFERED, SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY SELLER REASONABLY TRANSFERRED, 144A BELIEVES IS A QUALIFIED INSTITUTIONAL BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A DEFINED IN IS PURCHASING ACCOUNT OR UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR SECURITIES UNDER A TRANSACTION QUALIFIED INSTITUTIONAL FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION ACCOUNT FOR SECURITIES UNDER MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) REQUIREMENTS MEETING UNDER DEFINED IN TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) UNDER THE ACCREDITED SECURITIES SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION) SECURITIES REGISTRATION UNDER IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES TRANSACTION EXEMPT IN TRANSACTION IN NON-U.S. (3) ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION UNDER REGULATION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE MINIMUM DENOMINATION OF IN SECURITIES ACT, AND IN EACH CASE IN A MINIMUM DENOMINATION OF IN EACH SECURITIES PURCHASER U.S.$100,OOO. FURTHERMORE THE PURCHASER AND EACH ACCOUNT FOR ACCOUNT FOR U.S.$100,000. FURTHERMORE IN WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE PURCHASER, IS IS A ISSUER BENEFIT REPRESENTS (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE PURPOSES OF SECTION QUALIFIED PURCHASER INVESTMENT" COMPANY-AOT;(W) WAS NOT FORMED FOR THE PURPOSE OF PURPOSE FORMED FOR INVESTMENT COMPANY ACT, (W) BENEFICIAL ISSUER (EXCEPT WHEN INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE INVESTING IN NECESSARY RECEIVED PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY PURCHASER IS QUALIFIED PURCHASER), 17 .-. "'-"'-: ."....o::~-.:.,. "",.""... Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825387 GS MBS-E-021825387 Footnote Exhibits - Page 5477 CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30,1996, (Y) IS NOT A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT oWNs AND INVESTS ON A DISCRETIONARY BASIS LESS BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND(Z) IS NOT THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. THE TRANSFEREE OF THIS SECURITY? WILL BE DEEMED TO HAVE THE TRANSFEREE OF THIS SECURITY - WILL BE DEEMED TO HAVE REPRESENTED THAT THE TRANSFEREE IS NOT A U.S. PERSON. REPRESENTED THAT THE TRANSFEREE IS NOT A U.S. PERSON. THE PURCHASER OR TRANSFEREE OF THIS INCOME NOTE IS DEEMED TO THE PURCHASER OR TRANSFEREE OF THIS INCOME NOTE IS DEEMED TO REPRESENT (i) THAT IT IS NOT AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED REPRESENT (I) THAT IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED SECTiON 3(3) OF ERISA) THAT IS SUBJECT TO THE PROVISIONS OF TITLE OF IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE PROVISIONS OF TITLE II OF ERISA, (B) A DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE CODE, (C) ENTITY WHOSE ASSETS INCLUDE ASSETS" WITHIN THE CODE, OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY SUCH INVESTMENT IN THE MEANING OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE ENTITY SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) INVESTORS"); THROUGH (C) BEING REFERRED HEREIN AS "BENEFIT THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); AND (ii) THAT IS NOT THE COLLATERAL MANAGER OR ANY OTHER PERSON AND (ii) THAT IT IS NOT THE COLLATERAL MANAGER OR ANY OTHER PERSON (OTHER BENEFIT INVESTOR) WHO HAS DISCRETIONARY (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY WITH RESPECT ASSETS OF THE ISSUER OR A AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A AUTHORITY PERSON FEE (DIRECT OR PROVIDES INVESTMENT ADVICE PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR ISSUER, "AFFILIATE" INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" WITH RESPECT ASSETS INDIRECT) SECTION 2510.3-101(f)(3>> OF ANY SUCH (WITHIN MEANING (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) OF ANY SUCH INCOME NOTES WILL BE NO PURCHASE OR TRANSFER OF INCOME NOTES WILL BE .PERSON. TRANSFER PURCHASE PERSON. THE PURCHASE OR PERMITTED OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR REGISTERED PERMITTED INVESTORS OWNING 25% OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR TRANSFER WOULD RESULT IN (OTHER THAN THE INCOME MORE OF THE OUTSTANDING INCOME NOTES (OTHER THAN THE INCOME OUTSTANDING INCOME NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR NOTES OWNED OR TRANSFER PURCHASE OR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE AFFILIATES) IMMEDIATELY SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE AGREEMENT). SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). FISCAL ANY TRANSFER, PLEDGE OR OTHER USE OF THIS INCOME NOTE FOR VALUE OR ANY TRANSFER, PLEDGE OR OTHER USE OF THIS INCOME NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS INCOME OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS INCOME NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY rDTC"), NEW YORK, NEW YORK, TO THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE ISSUERS OR 'THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY INCOME NOTE ISSUED IS REGISTERED IN THE NAME OF PAYMENT AND ANY INCOME NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED CEDE & CO. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). CO.). TRANSFERS OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS IN TRANSFERS OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS IN . ~"WHOLE, Bur NOT 'IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR; '... -.', .~r -WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS ," , ._- .o.,.. =" 18 18 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825388 GS MBS-E-02182S388 Footnote Exhibits - Page 5478 OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS MADE IN OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE FISCAL AGENCY ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE FISCAL AGENCY AGREEMENT. AGREEMENT. PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON THE NOTES OF THE ISSUERS AND THE PAYMENT OF CERTAIN OTHER THE NOTES OF THE ISSUERS AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, TO THE EXTENTAND AS DESCRIBED IN THE INDENTURE. AMOUNTS, TO THE EXTENT AND AS DESCRIBED INTHE INDENTURE. The Securities that are being offered hereby In reliance on the exemption from registration The Securities that are being offered hereby In reliance on the exemption from registration under Regulation S (the "Regulation S Notes"; the "Regulation S Income Notes"; and collectively, under Regulation S (the "Regulation S Notes"; the "Regulation S Income Notes"; and collectively, the "Regulation S Securities") have not been and will not be registered under the Securities Act the "Regulation S Securities") have not been and will not be registered under the Securities Act and neither of the Issuers will be registered under the Investment Company Act. The Regulation S and neither of the Issuers will be registered under the Investment Company Act. The Regulation S Securities may not be offered or sold within the United States or to U.S. Persons (as defined in Securities may not be offered or sold within the United States or to U.S. Persons (as defined in Regulatio'n S) unless the purchaser certifies or is deemed to have certified that it is a qualified Regulation S) unless the purchaser certifies or is deemed to have certified that It is a qualified institutional buyer as defined in Rule 144A (a "Qualified Institutional Buyer") and a "qualified Institutional buyer as defined in Rule 144A (a "Qualified Institutional Buyer") and a "qualified purchaser;' for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified purchaser" for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser") or, solely in the case of the Income Notes, that it is an "accredited investor" as Purchaser") or, solely in the case of the Income Notes, that It Is an "accredited investor" as defined In Rule 501 (a) under the SecurItIes Act (an "Accredited Investor") who has a net worth of defined In Rule 501(a) under the Securities Act (an "Accredited Investor") who has a net worth of not less than U.S.$10 million and Qualified Purchaser, and in the form of (I) an not less than U.S.$10 million and a Qualified Purchaser, and takes delivery in the form of (1)an interest in.a Rule 144A Note or definitive Class Note in an amount at least equal to the Interest in a Rule 144A Global Note or a definitive Class D Note in an amount at least equal to the minimum denomination to the 144A Notes or (II) an Income Note in a notional minimum denomination applicable to the Rule 144A Notes or (II) an Income Note in a notional than U.S.$100,OOO. See "Description of Securities" and principal amount of not principal amount of not less than U.S.$100,000. See "Description of the Securities" and "Underwriting. "Underwriting."" The requirements forth "Notice Investors" above apply only Securities offered in The requirements set forth under "Notice to Investors" above apply only to Securities offered in (10), (11), (12), the United States, except for the requirements set forth in Paragraphs (4), (5), (6), (9), (10), (11), (12), United States, except requirements Paragraphs (5), the and (14) and except Regulation bear legends in Paragraphs (13) and (14) and except that the Regulation S Securities will bear the legends set forth in Paragraphs (7) (13) and (16) under and (16) under "Notice to Investors" above. i' I i THE ISSUERS ACCEPT RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS THE INFORMATION CONTAINED IN THIS THE ISSUERS ACCEPT RESPONSIBILITY SECTION ENTITLED 'THE OFFERING CIRCULAR OTHER THAN INFORMATION PROVIDED IN THE SECTION ENTITLED "THE INFORMATION PROVIDED IN OFFERING CIRCULAR COLLATERAL MANAGER." THE COLLATERAL MANAGER ACCEPTS RESPONSIBILITY FOR THE COLLATERAL MANAGER." THE COLLATERAL MANAGER ACCEPTS RESPONSIBILITY THE SECTION INFORMATION PROVIDED IN ''THE COLLATERAL MANAGER" SECTION (OTHER THAN THE? INFORMATION PROVIDED IN 'THE COLLATERAL BEST OF THE INFORMATION CONTAINED UNDER THE SUBHEADING "GENERAL"). TO THE BEST OF THE CONTAINED UNDER SUBHEADING "GENERAL"). INFORMATION INFORMATION CONTAINED IN KNOWLEDGE AND THE BELIEF OF THE ISSUERS, THE INFORMATION CONTAINED IN THIS ISSUERS, BELIEF KNOWLEDGE DOES OFFERING CIRCULAR IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING FACTS IN ACCORDANCE OFFERING CIRCULAR IS LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. SUCH INFORMATION. LIKELY TO AFFECT ALL APPLICABLE LAWS EACH PURCHASER OF THE SECURITIES MUST COMPLY WITH ALL APPLICABLE LAWS SECURITIES MUST COMPLY EACH PURCHASER OF OR IT PURCHASES, AND REGULATIONS IN FORCE IN EACH JURISDICTION IN WHICH IT PURCHASES, OFFERS OR AND REGULATIONS IN FORCE IN EACH JURISDICTION IN OFFERING CIRCULAR AND SELLS SUCH SECURITIES OR POSSESSES OR DISTRIBUTES THIS OFFERING CIRCULAR AND OR DISTRIBUTES SELLS SUCH SECURITIES OR POSSESSES MUST OBTAIN ANY CONSENT, APPROVAL OR PERMISSION REQUIRED FOR THE PURCHASE, OR PERMISSION REQUIRED FOR THE PURCHASE, CONSENT, MUST OBTAIN . OFFER OR SALE BY IT OF SUCH SECURITIES UNDER THE LAWS AND REGULATIONS IN FORCE OFFER OR SALE BY IT OF SUCH SECURITIES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, IN ANY JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE ISSUERS, THE INITIAL PURCHASER, THE COLLATERAL OFFERS OR SALES, AND NONE OF THE ISSUERS, THE INITIAL PURCHASER, THE COLLATERAL MANAGER, THE CASHFLOW SWAP COUNTERPARTY (OR ITS GUARANTOR) OR THEIR AGENTS MANAGER, THE CASHFLOW SWAP COUNTERPARTY (OR ITS GUARANTOR) OR THEIR AGENTS SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR. SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR. oo ..;..'"'!"'"o.- .: .o :":-'--;"~. = -.- --:. ". 19 19 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825389 GS MBS-E-021825389 Footnote Exhibits - Page 5479 AVAILABLE INFORMAnON AVAILABLE INFORMATION To permit compliance with Rule 144A in connection with, the resale of the Securities, the Issuers To permit compliance with Rule 144A in connection with the resale of the Securities, the Issuers will be required under the Indenture and the Fiscal Agency Agreement, to furnish upon request to a will be required under the Indenture and the Fiscal Agency Agreement, to furnish upon request to a holder or beneficial owner of a Security and to a prospective investor who is a Qualified Institutional Buyer holder or beneficial owner of a Security and to a prospective investor who is a Qualified Institutional Buyer designated by such holder or beneficial owner, the information required to be delivered under Rule designated by such holder or beneficial owner, the information required to be delivered under Rule 144A(d)(4) if, at the time of the request neither the Issuer nor the Co-Issuer, as applicable, is a reporting 144A(d)(4) if, at the time of the request neither the Issuer nor the Co-Issuer, as applicable, is a reporting company under Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as company under Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as amended (the "Exchange Act'1, nor exempt from reporting pursuant to Rule 12g3-2(b) under the amended (the "Exchange Act'), nor exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. Exchange Act. To the extent.the Trustee delivers any annual or other periodic report to the Holders of the Notes, To the extent.the Trustee delivers any annual or other periodic report to the Holders of the Notes, the Trustee will include in such report a reminder that (1) each holder (other than those holders who are the Trustee will include in such report a reminder that (1)each holder (other than those holders who are not U.S. Persons and have purchased their Notes outside the United States pursuant to Regulation S) is not U.S. Persons and have purchased their Notes outside the United States pursuant to Regulation S) is required to be (i) a Qualified Institutional Buyer and (iQ a Qualified Purchaser, in each case that can make required to be (i)a Qualified Institutional Buyer and (ii) a Qualified Purchaser, in each case that can make all of the representations Indenture a holder is a U.S. Person; (2) the Notes can all of the representations in the Indenture applicable to a holder that is a U.S. Person; (2) the Notes can only be transferred (i) a transferee that is (a) a Qualified Institutional Buyer and (b) a Qualified only be transferred (i) to a transferee that is (a) a Qualified Institutional Buyer and (b) a Qualified Purchaser that can make all of the representations in the Indenture applicable to a holder who is a U.S. Purchaser that can make all of the representations in the Indenture applicable to a holder who is a U.S. Person (ii) in an complying with Rule 903 or 904 under Person or (ii) to a non-U.S. Person in an offshore transaction complying with Rule 903 or 904 under Regulation (3) have right to compel holder who does not meet the transfer Regulation S; and (3) the Issuers have the right to compel any holder who does not meet the transfer restrictions forth in its the Notes person designated by the restrictions set forth in the Indenture to transfer its interest in the Notes to a person designated by the Issuers or sell such interests on behalf of the holder. on behalf the Issuers the any reports to the Holders of the To the extent the Fiscal Agent delivers any annual or periodic reports to the Holders of the Income Notes, the Fiscal Agent will include in such report a reminder that (1) each holder (other than Fiscal in reminder that (1) each holder (other than Income those are U.S. their Income Notes outside the United those holders who are not U.S. Persons and have purchased their Income Notes outside the United is (a) Buyer or an Accredited States pursuant to Regulation S) is required to be (a) a Qualified Institutional Buyer or an Accredited (b) Qualified Purchaser that can make Investor who a U.S.$10 million Investor who has a net worth of not less than U.S.$10 million and (b) a Qualified Purchaser that can make Transfer Letter applicable to a holder who is representations in Income all of the representations in the Income Notes Purchase and Transfer Letter applicable to a holder who is transferred to a transferee that is (i)(a) a Qualified a U.S. Person; (2) the Income Notes can only be transferred to a transferee that is (i)(a) a Qualified Person; (2) Income a U.S. less than U.S.$10 million and (b)a worth Institutional Buyer or an Accredited Investor who has a net worth not less than U.S.$10 million and (b) a Institutional Buyer complying with Rule 903 or Rule in Purchaser (ii) a Qualified Purchaser or (ii) a non-U.S. Person in an offshore transaction complying with Rule 903 or Rule any holder who does not meet the 904 under Regulation S; and (3)the Issuer has the right to compel any holder who does not meet the (3) 904 under Regulation to transfer its Income Notes to a person in restrictions transfer restrictions set forth in the Fiscal Agency Agreement to transfer its Income Notes to a person behalf of the holder. designated by the Issuer or sell such Income Notes on behalf of the holder. designated 20 20 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825390 GS MBS-E-021825390 Footnote Exhibits - Page 5480 TABLE TABLE OF CONTENTS CONTENTS SUMMA RY .......................................................................................... SUMMARy ..................................................................................................................................... 24 RISK FACTORS ............................................................................................................................ 37 FACTORS ................................................. 37 Securities.................................................... 37 Securities ................................................................................................................................... 37 ............................................... 43 Assets........... Collateral Assets ......................................................................................................................... 43 Other Considerations ................................................................................................................. 55 Considerations............................................. 55 DESCRIPTION OF THE SECURITIES ......................................................................................... 60 SECUR'ITIES ................................... DESCRIPTION 61 ................................................................................................................... 61 Status and Security .............................................. Interest and Distributions ........................................................................................................... 62 62 .......................................... Determination UBOR Determination of LIBOR ............................................................................................................ 63 .................................... ....... Payments on Income Notes ...................................................................................................... 64 Income ....................... Principal ..................................................... 64 Principal ..................................................................................................................................... 64 65 Income ................................... Stated Maturity of the Income Notes ................................................:........................................ 65 Auction ....................................................................................................................................... 66 Auction.......................................................... 66 ........................................ ........ 66 Tax Redemption ....................................................................................................:................... 66 Optional Redemption by Liquidation ......................................................................................... 67 Redemption ................................... 67 Optional Redemption by Refinancing ..................................................................;..................... 67 RefinanCing 67 ...................... .............. Mandatory Redemption Mandatory Redemption ............................................................................................................. 69 ........................................... 69 .................................................. 69 Cancellation ............................................................................................................................... 69 Payments ...................................;............................................................................................... 69 69 Payme nts.................................................... Priority of Payments ................................................................................................................... 70 ........................................ ..... 70 ................................................. 75 Income Notes ............................................................................................................................ 75 Agreement... ........................... 75 The Indenture and the Fiscal Agency Agreement .................................................................. 75 Fiscal Agency Agreement. ....................................................................................' ..................... 81 Agreement............................ ....................... 81 Goveming Law of the Indenture, the Notes, the Fiscal Agency Agreement, the Cashflow Swap Agreement, the Synthetic Securities, the Deed of Covenant, Administration the Income Notes, the Collateral Management Agreement and the Collateral Administration Agreement ................................................................................................................................. 82 Agreement............... ..................................... 82 ............................................ Form Fonn of the Securities ........................................... :................................................................... 82 82 USE OF PROCEEDS .... .................................................................................................... USE OF PRO CEEDS .................................................................................................................... 88 RATINGS OF NOTES ....................... ............. 88 RATINGS OF THE NOTES ........................................................................................................... 88 ................................................ 88 Moody's Ratings ........................................................................................................................ 88 .................................................. 89 S&P Ratings ....................................: ......................................................................................... 89 SECURITY FOR THE NOTES ...................................................................................................... 90 90 SECURITY FOR THE NOTES ..................................... .................................................. 90 The Collateral Assets ..................................:..........................................: .................................. 90 ...................................... 93 The Coverage Tests....... Tests .................................................................................................................. 93 Disposition of COO Securities and Removal of Reference Obligations .................................... 94 CDO ....... ........ 94 Accounts .................................................... .................................................................................................................................... 95 95 21 21 by Goldman Confidential Treatment Requested by Goldman Sachs Confidential GS MBS-E-021825391 Footnote Exhibits - Page 5481 - Synthetic Securities ....................................................................................................:............. :96 Synthetic Securities..................................................96 The Synthetic Security Counterparty ....................................................................................... 102 The Synthetic Security Counterparty...................... ................ 102 The Default Swap Collateral .................................................................................................... 103 The Default Swap Collateral............................................103 Reports..........................................................105 Reports .................................................................................................................................... 105 Cashflow Swap Agreement ............................................ Cashflow Swap Agreement ........................ :.................................................:.......................... 106 WEIGHTED AVERAGE LIFE AND YIELD CONSIDERATIONS......................108 WEIGHTED AVERAGE LIFE AND YIELD CONSiDERATIONS ................................................. 108 THE COLLATERAL MANAGER........................................... 112 THE COLLATERAL MANAGER .................................................................................................. 112 General .......................................................... 112 General ........................................................................................:........................................... 112 Greywolf Capital Management LP........................................ 113 Greywolf Capital Management LP ........................................................................................... 113 Key Personnel.................................... .............. 113 Key Personnel .............................................................................:........................................... 113 Collateral Management Team.......................................... 113 Collateral Management Team ................................................................................................. 113 Conflicts of Interest 115 . Conflicts of Interest. ....... .................................................. ~ .....................................:................................................................... 115 THE COLLATERAL MANAGEMENT AGREEMENT............................. 117 THE COLLATERAL MANAGEMENT AGREEMENT .................................................................. 117 General................................................................... 117 General .................................................................................................................................... 117 Compensation ......................................................................................................................... 119 Compensation ............................................................... 119 THE ISSUERS ....................................................... THE ISSUERS ........... ;................................................................................................................. 120 .......... .................................................................. 120 General ..................................................................................................................................... 120 Capitalization of the Issuer............................................121 Capitalization of the Issuer ...................................................................................................... 121 Capitalization Capitalization of the Co-Issuer ................................................................................................ 121 Co-Issuer ..................................................................... Flow of Funds ..........................................................................................................................121 Flow Funds...................................................................................... 121 Business....................................................................122 Business .................................................................................................................................... 122 Directors.............................................................................................. Directors .................................................................................................................................. 122 122 INCOME TAX CONSIDERATIONS .............................................................;............................... 123 TAX CONSIDERATIONS.................................... ;............................... 123 INCOME UnitedStates Tax Considerations ........................................................................................... 123 United 'States Tax Considerations........................................123 Tax Treatment of Issuer ................................. ~ ........................................................................123 ............ 123 Tax Treatment of Issuer...................................................... Tax Treatment of U.S. Holders of Notes ............ :................ :................................................... 124 Tax Treatment of U.S. Holders of Notes....................................124 Tax Treatment of U.S. Holders of Income Notes ................................................. Tax Treatment of U.S. Holders Income Notes ....................................................................125 125 Tax Treatment of Non-U.S. Holders.:......................................................................................127 Tax Treatment of Non-U.S. Holders................................................................ 127 Information Reporting Requirements ...................................................................................... 127 ...................................... 127 Information Reporting Requirements Circular 230 .......................................................................................... Circular 230 ........................................................................................ :... ~ ................................ 128 128 Cayman Islands Tax Considerations......................................128 Cayman Islands Tax Considerations ....................................................................................... 128 ERISA CONSIDERATIONS............................................................................ ERISA CONSIDERATIONS ......................................................................................................... 129 129 Class S Notes, Class A Notes, Class B Notes and Class C Notes .........................................131 .................. 131 Class S Notes, Class A Notes, Class B Notes and Class C Notes Class D Notes and Income Notes ................ ..................... ........ 131 Class D Notes and Income Notes ...........................................................................................131 CERTAIN LEGAL INVESTMENT CONSIDERATIONS............................132 CERTAIN LEGAL INVESTMENT CONSIDERATIONS ............................................................... 132 LISTING AND GENERAL INFORMATION....................................133 LlSTfNG AND GENERAL INFORMATION .................................................................................. 133 LEGAL MATTERS.................................................... LEGAL MATTERS ....................................................................................................................... 134 134 . . 22 22 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S392 GS MBS-E-021825392 Footnote Exhibits - Page 5482 UNDERWRITING ... ~ ..................................................................................................................... 134 134 UNDERW RITING ..................................................................... INDEX OF DEFINED TERMS ........................................ 138 INDEX OF DEFINED TERMS ............o........................................................................................ 138 .......... A-1 APPENDIX A Certain Definitions............................................................................,.......... A-1 Certain Definitions......................... APPENDIX A Collateral Asset Descriptions and Summaries ........................... B-1 APPENDIXB B Collateral Asset Descriptions and Transaction Summaries.......................B-1 APPENDIX Form of Income Purchase ANNEXA-1 Form of Income Notes Purchase ANNEX A-1 And Transfer Letter .......................................... :..........................................A-1-1 And Transfer Letter.................................A-1-1 Form of Class b Purchase ANNEXA-2 Form of Class D Notes Purchase ANNEX A-2 Transfer Letter .....................................................................................A-2-1 And Transfer Letter.......................................A-2-1 Part II ot'Greywolf Capital Management LP's Form ADV ........................... B-1-1 ANNEXB Part II of Greywolf Capital Management LP's Form ADV......................B-1-1 ANNEX B 23 23 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825393 GS MBS-E-02182S393 Footnote Exhibits - Page 5483 SUMMARY SUMMARY the de~ailed information appearing els~where The following summary is qualified in its entirety by th~ detailed i~form~tion appea"ring elsewhere in The following summary is in this Offering Circular. For definitions m this Offering Circular see 'AppendIx A in this Offering Circular. For definitions of certain terms used in thIS Offenng Ctrcular see "Appendix A other terms, see "Index of Defined Certain Definitions" and for the location of the definitions of those and other terms, see "Index of Defined of the Certain Definitions" and for with an investment in the Terms." For a discussion of certain in Terms." For a discussion Qf certain factors to be considered in connection with an investment in the Securities, see "Risk Factors."" "Risk Factors. Securities, The Issuers ............................................ The Issuers ............................................ Timberwolf 1, Ltd. is Timbewolf I, Ltd. (the "Issuer") is an exempted company incorporated with limited liability under the laws of the Cayman Cayman Islands for the sole purpose of acquiring the Collateral Assets, Default Swap Collateral and the Eligible Investments, entering into, and performing its obligations under, the Collateral Management Agreement and Cashflow Management Swap Agreement, co-issuing the Notes and the Income Income Notes and engaging in certain related transactions. in The Issuer will not have any material assets other than the wi/f Synthetic portfolio consisting of COO Securities and Synthetic CDO COO Securities (the? Reference Obligations of which are CDO (the Securities) as described herein (collectively, together with (collectively, Deliverable Obligations and any Default Swap Collateral that has been released from the lien of the Synthetic Security as Counterparty and credited to the Collateral Account as described herein, "Collateral Assets"), the Default Swap Default Collateral Account, Eligible Investments and the cashflow swap agreement {the "Cashflow Swap Agreement"), the (the "Cashflow Management Collateral Management Agreement and certain other assets. The Collateral Assets, the Eligible Investments and certain wi/f other assets of the Issuer will be pledged by the Issuer to the Trustee under the Indenture, for the benefit of the Secured Indenture, Issuers' for, Parties, as security for, among other obligations, the Issuers' obligations under the Notes. The Default Swap Collateral Account wi/f be pledged by the Issuer to the Trustee under will the Indenture for the benefit of the Synthetic Security Issuers Counterparty Counterparty as security for the Issuer's obligations under the Synthetic Securities. "Co-Issuer" Timberwolf I (Delaware) Corp. (the "Co-Issuer" and, together (Delaware) Issuer, is with the Issuer, the "Issuers") is a corporation formed under the laws of the State of Delaware for the sole purpose of coissuing the Notes (other than the Class 0 Notes). D U.S.$10 The Co-Issuer will not have any assets (other than U.S.$10 of equity capital) and will not pledge any assets to secure the Co-Issuer Notes. The Co-Issuer will have no claim against the Issuer in in respect of the Collateral Assets or otherwise. is The authorized share capital of the Issuer is U.S.$50,000 which consists of 50,000 ordinary shares, par value U.S.$1.00 per share, C'lssuer Ordinary Shares"), 250 of U.S.$1.00 ("Issuer be which have been issued. The Issuer Ordinary Shares will be held by Maples Finance Limited, a licensed trust company "Issuer incorporated in the Cayman Islands (the "Issuer in Administrator") as the trustee pursuant to the terms of a a "Share charitable trust (the "Share Trustee") and all of the outstanding common equity of the Co-Issuer will be held by by the Issuer. 24 24 by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825394 MBS-E-021825394 Footnote Exhibits - Page 5484 The Collateral Manager......................... The Collateral Manager......................... Greywolf Capital Management LP, a Delaware? limited liability Greywolf Capital Management LP, a Delaware limited liability company ("Greywolf) or any successor thereto (the company ("GreywoIf1 or any successor thereto (the "Collateral Manager"), will perform certain monitoring "Collateral Manager"), will perform certain monitoring functions with respect to the Collateral Assets pursuant to a functions with respect to the Collateral Assets pursuant to a collateral management agreement to be dated as of the collateral management agreement to be dated as of the Closing Date (the "Collateral Management Agreement") Closing Date (the "Collateral Management Agreement") between the Issuer and Greywolf, as Collateral Manager. between the Issuer and Greywolf, as Collateral Manager. Greywolf is a registered investment adviser under the United Greywolf is a registered investment adviser under the United States Investment Advisers Act of 1940, as amended. See States Investment Advisers Act of 1940, as amended. See ''The Collateral Manager." "The Collateral Manager." On the Closing Date, the Issuer and the Co-Issuer will issLie On the Closing Date, the Issuer and the Co-Issuer will issue U.S.$9,000,000 principal amount of Class S-1 Floating Rate U.S.$9,000,000 principal amount of Class S-1 Floating Rate Notes Due September 2011 (the "Class S-1 Notes"), Notes Due September 2011 (the "Class S-1 Notes"), U.S.$8,300,000 principal amount of Class S-2 Floating Rate U.S.$8,300,000 principal amount of Class S-2 Floating Rate Notes Due September 2011 (the "Class S-2 Notes" and, Notes Due September 2011 (the "Class S-2 Notes" and, together with the Class S-1 Notes, the "Class S Notes"), together with the Class S-1 Notes, the "Class S Notes"), U.S.$ 100,000,000 principal amount of Class A-1a Floating U.S.$ 100,000,000 principal amount of Class A-la Floating Rate Notes Due 2039 (the "Class A?1a Notes"), U.S.$ Rate Notes Due 2039 (the "Class A-la Notes"), U.S.$ prinCipal amount Class A-1b Floating Rate 200,000,000 principal amount of Class A-1b Floating Rate "Class A-1b Notes'1, U.S.$ 100,000,000 Notes Due 2039 Notes Due 2039 (the "Class A-1b Notes"), U.S.$ 100,000,000 principal amount of Class A-1c Rate Notes Due principal amount of Class A-1c Floating Rate Notes Due 2044 A-1c U.S.$ principal 2044 (the "Class A-1c Notes"), U.S.$ 100,000,000 principal amount of A-1d Due 2044 (the amount of Class A-Id Floating Rate Notes Due 2044 (the "Class A?1d the Class A-1a Notes, "Class A-1d Notes" and, together with the Class A-la Notes, and A-1c the "Class A-1 A-1b Class A-1b Notes and Class A-1c Notes, the "Class A-1 principal Notesj, U.S.$ of Class A-2 Notes"), U.S.$ 305,000,000 principal amount of Class A-2 (the "Class A-2 Notes" and, Floating Rate Notes Due 2047 (the "Class A-2 Notes" and,? the "Class A Notes"), together with the Class A-1 Notes, the "Class A Notes"), Rate U.S.$ amount Class U.S.$ 107,000,000 principal amount of Class B Floating Rate and U.S.$ 36,000,000 Notes Due 2047 (the "Class B Notes") and U.S.$ 36,000,000 Deferrable Floating Rate Notes principal amount of Class C Deferrable Floating Rate Notes amount C Notes"), Due 2047 (the "Class C Notes'1, and the Issuer will issue the Issuer will issue of Class D Deferrable U.S.$ 30,000,000 principal amount of Class D Deferrable U.S.$ D Notes" and, Floating Rate Notes Due 2047 (the "Class 0 Notes" and, Class A Notes, Class B S together with the Class S Notes, Class A Notes, Class B "Notes') pursuant to an C Notes and Class C Notes, the "Notes'') pursuant to an March 27, 2007 (the Indenture (the "Indenture") dated on or about March 27, 2007 Bank of New York, as trustee among the Issuers and The Bank of New York, as trustee "Trustee" and the and as securities intermediary (the ''Trustee'' and the Intermediary," respectively). Under the Indenture, "Securities Intermediary," respectively). Under the Indenture, act as principal paying agent The Bank of New York will also act as principal paying agent The Bank Agent"), as registrar for the Notes (the "Principal Note Paying Agenf'), as registrar Notes (the "Principal Note for (the "Note Registrar'1, as calculation agent (the "Note "Note Registrar"), as calculation agent (the "Note transfer agent (the "Note Transfer Agent"), Calculation Agent'1, as transfer agent (the "Note Transfer Notes (the "Note Paying Agent") and as paying agent for the Notes (the "Note Paying Agent") and as paying agent for together with the Principal Note Paying Agent, Agenf' and, together with the Principal Note Paying Agent, Agent" the Note Registrar, the Note Calculation Agent, the Note Note Registrar, the Note Calculation Agent, the Note Transfer Agent and the Listing and Paying Agent, the "Note Transfer Agent and the Listing and Paying Agent, the "Note Agents"). Agents"). On the Closing Date, the Issuer will also issue U.S.$ On the Closing Date, the Issuer will also issue U.S.$ 22,000,000 notional principal amount of Income Notes Due 22,000,000 notional principal amount of Income Notes Due 2047 (the "Income Notes;' and, together with the Notes, the 2047 (the "Income Notes" and, together with the Notes, the "Securities")?, ?pursuant to a deed of covenant (the "Deed of "Securities"), pursuant to a deed of covenant (the "Deed of Covenanf'), dated on or about the Closing Date, executed by Covenant"), dated on or about the Closing Date, executed by Securities Offered ............. Securities Offered ................................. . 25 25 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825395 GS MBS-E-02182S395 Footnote Exhibits - Page 5485 the Issuer and subject to the terms and conditions of the. the Issuer and subject terms of the. Income Notes (the "Terms and Conditions") appended Income Notes (the "Terms Conditions; appended and fiscal agency agreement (the "Fiscal Agency thereto and a fiscal agency agreement (the "Fiscal Agency Agreement") dated on or about the Closing Date between the Agreemenf') dated on about the Closing Date between the Issuer and The Bank of New York, London Branch, as fiscal Issuer and The Bank of New London Branch, as fiscal agent and transfer agent for the Income Notes (in such agent transfer for the Income (in such capacities, the "Fiscal Agent" and, together with the Note "Fiscal Agent" the Note Collateral "Agents"). Only Agents and the Collateral Administrator, the "Agents"). Only the Notes and the Income Notes (collectively, the Notes Income Notes the "Securities") are offered hereby. "Securities") are hereby. The Note Paying Agent, the Principal Note Paying Agent and The Note Agent and agents appointed time to time any other Note paying agents appointed from time to time under the Indenture are collectively referred to as the "Note Indenture referred as the "Note Paying Agents." The Note Paying Agents and the Fiscal Agents." Agents Fiscal Agent are collectively referred to as the "Paying Agents." Agent referred as "Paying Agents." the Agent The Transfer Agent The Note Transfer Agent and the Fiscal Agent are collectively Indenture, referred to as the "Transfer Agents." The Indenture, the Agents." Collateral Management Agreement, the Cashfiow SWap Management Agreement, Cashflow Swap Agreement, the Collateral Administration Agreement, the Agreement, Collateral Administration the Administration Agreement, the Deed of Covenant and the Covenant and the Fiscal Agency Agreement are collectively referred to as the Agency Agreement referred the ''Transaction Documents." "Transaction Documents." ................... Closing Date .......................................... Date. the Issuers The Issuer will issue the Income Notes and the Issuers will 27, issue the other Notes on or about March 27, 2007 (the about "Closing Date"). "Closing The 0 The Notes (other than the Class D Notes) will be limited Class D Notes recourse obligations of the Issuers and the Class 0 Notes of and the Income Notes will be limited recourse obligations of obligations be the Issuer. The Income Notes will not be secured obligations of the Issuer and will only be entitled to receive amounts amounts Payment Date after payment available for distribution on any Payment Date after payment of all amounts payable prior thereto under the Priority of Notes will be Payments. The Class S-1 Notes will be senior in right of in right of Notes, the Payment payment on each Payment Date to the Class S-2 Notes, the B Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the D Notes and C the Class C Notes, the Class 0 Notes and the Income Notes; the in right of payment on each Class S-2 Notes will be senior in right of payment on each A-2 Notes (provided, that Payment Date to the Class A-2 Notes (provided, that Class S-2 Notes and the Class A payments of interest on the Class S-2 Notes and the Class A the Class B Notes, the Class C be Notes will be paid pro rata), the Class B Notes, the Class C and the Income Notes; the Class D Notes, the Class 0 Notes and the Income Notes; the Class Payment senior in A-1 Notes will be senior in right of payment on each Payment Notes (provided, that payments of Date Date to the Class A-2 Notes (provided, that payments of pro rata), the Class A interest on interest on the Class A Notes will be paid pro rata), the Class Class D Notes C B B Notes, the Class C Notes, the Class 0 Notes and the Notes; the Class A-2 Notes will be senior in right of Income Notes; the Class A-2 Notes will be senior in right of Class B Notes, the Payment payment on payment on each Payment Date to the Class B Notes, the Class D Notes and the Income Notes; the Class C Notes, Class C Notes, the Class 0 Notes and the Income Notes; the of payment on each B Notes will be senior in Class B Notes will be? senior in right of payment on each Class C Notes, the Class D Notes and Date Payment Date to the Class C Notes, the Class 0 Notes and the Income Notes; the Class C Notes will be senior in right of the Income Notes; the Class C Notes will be senior in right of Payment Date the Class D Notes and payment on each Payment Date to the Class 0 Notes and payment D Notes will be senior in and the Income Notes and the Class 0 Notes will be senior in the Income right of payment on each Payment Date to the Income Notes, on each Payment Date to the Income Notes, right of Status ........... Status of the Securities .oooo.oooooooo.ooo.ooo.o 26 26 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825396 GS MBS-E-02182S396 Footnote Exhibits - Page 5486 each to the extent provided in the Priority of Payments. to the extent provided the Priority of Payments. Payments of principal on the Class A-1 Notes will be paid in Class A-1 Notes be Payments of principal with the Class A-1 Note Payment Sequence. See accordance with the Class A-1 Note Payment Sequence. See "Description of the Securities-Status and Security" and "Securities-Status and Security" and "Description of Priority of Payments."" Priority of Payments .. Use of Proceeds Use of Proceeds .................................... .............. The net proceeds associated with the offering of the net proceeds offering the Securities issued on the Closing Date are expected to equal . Closing Date expected to equal Securities issued on net proceeds be approximately U.S.$1,005,119,OOO. approximately U.S.$1,005,119,000. The net proceeds will be . used by the Issuer to purchase on the Closing Date or within the Closing Date or used Issuer purchase 90 days thereafter pursuant agreements to purchase 90 days thereafter pursuant to agreements to purchase prior the the portfolio . entered into on or prior to the Closing Date, the portfolio of entered Collateral Assets described herein having an aggregate aggregate Collateral Principal Balance of approximately U.S.$1,000,000,000 and U.S.$1,OOO,OOO,OOO and Balance of . to purchase the Default Swap Collateral. See "Security for to Swap "Security for the Notes-Disposition of Collateral Assets" and "Use of of Collateral Assets" Proceeds." Proceeds." the in The Collateral Assets (or, in the case of the Synthetic Securities, the Reference Obligations related thereto) are are be CDO initially expected to be comprised of 55 issues of CDO Securities. (by Principal Approximately 93.00% of the Collateral Assets (by Principal 93.00% Collateral be Synthetic Date Balance) on the Closing Date are expected to be Synthetic Securities. All of the Reference Obligations referenced in the referenced in the COO Securities. See Synthetic Securities are expected to be CDO Securities. See Notes-The Assets." Certain "Security for the Notes-The Collateral Assets." Certain is set forth summary information about the Collateral Assets is set forth B in in Appendix B to this Offering Circular. Assets............................ The Collateral Assets............................ Synthetic Security Counterparty......... Counterparty ......... the The initial Synthetic Security Counterparty under the The is Synthetic Securities is Goldman Sachs International. The Securities swap guarantor with respect to the initial Synthetic Securities guarantor is The Goldman Sachs Group, Inc., a Delaware corporation, is a Delaware is which is an affiliate of the Synthetic Security Counterparty. be entered into by the Each of the Synthetic Securities to be entered into by the Issuer and the Synthetic Security Counterparty on or before credit the Closing Date will be structured as "pay-as-you-go" credit Reference Obligations. default swaps related to single Reference Obligations. receive Pursuant to each Synthetic Security, the Issuer will receive for providing credit protection in the Fixed the Fixed Amount in exchange for providing credit protection Counterparty in to the Synthetic Security Counterparty in connection with Events that may certain Credit Events and Floating Amount Events that may To occur with respect to the related Reference Obligations. To by the Issuer payments support any payments which may become due by the Issuer Synthetic Counterparty under to the Synthetic Security Counterparty under the Synthetic Default will Securities, the Issuer will be required to purchase Default to the initial value a Swap Swap Collateral with a face value equal to the initial Reference Aggregate Reference Obligation Notional Amount of the Synthetic Security pledge Synthetic Securities Synthetic Securities and pledge to the Synthetic Security Default security interest in Counterparty a first Counterparty a first priority security interest in such Default that all of the Reference Collateral. It is Swap Collateral. It is expected that all of the Reference Securities will be Obligations referenced under the Obligations referenced under the Synthetic Securities will be For a detailed description of the Synthetic CDO CDO Securities. For a detailed description of the Synthetic Securities, see "Security for the Notes-Synthetic Securities". Securities, see "Security for the Notes-8ynthetic Securities". Synthetic Securities.............................. Securities.............................. 27 27 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S397 GS MBS-E-021825397 Footnote Exhibits - Page 5487 Interest Payments and Certain Interest Payments and Certain The the Closing Date and Distributions .......................................... The Notes will accrue interest from the Closing Date and Distributions ...........................---. **.******* Notes will accrue interest from3rd day of March, June, such interest will be payable on the such interest will be payable on the 3rd day of March, June, September and December of each year, or any such date is September and December of each year, or ififany such date is not a Business Day, the immediately following Business Day not a Business Day, the immediately following Business Day (each such date, a "Payment Date") commencing on (each such date, a "Payment Date") commencing on September 4,2007. Payments on the Income Notes will be September 4, 2007. Payments on the Income Notes will be payable in arrears on each Payment Date, commencing on payable in arrears on each Payment Date, commencing on September 4, 2007. All payments on the Securities will be September 4, 2007. All payments on the Securities will be made from Proceeds in accordance with the Priority of made from Proceeds in accordance with the Priority of Payments. Payments. The Class S-1 Notes will bear interest during each Interest The Class S-1 Notes will bear interest during each Interest Accrual Period at a per annum rate (the "Clas~S-1 Note Accrual Period at a per annum rate (the "Class S-1 Note Interest Rate') equal to UBOR for such Interest Accrual Interest Rate') equal to LIBOR for such Interest Accrual Period plus 0.20%. Period plus 0.20%. The Class S-2 Notes will bear interest. during each Interest The Class S-2 Notes will bear interest. during each Interest Accrual Period at a per annum rate (the "Class 5-2 Note Accrual Period at a per annum rate (the "Class S-2 Note Interest Rate") equal to UBOR for such Interest Accrual Interest Rate") equal to LIBOR for such Interest Accrual Period plus 0.35%. Period plus 0.35%. The Class A-1a will interest during each Interest The Class A-I a Notes will bear interest during each Interest Accrual at per annum (the "Class A-1a Note Accrual Period at a per annum rate (the "Class A-I a Note Interest UBOR for such Interest Accrual Interest Rate") equal to LIBOR for such Interest Accrual 0.05%. Period plus 0.05%. interest during each Interest The Class A-1b Notes will bear interest during each Interest annum rate (the "Class A-1b Note Accrual Period at a per annum rate (the "Class A-1 b Note Interest Rate') equal to LIBOR for such Interest Accrual UBOR for such Interest Accrual Rate") 0.50%. Period plus 0.50%. interest during each Interest A-ic The Class A-1c Notes will bear interest during each Interest a per annum rate (the "Class A-1c Note Accrual Period at a per annum rate (the "Class A-1c Note to LIBOR for such Interest Accrual Interest Rate') equal to UBOR for such Interest Accrual Rate') 0.80%. Period plus 0.80%. will bear interest during each Interest The Class A-1 d Notes will bear interest during each' Interest Class A-1d a per annum rate (the "Class A-1d Note Accrual Period at a per annum rate (the "Class A-1d Note to LIBOR for such Interest Accrual Interest Rate') equal to UBOR for such Interest Accrual Rate') 1.30%. Period plus 1.30%. bear interest during each Interest Notes The Class A-2 Notes will bear interest during each Interest Class a per annum rate (the "Class A-2 Note Accrual Period at a per annum rate (the "Class A-2 Note Period Interest Rate') equal to UBOR for such Interest Accrual Interest Rate') equal to LIBOR for such Interest Accrual Period plus 0.90%. Period plus 0.90%. The Class B Notes will bear interest during each Interest The Class B Notes will bear interest during each Interest Accrual Period at a per annum rate (the "Class B Note Accrual Period at a per annum rate (the "Class B Note Interest Rate") equal to UBOR for such Interest Accrual Interest Rate") equal to LIBOR for such Interest Accrual Period plus 1.40%; Period plus 1.40%. The Class C Notes will bear interest during each Interest The Class C Notes will bear interest during each Interest Accrual Period at a per annum rate (the "Class C Note Accrual Period at a per annum rate (the "Class C Note Interest Rate") equal to UBOR for such Int~rest Ac~rual Interest Rate") equal to LIBOR for such Interest Accrual Period plus 4.00%. Period plus 4.00%. 28 28 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825398 GS MBS-E-021825398 Footnote Exhibits - Page 5488 The Class D Notes will bear interest during each Interest The Class D Notes will bear interest during each Interest Accrual Period at a per annum rate (the "Class D Note Accrual Period at a per annum rate (the "Class D Note Interest Rate'1 equal to UBOR for such Interest Accrual Interest Rate") equal to LIBOR for such Interest Accrual Period plus 10.00%. Period plus 10.00%. The Class S-1 Note Interest Rate, the Class S-2 Note The Class S-1 Note Interest Rate, the Class S-2 Note Interest Rate, the Class A-1a Note Interest Rate, the Class AInterest Rate, the Class A-la Note Interest Rate, the Class A1b Note Interest Rate, the Class A-1c Note Interest Rate, the lb Note Interest Rate, the Class A-1c Note Interest Rate, the Class A-1d Note Interest Rate, the Class A-2 Note Interest Class A-1d Note Interest Rate, the Class A-2 Note Interest Rate, the Class B Note Interest Rate, the Class C Note Rate, the Class B Note Interest Rate, the Class C Note Interest Rate and the Class D Note Interest Rate are Interest Rate and the Class D Note Interest Rate are collectively referred to herein as the "Note Interest Rates." collectively referred to herein as the "Note Interest Rates." To the extent interest that is due is not paid on the Class C To the extent interest that is due is not paid on the Class C Notes on any Payment Date C'Class C Deferred Interesf1, Notes on any Payment Date ("Class C Deferred Interest"), such unpaid amounts will be added to the principal amount of such unpaid amounts will be added to the principal amount of the Class C Notes, and shall accrue interest at the Class C the Class C Notes, and shall accrue interest at the Class C Note Interest Rate to the extent lawful and enforceable. So Note Interest Rate to the extent lawful and enforceable. So long as any Class S Notes, Class A Notes or Class B Notes long as any Class S Notes, Class A Notes or Class B Notes are outstanding, the failure to pay any interest on the Class C are outstanding, the failure to pay any interest on the Class C Notes on any Payment Date will not be an Event of Default Notes on any Payment Date will not be an Event of Default under the Indenture. To the interest that is due is not under the Indenture. To the extent interest that is due is not Class DNotes on any Payment Date rClass D paid on paid on the Class D Notes on any Payment Date ("Class D Deferred unpaid amounts will be added to the Deferred Interest"), such unpaid amounts will be added to the prinCipal amount of the Class 0 Notes, and shall accrue principal amount of the Class D Notes, and shall accrue at the Note Interest Rate to the extent lawful interest at the Class D Note Interest Rate to the extent lawful enforceable. long. as any S Notes, Class A and enforceable. So long as any Class S Notes, Class A or Notes, Class B Notes or Class C Notes are outstanding, theC Notes are outstanding, theinterest the Class D Notes on any failure to pay any interest on the Class D Notes on any of Default under the Payment Payment Date will not be an Event of Default under the Indenture. the See "Description of the Securities Payments." Distributions" and "-Priority of Payments." Interest and Interest and Accrual Period with respect to UBOR for the first Interest Accrual Period with respect to LIBOR be determined as of the second each Class of Notes will be determined as of the second Business Day preceding the Closing Date. Calculations of Business Day preceding the Closing Date. Calculations of Notes will be made on the basis Class interest on each Class of the Notes will be made on the basis interest on of a 360-day year and the actual number of days in each of a 360-day year and the actual number of days in each Interest Accrual Period. Interest Accrual Period. The "Interest Accrual Period" with respect to the Class S The "Interest Accrual Period" with respect to the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes and any Payment Date, is the Notes and the Class D Notes and any Payment Date, is the period commencing on and including the immediately period commencing on and including the immediately preceding Payment Date (or the Closing Date in the case of preceding Payment Date (or the Closing Date in the case of the first Interest Accrual Period) and ending on and including the first Interest Accrual Period) and ending on and including the day immediately preceding such Payment Date. the day immediately preceding such Payment Date. The Holders of the Income Notes will be entitled to receive, The Holders of the Income Notes will be entitled to receive, on each Payment Date, all cash remaining after the payment on each Payment Date, all cash remaining after the payment of all other amounts required to be paid in accordance with of all other amounts required to be paid in accordance with the Priority of Payments. . the Priority of Payments. 29 29 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825399 GS MBS-E-021825399 Footnote Exhibits - Page 5489 The Notes (other than the Class SNotes and the Class A-1 Notes the Principal Payments .............................. Principal Payments.............................. . The Notes (other than the Class S mature and the Class A-1 . Notes)and the Income Notes will matureon the Payment on Payment Notes) and the Income Notes will Date in December 2047 (such date the "Stated Maturity" with Date in December 2047 (such date the "Stated Maturity" with respect to each Class of Notes (other than the Class S Notes respect to each Class of Notes (other than the Class S Notes and the Class A-1 Notes) and Income Notes), the Class S and the Class A-1 Notes) and Income Notes), the Class S Notes will mature on the Payment Date in September 2011 Notes will mature on the Payment Date in September 2011 (the "Stated Maturity" with respect to the Class S Notes), the (the "Stated Maturity" with respect to the Class S Notes), the Class A-1a Notes and the Class A-1b Notes will mature on Class A-la Notes and the Class A-lb Notes will mature on the Payment Date in December 2039 (the "Stated Maturity" the Payment Date in December 2039 (the "Stated Maturity" with respect to the Class A-1a Notes and the Class A-1b with respect to the Class A-Ia Notes and the Class A-lb Notes) and the Class A-1c Notes and the Class A-1d Notes Notes) and the Class A-1c Notes and the Class A-Id Notes will mature on the Payment Date in September 2044 (the will mature on the Payment Date in September 2044 (the "Stated Maturity" with respect to the Class A-1c Notes and "Stated Maturity" with respect to the Class A-1c Notes and the Class A-1d Notes) unless redeemed or retired prior the Class A-Id Notes) unless redeemed or retired prior thereto. The average life of the Notes (other than the Class thereto. The average life of the Notes (other than the Class S Notes) and the duration of the Income Notes is expected to S Notes) and the duration of the Income Notes is expected to be substantially shorter than the number of years from be substantially shorter than the number of years from issuance until Stated Maturity for each Class of Notes and issuance until Stated Maturity for each Class of Notes and the Income Notes. See "Description of the Securitiesthe Income Notes. See "Description of the SecuritiesPrincipar' and "Risk Factors-8ecurities-Average Lives, Principal" and "Risk Factors-Securities--Average Lives, Duration and Prepayment Considerations." Duration and Prepayment Considerations." Principal will be payable on the Class S-1 Notes in Principal will be payable on the Class S-1 Notes in accordance with Priority of Payments on each Payment accordance with the Priority of Payments on each Payment Date commencing on Payment Date occurring in Date commencing on the Payment Date occurring in December in an equal to the Class S-1 Notes December 2007 in an amount equal to the Class S-1 Notes Amortizing Amount with respect to such Payment Amortizing Principal Amount with respect to such Payment Date if Default or Tax Event has occurred Date and, if an Event of Default or Tax Event has occurred Redemption by Liquidation is and is continuing or an Optional Redemption by Liquidation has and the Collateral is or successful Auction has occurred and the Collateral is to the terms of the Indenture, the being liquidated pursuant to the terms of the Indenture, the be paid in full prior to any distributions to Class S-1 Notes will be paid-in full prior to any distributions to will be payable on the Class any other Securities. Principal will be payable on the Class with the Priority of Payments on in accordance with the Priority of Payments on S-2 Notes in commencing on the Payment Date each Payment Date commencing on the Payment Date Payment occurring in December 2007 in an amount equal to the Class occurring in December 2007 in an amount equal to the Class Principal Amount with respect to such S-2 Notes Amortizing Principal Amount with respect to such Payment Date and, if an Event of Default or Tax Event has Date and, if an Event of Default or Tax Event has occurred and is continuing or an Optional Redemption by and is continuing or an Optional Redemption by Liquidation or successful Auction has occurred and the Liquidation or successful Auction has occurred and the Collateral is being liquidated pursuant to the terms of the Collateral is being liquidated pursuant to the terms of the Indenture, the Class S-2 Notes will be paid in full prior to any Indenture, the Class S-2 Notes will be paid in full prior to any distributions to any other Securities (other than the Class 8-1 distributions to any other Securities (other than the Class S-1 Notes and the Class A-1 Notes). The Class S-2 Notes are Notes and the Class A-1 Notes). The Class S-2 Notes are subject to mandatory redemption if the Class AlB subject to mandatory redemption if the Class A/B Overcollateralization Test is not satisfied on any date of Overcollateralization Test is not satisfied on any date of determination. "Shifting principal" will be payable on the determination. "Shifting principal" will be payable on the Notes (other than the Class S Notes) in accordance with Notes (other than the Class S Notes) in accordance with clause (xii) of the Priority of Payments on each Payment Date clause (xii) of the Priority of Payments on each Payment Date in accordance with the Priority of Payments. in accordance with the Priority of Payments. As a result of the Priority of Payments, notwithstanding the As a result of the Priority of Payments, notwithstanding the subordination of the Notes described under "Status of the subordination of the Notes described under "Status of the Securities" above, the Class S-2 Notes may be entitled to Securities" above, the Class S-2 Notes may be entitled to receive certain payments of principal while the Class S-1 receive certain payments of principal while the Class S-1 Notes and the Class A-1 Notes are outstanding, the Class ANotes and the Class A-1 Notes are outstanding, the Class A- 30 30 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825400 GS MBS-E-021825400 Footnote Exhibits - Page 5490 1 Notes may be entitled to receive certain payments of 1 Notes may be entitled to receive certain payments of principal while the Class S Notes are outstanding, the Class principal while the Class S Notes are outstanding, the Class A-2 Notes may be entitled to receive certain payments of A-2 Notes may be entitled to receive certain payments of principal while the Class S Notes and the Class A-1 Notes principal while the Class S Notes and the Class A-1 Notes are outstanding, the Class B Notes may be entitled to receive are outstanding, the Class B Notes may be entitled to receive certain payments of principal while the Class Notes and the certain payments of principal while the Class S Notes and the Class A Notes are outstanding, the Class C Notes may be Class A Notes are outstanding, the Class C Notes may be entitled to receive certain payments of principal while the entitled to receive certain payments of principal while the Class S Notes, the Class A Notes and the Class B Notes are Class S Notes, the Class A Notes and the Class B Notes are outstanding and the Class 0 Notes may be entitled to receive outstanding and the Class D Notes may be entitled to receive certain payments of principal while the Class Notes, the certain payments of principal while the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are Class A Notes, the Class B Notes and the Class C Notes are Income Notes may be entitled to outstanding. In outstanding. In addition, the Income Notes may be entitled to receive certain payments while the Notes are outstanding. receive certain payments while the Notes are outstanding. See "Description the Securities-Priority of Payments." See "Description of the Securities-Priority of Payments." In addition, to the funds are available therefor In addition, to the extent funds are available therefor in Payments, (other accordance with the Priority accordance with the Priority of Payments, the Notes (other S-1 Notes) will mandatory than the than the Class S-1 Notes) will be subject to mandatory Date the Coverage are redemption redemption on any Payment Date if the Coverage Tests are See "Description of the not not satisfied as described herein. See "Description of the Redemption." Securities-Principal" Securities-Principal" and "-Mandatory Redemption." the Notes will Tax Redemption Subject Tax Redemption ..................................... Subject to certain conditions described herein, the Notes will .............. be redeemed Liquidation in but not in be redeemed from Liquidation Proceeds, in whole but not in part, on any Payment Date upon the occurrence of a Tax Date upon occurrence of a Tax or written consent Event, at the written direction of, or with the written ?consent Holders at 66-213% aggregate of, Holders of at least 66-2/3% of the aggregate outstanding notional Income Notes or notional principal amount of the affected Income Notes or Class which, as Holders of at least a Majority of any Class of Notes which, as Tax have not a result of the occurrence of such Tax Event, have not and received 100% of the aggregate amount of principal and Holders to interest or other amounts due and payable to such Holders amounts such Tax No such Tax a "Tax (such redemption, a ''Tax Redemption"). Redemption will occur unless the expected Liquidation Redemption Amount Proceeds equal or exceed the Total Redemption Amount the Income Notes Upon the occurrence of a Tax Redemption, the Income Notes will be simultaneously redeemed. as described above, the a With respect to a Tax Redemption as described above, the their Redemption Prices, Notes will be redeemed at their Redemption Prices, amount payable as described respectively, as described herein. The amount payable as Notes following any Tax the final payment to the Income Notes following any Tax the after Proceeds Redemption will be the Liquidation Proceeds remaining after in accordance the payment of the Total Redemption Amount in accordance payment with the Priority of Payments. Priority of See "Description of the Securities-Tax Redemption." See "Description of the Securities-Tax Redemption." Auction ...:............................................... ................................................... occurring in September Payment Sixty days prior to the Payment Date occurring in September Sixty days prior Date"), commencing on the of each year (the "Auction Datei, commencing on the of each year (the Manager shall September 2015 Payment Date, the Collateral Manager shall September 2015 Payment Date, the "Auction") of the an take steps to conduct an auction (the "Auction") of the take steps to Collateral in accordance with the procedures specified in the Collateral in accordance with the procedures specified in the Indenture. If the Collateral Manager receives one or more Indenture. If the Collateral Manager receives one or more from Eligible Bidders not later than ten Business Days bids from Eligible Bidders not later than ten Business Days the Auction Date equal to or greater than the prior to the Auction Date equal to or greater than the prior 31 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs . GS MBS-E-021825401 GS MBS-E-021825401 Footnote Exhibits - Page 5491 settlement Minimum Bid Amount, it will sell the Collateral for settlement the it Minimum Bid such Auction Date on or before the fifth Business Day prior to such Auction Date Day or such and the Notes will be redeemed in whole on such Auction in will and the Date (any such date, the "Auction Payment Date'i. If a Payment Date'). If a (any successful Auction occurs, the Income Notes will also be be Notes redeemed in full. The Collateral Manager and its affiliates and in full. The shall be considered Eligible Bidders. If the highest single bid Bidders. If be on the entire portfolio of Collateral, or the aggregate amount on of multiple bids with respect to individual items of Collateral, of bids items does not equal or exceed the aggregate Minimum Sid does Bid Amount or if there is a failure at settlement, the Collateral will if is a Collateral not be sold and no redemption of Notes or Income Notes on and or on the related Auction Date will be made. related will be by Optional Redemption by .................. Liquidation ............................................. The Notes may be redeemed by the Issuers from Liquidation the Liquidation Proceeds, in whole but not in part, on any Payment Date on in not in Date on or after the Payment Date occurring in March 2010 (the in "Optional Redemption Date"), at the written direction of, or of, or with the written consent of the Holders of at least a Majority a of the Income Notes (an "Optional Redemption" or an an "Optional Redemption by Liquidation"). If the Holders of the If Income Notes so elect to cause an Optional Redemption by by Liquidation, the Income Notes will also be redeemed in full. in In the event of an Optional Redemption by Liquidation, the In Notes will be redeemed at their Redemption Prices as as described herein. No Securities shall be redeemed pursuant to an Optional Redemption by Liquidation and a final payment to the Income a Notes shall not be made unless the Collateral Manager furnishes certain assurances that the Total Redemption Amount will be available for distribution on the related Optional Redemption Date. by See "Description of the Securities-Optional Redemption by Liquidation." Optional Redemption by Redemption by Refinancing ............................................ ................. Any Class or Classes of Notes may be redeemed by the redeemed Issuers from the net cash proceeds (the "Refinancing Proceeds) Proceeds'i of a loan, credit or similar facility or an issuance of replacement notes, from or to one or more financial replacement institutions or purchasers, in whole but not in part, on any in in Payment at Payment Date on or after the Optional Redemption Date, at the written direction of, or with the written consent of the Holders of at least a Majority of the Income Notes (an a (an "Optional Redemption" or an "Optional Redemption by Redemption" by Refinancing") subject to the satisfaction of the Rating Agency Condition (other than With respect to the Notes being with redeemed) described redeemed) and the other restrictions described herein. In the event of an Optional Redemption by Refinancing, the In event an Optiomill the redemption Class or Classes of Notes subject to such redemption will be be redeemed Redemption described redeemed at their Redemption Prices as described herein. 32 32 Confidential Treatment Goldman Sachs Confidential Treatment Requested by Goldman Sachs MBS-E-02182S402 GS MBS-E-021825402 Footnote Exhibits - Page 5492 If the Holders of the Income Notes so elect to cause an If the Holders of the Income Notes so elect to cause an Optional Redemption by Refinancing, the Income Notes will Optional Redemption by Refinancing, the Income Notes will not be redeemed in full and will remain outstanding. not be redeemed in full and will remain outstanding. See "Description of the Notes and the Income NotesSee "Description of the Notes and the Income Notes_Optional Redemption by Refinancing." Optional Redemption by Refinancing." Mandatory Redemption .oooooo.oooooo..oooooooo Mandatory Redemption......... On any Payment Date on which the Class NB On any Payment Date on which the Class A/B Overcollateralization Test, the Class C Overcollateralization Overcollateralization Test, the Class C Overcollateralization Test or the Class 0 OvercoliaterarlZation Test is not satisfied Test or the Class D Overcollateralization Test is not satisfied as of the preceding Determination Date, certain of the Notes as of the preceding Determination Date, certain of the Notes (other than the Class S-1 Notes) will be subject to mandatory (other than the Class S-1 Notes) will be subject to mandatory redemption in accordance with the Priority of Payments, until redemption in accordance with the Priority of Payments, until the applicable Notes have been paid in full (a "Mandatory the applicable Notes have been paid in full (a "Mandatory Redemption'). The Collateral Manager is not permitted to Redemption"). The Collateral Manager is not permitted to sell Collateral Assets to generate additional Proceeds to be sell Collateral Assets to generate additional Proceeds to be applied to redeem the Notes except to the extent such applied to -redeem the Notes except to the extent such Collateral Assets may, at the discretion of the Collateral Collateral Assets may, at the discretion of the Collateral Manager, be otherwise sold as Credit Risk Obligations, Manager, be otherwise sold as Credit Risk Obligations, equity securities or Defaulted Obligations. The Class S-1 equity securities or Defaulted Obligations. The Class S-1 Notes Income Notes are not subject to mandatory Notes and the Income Notes are not subject to mandatory of any Coverage Test. redemption as a redemption as a result of the failure of any Coverage Test. "Description of Securities-Mandatory Redemption" See "Description of the Securities-Mandatory Redemption" of Payments." and "-Priority of Payments." Under terms Indenture, the Issuer will grant to the Under the terms of the Indenture, the Issuer will grant to the of the Trustee, for itself Trustee, for the benefit and security of the Trustee, for itself behalf of Noteholders, the Fiscal Agent, the and on behalf of the Noteholders, the Fiscal -Agent, the Collateral Collateral Manager, the Collateral Administrator, the Collateral Manager, the the Synthetic Security Counterparty Cashflow Swap Counterparty and the Synthetic Security "Secured Parties'), to secure the Counterparty(together the "Secured Parties"), to secure the Counterparty (together the Indenture, the the Issuers obligations under the Notes, the Indenture, the Issuer's Collateral Management Cashflow Swap Agreement, the Collateral_ Management (the "Secured Agreement and the Synthetic Securities (the "Secured interest in the Collateral. Obligations"), a first priority security interest in the Collateral. Obligations'), a be The Income Notes will not be secured. Income Security Notes........................... Security for the Notes........................... Reports................................................... Reports ................................................... to the Holders of the Notes be made A report will be made available to the Holders of the Notes A Income Notes and will provide information and Holders of the Income Notes and will provide information and payments to be made in Assets on the Collateral Assets and payments to be made in on the Priority of Payments (each, a "Payment accordance with the Priority of Payments (each, a "Payment accordance 2007. See "Security for the Report') beginning in September 2007. See "Security for the Report") beginning in Notes-Reports. " Notes-Reports." table identifies the Coverage Tests and the The following table identifies the Coverage Tests and the The value at which such tests will be satisfied. See "Security for value at which such tests will be satisfied. See "Security for the Notes-The Coverage Tests." the Notes-The Coverage Tests." Coverage Test Coverage Test ClassNB Class A/B Test Test Coverage Tests ..................................... ............... Coverage Tests Value at Which Test is Value at Which Test is Satisfied Satisfied Overcollateralization Class A/B Overcollateralization ClassNB Overcollateralization Overcollateralization Ratio is equal to or Ratio is equal to or greater than 106.4% greater than 106.4% 33 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825403 GS MBS-E-021825403 Footnote Exhibits - Page 5493 Class C Overcollateralization Class C Class C Overcollateralization Class C Overcollateralization Test Overcollateralization Test Ratio is equal to or Ratio is equal to or greater than 103.3% greater than 103.3% Class 0 Overcollateralization Class 0 Class D Overcollateralization Class D Overcollateralization Test Overcollateralization Test Ratio is equal to or Ratio is equal to or greater than 101.1% greater than 101.1 % On the Closing Date, the Class NB Overcollateralization On the Closing Date, the Class A/B Overcollateralization expected to be 109.6%, t)1e Class C Ratio Ratio is expected to be 109.6%, the Class C Ratio expected to be 10S.S% and the Overcollateralization Ratio is expected to be 105.5% and the expected to be 102.2%. Class 0 Overcollateralization Class D Overcollateralization Ratio is expected to be 102.2%. The Offering The Offering ooooooo.ooo...oooooo.oooo.o.oo.o.o.ooooo ............... The Securities are being offered to non-U.S. Persons in Securities are being offered to non-U.S. Persons in offshore transactions in on Regulation S, and in the offshore transactions in reliance on Regulation S, and in the who are Qualified Institutional United States United States to persons who are Qualified Institutional Buyers purchasing in reliance on the exemption from Buyers the exemption from registration under Rule 144A or, with respect to Income Notes Income Notes registration under Rule 144A or, only, Accredited Investors purchasing in transactions exempt only, Accredited Investors purchasing in transactions exempt from Securities Each from registration under the Securities Act. Each purchaser Qualified who is U.S. Person must who is a U.S. Person must also be a Qualified Purchaser. Each Accredited Investor must have a net worth of at least Each Accredited at least U.S.$10 million. See "Description of the Securities-Form of "Description Securities-Form of U.S.$10 "Underwriting" "Notice to Investors." the Securities," "Underwriting" and "Notice to Investors." The Notes will be issued in minimum denominations of. in minimum U.S.$2S0,000 (in 144A Notes) U.S.$250,000 (in the case of the Rule 144A Notes) and U.S.$100,000 (in Notes) and U.S.$100,000 (in the case of the Regulation S Notes) and for U.S.$1 in integral multiples of U.S.$1 in excess thereof for each Class in minimum of Notes. The Income Notes will be issued in minimum integral multiples of denominations of U.S.$100,000 and integral multiples of U.S.$1 in excess thereof. U.S.$1 in in reliance in offshore Each Class of Notes sold in offshore transactions in reliance one or more S on Regulation S will initially be represented by one or more a "Temporary Regulation S temporary global notes (each, a 'Temporary Regulation S Global Note"). Each Temporary Regulation S Global Note S Global Note The Bank New will be deposited on the Closing Date with The Bank of New & in for, York as custodian for, and registered in the name of Cede & Company ("DTC"), Co. as nominee of The Depository Trust Company C'DTC"}, Bank SA./N.V., as for the respective accounts of Euroclear Bank SAIN.V., as the ("Euroclear"), and Euroclear operator operator of the Euroclear System ("Euroclear"), and Banking, soci6t6 anonyme ("Clearstream'). Clearstream Banking, societe anonyme ("Clearstream'1, Regulation S Global Note interests in a Beneficial interests in a Temporary Regulation S Global Note Euroclear or Clearstream and may only may be held only through Euroclear or Clearstream and may time a U.S. Person ("U.S. Person') (as be not be held at any time by a U.S. Person ("U.S. Person'1 (as S under the Securities in is such term is defined in Regulation S under the Securities Act). 144A Notes will be issued in the form of Each Class ?Each Class of Rule 144A Notes will be issued in the form of (the "Rule global notes in fully registered one or more global notes in fully registered form (the "Rule one with the Temporary 144A Global Notes" and, together with the' Temporary 144A Global Notes" and the Regulation S Global Regulation S Global Notes and the Regulation S Global Regulation S Notes, the "Global Notes"), deposited with The Bank of New Notes, the "Global Notes"), deposited with The Bank of New York as cu'stodian for, and registered in the name of Cede & York custodian for, and registered in the name of Cede & the account of each Co. as nominee of, DTC, which will credit the account of each Co. as nominee of, DTC, which will Notes being . of its participants with the principal amount of Notes being of its participants with the principal amount 34 34 Minimum Denominations ooo.o... ;oo..ooo.. Minimum Denominations .................. Form of the Securities ....................... ......... Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825404 GS MBS-E-021825404 Footnote Exhibits - Page 5494 purchased by or through such participant. Beneficial interests purchased by or through such participant. Beneficial interests in the Rule 144A Global Notes will be shown on, and in the Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants. maintained by DTC and its direct and indirect participants. The Class D Notes (other than the Regulation S Class D The Class D Notes (other than the Regulation S Class D Notes) will be evidenced by one or more notes in definitive, Notes) will be evidenced by one or more notes in definitive, fully registered form, registered in the name of the owner fully registered form, registered in the name of the owner thereof (each, a "Definitive Note"). thereof (each, a "Definitive Note"). Beneficial interests in the Global Notes and the Definitive Beneficial interests in the Global Notes and the Definitive Notes may not be transferred except in compliance with the Notes may not be transferred except in compliance with the transfer restrictions described herein. See "Description of the transfer restrictions described herein. See "Description of the Securities-Form ofthe Securities" and "Notice to Investors." Securities-Form of the Securities" and "Notice to Investors." The Income Notes (other than the Regulation S Income The Income Notes (other than the Regulation S Income Notes) will be evidenced by one or more notes in definitive, Notes) will be evidenced by one or more notes in definitive, fully registered form, registered in the name of the owner fully registered form, registered in the name of the owner thereof (each, an "Income Note Certificate'1. The Regulation thereof (each, an "Income Note Certificate). The Regulation S Income Notes will be evidenced by a global note in fully S Income Notes will be evidenced by a global note in fully registered form. The Income Notes may not be transferred registered form. The Income Notes may not be transferred except in compliance with the transfer restrictions described except in compliance with the transfer restrictions described herein. See "Description of the Securities-Form of the herein. See "Description of the Securities-Form of the Securities" "Notice to Investors." Securities" and "Notice to Investors." The Notes, the Cashflow Swap Agreement. the The Indenture, the Notes, the Cashflow Swap Agreement, the Administration Agreement Synthetic Securities, the Collateral Administration Agreement Collateral Management Agreement will be governed and the Collateral Management Agreement will be governed New York. The Deed of Covenant, by the laws of the State of New York. The Deed of Covenant, Conditions of the Income Notes and including the Terms and Conditions of the Income Notes and Terms Agreement will be Fiscal Income the Income Notes, the Fiscal Agency Agreement will be governed by the laws of the Cayman Islands. Cayman Islands. Governing Law .............. Governing Law ...........~ ....................... Listing and Trading ........... Listing and Trading oo..ooooo.ooooooooo..oooo.oo the Notes or Income Notes There is currently no market for the Notes or Income Notes market is assurance that such a market will and there can be no assurance that such a market will Factors-Securities-Limited Liquidity develop. See "Risk Factors-Securities-Limited Liquidity Application may be made to and Restrictions on Transfer." .Application may be made to on a stock exchange of the Issuer's admit the Securities on a stock exchange of the Issuer's choice, if practicable. There can be no assurance that such choice, if practicable. There can be no assurance that such granted or maintained. See "Listing be admission will be sought, granted or maintained. See "Listing Information." and General Information. " of the issuance of the Securities that the It is a condition of the issuance of the Securities that the It is a A-1 Notes and the Class A-2 Notes Class S Notes, the Class A-1 Notes and the Class A-2 Notes S Notes, the be rated "Aaa" by Moody's and "AAA" by S&P, that the Class be rated "Aaa" by Moody's and "AAA" by S&P, that the Class B Notes be rated at least nAa2" by Moody's and at least "M" B Notes be rated at least "Aa2" by Moody's and at least "AA" by S&P, that the Class C Notes be rated at least "A2" by by S&P, that the Class C Notes be rated at least "A2" by Moody's and at least "A" by S&P and that the Class D Notes Moody's and at least "A" by S&P and that the Class D Notes be rated at least "Baa2" by Moody's and at least "BBB" by be rated at least "Baa2" by Moody's and at least "BBB" by S&P. The Income Notes will not be rated. A credit rating is S&P. The Income Notes will not be rated. A credit rating is not a recommendation to buy, sell or hold securities and may not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the be subject to revision or withdrawal at any time by the assigning rating agency. See "Ratings of the Notes." assigning rating agency. See "Ratings of the Notes." See "Income Tax Considerations." See "Income Tax Considerations." .. See?~'ERISA.Considerations.~ . See "ERISA.Considerations." - Ratings ................................................ Ratings .......................................... Tax Status ........................................... Tax Status ................................... ERISA Considerations ....................... ERISA Considerations......... 35 35 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825405 GS MBS-E-021825405 (") 0 ::J :=!l :=!! 0.. a. Footnote Exhibits - Page 5495 o 0 .... Or nr ::J (J) TheOifertng Theonenng Securities Issued Cia. . C:leaa Original Principal Amount PrincIpal Stated Maturlly stated Maturity S-1 5?1 September 5.~t1- .... 3 .... III ll> (J) ro -t 5-2 A?1a A?lb A?1b A?1C A?1d B B C C: oecemDer oecemoer J, ZU4T D o I Income Notes ;107.000.000 i107.000.000 Oecel11bJ[r OecembJtr 3, 2039 September 3, 2044 ::J ..c ..0 c (J) (J) ;0 ::0 Reg ~BegO ~BegD S1':;;~ J'llA J'liA NIA NIA NIA NlA NIA NIA NIA N/A NIA NlA NIA NlA NIA .... C/) 3(clm llctm Initial Retinas: Moody's S&P Deferred Interest Pricing Date (;IOSlng Oate C:loslng oate ), Fixed or Floating Rate Inte,...t Accrual Pertod!1l Interest penod!1] (J) a. 0.. '< (j) o 0 III ll> ::J 00" Aaa AAA No NO Asa Aaa AAA No Aaa AAA A88 AAA I / No Aaa AAA AM No I 'Jia 'JIa 1M \AA I Aaa AAA Aa2 AA A BBB Yes NlA N/A NlA NIA NIA NlA Marcn ZOO7 Moren 1 J, Zllll7 Marc I 27. ZOOT Marcl NlA NIA Floating Floating Period ~".'_e_thlrd ~~ 0,: ~".'_o_third ~~tO: each March, June, Floating Ftoattng Floallna Period Floattn!l Ftoattn!l Floating Floating Floatlna FloalinQ Floating Floating FloatinQ Ftoauna Ftoauna FloaUr1!I Ftoallr1!1 Floating NlA NJA Floating Period Floating Period Floaling Period Floating Period 1 Floatina Period Floating I FloatinQ Floatina Period Floetlna Pariod Floatlna Pertod Period Floating Period FtoaUna NlA NIA I December (or If such dey Is nota Business Day, the ne'" (ot Irsuch nexl 1Buslnass Day) and at Stated Maturlty(each, a ~onvuuoo-' Payment Date") and (II) any I Business Maturity (aoch, ~...vuu, ... 3 0.. a. I Payment First Payment Date :.cord Date :ecord Oat. , payments 'Payments lay;ount lay ;ount am 1 or Securities: om I llobal 1I0Dai :USIPS Rule 144A !USIPS U51P5 Regs RegS 151N RegS Reg 5 _J;USIPS ~G D ~USIPS~GO Clearing Method: Rule 144A Reg 5_ RegS_ 1 III ll> o 0 :::T ~ C/) en -~2007 -~2o'07 ~. ~Buslnea' ~Business se,,=-Of se"=-or 4 4. " ~v~2iL07v' ~?~2Q_07"' ~. ser;~er 4. ser;~?? 4 " UO"200'7v uo~2oo7"'" . ~, ~-? ~? ~.' ~. ~v~2OOT.' ~?~2007"' ~. ~?~2007' ~, ~?~2oo7' ~. Quaner!y auarter1Y ACluall360 ACiual/360 ~?"200'7?'? ~-~2oo7"' Quartar!y auaner1Y ACIuaII3611 Actual/3611 . 1 I --'200'7" ~. -~?2ao7"' Quart8l1Y ouart811Y Actuall360 Actuel/360 4, ~o~r 4 " OU8fIarty Quarterly (orlhe lotn tne appllcaDI_ Dale Day prior 10 I he aPplicable Payment Date (or the 1oth Business Day prior to the applicable Payment Date for Securities Issued In to 1 ouarter1Y ouarter!y Quartar!y ouarter1Y Quarter!y ouaner1Y auaneMy QuarteMY Quartany auaneny Quarterly auaneny Quarter!y auarter1Y AClua11360 Actual/360 ACluallJ6(l ActuaiiJ6(l Actualf.l6CI Actualf.l6(l AClUall360 Actual/360 Actuall360 Actual/360 Actuall36C Actuai/36C ACluall360 ACiual/360 . NlA NJA Yel Yes YI Yt as oo 8871, 'AB2 8871o 887' IPACO 66114 'AU6 les res ~ 8871. een Yes No leae, rea as Ill!> \II!l PAM PAAA 887 Gee G88 >AK2 'AK2 IAL4 NJ Oll OTI ~Eurodear ~ Eurodear.. LA OTI Eurocl~ Eurodear_ Ole OTC Euroclear He nc Eumctear Eumclear Eumctear OTI Eurodear Ol' Eumctear Ole OTC Eumclear Eumctear Physical Eurodaar Eurodear PhySical PhYSical _Eu~~ ,. 1. "Floating Period" means. wtth respect to Ihe Class S Noles, the Class A-1 Notes, the Class A?2 Notes.lhe CIao. B Noles. the Class C Notes and the Class D NOles end any Payment Date. the period commencing on and indudlng the immediately means, with respeClto the Noles. A?' Noles. Cla.s A-2 Notes. the Class Nolaoo 0 Notes and Date firstlntereot endlng immediately preceding Payment Date (or the Closing Dale In the case of the first Interest Accrual Period) and ending on and including tha day Immediately preceding such Payment Oate. (j) en s: OJ en I I m "' Q) o 0 tv _., ->. c..n "' o 0 (.n ~ tv <>> 36 Footnote Exhibits - Page 5496 RISK FACTORS RISK FACTORS Prior to making an investment decision, prospective investors should carefully consider, in Prior to making an investment decision, prospective investors should carefully consider, in additionto the matters set forth elsewhere in this Offering Circular, the following factors: addition to the matters set forth elsewhere in this Offering Circular, the following factors: Securities Securities .Limited Liquidity and Restrictions on Transfer. There is currently no market for the Securities. Limited Liquidity and Restrictions on Transfer. There is currently no market for the Securities. Although the Initial Purchaser has advised the Issuers that it intends to make a market in the Securities, Although the Initial Purchaser has advised the Issuers that it intends to make a market in the Securities, the InitiarPurchaser is not obligated to do so, and any such market making with respect to the Securities the InitialPurchaser is not obligated to do so, and any such market making with respect to the Securities may be discontinued at any time without notice. There can be no assurance that any secondary market may be discontinued at any time without notice. There can be no assurance that any secondary market for any of the Notes will develop or, if a secondary market does develop, that it will provide the Holders of for any of the Notes will develop or, ifa secondary market does develop, that it will provide the Holders of the Notes with liquidity of investment or that it will continue for the life of such Notes and consequently a the Notes with liquidity of investment or that it will continue for the life of such Notes and consequently a purchaser must be prepared to hold the Notes until maturity. Consequently, a purchaser must be purchaser must be prepared to hold the Notes until maturity. Consequently, a purchaser must be prepared to hold the Notes for an indefinite period of time or until Stated Maturity. Since it is likely that prepared to hold the Notes for an indefinite period of time or until Stated Maturity. Since it is likely that there will never be a secondarY market for the Income Notes, a purchaser must be prepared to hold its there will never be a secondary market for the Income Notes, a purchaser must be prepared to hold its Income Notes until the Stated Maturity. Income Notes until the Stated Maturity. In addition, no sale, assignment; participation, pledge or transfer of the Securities may be In addition, no sale, assignment, participation, pledge or transfer of the Securities may be effected if, among other things, it would require any of the Issuer, the Co-Issuer or any of their officers or effected if, among other things, it would require any of the Issuer, the Co-Issuer or any of their officers or directors to register under, or otherwise be subject to the provisions of, the Investment Company Act or directors to register under, or otherwise be subject to the provisions of, the Investment Company Act or any other similar legislation or regulatory Furthermore, the Securities will not be registered under any other similar legislation or regulatory action. Furthermore, the Securities will not be registered under the Securities Act or any state securities laws or the laws of any other jurisdiction, and the Issuer has no Securities Act or any laws or laws of any other jurisdiction, and the Issuer has no the the Securities Securities Act or any state securities plans, and is under no obligation, to plans, and is under no obligation, to register the Securities under the Securities Act or any state securities other Secorities are certain transfer restrictions laws or under the laws of any other jurisdiction. The Securities are subject to certain transfer restrictions or under the laws laws and can be transferred to certain herein under "Description of the and can be transferred only to certain transferees as described herein under "Description of the Investors." on the transfer of the Securities-Form of the Securities" Securities-Form of the Securities" and "Notice to Investors." Such restrictions on the transfer of the Securities may "Description Securities-Form of the Securities." limit Securities may further limit their liquidity. See "Description of the Securities-Form of the Securities." Issuer's choice, if Application may be made to admit Application may be made to admit the Securities on a stock exchange of the Issuer's choice, if sought, granted or maintained. practicable. There can be practicable. There can be no assurance that such admission will be sought, granted or maintained. Class D Notes will be limited recourse Limited Recourse Obligations. The Income Notes and the Class D Notes will be limited recourse Limited Recourse Obligations. will be limited recourse obligations obligations of the Issuer and the Notes (other than the Class D Notes) will be limited recourse obligations D obligations of the Issuer and the Notes Issuer to secure the Notes. The Income of the Issuers payable solely from the Collateral pledged by the Issuer to secure the Notes. The Income of the Issuers payable solely by the Collateral Assets or the other Notes are denominated as debt of the Issuer and are not secured by the Collateral Assets or the other Notes are denominated as debt Holders of the Notes, the Holders of collateral securing the Notes. None of the Collateral Manager, the Holders of the Notes, the Holders of Manager, the collateral securing the Notes. the Agents, the Cashflow the Income Notes, the Initial Purchaser, the Trustee, the Issuer Administrator, the Agents, the Cashflow the the Initial the Income Notes, Issuers' affiliates or any other person or Swap Counterparty or any affiliates of any of the foregoing or the Issuers' affiliates or any other person or foregoing Swap Counterparty or any affiliates entity will be obligated to make payments on the Notes or the Income Notes. Consequently, Holders of entity will be obligated to make payments on the Notes or the Income Notes. Consequently, Holders of the Notes and Income Notes must rely solely on distributions on the Collateral pledged to secure the the Notes and Income Notes must rely solely on distributions on the Collateral pledged to secure the Notes for the payment of principal, interest and premium, if any, thereon. If distributions on the Collateral Notes for the payment of principal, interest and premium, if any, thereon. Ifdistributions on the Collateral are insufficient to make payments on the Notes and Income Notes, no other assets (and, in particular, no are insufficient to make payments on the Notes and Income Notes, no other assets (and, in particular, no assets of the Collateral Manager, the Holders of the Notes, the Holders of the Income Notes, the Initial assets of the Collateral Manager, the Holders of the Notes, the Holders of the Income Notes, the Initial Purchaser, the Trustee, the Issuer Adminisfrator, the Agents, the Cashflow SWap Counterparty or any Purchaser, the Trustee, the Issuer Administrator, the Agents, the Cashflow Swap Counterparty or any affiliates of any of the foregoing) will be available for payment of the deficiency, and following realization affiliates of any of the foregoing) will be available for payment of the deficiency, and following realization of the Collateral pledged to secure the Notes, the obligations of the Issuers to pay such defiCiency shall of the Collateral pledged to secure the Notes, the obligations of the Issuers to pay such deficiency shall be extinguished. be extinguished. Subordination of the Securities. Payments of principal on the Class S-1 Notes will be senior to Subordination of the Securities. Payments of principal on the Class S-1 Notes will be senior to payments of principal of the Class S-2 Notes, the Class A-1 Notes, Class A-2 Notes, Class B Notes, payments of principal of the Class S-2 Notes, the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class S-2 Notes will be senior to payments of principal of the Class A-2 Payments of principal on the Class S-2 Notes will be senior to payments of principal of the Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on-the Class A-1 Notes will be senior to payments of principal each Payment Date. Payments of principal on the Class A-1 Notes will be senior to payments of principal of the Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the of the Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of prinCipal on the Class S-2 Notes and the Class A-1 Income Notes on each Payment Date. Payments of principal on the Class S-2 Notes and the Class A-I 37 37 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825407 GS MBS-E-021825407 Footnote Exhibits - Page 5497 Notes will be paid as described in the Priority of Payments. Payments of principal on the Class A-2 Notes Notes will be paid as described inthe Priority of Payments. Payments of principal on the Class A-2 Notes will be senior to payments of principal of the Class B Notes, Class C Notes and Class D Notes and senior will be senior to payments of principal of the Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class B Notes to payments on the Income Notes on each Payment Date. Payments of principal on the Class B Notes wi1l be senior to payments of principal on the Class C Notes and the Class 0 Notes and senior to will be senior to payments of principal on the Class C Notes and the Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class C Notes will payments on the Income Notes on each Payment Date. Payments of principal on the Class C Notes will be senior to payments of principal on the Class D Notes and senior to payments on the Income Notes on be senior to payments of principal on the Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class D Notes due on any Payment Date will be senior each Payment Date. Payments of principal on the Class D Notes due on any Payment Date will be senior to payments on the Income Notes on such Payment Date. As a result of the Priority of Payments, to payments on the Income Notes on such Payment Date. As a result of the Priority of Payments, notwithstanding the subordination of the Notes described under "Description of the Securities-Status notwithstanding the subordination of the Notes described under "Description of the Securities-Status and Security, the Class S-2 Notes will be entitled to receive certain payments of principal while the Class and Security,"orthe Class S-2 Notes will be entitled to receive certain payments of principal while the Class S-1.Notes are outstanding, the Class A-1 Notes will be entitled to receive certain payments of principal S-1.Notes are outstanding, the Class A-1 Notes will be entitled to receive certain payments of principal while the Class S Notes are outstanding, the Class A-2 Notes will be entitled to receive certain payments while the Class S Notes are outstanding, the Class A-2 Notes will be entitled to receive certain payments of principal while the Class S Notes and the Class A-1 Notes are outstanding, the Class B Notes will be of principal while the Class S Notes and the Class A-1 Notes are outstanding, the Class B Notes will be entitled to receive certain payments of principal while the Class S Notes and the Class A Notes are entitled to receive certain payments of principal while the Class S Notes and the Class A Notes are outstanding, the Class C Notes will be entitled to receive certain payments of principal while the Class S outstanding, the Class C Notes will be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes and the Class Notes are outstanding and the Class D Notes will be entitled to Notes, the Class A Notes and the Class B Notes are outstanding and the Class D Notes will be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes, the Class B Notes and receive certain payments of principal while the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are outstanding. In the Income Notes will be entitled to receive certain the Class C Notes are outstanding. In addition, the Income Notes will be entitled to receive certain payments while the Notes are outstanding. See "Description of the Securities-Priority of Payments." To payments while the Notes are outstanding. See "Description of the Securities-Priority of Payments." To such losses will be borne the extent that any are incurred the Issuer respect of any the extent that any losses are incurred by the Issuer in respect of any Collateral, such losses will be borne first by Holders of the Income Notes: then, Holders of the Class Notes: then, by Holders of the Class first by Holders of the Income Notes; then, by Holders of the Class D Notes; then, by Holders of the Class C Notes: Holders the Notes: Holders of A-2 Notes; then, by Holders C Notes; then, by Holders of the Class B Notes; then, by Holders of the Class A-2 Notes; then, by Holders of the S-2 Notes: then, by Holders the Notes: then, by the Holders of the Class Aof the Class S-2 Notes; then, by the Holders of the Class A-1d Notes; then, by the Holders of the Class A1c Notes; then, by Holders the A-1 b Notes: then, of the Class A-1 a Notes and Ic Notes; then, by the Holders of the Class A-lb Notes; then, by the Holders of the Class A-Ia Notes and S-1 . finally, by Holders ofthe finally, by Holders of the Class S-1 Notes. Class due on Date will be senior to Payments of interest on the Class S-1 Notes due on any Payment Date will be senior to S-2 A-1 Class B Notes, Class payments of interest on the Class S-2 Notes, the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class payments of interest on Income C Notes and Class D Notes and senior to payments on the Income Notes on such Payment Date. on such Payment Date. D C Notes and will be paid pro rata with Payment Payments of interest S-2 Payments of interest on the Class 5-2 Notes due on any Payment Date will be paid pro rata with will be senior to payments of payments of interest on the Class A-1 Notes and the Class A-2 Notes and will be senior to payments of of interest on payments senior payments on the Income interest on the Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income C D interest on the Class B Notes due on any Payment Date Notes on such Payment Date. Payments of interest on the Class A-1 Notes due on any Payment Date such Payment Notes on the Class A-2 Notes and will be Notes will be paid pro rata with payments of interest on the Class S-2 Notes and the Class A-2 Notes and will be will be paid pro and Class D Notes and senior to C senior to payments of interest on the Class B Notes, Class C Notes and Class D Notes and senior to B senior to payments of interest on the Class A-2 Notes due payments on the Income Notes on such Payment Date. Payments of interest on the Class A-2 Notes due payments on the Income interest on the Class S-2 Notes and the on any Payment Date will be paid pro rata with payments of interest on the Class S-2 Notes and the rata on any Payment Date the Class B Notes, Class C Notes and Class A-1 Notes and will be senior to payments of interest on the Class B Notes, Class C Notes and Class A-1 Notes Class D Notes and senior to payments on the Income Notes on such Payment Date. Payments of Income Notes on such Payment Date. Payments of on Class D Notes and be senior to payments of interest on the interest on the Class B Notes due on any Payment Date will be senior to payments of interest on the Payment interest on the Class B Notes due on the Income Notes on such Payment Class C Notes and the Class D Notes and senior to payments on the Income Notes on such Payment to payments Class C Notes and the Class D Notes Payment Date will be senior to payments of Date. Payments of interest on the Class C Notes due on any Payment Date will be senior to payments of C Notes due on Date. Payments of interest the Class Income Notes on such Payment Date. interest on the Class D Notes and senior to payments on the Income Notes on such Payment Date. to payments on interest on the Class D Notes and Payments of interest on the Class D Notes due on any Payment Date will be senior. to payments on the Payments of interest on the Class D Notes due on any Payment Date will be senior to payments on the Income Notes on such Payment Date. See "DeSCription of the Securities." Income Notes on such Payment Date. See "Description of the Securities." On any Payment Date on which certain conditions are satisfied and funds are available therefor, On any Payment Date on which certain conditions are satisfied and funds are available therefor, the "shifting principal" method in clause (xii) of the Priority of Payments may permit Holders of the Class A the "shifting principal" method in clause (xii) of the Priority of Payments may permit Holders of the Class A Notes" the Class B Notes, Class C Notes and Class 0) Notes to receive payments of principal in Notes, the Class B Notes, Class C Notes and Class Notes to receive payments of principal in accordance with the Priority of Payments while more senior Classes of Notes remain outstanding and accordance with the Priority of Payments while more senior Classes of Notes remain outstanding and may permit distributions of Principal Proceeds to the Holders of the Income Notes, to the extent funds are may permit distributions of Principal Proceeds to the Holders of the Income Notes, to the extent funds are available in accordance with the Priority of Payments, while the Notes are outstanding. Amounts properly available in accordance with the Priority of Payments, while the Notes are outstanding. Amounts property paid pursuant to the Priority of Payments to a junior Class of Notes or to the Income Notes will not be paid pursuant to the Priority of Payments to a junior Class of Notes or to the Income Notes will not be recoverable in the event of ~ subs~quent s!lortf~n in. the amount required to pay a more senior Class of a subsequent shortfall in the amount required to pay a more senior Class of recoverable in the event of -'-'.' Notes. ---.--. -- Notes. -,~. 38 38 ...... Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825408 GS MBS-E-021825408 Footnote Exhibits - Page 5498 Holders of the Controlling Class may not be able /0 effect liquidation of the Collateral in an Holders of the Controlling Class may not be able to effect aaliquidation of the Collateral in an of Default: Holders of other Classes of Notes and the Income Notes may be Adversely Affected by Eventof Default; Holders of other Classes of Notes and the Income Notes may be Adversely Affected by Event Actions of the Controlling Class. If an Event of Default occurs and is continuing, a Majority? of the Actions of the Controlling Class. If an Event of Default occurs and is continuing, a Majority of the Controlling Class will be entitled to determine the remedies to be exercised under the Indenture; however, Controlling Class will be entitled to determine the remedies to be exercised under the Indenture; however, theMajority of the Controlling Class will not be able to direct a sale or liquidation of the Collateral unless, the Majority of the Controlling Class will not be able to direct a sale or liquidation of the Collateral unless, . among other things, the Trustee determines that the anticipated proceeds of such sale or liquidation (after among other things, the Trustee determines that the anticipated proceeds of such sale or liquidation (after "deducting the reasonable expenses of such sale or liquidation) would be sufficient to pay in full the sum of deducting the reasonable expenses of such sale or liquidation) would be sufficient to pay in full the sum of (A) the principal (including any Class C Deferred Interest and Class 0 Deferred Interest) and accrued (A) the principal (including any Class C Deferred Interest and Class D Deferred Interest) and accrued interest (including all Defaulted Interest, and interest thereon) and any other amounts due with respect to interest (including all Defaulted Interest, and interest thereon) and any other amounts due with respect to all the outstanding Notes, (B) unpaid Administrative Expenses, (C) all amounts payable by the Issuer to all the outstanding Notes, (B) unpaid Administrative Expenses, (C)all amounts payable by the Issuer to the Synthetic Security Counterparty or an assignee of a Synthetic Security (other than Defaulted the Synthetic Security Counterparty or an assignee of a Synthetic Security (other than Defaulted Synthetic Security Termination Payments) net of all amounts payable to the Issuer by any Synthetic Synthetic Security Termination Payments) net of all amounts payable to the Issuer by any Synthetic Security Counterparty or an assignee of a Synthetic Security, (D) all amounts payable by the Issuer to Security Counterparty or an assignee of a Synthetic Security, (D)all amounts payable by the Issuer to any Cashflow Swap Counterparty (including any applicable termination payments other than Defaulted any Cashflow Swap Counterparty (including any applicable termination payments other than Defaulted Cashflow Swap Termination Payments) net of all amounts payable to the Issuer by any Cashflow Swap Cashflow Swap Termination Payments) net of all amounts payable to the Issuer by any Cashflow Swap Counterparty, (E) accrued and unpaid Deferred Structuring Expenses, (F) accrued and unpaid Collateral Counterparty, (E) accrued and unpaid Deferred Structuring Expenses, (F) accrued and unpaid Collateral Management Fees, including any Cumulative Deferred Management Fees and (G) all other items in the Management Fees, including any Cumulative Deferred Management Fees and (G)all other items in the Priority of Payments ranking prior to payments on the Notes. There can be no assurance that proceeds Priority of Payments ranking prior to payments on the Notes. There can be no assurance that proceeds of a sale and liquidation, together with all other available funds, will be sufficient to pay in full such of a sale and liquidation, together with all other available funds, will be sufficient to pay in full such amount. In addition, even if the anticipated proceeds of such sale or liquidation would not be sufficient to amount. In addition, even if the anticipated proceeds of such sale or liquidation would not be sufficient to and any Cashflow Swap pay in full such amount, the Holders of a SupraMajority of the Controlling pay in full such amount, the Holders of a SupraMajority of the Controlling Class and any Cashflow Swap Counterparty (unless any such Cashflow Swap Counterparty will be paid in full the amounts due to it other (unless any Cashflow Swap Counterparty will paid in full the amounts due to it other Counterparty than any Defaulted Cashflow Swap Termination Payments the time of distribution of the proceeds of than any Defaulted Cashflow Swap Termination Payments at the time of distribution of the proceeds of any sale or liquidation of the Collateral) may the Collateral. any sale or liquidation of the Collateral) may direct the sale and liquidation of the Collateral. Remedies pursued S-1 the Class A-1 Notes could be Remedies pursued by the Holders of the Class S-1 Notes and the Class A-1 Notes could be S-2 B Notes, adverse to the interests of the Holders of the Class S-2 Notes, the Class A-2 Notes, the Class B Notes, adverse to the interests of the HolderS of the S-1 Notes and the Class Athe Class C Notes, the Class D Notes and the Income Notes. After the Class S-1 Notes and the Class AClass C Notes, the Class D the and Class A-2 Notes will be 1 Notes are no longer outstanding, Holders I Notes are no longer outstanding, the Holders of the Class S-2 Notes and Class A-2 Notes will be Indenture (except as noted above) if an entitled to determine the remedies to be exercised under the Indenture (except as noted above) if an determine the remedies entitled to no longer outstanding, the S A Event of Default occurs. After the Class S Notes and the Class A Notes are no longer outstanding, the Event of Default occurs. After the to be exercised under the Holders of the Class B Notes will be entitled to determine the remedies to be exercised under the Holders of the Class B Notes Class S Notes, the Class A Indenture (except as noted above) if an Event of Default occurs. After the Class S Notes, the Class A occurs. After Indenture (except as noted above) if Class C Notes will be entitled of Notes and the Class B Notes are no longer outstanding, the Holders of the Class C Notes will be entitled Notes and the Class B Notes are (except as noted above) if an Event of to determine the remedies to be exercised under the Indenture (except as noted above) if an Event of to determine the remedies to be exercised the Class B Notes and the Class C Notes are Default occurs. After the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are A the occurs. After the Class S Default determine the remedies to be no longer outstanding, the Holders of the Class 0 Notes will be entitled to determine the remedies to be Class D Notes no longer outstanding, the Holders of exercised under the Indenture (except as noted above) if an Event of Default occurs. See "Description of above) if an Event of Default occurs. See "Description of as exercised under the Indenture (except the Securities-The Indenture and the Fiscal Agency Agreement-Events of Default." Fiscal Agency Agreement-Events of Default." the Securities-The Indenture and COO Securities May Defer Interest. Certain of the CDO Securities and Synthetic Securities the CDO Securities May Defer Interest. Certain of the CDO Securities and Synthetic Securities the Reference Obligations of which are COO Securities as of the Closing Date consists of or references PIK Reference Obligations of which are CDO Securities as of the Closing Date consists of or references PIK Bonds. . While the Cashflow Swap Counterparty will make advances to the Issuer to cover .certain Bonds. While the Cashflow Swap Counterparty will make advances to the Issuer to cover certain Cashflow Swap Shortfall Amounts that could result in a shortfall of current interest payments on the Class Cashflow Swap Shortfall Amounts that could result in a shortfall of current interest payments on the Class S Notes, the Class A Notes and the Class B Notes, the Issuer may have insufficient funds as a result of S Notes, the Class A Notes and the Class B Notes, the Issuer may have insufficient funds as a result of such deferrals or payments "in-kind" to make payments on the Notes or distributions in respect of the such deferrals or payments "in-kind" to make payments on the Notes or distributions in respect of the Income Notes. Income Notes. Status of the Income No/es. The Income Notes are unsecured debt obligations of the Issuer and Status of the Income Notes. The Income Notes are unsecured debt obligations of the Issuer and are not secured by the Collateral Assets or the other Collateral securing the Notes. As such, the Holders . are not secured by the Collateral Assets or the other Collateral securing the Notes. As such, the Holders of the Income Notes will rank behind the Holders of the Notes and any other secured creditors as set forth of the Income Notes will rank behind the Holders of the Notes and any other secured creditors as set forth in the Indenture and pari passu with the unsecured creditors, whether secured or unsecured and known in the Indenture and pan passu with the unsecured creditors, whether secured or unsecured and known or unknown, of the Issuer. No person "or entity other than the Issuer will be required to make any or unknown, of the Issuer. No person-or entity other than the Issuer will be required to make any payments on the Income Notes. Except with respect to the obligations of the Issuer to make payments payments on the Income Notes. Except with respect to the obligations of the Issuer to make payments pursuant to the Priority of Payments (and outside of the Priority of Payments with respect to the Synthetic pursuant to the Priority of Payments (and outside of the Priority of Payments with respect to the Synthetic ~. -.-. --~ .: .--...... 39 39 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825409 GS MBS-E-021825409 Footnote Exhibits - Page 5499 Security Counterparties), the Issuer does not expect to have any creditors. The funds available to be paid Security the Issuer does not expect to have any creditors. The funds available to be paid to the Fiscal Agent for the benefit of the Holders of the Income Notes will depend in part on the weighted to the Fiscal Agent for the benefit of Holders the Income Notes will depend in part on the weighted average the Note Interest Rates. average of the Note Interest Rates. Amounts on deposit in Income Note Payment Account (as defined herein) will not be available Amounts on deposit in the Income Note Payment Account (as defined herein) will not be available pay amounts due to the Holders of to pay amounts due to the Holders of the Notes, the Trustee, the Collateral Manager, the Cashflow Swap Notes, the Trustee, Collateral the Cashfiow Swap Counterparty, the Synthetic Security Counterparty any other creditor of the Issuer whose Counterparty, the Synthetic Security Counterpar1y or any other creditor of the Issuer whose claim is is limited in recourse the However, amounts deposit in the Income Note Payment limited in recourse to the Collateral. However, amounts on deposit in the Income Note Payment Account (as defined herein) may be subject to the claims creditors (as defined herein) may be subject to the claims of creditors of the Issuer that have not contractually Issuer that not contractually limited their recourse to the Collateral. The Indenture and Fiscal limited their recourse to the Collateral. The Indenture and the Fiscal Agency Agreement will limit the limit the Issuers activities to the issuance and sale of the Securities, Issuer's activities to the issuance and sale of the Securities, the acquisition and disposition of the acquisition the Collateral Assets, the acquisition and disposition of, Collateral Assets, the acquisition and disposition of, and investment and reinvestment in, the Eligible and in, Investments related the Investments and the other activities related to the issuance and the sale of the Securities described under sale of the Securities described under 'The Issuers". The Issuer does not expect "The Issuers". The Issuer does not expect to have any significant full recourse liabilities that would be recourse be payable out of amounts deposit in payable out of amounts on deposit in the Income Note Payment Account (as defined herein). (as herein). Leveraged Investment. The Income a Leveraged Investment. The Income Notes represent a leveraged investment in the underlying in underlying Collateral Assets. of leverage generally magnifies investor's Collateral Assets. The use of leverage generally magnifies an investor's opportunities for gain and risk of risk of loss. Therefore, changes in the market value of loss. Therefore, changes in the market value of the Income Notes can be expected to be greater than changes in the market value of the underlying in changes in the market value of the underlying assets included in the Collateral Assets, which are also which subject to credit, liquidity and risk. subject to credit, liquidity and interest rate risk. Optional Redemption and Tax Optional Redemption and Tax Redemption of Securities. Subject to the satisfaction of certain Securities. conditions, the Securities may be in conditions, the Securities may be optionally redeemed in whole and not in part (i) on any Payment Date in (i) on or after March 2010 Payment Date in on or after the March 2010 Payment Date in connection with an Optional Redemption by Liquidation at at the written direction or with the written of, the written direction of, or with the written consent of, Holders of at least a Majority of the Income Notes or a or (ii) on any Payment Date upon occurrence a (ii) on any Payment Date upon the occurrence of a Tax Event, at the written direction of, or with the written consent of, Holders of at least 66-2/3% of the aggregate outstanding notional principal amount of 66-2/3% written of the affected Income Notes or the Holders of at least a Majority of any Class of Notes, if as a result of an affected Income Notes a a an occurrence of Event, such Class occurrence of a Tax Event, such Class of Notes has not received 100% of the aggregate amount of 100% principal and interest prinCipal and interest due and payable on such Class of Notes. Subject to the satisfaction of certain conditions, any Classes of Notes redeemed in in any conditions, any Class or Classes of Notes may be optionally redeemed in whole and not in part on any Payment or after Payment Date on or after the March 2010 Payment Date in connection with an Optional Redemption by in Redemption by Refinancing at the of, Refinancing at the written direction of, or with the written consent of, Holders of at least a Majority of the Income Notes. If an Optional Redemption by Liquidation or Tax Redemption occurs, the Income Notes If Income will be redeemed simultaneously. redeemed . There can be that Securities There can be no assurance that after payment of the Redemption Prices for the Securities and all payment other amounts payable in accordance with the Priority of Payments, any additional Proceeds will remain other amounts payable in accordance to distribute Income "Description to distribute to the Holders of the Income Notes upon redemption. See "Description of the SecuritiesSecuritiesOptional Redemption" and "-Tax Redemption." An Optional Redemption by Liquidation or Tax Optional Redemption" Redemption." Redemption Redemption of the Securities could require the Collateral Manager to liquidate positions more rapidly than Securities Collateral Manager more Redemption would otherwise be desirable, which could adversely affect the realized value of the Collateral Assets Assets would sold. In addition, the redemption procedures in the Indenture may require the Collateral Manager to sold. In redemption in Indenture may Manager aggregate securities to be sold together in one block transaction, thereby possibly resulting in a lower thereby in a lower aggregate together in aggregate realized value for the Collateral Assets sold. In any event, there can be no assurance that the Collateral In the aggregate market value of the Collateral Assets will be sufficient for the Holders of the Income Notes to direct an of be sufficient Income an market Optional Redemption or, in the case of a Tax Redemption, for the Holders of the affected Class of Notes in the Tax Holders of the affected of Optional Redemption or Income Notes to direct a Tax Redemption. A decrease in the market value of the Collateral Assets Notes to direct a Redemption. A decrease market value the would adversely affect the proceeds that could be obtained upon a sale of the Collateral Assets; be obtained upon sale would adversely affect consequently, the conditions precedent to the exercise of an Optional Redemption by Liquidation or a Tax consequently, conditions to an Optional Redemption by Tax Redemption may not be met. The interests of the Holders of the Income Notes in determining whether to Holders Income in determining Redemption not interests elect to effect an Optional Redemption and the interests of the Holders of the affected Class of Notes and Optional Redemption and the interests of the Holders of the affected Class of Notes and effect the Income Notes with respect to a Tax Redemption may be different from the interests of the Holders of-'of the Holders -of the Income Notes with respectto-aTax Redemption be different from the other Classes of Securities in such respect. The Holders of the Securities also may not be able to the other Classes of in such The of Securities may not be invest the proceeds of the redemption of the Securities in one or more investments providing a return one or more? investments invest proceeds of redemption of the Securities 40 40 Confidential Treatment Requested Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S41 GS MBS-E-0218254100 Footnote Exhibits - Page 5500 equal to or greater than the Holders of the Securities expected to obtain from their investment in the equal to or greater than the Holders of the Securities expected to obtain from their investment in the Securities. An Optional Redemption or a Tax Redemption will shorten the average lives of the Securities Securities. An Optional Redemption or a Tax Redemption will shorten the average lives of the Securities and the duration of the Securities and may reduce the yield to maturity of the Notes. and the duration of the Securities and may reduce the yield to maturity of the Notes. Refinancing. Subject to the satisfaction of certain conditions, the Issuer (at the direction of or with Refinancing. Subject to the satisfaction of certain conditions, the Issuer (at the direction of or with the written consent of the Holders of a Majority of the Income Notes) may effect an Optional Redemption the written consent of the Holders of a Majority of the Income Notes) may effect an Optional Redemption through an Optional Redemption by Refinancing. Among other reasons, the Holders of the Income Notes through an Optional Redemption by Refinancing. Among other reasons, the Holders of the Income Notes may elect to direct the Issuer to effect an Optional Redemption by Refinancing if interest rates on may elect to direct the Issuer to effect an Optional Redemption by Refinancing if interest rates on investments similar to any Class or Classes of Notes fall below current levels or such Holders otherwise investments similar to any Class or Classes of Notes fall below current levels or ififsuch Holders otherwise expect the Issuer to be able to achieve improved pricing. If exercised, such Optional Redemption by expect the Issuer to be able to achieve improved pricing. If exercised, such Optional Redemption by Refinancing would result in each such.Class of Notes being redeemed at the Redemption Price in respect Refinancing would result in each such Class of Notes being redeemed at the Redemption Price in respect thereof at a time when they may be trading in the market at a premium and when other investments thereof at a time when they may be trading in the market at a premium and when other investments bearing the same rate of interest relative to the level of risk assumed may be difficult or expensive to bearing the same rate of interest relative to the level of risk assumed may be difficult or expensive to acquire. In addition, if any Class or. Classes of Notes are redeemed in connection with an Optional acquire. In addition, if any Class or. Classes of Notes are redeemed in connection with an Optional Redemption by Refinancing in which additional notes are issued or borrowings under secured loans are Redemption by Refinancing in which additional notes are issued or borrowings under secured loans are made, the Income Notes will be, and certain Classes of Notes may be, subordinate to payments on such made, the Income Notes will be, and certain Classes of Notes may be, subordinate to payments on such additional notes or secured loans. The additional notes issued, or secured loans obtained, as the case additional notes or secured loans. The additional notes issued, or secured loans obtained, as the case may be, in connection with an Optional Redemption by Refinancing would have such terms and priorities may be, in connection with an Optional Redemption by Refinancing would have such terms and priorities as are negotiated at the time and that are set forth in supplemental indenture. as are negotiated at the time and that are set forth in a supplemental indenture. Auction. There can be no Auction of the Collateral on any Auction Date will be Auction. There can be no assurance that an Auction of the Collateral on any Auction Date will be average lives of the Notes and the successful. The failure of an Auction may successful. The failure of an Auction may lengthen the expected average lives of the Notes and the duration of the Income Notes, may to maturity of Notes may adversely affect the duration of the Income Notes, may reduce the yield to maturity of the Notes and may adversely affect the on the Income Notes. A Auction the Collateral is not required to result in any proceeds yield on the Income Notes. A successful Auction of the Collateral is not required to result in any proceeds yield the Income in of an AUction, Holders of for distribution to the Holders for distribution to the Holders of the Income Notes. Accordingly, in the event of an Auction, Holders of Income Notes may have redeemed receMng any additional distributions on Income Income Notes may have their Income Notes redeemed without receiving any additional distributions on such Income Notes. In addition, the success of an Auction will shorten the average lives of the Notes and of shorten lives of the Notes and such Income Notes. In addition, Notes. maturity the duration of the Securities and may reduce the yield to maturity of the Notes. duration of the Securities the AB Overcollateralization Test is not met on the Mandatory Redemption of Notes. If the Class AlBOvercollateralization Test is not met on the If Mandatory Redemption that otherwise might have been Determination Date immediately preceding a Payment Date, Proceeds that otherwise might have been a Date immediately Determination Income Notes will be used to and D C distributed to the Holders of the distributed to the Holders of the Class C Notes, the Class 0 Notes and the Income Notes will be used to A-1 Note Payment the redeem, first, the Class A-1 Notes until paid in full (in accordance with the Class A-1 Note Payment first, the Class A-1 (in in redeem, Notes until paid in full and Class Sequence), second, the Class S-2 Notes uritil paid in full, third, the .Class A-2 Notes until paid in full and in until Sequence), second, the Test is not met on the fourth, the Class B Notes until paid il) full. If the Class C Overcollateralization Test is not met on the C If the fourth, the Class B Notes until paid in that otherwise might have been Determination Date immediately preceding a Payment Date, Proceeds that otherwise might have been a Determination Date immediately Income Notes will be used (a) to distributed to the Holders of the Class 0 Notes and/or the Holders of the Income Notes will be used (a) to distributed to the Holders of the Class D Notes and/or redeem, from Principal Proceeds only, pro rata, the Class A Notes until paid in full (provided, that the Class A Notes until paid in full (provided, that the from Principal Proceeds redeem, Sequence), the Class B Class A-1 Notes will be paid in accordance with the Class A-1 Note Payment Sequence), the Class B Class A-1 Notes will be paid in accordance with the Class provided, however, that if the Net in Notes until paid in full and the Class C Notes until paid in full; provided, however, that if the Net the Class C Notes until Notes until paid in full and Outstanding Portfolio Collateral Balance is less than U.S.$500,OOO,OOO, then such amount shall be paid Outstanding Portfolio Collateral Balance is less than U.S.$500,000,000, then such amount shall be paid first, to the payment of prinCipal of all outstanding Class A-1 Notes in accordance with the Class A-1 Note first, to the payment of principal of all outstanding Class A-1 Notes in accordance with the Class A-1 Note Payment Sequence until the Class A-1 Notes are paid in full, second, to the payment of principal of all Payment Sequence until the Class A-1 Notes are paid in full, second, to the payment of principal of all outstanding Class A-2 Notes until the Class A-2 Notes are paid in full, third, to the payment of principal of outstanding Class A-2 Notes until the Class A-2 Notes are paid in full, third, to the payment of principal of all outstanding Class B Notes until the Class B Notes are paid in full, and fourth, to the payment of all outstanding Class B Notes until the Class B Notes are paid in full, and fourth, to the payment of principal of all outstanding Class C Notes, until the Class C Notes are paid in full and (b) to pay, with any principal of all outstanding Class C Notes, until the Class C Notes are paid in full and (b)to pay, with any remaining Proceeds, the principal of all outstanding Class C Notes until the Class C Notes are paid in full. remaining Proceeds, the principal of all outstanding Class C Notes until the Class C Notes are paid in full. If the Class 0 OVercollateralization Test is not met on the Determination Date immediately preceding a If the Class D Overcollateralization Test is not met on the Determination Date immediately preceding a Payment Date, Proceeds that otherwise might have been distributed to the Holders of the Class C Notes Payment Date, Proceeds that otherwise might have been distributed to the Holders of the Class C Notes and the Income Notes will be used to redeem the Class 0 Notes until paid in full. The foregoing and the Income Notes will be used to redeem the Class D Notes until paid in full. The foregoing redemptions could result in an elimination, deferral or reduction in the amounts available to make redemptions could result in an elimination, deferral or reduction in the amounts available to make payments to the Holders of the Class C Notes, the Class 0 Notes and the Income Notes. See "Security payments to the Holders of the Class C Notes, the Class D Notes and the Income Notes. See "Security for the Notes-The Coverage Tests." Any such redemptions will shorten the average life of the for the Notes-The Coverage Tests." Any such redemptions will shorten the average life of the .. redeemed Notes, may lower the yield to maturity of the Notes and may adversely affect the, yield 911 the. redeemed Notes, may lower the yield to maturity of the Notes and may adversely affect the, yield 9D the. Income Notes. Income Notes. ~ ... :"' ... --::-:--.:...;:: 41 41 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182541.1 GS MBS-E-021825411 Footnote Exhibits - Page 5501 Collateral Accumulation. In anticipation of the issuance of the Securities, an affiliate of Goldman, Collateral Accumulation. In anticipation of the issuance of the Securities, an affiliate of Goldman, .Sachs & Co. has agreed to 'Warehouse" up to approximately U.S.$1,000,000,000 aggregate Principal Sachs & Co. has agreed to "warehouse" up to approximately U.S.$1,OOO,OOO,OOO aggregate Principal Balance (or, in the case of Synthetic Securities, Reference Obligation Notional Amount) of Collateral Balance (or, in the case of Synthetic Securities, Reference Obligation Notional Amount) of Collateral Assets and up to U.S.$930,OOO,OOO aggregate principal amount of Default Swap Collateral selected by Assets and up to U.S.$930,000,000 aggregate principal amount of Default Swap Collateral selected by the Collateral Manager for resale to the Issuer pursuant to the terms of forward purchase agreement. the Collateral Manager for resale to the Issuer pursuant to the terms of aaforward purchase agreement. As part of the warehouse arrangement, such affiliate of Goldman, Sachs & Co., the Issuer and third Issuer and As part of the warehouse arrangement, such affiliate of Goldman, Sachs & Co., the the value of third parties may enter into certain ancillary arrangements under which the risk of loss of the value ofthe may enter into certain ancillary arrangements under which the risk of loss of the parties Collateral Assets during the accumulation period will be shared. Of such amount of Collateral Assetsto to Collateral Assets during the accumulation period will be shared. Of such amount of Collateral AssetsCo. be "warehoused", it is expected that a portion will be purchased from affiliates of Goldman, Sachs & & be "warehoused", itis expected that a portion will be purchased from affiliates of Goldman, Sachs will Co. and a portion will be. purchased from third parties. It is also expected that a portion of such amount be and a portion will be purchased from third parties. It is also expected that a portion of such amount willbe represented by one or more Synthetic Securities entered into between the Issuer and Goldman, Sachs& represented by one or more Synthetic Securities entered into between the Issuer and Goldman, Sachs & Co. or an affiliate thereof wherein the Issuer will be selling credit protection. Pursuant to the terms of the Co. or an affiliate thereof wherein the Issuer will be selling credit protection. Pursuant to the terms of the forward purchase agreement, the Issuer will be obligated to purchase the ''warehoused'' assets provided forward purchase agreement, the Issuer will be obligated to purchase the "warehoused" assets provided such Collateral Assets satisfy certain eligibility criteria on the Closing Date for a formula purchase price such Collateral Assets satisfy certain eligibility criteria on the Closing Date for a formula purchase price designed to reflect the yields or spreads (or premiums in the case of Synthetic Securities) at which the designed to reflect the yields or spreads (or premiums in the case of Synthetic Securities) at which the Collateral Assets were purchased (using the prepayment speed and other assumptions? used to ,set the Collateral Assets were purchased (using the prepayment speed and other assumptions used to set the initial price of each individual asset), as adjusted for any hedging gain or loss and any loss or gain on any initial price of each individual asset), as adjusted for any hedging gain or loss and any loss or gain on any Collateral Assets sold to a party other than the Issuer during the warehousing period. Consequently, the Collateral Assets sold to a party other than the Issuer during the warehousing period. Consequently, the market values of ''warehoused'' Collateral Assets at the ClOSing Date may be less than or greater than the market values of "warehoused" Collateral Assets at the Closing Date may be less than or greater than the formula purchase price paid by the In addition, a Collateral Asset becomes ineligible during the formula purchase price paid by the Issuer. In addition, ifa Collateral Asset becomes ineligible during the warehousing period and is not purchased by the Issuer on the Closing Date, or if a Collateral Asset is warehousing period and is not purchased by the Issuer on the Closing Date, or if a Collateral Asset is otherwise sold at the direction of the Collateral Manager or Goldman, Sachs.& Co. (which sale may only otherwise sold at the direction of the Collateral Manager or Goldman, Sachs.& Co. (which sale may only occur with the consent of Goldman, Sachs & Co.'s), the Issuer will bear the loss or receive the gain on the occur with the consent of Goldman, Sachs & Co.'s), the Issuer will bear the loss or receive the gain on the . sale of such Collateral Asset to third sale of such Collateral Asset to a third party. Disposition of Collateral Assets by the Manager Under Certain Circumstances. Under Disposition of Collateral Assets by the Collateral Manager Under Certain Circumstances. Under the Indenture, the Collateral Manager has the right, but is not obligated, to direct the Issuer to sell, at a is not the Issuer to sell, at a the Indenture, the Collateral Manager has the right, price equal to the fair market value, Collateral Assets meeting the definition of Credit Risk Obligations, equal to the fair market value, Collateral meeting of Credit Obligations, price the conditions described herein. Such Defaulted Obligations or equity securities subject to satisfaction of the conditions described herein. Such Obligations or equity Defaulted losses may result in the reduction or sales of Collateral Assets in sales of Collateral Assets may result in losses by the Issuer, which losses may result in the reduction or withdrawal of the rating of any or all of the Notes by any of the Rating Agencies. On the other .hand, or all of On the other hand, withdrawal of the rating of any of the Issuer or the Holders of the circumstances may exist under which it is in the best interests of the Issuer or the Holders of the it is in under circumstances may exist Manager does not direct the Issuer or the Securities to dispose of Collateral Assets, but the Collateral Manager does not direct the Issuer or the Securities to dispose of Collateral Issuer does not otherwise sell such Collateral Assets. Issuer does not otherwise sell such Collateral Average Lives, Duration and Prepayment Considerations. The average lives of the Notes (other Average Lives, Duration and Prepayment Considerations. The average lives of the Notes (other than the Class S Notes) and the duration of the Securities is expected to be shorter than the number of the Class S Notes) and the duration of the Securities is expected to be shorter than the number of than Considerations." and years until their Stated Maturity. See ''Weighted Average Life and Yield Considerations." years until their Stated Maturity. See 'Weighted Average The average lives of the Notes and the duration of the Securities will be affected by the financial The average lives of the Notes and the duration of the Securities will be affected by the financial condition of the obligors on or issuers of the Collateral Assets and the characteristics of the Collateral condition of the obligors on or issuers of the Collateral Assets and the characteristics of the Collateral Assets, including the existence and frequency of exercise of any prepayment, optional redemption or Assets, including the existence and frequency of exercise of any prepayment, optional redemption or sinking fund features, the prepayment speed, the occurrence of any early amortization events, the sinking fund features, the prepayment speed, the occurrence of any early amortization events, the prevailing level of interest rates, the redemption price, the actual default rate and the actual level of prevailing level of interest rates, the redemption price, the actual default rate and the actual level of recoveries in respect of any Defaulted Obligations, the frequency of tender or exchange offers for the recoveries in respect of any Defaulted Obligations, the frequency of tender or exchange offers for the Collateral Assets and the tenor of any sales of Collateral Assets. Collateral Assets and the tenor of any sales of Collateral Assets. Some or all of the securities underlying the COO Securities may be prepaid at any time (although Some or all of the securities underlying the CDO Securities may be prepaid at any time (although certain of such securities may have "lockout" periods, defeasance provisions, prepayment penalties or of such securities may have "lockout" periods, defeasance provisions, prepayment penalties or certain other disincentives to prepayment). Defaults on and liquidations of the securities and other Collateral other disincentives to prepayment). Defaults on and liquidations of the securities and other collateral underlying the COO Securities may also lead to early repayment thereof. The existence and frequency of underlying the CDO Securities may also lead to early repayment thereof. The existence and frequency of such prepayments, optional redemptions, defaults and liquidations will affect the average lives of, and such prepayments, optional redemptions, defaults and liquidations will affect the average lives of, and '-credit' support for; the Notes and the duration of the Securities. See "-Collateral Assets;" ''Weighted? bredit gupport for, the Notes and the duration of the Securities. See "-Collateral Assets," 'Weighted Average Life and Yield Considerations" and "Security for the Notes." Average Life and Yield Considerations" and "Security for the Notes." 42 42 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825412 . GS MBS-E-02182S412 - Footnote Exhibits - Page 5502 Projections, Forecasts and Estimates. Estimates of the weighted average lives of, and returns Projections, Forecasts and Estimates. Estimates of the weighted average lives of, and returns on, the Notes included herein, together with any other projections, forecasts and estimates provided to on, the Notes included herein, together with any other projections, forecasts and estimates provided to prospective purchasers of the Securities, are forward. looking statements. Such statements are prospective purchasers of the Securities, are forward. looking statements. Such statements are necessarily speculative in nature, as they are based on certain assumptions. It can be expected that necessarily speculative in nature, as they are based on certain assumptions. It can be expected that some or all of the assumptions underlying such statements will not reflect actual conditions. Accordingly, some or all of the assumptions underlying such statements will not reflect actual conditions. Accordingly, there can be no assurance that any estimated projections, forecasts or estimates will be realized or that there can be no assurance that any estimated projections, forecasts or estimates will be realized or that the forward looking statements will materialize, and actual results may vary from the projections, and the the forward looking statements will materialize, and actual results may vary from the projections, and the variations may be material. variations may be material. Some important factors that could cause actual results to differ materially from those in any Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, forward looking statements include changes in interest rates, market, financial or legal uncertainties, levels of default, liquidation and prepayments of the underlying mismatches between the timing of levels of default, liquidation and prepayments of the underlying assets, mismatches between the timing of accrual and receipt of Proceeds from the Collateral Assets and the effectiveness of the Cashflow Swap accrual and receipt of Proceeds from the Collateral Assets and the effectiveness of the Cashflow Swap Agreement, among Agreement, among others. the Collateral Manager, the Initial Purchaser or any of their None of the Issuer, the None of the Issuer, the Co-Issuer, the Collateral Manager, the Initial Purchaser or any of their projections, any respective affiliates has any obligation to update or otherwise revise any projections, including any respective affiliates has any obligation to update or otherwise revise to reflect economic or other circumstances after the date hereof or revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or reflect the of unanticipated the underlying assumptions do come to to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition. Dependence of on Collateral Issuer and is Dependence of the Issuer on the Collateral Manager. The Issuer has no employees and is dependent on the employees of the Collateral Manager to advise the Issuer in accordance with the terms employees Collateral Manager Issuer in accOrdance the terms dependent Collateral Management Agreement. loss the of Indenture of the Indenture and the Collateral Management Agreement. Consequently, the loss of one or more of the individuals employed Collateral Manager to administer Collateral provide individuals employed by the Collateral Manager to administer the Collateral Assets or to provide Collateral effect in disposition related services in respect of the Collateral Assets could have an adverse effect, which effect material, performance of See 'The Manager" "The may be material, on the performance of the Issuer. See "The Collateral Manager" and "The Collateral Management Agreement." Management Agreement." Collateral Assets General. The following description of the Collateral Assets, the Default Swap Collateral and the Swap Collateral and the documents general in Reference Obligations and the underlying documents and the risks related thereto is general in nature. Reference summaries Collateral and Prospective purchasers of the Securities should review the summaries of the initial Collateral Assets and Prospective Reference Obligations set forth in Appendix B to this Offering Circular. B in and interest rate Nature of Collateral. The Collateral is subject to credit, liquidity, prepayment and interest rate is to withstand certain been risks. The amount and nature of collateral securing the Notes has been established to withstand certain and the Collateral assumed deficiencies in payment occasioned by defaults in respect of the Collateral Assets and the in in Reference Obligations. See "Ratings of the Notes." If any deficiencies exceed such assumed levels, levels, Notes." If that default or credit event however, payment of the Notes could be adversely affected. To the extent that a default or credit event however, Manager exercises its occurs with respect to any Collateral Asset securing the Notes and the Collateral Manager exercises its that the proceeds of right to cause the sale or other disposition of such Collateral Asset, it is not likely that the proceeds of Asset, it is not of right owing to the Issuer in and such sale or other disposition will be equal to the amount of principal and interest owing to the Issuer in equal to such respect of such Collateral Asset. such fluctuate Obligations The market value of the Collateral Assets and the Reference Obligations generally will fluctuate and market value the Collateral with, among other things, the financial condition of the Reference Obligations and obligors on or issuers the Reference Obligations and obligors on or issuers financial things, underlying pool of assets quality of of the Collateral Assets and the Reference Obligations, the credit quality of the underlying pool of assets Obligations, the and Counterparty, general economic in any Collateral Asset or Reference Obligation, the Synthetic Security Counterparty, general economic or Reference Obligation, the Synthetic in or trends in any conditions, the condition of certain financial markets, political events, developments or trends in any political events, certain conditions, of the Issuer, the Co-Issuer, the Initial particular industry and changes in prevailing interest rates. None of the Issuer, the Co-Issuer, the Initial rates. in prevailing industry Trustee has any liability or Purchaser, th.e Collateral Manager, the Collateral Administrator or the Trustee has any liability or Purchaser, the Collateral Manager, in the value of, the obligation to the Holders of Securities as to the amount or value of, or decrease in the value of, the or value of, or obligation to the Holders of Securities as to Collateral A_sse~s from time to time. . Collateral Assets from time to time. __ 43 43 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825413 GS MBS-E-021825413 Footnote Exhibits - Page 5503 If a Collateral Asset becomes a Credit Risk Obligation or a Defaulted Obligation, the Collateral a Risk or a Defaulted Obligation, If a Collateral Asset Manager may direct the Issuer to sell, terminate or assign the affected Collateral Asset. There can be no be no the Asset. may the Issuer to sell, assurance as to the timing of the Issuer's sale, termination or assignment of the affected Collateral Asset, assurance Issuer's sale, of the affected Collateral Asset, or as to the rates of recovery on such affected Collateral Asset. The inability to realize immediate to realize Asset. or as rates of recoveries at the recovery levels assumed herein may result in lower cash flow and a lower yield to recoveries at levels assumed in lower cash flow a to maturity of the Notes and may adversely affect the yield on the Income Notes. maturity Notes yield Synthetic Securities. Synthetic Securities. Approximately 93.00% of the Collateral Assets (by Principal Balance) as of as of are the Closing Date are expected to consist of Synthetic Securities. All of the Reference Obligations Synthetic referenced in the Synthetic Securities are expected to be COO Securities. in CDO The economic retum a The economic retum? on a Synthetic Security depends substantially upon the performance of the the related Reference partially related Reference Obligation and partially upon the performance of the collateral posted by the Issuer to posted by Issuer to secure its obligations to the secure its obligations to the Synthetic Security Counterparty on deposit in the_ Default Swap Collateral in the. Account. Synthetic Securities generally have probability Account. Synthetic Securities generally have probability of default, recovery upon default and expected recovery expected loss characteristics, closely correlated loss characteristics, which are closely correlated to the corresponding Reference Obligation, but may Obligation, may have different maturity dates, coupons, have different maturity dates, coupons, payment dates or other non credit characteristics than the non corresponding Reference Obligation. In corresponding Reference Obligation. In addition to the credit risks associated with holding the Reference Obligation, with respect Obligation, with respect to Synthetic Securities, the Issuer will usually have a contractual relationship only a with the with the related Synthetic Security Counterparty, and not with the Reference Obligor of the Reference Obligation. Due to the fact that a Synthetic Security may be illiquid or may not be terminable on demand a (or terminable on demand only upon payment of a substantial fee by the Issuer), the Issuer's ability to terminable on a to dispose of a Synthetic if dispose of a Synthetic Security, if circumstances arise permitting such disposal, may be limited. Any settlement payments settlement payments and termination payments payable by the Issuer (net of any termination payments owing by the Synthetic owing by the Synthetic Security Counterparty) to the Synthetic Security Counterparty will reduce the amount available to pay the Holders amount available to pay the Holders of the Income Notes and the Notes in inverse order of seniority. The in Issuer generally Issuer generally will have no right to directly enforce compliance by the Reference Obligor with the terms of the Reference Obligation of the Reference Obligation nor any rights of set off against the Reference Obligor, nor have any voting rights with respect rights with respect to the Reference Obligation. The Issuer will not directly benefit from the collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally be the be available to a holder of such Reference Obligation. a holder Because Counterparty Because neither the Synthetic Security Counterparty nor the Issuer is required to hold any SynthetiC any is Reference Obligation, the Issuer will not have any right to obtain from either the Synthetic Security Reference Obligation, the Issuer will not Counterparty or the Reference Obligor information on the Reference Obligations or information regarding or the Reference any Reference Obligor. The -Synthetic Security Counterparty will have no obligation to keep the Issuer, Obligor. The Synthetic Counterparty the Trustee, the Collateral Manager, the Trustee, the Collateral Manager, the Collateral Administrator, the Holders of the Notes or the Holders of the Income Notes informed as to matters arising in relation to any Reference Obligation including Income in whether is a whether or not circumstances exist under which there is a possibility of the occurrence of a Credit Event a Event of a of a Floating Amount Event. Amount Event. In In addition, in the event of the insolvency of the Synthetic Security Counterparty, the Issuer will be in Counterparty, be treated as a general creditor of such Synthetic Security Counterparty, and will not have any claim with such Synthetic Counterparty, treated a respect to the Reference Obligor or the Reference Obligation. Consequently, the Issuer will be subject to Reference to the credit of the Counterparty the credit risk of the Synthetic Security Counterparty as well as that of the Reference Obligor and the Reference Obligation. As a result, concentrations of Synthetic Securities in any one Synthetic Security Reference Synthetic in anyone Security Counterparty subject the Notes and the Income Notes to an additional degree of risk with respect to the Notes degree to Counterparty Income defaults by such Synthetic Security Counterparty. It is expected that Goldman Sachs International, an It is an affiliate of Goldman, Sachs & Co., will act as the sole Synthetic Security Counterparty with respect to the affiliate of Goldman, Sachs & the Synthetic Securities, which creates concentration risk and may create certain conflicts of interest. In SynthetiC Securities, In addition, neither the Synthetic Security Counterparty nor its affiliates will be (or will be deemed to be Security Counterparty addition, be acting as) the agent or trustee of the Issuer, the Holders of the Notes or the Holders of the Income Notes in connection with the exercise of, or the failure to exercise, any of the rights or powers of the SynthetiC the exercise in Synthetic Security Counterparty and/or its affiliates arising under or in connection with their respective holding of in Security Counterparty any Reference Obligation. The Synthetic Security Counterparty and its affiliates (i) may-'"deal in any Reference SynthetiC Counterparty (i) may deal in- any Reference Obligation, (ii) may generally engage in any kind of commercial or investment banking or other in investment other (ii) generally 44 44 Confidential Treatment Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825414 GS MBS-E-021825414 Footnote Exhibits - Page 5504 business transactions with any issuer of a Reference Obligation, and (iii) may act with to business transactions with any issuer of a Reference Obligation, and (iii) may act with respect to described the preceding clauses (i) (ii) the same manner if the Synthetic transactions described in the preceding clauses (i) and (ii) in the same manner as if the Synthetic might have an Securities and the Notes did not exist and without regard to whether any such Securities and the Notes did not exist and without regard to whether any such action might have an adverse affect on such Reference Obligation, the the Holders of the Notes or Holders of the adverse affect on such Reference Obligation, the Issuer, the Holders of the Notes or the Holders of the Income Notes. Income Notes. All of the Synthetic are structured as "pay-as-you-go" default All of the Synthetic Securities are expected to be structured as "pay-as-you-go" credit default of Issuer to make payments Synthetic Security Counterparty under the swaps. The swaps. The obligation of the Issuer to make payments to the Synthetic Security Counterparty under the Synthetic Securities creates exposure Reference (as well as the default Synthetic Securities creates credit exposure to the related Reference Obligations (as well as to the default of the related Synthetic Security Counterparty). Following occurrence a Credit Event, the risk of the related Synthetic Security Counterparty). Following the occurrence of a Credit 'Event, the pay Security Counterparty a "physical settlement paymenf'. In Issuer may be required Issuer may be required to pay to the Synthetic Security Counterparty a "physical settlement payment". In each Security may in its protection pay certain addition, each Synthetic Security may require the Issuer, in its capacity as protection seller, to pay certain Amounts Security Counterparty to Floating Amounts to the Synthetic Security Counterparty equal to certain principal shortfall amounts, writedown payments interest shortfalls the upon writedown payments and interest shortfalls with respect to the Reference Obligation upon the occurrence such Credit Protection Amounts Floating Amounts funded The payment thereof. The payment of any such Credit Protection Amounts and Floating Amounts will be funded by the Issuer, through Default Swap Collateral as The Security issuer, through the liquidation Default Swap Collateral as described herein. The Synthetic Security Counterparty be obligated or part of the Issuer Counterparty will be obligated to reimburse all or part of such payments to the Issuer if the writedown Obligations or if the payments of payments of the related shortfalls are ultimately paid to holders of the Reference Obligations or if the make payments in the amounts Issuer related Reference Obligations are written up, the amounts available to the Issuer to make payments in Reference written Income be after Issuer relevant respect of the Notes and the Income Notes may be reduced after payment by the Issuer of the relevant reimbursement, payment to the Synthetic Security Counterparty until the Issuer receives such reimbursement, if any, from Counterparty from by the Counterparty. Floating Amounts Credit Protection Amounts the Synthetic Security Counterparty. Any Floating Amounts or Credit Protection Amounts payable by the Synthetic in Amount Issuer, may result in a reduction of the Reference Obligation Notional Amount of the related Synthetic amounts Counterparty and the Security, and therefore reduce the amounts payable by the Synthetic Security Counterparty and the Income Notes. In amount of interest collections available to pay interest on the Notes and distributions to Income Notes. In Credjt Amounts addition, any Floating Amounts or Credit Protection Amounts would reduce the Default Swap Collateral and of is in on deposit in the Default Swap Collateral Account that is available to pay the principal of the Notes and may may reduce the interest collections available to pay interest on the Notes. in Master Determination of the Floating Amounts and Additional Fixed Amounts (as described in the Master Determination on such reports Confirmation) will depend on the relevant servicer reports being available and on such reports containing Confirmation) industry adequate information to enable. the required calculations,.to be made. Current private industry information enable, calculations to that not investigations of the market practices show that such reports can vary and that not all reports contain market reports contain if such reports are be adequate information. In addition, access to servicer reports may be limited if such reports are In confidential and neither counterparty holds the related Reference Obligation. Synthetic and pledge to The Issuer will be required to purchase Default Swap Collateral and pledge to the Synthetic Swap Collateral. In the event a Credit in Security Counterparty a first priority security interest in such Default Swap Collateral. In the event a Credit a of Default Swap Collateral Event or Floating Amount Event occurs under a Synthetic Security, the item of Default Swap Collateral a in the Default application chosen by the Synthetic Security Counterparty after the application' of any cash on deposit in the Default Manager and Swap Collateral Account will be sold by the Trustee at the direction of the Collateral Manager and the the liquidation by the Issuer be amount owed to the Synthetic Security Counterparty will be paid by the Issuer from the liquidation the Synthetic proceeds are less than par, the proceeds of such Default Swap Collateral. In the event such liquidation proceeds are less than par, the In such Default the face amount of Synthetic Security Counterparty will accept the liquidation proceeds applicable to the face amount of liquidation proceeds Counterparty the Synthetic Security is Synthetic Security Collateral sold which is equal to the amount due to the Synthetic Security Synthetic Security the occurrence of a Credit Event, the Default Counterparty. In addition, under certain circumstances upon the occurrence of a Credit Event, the Default under Counterparty. In will instead be delivered to the Synthetic Swap Collateral chosen by the Synthetic Security Counterparty will instead be delivered to the Synthetic by the Swap a Deliverable Obligation. Any Deliverable Obligation delivered to Security Counterparty in exchange for a Deliverable Obligation. Any Deliverable Obligation delivered to in Security notwithstanding the foregoing, each such the Issuer will be treated as a Collateral Asset, provided that, notwithstanding the foregoing, each such Asset, a be treated the Issuer at the sold by the Deliverable Obligation may be retained by the Collateral Manager or sold by the Collateral Manager at the Obligation may retained sale would be permitted as a sole discretion of the Collateral Manager without regard to whether such sale would be permitted as a regard Manager of that no Event of Default has occurred sale of a Defaulted Obligation or a Credit Risk Obligation. Provided that no Event of Default has occurred Obligation or a Credit Risk Obligation. a Security occurs prior to the and is continuing in the event that no Credit Event under a Synthetic Security occurs prior to the in the event that no Credit Event under a and is _ termination or scheduled maturity of such Synthetic Security, uPQn the termination ,oc scheduled maturity maturity such Synthetic Security, upon the termination or scheduled maturity termination or released from the lien of the Collateral will of such Synthetic Security, the related Default Swap Collateral will be released from the lien of the Synthetic Security, the related Default Asset. If Collateral Manager elects to Synthetic Security Counterparty and be treated as a Collateral Asset. If the Collateral Manager elects to treated as a Synthetic Security Counterparty 45 45 Confidential Treatment Requested by Goldman Sachs Requested by Goldman Sachs Confidential GS MBS-E-021825415 GS MBS-E-021825415 Footnote Exhibits - Page 5505 sell or terminate a portion of a Synthetic Security prior to its scheduled maturity, the Synthetic Security sell or terminate a portion of a Synthetic Security prior to its scheduled maturity, the Synthetic Security Counterparty will choose the Default Swap Collateral to be liquidated to make any termination payments Counterparty will choose the Default Swap Collateral to be liquidated to make any termination payments due to the Synthetic Security Counterparty after the application of cash available in the Default Swap due to the Synthetic Security Counterparty after the application of cash available in the Default Swap Collateral Account and the Collateral Manager will cause such portion of the Default Swap Collateral to be Collateral Account and the Collateral Manager will cause such portion of the Default Swap Collateral to be sold and the liquidation proceeds equaling any such termination payment to be paid to the Synthetic sold and the liquidation proceeds equaling any such termination payment to be paid to the Synthetic Security Counterparty. The remaining portion of Default Swap Collateral not required to be pledged to Security Counterparty. The remaining portion of Default Swap Collateral not required to be pledged to such Synthetic Security Counterparty will be delivered to the Trustee free of such lien. The Collateral such Synthetic Security Counterparty will be delivered to the Trustee free of such lien. The Collateral Manager, in accordance with the terms of the related Synthetic Security and the Indenture and with the Manager, in accordance with the terms of the related Synthetic Security and the Indenture and with the consent of the Synthetic Security Counterparty, may be able to reinvest the proceeds of Default SWap consent of the Synthetic Security Counterparty, may be able to reinvest the proceeds of Default Swap Collateral in substitute Default Swap Collateral prior to termination or maturity of the related Synthetic Collateral in substitute Default Swap Collateral prior to the termination or maturity of the related Synthetic Security. The Issuer may realize a loss upon any sale of any Default Swap Collateral. Security. The Issuer may realize a loss upon any sale of any Default Swap Collateral. Termination payments due to the Synthetic Security Counterparty, other than Defaulted Synthetic Termination payments due to the Synthetic Security Counterparty, other than Defaulted Synthetic Termination Payments, will be paid by the Issuer directly through the liquidation of Default Swap Termination Payments, will be paid by the Issuer directly through the liquidation of Default Swap Proceeds needed to conduct an Collateral outside of the Priority of Payments. In addition, Collateral outside of the Priority of Payments. In addition, Liquidation Proceeds needed to conduct an Auction, an Optional Redemption by Liquidation or Tax Redemption or to liquidate Collateral in Auction, an Optional Redemption by Liquidation or a Tax Redemption or to liquidate the Collateral in an Event of Default and acceleration under be calculated after taking connection with an Event of Default and acceleration under the Indenture, will be calculated after taking into account any termination payments than Defaulted Security Termination Payments) into account any termination payments (other than Defaulted Synthetic Security Termination Payments) Security Counterparty upon the termination Securities or may be due the that may be due to the Synthetic Security Counterparty upon the termination of the Synthetic Securities or of the Securities. Any termination or assignment any assignment to an any assignment payments due to an assignee of the Synthetic Securities. Any.termination or assignment of Synthetic and payments Counterparty or payments paid directly to the Synthetic Security Counterparty or any assignee of a Synthetic Security and not Priority of Payments may amounts for not through the Priority of Payments may reduce amounts available for payments on the Securities. credit default developed to incorporate "Pay-as-you-go" credit default swaps "Pay-as-you-go" credit default swaps are a type of credit default swap developed to incorporate Intemational and the unique the unique structures of asset-backed securities. The International Swaps and Derivatives Association, Inc, ("ISDA") confirmation "pay-as-you-go" swaps referencing COO Inc. ("ISDA") has published a form confirmation for "pay-as-you-go" credit default swaps referencing CDO form be document is expected Securities. The form confirmation expected to be used to document the Synthetic Securities is expected to be similar, but may differ substantially from the ISDA "pay-as-you-go" form. While ISDA has published differ "pay-as-you-go" ISDA has published Credit supplemented Definitions in order to its form confirmations and has published and supplemented the Credit Derivatives Definitions in order to facilitate transactions and promote uniformity in the credit default swap market, the credit default swap in default swap promote swap forms and the Credit market is market is expected to change and the "pay-as-you-go" credit default swap forms and the Credit subject to interpretation and further Derivatives Definitions and.terms applied to credit derivatives are subject to interpretation and further and. terms There can be no is evolution. ISDA is currently preparing forms for other types of asset-backed securities. There can be no to be used for assurance that such forms will be substantially Similar to the form confirmation expected to be used for similar participants may differ as to the Synthetic Securities. Past events have shown that the views of market participants may differ as to a result of evolution of how the Credit Derivatives Definitions operate or should operate. As a result of the continued evolution of used to document the Synthetic the ISDA "pay-as-you-go" credit default swap forms, the confirmations used to document the Synthetic ISDA may have a negative impact on the a Securities may differ from the future market standard. Such a result may have a negative impact on the liquidity and market value of the Synthetic Securities. liquidity Definitions and other terms There can be no assurances that changes to the Credit Derivatives Definitions and other terms be to the Issuer. Amendments or applicable to credit derivatives generally will be predictable or favorable to the Issuer. Amendments or predictable will derivatives and supplements to the supplements to the "pay-as-you-go" credit default swap forms and amendments and supplements to the default to only apply to the Synthetic Securities Credit Derivatives Definitions that are published by ISDA will only apply to the SynthetiC Securities Issuer and the Synthetic Security Counterparty if executed prior to such amendment or supplement if the Issuer and the Synthetic Security Counterparty amendment supplements and the Rating agree to amend the Synthetic Securities to incorporate such amendments or supplements and the Rating to incorporate such Synthetic have also already adopted and Agency Condition has been satisfied. Markets in different jurisdictions have also already adopted and Condition has been satisfied. Markets in Definitions. Furthermore, Credit may continue to adopt different practices with respect to the Credit Derivatives Definitions. Furthermore, to with different may the Credit Derivatives Definitions may contain ambiguous provisions that are subject to interpretation and provisions that are subject to interpretation and Credit Derivatives Definitions may contain Issuer. In addition to the credit risk of the Reference may result in consequences that are adverse to the Issuer. In addition to the credit risk of the Reference in consequences that are adverse may subject to the risk is the Obligations and the credit risk of the Synthetic Security Counterparty, the Issuer is also subject to the risk the credit risk the Synthetic Security Obligations that the Credit Derivatives Definitions could be interpreted in a manner that would be adverse to the Credit Derivatives Definitions could be interpreted in a manner that would be adverse to the Issuer or that the credit derivatives market generally may evolve in a manner that would be adverse to the Issuer or that the credit derivatives market generally may evolve in a manner that would be adverse to the -Issuer. -Issuer. 46 46 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825416 GS MBS-E-021825416 Footnote Exhibits - Page 5506 PROSPECTIVE PURCHASERS OF THE NOTES AND THE INCOME NOTES SHOULD PROSPECTIVE PURCHASERS OF THE NOTES AND THE INCOME NOTES SHOULD CONSIDER AND ASSESS FOR THEMSELVES THE LIKELY LEVEL OF DEFAULTS ON THE CONSIDER AND ASSESS FOR THEMSELVES THE LIKELY LEVEL OF DEFAULTS ON THE COLLATERAL ASSETS, AS WELL AS THE LIKELY LEVEL AND TIMING OF RECOVERIES ON THE COLLATERAL ASSETS, AS WELL AS THE LIKELY LEVEL AND TIMING OF RECOVERIES ON THE COLLATERAL A~SETS. COLLATERAL ASSETS. COO Securities. CDO Securities. On the Closing Date, all of the Collateral Assets are expected to be CDO Securities and Synthetic On the Closing Date, all of the Collateral Assets are expected to be CDO Securities and Synthetic Securities the Reference Obligations of which are COO Securities, including without limitation high grade Securities the Reference Obligations of which are CDO Securities, including without limitation high grade and mezzanine structured finance COO Securities and COOs of COOs. A portion of the Default Swap and mezzanine structured finance CDO Securities and CDOs of CDOs. A portion of the Default Swap Collateral could consist of COO Securities. Collateral could consist of CDO Securities. CDO Securities generally are limited recourse obligations of the issuer thereof payable solely CDO Securities generally are limited recourse obligations of the issuer thereof payable solely holders of from the underlying assets of the issuer ("CDO Collaterar1 or pr~eeds thereof. from the underlying assets of the issuer ("CDO Collateral') or proceeds thereof. Consequently, holders of COO Securities must rely solely on distributions on the underlying CDO Collateral or proceeds thereof for CDO Securities must rely solely on distributions on the underlying CDO Collateral or proceeds thereof for payment respect If distributions on the underlying CDO Collateral insufficient to make payment in respect thereof. If distributions on the underlying CDO Collateral are insufficient to make CDO no other payment of the deficiency and payments payments on the CDO Securities, no other assets will be available for payment of the deficiency and to deficiency shall be following realization of the underlying assets, the obligations of the issuer to pay such deficiency shall be of the underlying assets, the of the COO Securities provide that a deferral of interest thereon or a extinguished. Many subordinate extinguished. Many subordinate classes of CDO Securities provide that a deferral of interest thereon or a write-down does an event and the will not have write-down does not constitute an event of default and the holders of such securities will not have of non payment or partial nonto them During available to them any associated default remedies. During such periods of non payment or partial nongenerally and the principal payment, such non-paid interest will generally be capitalized and added to the outstanding principal balance the related security. amount current on balance of the related security. Any such deferral will reduce the amount of current payments made on COO such CDO Securities. CDO COO Securities interest CDO Securities are subject to credit, liquidity and interest rate risks. The assets backing CDO other debt Securities may consist of high yield debt securities, loans, structured finance securities, other debt instruments referencing instruments. debt securities are instruments and Synthetic Securities referencing debt instruments. High yield debt securities are other to unsecured) generally unsecured (and loans may be unsecured) and may be subordinated to certain other obligations debt securities or loans could of in of the issuer thereof. An increase in the default rates of high yield corporate debt securities or loans could CDO which are secured increase the likelihood that payments may not be made to holders of CDO Securities which are secured . by high yield corporate debt securities and loans. The risks associated with structured finance securities securities by or can vary widely depending on the type of collateral, use of credit enhancements, the relative seniority or payments in the and subordination of the class of securities, the relative allocation of principal and interest payments in the pool or allows for a priorities, credit losses and defaults and whether the collateral represents a fixed pool or allows for to risks similar to be In CDO reinvestment. In addition, CDO Securities backed by Synthetic Securities will be subject to risks similar to those described in respect of Synthetic Securities herein. in obligations by way of Issuers of CDO Securities may acquire interests in loans and other debt obligations by way of in to all the rights and assignment or partiCipation. The purchaser of an assignment typically succeeds to all the rights and participation. assignment under the credit agreement with respect to a obligations of the assigning institution and becomes a lender under the credit agreement with respect to institution of the the assigning the debt obligation; however, its rights can be more restricted than those of the assigning institution. its debt will usually have a contractual In purchasing participations,. an issuer of COO Securities will usually have a contractual CDO In purchasing participations, have no right borrower. The issuer relationship only with the selling institution, and not the borrower. The issuer generally will have no right institution, and not only directly to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set the terms of the loan agreement, nor any rights of set compliance the to the loan agreement agreed to certain the right to the borrower, off against the borrower, nor have the right to object to certain changes to the loan agreement agreed to supporting the related loan by the selling institution. The issuer may not directly benefit from the collateral supporting the related loan directly benefit may by selling institution. In addition, in against and may be subject to any rights of set off the borrower has against the selling institution. In addition, in and may be subject any rights of set off and States of the event of the insolvency of the selling institution, under the laws of the United States of America and under the laws the the selling the the of such selling institution, and may not the states thereof, the issuer may be treated as a general creditor of such selling institution, and may not as a general the issuer may the states thereof, have any exclusive or senior claim with respect to the selling institution's interest in, or the collateral with respect to the selling institution's interest in, or the collateral with or senior have the selling institution as respect to, the loan. Consequently, the issuer may be subject to the credit risk of the selling institution as respect to, the loan. Consequently, the issuer may be subject the credit well as of the borrower. borrower. well as of off 47 47 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825417 GS MBS-E-02182S417 Footnote Exhibits - Page 5507 COO Securities are subject to interest rate risk and day count basis risk. The COO Collateral of CDO Securities are subject to interest rate risk and day count basis risk. The CDO Collateral of an issuer of COO Securities may bear interest at a fixed (floating) rate while the COO Securities issued by an issuer of CDO Securities may bear interest at a fixed (floating) rate while the CDO Securities issued by such issuer may bear interest at a floating (fixed) rate. As a result, there could be a f10atinglfixed rate or such issuer may bear interest at a floating (fixed) rate. As a result, there could be a floating/fixed rate or basis mismatch between such COO Securities and COO Collateral which bears interest at a fixed rate basis mismatch between such CDO Securities and CDO Collateral which bears interest at a fixed rate and there may be a timing mismatch between the ?COO Securities and assets that bear interest at a and there may be a timing mismatch between the CDO Securities and assets that bear interest at a floating rate as the interest rate on such assets bearing interest at a floating rate may adjust more floating rate as the interest rate on such assets bearing interest at a floating rate may adjust more frequently or less frequently, on different dates and based on different indices than the interest rates on frequently or less frequently, on different dates and based on different indices than the interest rates on the COO Securities. As a result of such mismatches, an increase or decrease the level of the floating the CDO Securities. As a result of such mismatches, an increase or decrease in the level of the floating rate indices could adversely impact the ability to make payments on the COO Securities. In addition, rate indices could adversely impact the ability to make payments on the CDO Securities. In addition, hedges may have been acquired to manage the interest rate risk of such COO Securities, making such hedges may have been acquired to manage the interest rate risk of such CDO Securities, making such of the applicable hedge COO Securities also subject the credit CDO Securities also subject to the credit risk of the applicable hedge counterparty. Subordination of COO 100% of the COO Securities representing 100% of the Subordination of CDO Securities. 100% of the CDO Securities representing 100% of the Collateral Assets (by Principal Balance) be acquired by Issuer are expected to investment Collateral Assets (by Principal Balance) to be acquired by the Issuer are expected to be investment of the Closing Date. Certain the COO Securities be subordinated one or more grade, each grade, each as of the Closing Date. Certain of the CDO Securities will be subordinated to one or more same purposes among other offsetting losses and other classes of securities of other classes of securities of the same series for purposes of, among other things, offsetting losses and other shortfalls with respect related underlying mortgage loans or The subordinate classes other shortfalls with respect to the related underlying mortgage loans or assets. The subordinate classes writedowns are more to risk of are more sensitive to risk of loss and writedowns than senior classes of such securities. Commercial Morlgage-Backed Commercial Mortgage-Backed Securities. portion of the Default Swap Collateral Commercial Mortgage-Backed Securities A portion of the Default Swap Collateral may consist of Commercial Mortgage-Backed Securities ("CMBS") that satisfy the Default Swap Criteria. ("CMBS") that satisfy the Default Swap Eligibility Criteria. CMBS Holders of CMBS bear various risks, including credit, market, interest rate, structural and legal participation in that risks. CMBS are securities backed by obligations (including certificates of participation in obligations) that CMBS a multifamily or on interests are principally secured by mortgages on real property or interests therein having a multifamily or malls, warehouse commercial use, such as regional malls,. other retail space, office buildings, industrial or warehouse in public and have been properties, hotels, nursing homes and senior living centers. CMBS have been issued in public and including senior a private transactions by a variety of public and private issuers using a variety of structures, including senior and subordinated classes. conditions, and subordinated classes. Risks affecting real estate investments include general economic conditions, industry and or trends in markets, the condition of financial markets, political events, developments or trends in any particular industry and real changes in prevailing interest rates. The cyclicality and leverage associated with real estate-related in adverse performance, investments have historically resulted in periods, including significant periods, of adverse performance, in performance including performance that may be materially more adverse than the performance associated with other with other performance to have investments ... In addition, commercial mortgage loans generally lack standardized terms, tend to have mortgage investments. In of or substantially shorter maturities than residential mortgage loans and may provide for the payment of all or substantially of a particular type all of the principal only at maturity. Additional risks may be presented by the type and use of a particular as hospitals and nursing homes commercial property. For instance, commercial properties that operate as hospitals and nursing homes properties ownership, may present special risks to lenders due to the significant govemmental regulation of the ownership, govemmental regulation motel properties are often operation, maintenance and financing of health care institutions. Hotel and motel properties are often institutions. Hotel financing which may be terminable by the operated pursuant to franchise, management or operating agreements which may be terminable by the management or pursuant liquor and other licenses upon a franchisor or operator, and the transferability of a hotel's operating, liquor and other licenses upon a a operator to local law requirements. All of is transfer of the hotel, whether through purchase or foreclosure, is subject to local law requirements. All of tend real estate lending. these factors increase the risks involved with commercial real estate lending. Commercial properties tend involved increase the Commercial lending to be unique and are more difficult to value than single-family residential properties. Commercial lending more difficult to value and is generally viewed as exposing a lender to a greater risk of loss tl1an residential one-to-four family risk of loss than residential one-to-four family as exposing a lender to a is borrower than residential one-to-four family lending since it typically involves larger .loans to a single borrower than residential one-te-four family it typically involves larger loans a lending lending. lending. debt service coverage ratio of a loan secured Commercial mortgage lenders typically look to the debt service coverage ratio of a loan secured typically look Commercial on such a loan. Commercial of by income-produclng property as an important measure of the risk of default on such a loan. Commercial measure of by income-producing property as an be property values. and net operating income are subject to volatility, and net operating income may be subject to volatility, and net operating income property values and net operating income sufficient or insufficient to cover debt service on the related mortgage loan at any given time. The debt service on the related mortgage loan at any given time. The insufficient sufficient upon the successful repayment of loans secured by income-producing properties is typically dependent upon the successful income-producing properties is typically repayment loans secured operation of the related real estate project rather than upon the liquidation value of the underlying real operation of the related real estate project rather than upon the liquidation value of the underlying real 48 48 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825418 GS MBS-E-021825418 Footnote Exhibits - Page 5508 estate. Furthermore, the net operating income from and value of any commercial property may be estate. Furthermore, the net operating income from and value of any commercial property may be adversely affected by risks generally incident to interests in real property, including events which the adversely affected by risks generally incident to interests in real property, including events which the borrower or manager of the property, or the issuer or servicer of the related issuance of commercial borrower or manager of the property, or the issuer or servicer of the related issuance of commercial mortgage-backed securities, may be unable to predict or control, such as changes in general or local mortgage-backed securities, may be unable to predict or control, such as changes in general or local economic conditions and/or specific industry segments; declines in real estate values; declines in rental or economic conditions and/or specific industry segments; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes in govemmental rules, regulations and fiscal policies; acts of God; and social unrest and civil in govemmental rules, regulations and fiscal policies; acts of God; and social unrest and civil disturbances. The value of commercial real estate is also subject to a number of laws, such as laws disturbances. The value of commercial real estate is also subject to a number of laws, such as laws regarding environmental clean-up and limitations on remedies imposed by bankruptcy laws and state regarding environmental clean-up and limitations on remedies imposed by bankruptcy laws and state laws regarding foreclosures alld rights of redemption. Any decrease in income or value of the commercial laws regarding foreclosures and rights of redemption. Any decrease in income or value of the commercial real est~te underlying an issue of CMBS could result in cash flow delays and losses on the related issue real estate underlying an issue of CMBS could result in cash flow delays and losses on the related issue ofCMBS. of CMBS. .A commercial property may not readily be converted to an alteniative use in the event that the . A commercial property may not readily be converted to an alternative use in the event that the operation of such commercial property for its original purpose becomes unprofitable. In such cases, the operation of such commercial property for its original purpose becomes unprofitable. In such cases, the conversion of the commercial property to an alternative use would generally require SUbstantial capital conversion of the commercial property to an alternative use would generally require substantial capital expenditures. Thus, if the borrower becomes unable to meet its obligations under the related commercial expenditures. Thus, if the borrower becomes unable to meet its obligations under the related commercial mortgage loan, the liquidation value of any such commercial property may be substantially less, relative to mortgage loan, the liquidation value of any such commercial property may be substantially less, relative to than would be the case if such the amount outstanding on the related commercial mortgage the amount outstanding on the related commercial mortgage loan, than would be the case if such commercial property were adaptable to other uses. The exercise remedies .and successful commercial property were readily adaptable to other uses. The exercise of remedies.and successful the performance of CMBS servicers or realization of liquidation proceeds may be highly dependent realization of liquidation proceeds may be highly dependent on the performance of CMBS servicers or special servicers, of which there may a limited number and which may have of interest any special servicers, of which there may be a limited number and which may have conflicts of interest in any given situation. The failure of the performance of such CMBS servicers or special servicers could result situation. The failure of the performance of CMBS servicers or special servicers could result given in cash on related of CMBS. in cash flow delays and losses on the related issue of CMBS. Mortgage loans underlying CMBS amortization of principal or may Mortgage loans underlying a CMBS issue may provide for no amortization of principal or may of the mortgage loan, provide for amortization provide for amortization based on a schedule substantially longer than the maturity of the mortgage loan, mortgage borrower experiences maturity. If resulting in a "balloon" payment resulting in a "balloon" payment due at maturity. If the underlying mortgage borrower experiences payment mortgages are business problems, business problems, or other factors limit refinancing alternatives, such balloon payment mortgages are related issue of CMBS could likely to experience payment delays or even default. As a result, the related issue of CMBS could to experience likely experience delays in cash flow and losses. experience delays in that, in a bankruptcy or similar In addition, structural and legal risks include the possibility that, in a bankruptcy or similar In affiliates), the assets of the proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of the proceeding involving to the issuer or could be be treated issuer qould be treated as never having been truly sold by the originator to the issuer or could be issuer could the transfer of such assets to the substantively consolidated with those of the originator or the servicer, or the transfer of such assets to the substantively consolidated with based on such doctrines could result also in issuer could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in issuer could be voided a cash flow delays and losses on the related issue of CMBS. . delays and losses the related cash flow to be included) in the Default Swap Collateral It is expected that none of the CMBS included (or to be included) in the Default Swap Collateral It is expected that none the agency or instrumentality or by any other person. will'be guaranteed or insured by any governmental agency or instrumentality or by any other person. will be guaranteed or insured by of payments and other collections Distributions on CMBS will depend solely upon the amount and timing of payments and other collections the amount and depend Distributions on CMBS on the related underlying mortgage loans. underlying mortgage loans. on the related Realized losses and trust expenses generally will be allocated to the most subordinated class of Realized losses and trust expenses generally will be allocated to the most subordinated class of securities of the related series. Accordingly, to the extent any CMBS becomes the most subordinated securities of the related series. Accordingly, to the extent any CMBS becomes the most subordinated class of securities of the related series, any delinquency or default on any underlying mortgage loan may class of securities of the related series, any delinquency or default on any underlying mortgage loan may result in shortfalls, realized loss allocations or extensions of its weighted average life and will have a more result in shortfalls, realized loss allocations or extensions of its weighted average life and will have a more immediate and disproportionate effect on the related CMBS than on the related more senior securities. immediate and disproportionate effect on the related CMBS than on the related more senior securities. Certain of the Underlying CMBS Series have experienced delinquencies, defaults and losses on the Certain of the Underlying CMBS Series have experienced delinquencies, defaults and losses on the underlying commercial mortgage loans. underlying commercial mortgage loans. In addition, in the case of certain CMBS, no distributions of principal will generally be made until In addition, in the case of certain CMBS, no distributions of principal will generally be made until the aggregate principal balance of the- corresponding more senior securities has been reduced to zero the aggregate principal balance of the corresponding more senior securities has been reduced to zero and, in other cases, all or a disproportionate amount of principal distributions will be made to the holders and, in other cases, all or a disproportionate amount of principal distributions will be made to the holders of the more senior securities for a specified period of time. The holders of classes of securities that are of the more senior securities for a specified period of time. The holders of classes of securities that are 49 49 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825419 GS MBS-E-021825419 Footnote Exhibits - Page 5509 subordinate to the classes 'of CMBS owned by the Issuer will generally control the exercise of remedies in to the classes *of owned the remedies in connection with such CMBS. Such exercise of remedies by a holder of subordinate classes may be in with such CMBS. Such a holder may be in conflict interests the more conflict with the interests of the more senior securities. See "-Other Considerations--Certain Conflicts securities. "-Other Considerations-Certain Conflicts of Interest." of Interesl" Residential Mortgage-Backed Securities. Residential Mortgage-Backed Securities. A portion of the Default A portion of the Default Swap Collateral may consist of Residential Mortgage-Backed Securities Mortgage-Backed ("RMBS') satisfy ("RMBS") that satisfy the Default Swap Eligibility Criteria. RMBS risks, Holders of RMBS bear various risks, including credit, market, interest rate, structural and legal market, risks. RMBS represent interests in risks. RMBS represent interests in pools of residential mortgage loans secured by one to four family residential mortgage loans. Such loans may be prepaid at any time. Residential mortgage loans are loans. time. Residential mortgage obligations obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other are not guaranteed entity, person or entity, although such loans may be securitized by agencies and the securities issued are securitized agencies guaranteed. The rate of defaults and losses on residential mortgage loans will be affected by a number of losses mortgage loans a of factors, including of factors, including general economic conditions and those in the area where the related mortgaged in mortgaged property is located, the borrower's equity in the mortgaged property and the?financial circumstances of the is in the-linancial borrower. If a is in borrower. If a residential mortgage loan is in default, foreclosure of such residential mortgage loan may be lengthy be a lengthy and difficult process, and may involve significant expenses. Furthermore, the market for mortgage defaulted residential mortgage loans or foreclosed properties may be very limited. At anyone time, a portfolio of RMBS may be backed by residential mortgage loans with any one a disproportionately disproportionately large aggregate principal amounts secured by properties in only a few states or in or regions. a result, regions. As a result, the residential mortgage loans may be more susceptible' to geographic risks relating susceptible to such areas, such as adverse economic conditions, adverse events affecting industries located in such in areas and areas and natural hazards affecting such areas, than would be the case for a pool of mortgage loans a having more In having more diverse property locations. In addition, the residential mortgage loans may include so called so called "jumbo" "jumbo" mortgage loans, having original principal balances that are higher than is generally the case for is residential mortgage loans. As a result, such portfolio of RMBS may experience increased losses. a result, Each underlying residential mortgage loan in an issue of RMBS may have a balloon payment due in a on maturity on its maturity date. Balloon residential mortgage loans involve a greater risk to a lender than self self a a amortizing loans, because the amortizing loans, because the ability of a borrower to pay such amount will normally depend on its ability . to obtain refinancing of the related mortgage loan or sell. the related mortgaged property at a price mortgage sell? mortgaged a sufficient sufficient to permit the borrower to make the balloon payment, which will depend on a number of factors prevailing at the time such refinancing or sale is required, including, without limitation, the strength of the is residential residential real estate markets, tax laws, the financial situation and operating history of the underlying property, interest rates and If borrower is property, interest rates and general economic conditions. If the borrower is unable to make such balloon payment, the related issue of RMBS may experience losses. RMBS RMBS Prepayments on the underlying residential mortgage loans in an issue of RMBS will be influenced in by the prepayment by the prepayment provisions of the related mortgage notes and may also be affected by a variety of mortgage a variety of economic, economiC, geographic and other factors, including the ?difference between the interest rates on the difference underlying residential mortgage loans (giving consideration to the cost of refinancing) and prevailing residential mortgage mortgage mortgage rates and the availability of refinancing. In general, if prevailing interest rates fall significantly interest In below interest prepayment below the interest rates on the related residential mortgage loans, the rate of prepayment on the mortgage underlying mortgage . underlying residential mortgage loans would be expected to increase. Conversely, if prevailing interest if interest rates mortgages, prepayment rates rise to a level significantly above the interest rates on the related mortgages, the rate of prepayment would be expected to decrease. Prepayments could reduce the yield received on the related issue of be of RMBS. RMBS. Structural and Legal Risks of RMBS. Residential mortgage loans in an issue of RMBS may be mortgage RMBS may be in subject to various federal and state laws, public policies-antd principles of equity that protect consumers, policies-and which among other things may regulate interest rates and other charges, require certain disclosures, among require licensing of originators, prohibit discriminatory lending practices, regulate the use of consumer discriminatory of consumer 50 50 Treatment Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825420 MBS-E-021825420 Footnote Exhibits - Page 5510 credit information and regulate debt collection practices. Violation of certain provisions of these laws, credit information and regulate debt collection practices. Violation of certain provisions of these laws, public policies and principles may limit the servicer's ability to collect all or part of the principal of or public policies and principles may limit the servicer's ability to collect all or part of the principal of or interest on a residential mortgage loan, entitle the borrower to refund of amounts previously paid by it, interest on a residential mortgage loan, entitle the borrower to aarefund of amounts previously paid by it, orsubject the servicer to damages and sanctions. Any such violation could result also in cash flow delays or subject the servicer to damages and sanctions. Any such violation could result also in cash flow delays and losses on the related issue of RMBS. and losses on the related issue of RMBS. RMBS may have structural characteristics that distinguish them from other asset-backed RMBS may have structural characteristics that distinguish them from other asset-backed securities. The rate of interest payable on RMBS may be set or effectively capped at the weighted securities. The rate of interest payable on RMBS may be set or effectively capped at the weighted average net coupon of the underlying mortgage loans themselves. As a result of this cap, the return to average net coupon of the underlying mortgage loans themselves. As a result of this cap, the return to investors is dependent on the relative timing and rate of delinquencies and prepayments of mortgage investors is dependent on the relative timing and rate of delinquencies and prepayments of mortgage loans bearing a higher rate of interest. In general, early prepayments will have a greater impact on the loans bearing a higher rate of interest. In general, early prepayments will have a greater impact on the yield to investors. Federal and state law may also affect the return to investors by capping the interest yield to investors. Federal and state law may also affect the return to investors by capping the interest rates payable by certain mortgagors. The Servicemembers' Civil Relief Act of 2003 (the "Relief Act") rates payable by certain mortgagors. The Servicemembers' Civil Relief Act of 2003 (the "Relief Act") provides relief for soldiers and members of the reserve called to active duty by capping the interest rates provides relief for soldiers and members of the reserve called to active duty by capping the interest rates on their mortgage loans at 6% per annum. Certain RMBS may provide for the payment of only interest for on their mortgage loans at 6%per annum. Certain RMBS may provide for the payment of only interest for a stated period of time. . a stated period of time. In addition, structural and legal risks of RMBS include the possibility that, in a bankruptcy or In addition, structural and legal risks of RMBS include the possibility that, in a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of similar the issuer could be treated as never having been truly sold by the originator to the issuer or could be the issuer could be treated as never having been truly sold by the originator to the issuer or could be substantively consolidated with those of the originator or the servicer, the transfer of such assets to the substantively consolidated with those of the originator or the servicer, or the transfer of such assets to the issuer could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in issuer cash flow delays and the issue of RMBS. cash flow delays and losses on the related issue of RMBS. RMBS guaranteed by governmental agency or It is not expected that It is not expected that the RMBS will be guaranteed or insured by any governmental agency or RMBS depend upon the amount and instrumentality or by any other person. Distributions instrumentality or by any other person. Distributions on RMBS will depend solely upon the amount and of payments and other collections mortgage timing of payments and other collections on the related underlying mortgage loans. timing Market Value of Recent Developments in RMBS May Adversely Affect the Performance and Market Value of Recent Developments in' has experienced a variety of RMBS. Recently, the residential mortgage market in the United States .has experienced a variety of Recently, the in United RMBS. difficulties and changed economic performance and market value difficulties and changed economic conditions that may adversely affect the performance and market value loans generally have increased of RMBS. Delinquencies and losses with respect to residential mortgage loans generally have increased and of RMBS. Delinquencies In addition, in recent in recent months, and may continue to increase, particularly in the subprime sector. In addition, in recent in in recent months, and may or stopped appreciating. A appraisal . months housing prices and appraisal values in many states have declined or stopped appreciating. A in months housing prices and result in additional increases in continued decline or an extended flattening of those values may result in additional increases in of continued decline or an extended delinquencies and losses on RMBS generally. delinquencies and losses on RMBS Another factor that may result in higher delinquency rates is the increase in monthly payments on Another factor that may result in higher delinquency rates is the increase in monthly payments on rate mortgage loans are being exposed to adjustable rate mortgage loans. Borrowers with adjustable rate mortgage loans are being exposed to adjustable rate mortgage loans. increased monthly payments when the related mortgage interest rate adjusts upward from the initial fIXed mortgage interest rate adjusts upward from the initial fixed the monthly payments increased rate or a low introductory rate. Borrowers seeking to avoid these increased monthly payments by avoid these increased monthly payments by rate or a low introductory rate. Borrowers refinancing their mortgage loans may no longer be able to find available replacement loans at comparably find available replacement loans at comparably may no longer be refinancing their mortgage loans low interest rates. A decline in housing prices may also leave borrowers with insufficient equity in their low interest rates. A decline in housing prices may also leave borrowers with insufficient equity in their homes to permit them to refinance. Furthermore, borrowers who intend to sell their homes on or before homes to permit them to refinance. Furthermore, borrowers who intend to sell their homes on or before the expiration of the fixed rate periods on their mortgage loans may find that they cannot sell their the expiration of the fixed rate periods on their mortgage loans may find that they cannot sell their properties for an amount equal to or greater than the unpaid principal balance of their loans. These properties for an amount equal to or greater than the unpaid principal balance of their loans. These events, alone or in combination, may contribute to higher delinquency rates and, as a result, adversely events, alone or in combination, may contribute to higher delinquency rates and, as a result, adversely affect the performance and market value of RMBS. . affect the performance and market value of RMBS. In addition, numerous residential mortgage loan originators that originate sub prime mortgage In addition, numerous residential mortgage loan originators that originate subprime mortgage loans have recently experienced serious financial difficulties and, in some cases, bankruptcy. According loans have recently experienced serious financial difficulties and, in some cases, bankruptcy. According to published reports, those difficulties have resulted in part from declining markets for mortgage loans as to published reports, those difficulties have resulted in part from declining markets for mortgage loans as well as from claims for repurchases of mortgage loans previously sold under provisions that require well as from claims for repurchases of mortgage loans previously sold under provisions that require repurchase in the event 'of earlY paYment defaults, - or for material breaches of representations and repurchase in the event of eaily' payment defaults, or for material breaches of representations and warranties made on the mortgage loans, such as fraud claims. These difficulties may affect the warranties made on the mortgage loans, such as fraud claims. These difficulties may affect the performance and market value of RMBS. performance and market value of RMBS. 51 51 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825421 GS MBS-E-02182S421 Footnote Exhibits - Page 5511 Asset-Backed Securities. Asset-Backed Securities. A portion of the Default Swap Collateral may consist of Asset-Backed Securities that satisfy the A portion of the Default Swap Collateral may consist of Asset-Backed Securities that satisfy the Default Swap Eligibility Criteria. Default Swap Eligibility Criteria. The structure of an Asset-Backed Security and the terms of the investors' interest in the collateral The structure of an Asset-Backed Security and the terms of the investors' interest in the collateral can vary widely depending on the type of collateral, the desires of investors and the use of credit can vary widely depending on the type of collateral, the desires of investors and the use of credit enhancements. Individual transactions can differ markedly in both structure and execution. Important enhancements. Individual transactions can differ markedly in both structure and execution. Important determinants of the risk associated with issuing or holding Asset-Backed Securities include the relative determinants of the risk associated with issuing or holding Asset-Backed Securities include the relative the relative seniority or subordination of the class of Asset-Backed Securities held by an seniority or subordination of the class of Asset-Backed Securities held by an investor, the relative . allocation of principal and interest payments the priorities which such payments are made under the * allocation of principal and interest payments in the priorities by which such payments are made under the govemlng documents, how credit losses affect the issuing vehicle and the return to investors, whether governing documents, how credit losses affect the issuing vehicle and the return to investors, whether collateral represents a fixed set of specific assets or accounts, whether the underlying collateral assets collateral represents a fixed set of specific assets or accounts, whether the underlying collateral assets asset backed instrument) any are or closed end, under what terms (including maturity of . are revolving or closed end, under what terms (including maturity of the asset backed instrument) any issuing company extent to which the remaining balance in the accounts may revert to remaining balance in the accounts may revert to the issuing company and the extent to which the is obligated provide support to issuing company is source of company that is the actual source of the collateral assets is obligated to provide support to the issuing Asset-Backed Securities, the risk is more vehicle or the investors. With respect to some types vehicle or to the investors. With respect to some types of Asset-Backed Securities, the risk is more of terms and maturities with the correlated with default risk on corporate closely correlated with the default risk on corporate bonds of similar terms and maturities than with the pool of Asset-Backed Securities (particularly performance of performance of a pool of receivables. In addition, certain Asset-Backed Securities (particularly interest cash on such subordinated Asset-Backed Securities) that the payment subordinated Asset-Backed Securities) provide that the non payment of interest in cash on such securities will not constitute event default in circumstances holders of such securities securities will not constitute an event of default in certain circumstances and the holders of such securities will generally be will not have to them associated paid in will not have available to them any associated default remedies. Interest not paid in cash will generally be principal deferral will capitalized and added to the outstanding principal balance of the related security. Any such deferral will on such Asset-Backed reduce the yield on such Asset-Backed Securities. Holders of Asset-Backed Sbcurities bear various risks, including credit risks, liquidity risks, Asset-Backed Securities bear interest market Credit arises from interest rate risks, market risks, operations risks, structural risks and legal risks. Credit risk arises from borrowers in failure to losses due to defaults by the borrowers in the underlying collateral and the issuer's or servicer's failure to a servicer in does not perform. elements be perform. These two elements may be related, as, for example, in the case of a servicer which does not leading higher incidence of defaults. provide adequate credit review scrutiny to the serviced portfolio, leading to higher incidence of defaults. Market risk arises from .the cash flow characteristics of the security, which for most Asset-Backed the credit performance, Securities tend to be predictable. The greatest variability in cash flows comes from credit performance, in protect the investor in the event including the presence of wind down or acceleration features designed to protect the investor in the event for the issuer risk that credit losses in the portfolio rise well above expected levels. Interest rate risk arises for the issuer Interest in the terms of the rate paid collateral . from the relationship between the pricing terms on the underlying collateral and the terms of the rate paid or spread account to holders of securities and from the need to mark to market the excess servicing or spread account to holders on the interest rate risk proceeds carried on the balance sheet. For the holder of the security, interest rate risk depends on the prepayments on the underlying assets expected life of the Asset-Backed Securities which may depend on prepayments on the underlying assets or the occurrence of wind down or termination events. able to carry out its otherwise If the servicer becomes subject to financial difficulty or otherwise ceases to be able to carry out its becomes If cash flow disruptions or functions, it may be difficult to find other acceptable substitute servicers and cash flow disruptions or servicers it originated by private retailers or losses may occur, particularly with non standard receivables or receivables originated by private retailers non occur, particularly losses risks include the possibility that, in who collect many of the payments at their stores. Structural and legal risks include the possibility that, in at collect the same entity or a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or the originator or a originator to the affiliates), the assets of the issuer could be treated as never having been truly sold by the originator to the never having been truly sold by affiliates), the assets of or the servicer, or the transfer the issuer and could be substantively consolidated with those of the originator or the servicer, or the transfer with could be issuer transfer. Challenges based on such as a of such assets to the issuer could be voided as a fraudulent transfer. Challenges based on such issuer of doctrines could result also in cash flow delays and reductions. Other similar risks relate to the degree to reductions. Other similar risks relate to the degree to result also in cash flow delays doctrines commingled with those on the originator's or the which cash flows on the assets of the Issuer may be commingled with those on the originator's or the of the Issuer may flows on which servicers other assets. . assets. servicer's Insolvency Considerations with Respect to Issuers of Collateral Assets. Various laws enacted for Insolvency Considerations with Respect to Issuers of Collateral Assets. Various laws enacted for the protection of creditors may apply. to the Collateral Assets. If a court in a lawsuit brought by an unpaid the protection creditors may apply-to the Collateral Assets. Ifa court in a lawsuit brought by an unpaid creditor or representative of creditors of an issuer of a Collateral Asset, such as a trustee in bankruptcy, creditor or representative of creditors of an issuer a Collateral Asset, such as a trustee in bankruptcy, incurring were to find that the issuer did not receive fair consideration or reasonably equivalent value for incurring consideration or reasonably equivalent value were find that the issuer did not receive 52 52 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825422 GS MBS-E-02182S422 Footnote Exhibits - Page 5512 the indebtedness constituting the Collateral Asset or for granting a lien securing the Collateral Asset, and, the indebtedness constituting the Collateral Asset or for granting a lien securing the Collateral Asset, and, after giving effect to such indebtedness or such lien, the issuer (i) was insolvent, (iQ was engaged in a after giving effect to such indebtedness or such lien, the issuer (i)was insolvent, (ii)was engaged in a business for which the remaining assets of such issuer constituted unreasonably small capital or business for which the remaining assets of such issuer constituted unreasonably small capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they (iii) intended to incur, or believed that itwould incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in whole or in part, such indebtedness or such lien as a mature, such court could determine to invalidate, in whole or in part, such indebtedness or such lien as a fraudulent conveyance, to subordinate such indebtedness or such lien to existing or future creditors of fraudulent conveyance, to subordinate such indebtedness or such lien to existing or future creditors of such issuer, or to recover amounts previously paid by such issuer in satisfaction of such indebtedness. such issuer, or to recover amounts previously paid by such issuer in satisfaction of such indebtedness. The measure of insolvency for purposes of the foregoing will vary. Generally, an issuer would be The measure of insolvency for purposes of the foregoing will vary. Generally, an issuer would be considered insolvent at a particular time the sum of its debts were then greater than all of its property at considered insolvent at a particular time ififthe sum of its debts were then greater than all of its property at a fair valuation, or if the present fair saleable value of its assets was then less than the amount that would a fair valuation, or ifthe present fair saleable value of its assets was then less than the amount that would be required to pay its probable liabilities on its existing debts as they became absolute and matured. be required to pay its probable liabilities on its existing debts as they became absolute an~ matured. There can be no assurance as to what standard a court would apply in order to determine whether the There can be no assurance as to what standard a court would apply in order to determine whether the issuer was "insolvent" after giving effect to the incurrence of the indebtedness constituting the Collateral issuer was "insolvent" after giving effect to the incurrence of the indebtedness constituting the Collateral Asset or the grant of a lien securing the Collateral Asset or that, regardless of the method of ~aluation, a Asset or the grant of a lien securing the Collateral Asset or that, regardless of the method of valuation, a court would not determine that the issuer was "insolvenf' upon giving effect to such incurrence or grant. court would not determine that the issuer was "insolvent' upon giving effect to such incurrence or grant. In addition, in the event of the insolvency of an issuer of a Collateral Asset, payments made on such In addition, in the event of the insolvency of an issuer of a Collateral Asset, payments made on such Collateral Asset or a lien securing such Collateral Asset could be subject to avoidance as a "preference" if Collateral Asset or a lien securing such Collateral Asset could be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one year or longer) before insolvency. made within a certain period of time (which may be as long as one year or longer) before insolvency. Payments made under loans underlying Collateral Assets may also be subject to avoidance in the event Payments made under loans underlying Collateral Assets may also be subject to avoidance in the event of the bankruptcy of the borrower. of the bankruptcy of the borrower. a Collateral Asset are avoidable, whether as fraudulent conveyances In general, if payments In general, if payments on a Collateral Asset are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured. To the extent that any such payments are recaptured, preferences, such payments can be recaptured. To that such payments are recaptured, or the resulting loss be bome first by Income then by the Holders of the Class the resulting loss will be bome first by the Holders of the Income Notes, then by the Holders of the Class D Notes, then by the Holders of the Class C Notes, then Class then by the D Notes, then by the Holders of the Class C Notes, then by the Holders of the Class B Notes, then by the of the Class the Holders S-2 Notes, then by the Holders of the Holders of the Class A-2 Notes, then by the Holders of the Class S-2 Notes, then by the Holders of the Holders Class A-1d Notes, by the Holders of the Class A-1b Class A-Id Notes, then by the Holders of the Class A-1c Notes, then by the Holders of the Class A-lb Notes, then by the Holders A-1a and, of the Class S-1 Notes. Notes, then by the Holders of the Class A-la Notes and, finally, by the Holders of the Class S-1 Notes. Illiquidity of Collateral a limited trading Transfer. Illiquidity of Collateral Assets; Certain Restrictions on Transfer. There may be a limited trading market for many of the Collateral Assets purchased in there may be market for many of the Collateral Assets purchased by the Issuer, and in certain instances there may be effectively no trading market therefor. trading market effectively no Assets will generally not have been In addition, it is expected that substantially all of the Collateral Assets will generally not have been In addition, it is expected of any other jurisdiction, and no registered or qualified under the Securities Act, or the securities laws of any other jurisdiction, and no registered or qualified under the person or entity will be obligated to register or qualify any such Collateral Assets under the Securities Act qualify any such Collateral Assets under the Securities Act or entity will be obligated to person Assets will be subject to of such or any other securities law. Consequently, the Issuer's transfer of such Collateral Assets will be subject to Issuer's or any other securities law. Consequently, satisfaction of legal requirements applicable to transfers that do not require registration? or qualification transfers that do not require registration or qualification satisfaction of legal requirements under the Securities Act or any applicable state securities laws and upon satisfaction of certain other securities laws and upon satisfaction of certain other under the Securities Act or any applicable the Collateral Assets were issued. It is provisions of the respective agreements pursuant to which the Collateral Assets were issued. It is provisions of the respective agreements pursuant to other restrictions regarding the expected that such transfers will also be subject to satisfaction of certain other restrictions regarding the be subject satisfaction of that such transfers will expected transfer thereof to, for the benefit of or with assets of, a Plan, as well as certain other transfer restrictions. transfer thereof to, for the benefit of or with assets of, a Plan, as well as certain other transfer restrictions. The existence of such transfer restrictions will negatively affect the liquidity of, and consequently the price The existence of such transfer restrictions will negatively affect the liquidity of, and consequently the price that may be realized upon a sale of, such securities. that may be realized upon a sale of, such securities. The Issuer's investment in illiquid Collateral Assets may affect the Issuer's right to sell such The Issuer's investment in illiquid Collateral Assets may affect the Issuer's right to sell such investments if they become Credit Risk Obligations or Defaulted Obligations and. .the timing and price investments if they become Credit Risk Obligations or Defaulted Obligations and the timing and price thereof. The value of illiquid Collateral Assets may be less than comparable, more liquid investments. thereof. The value of illiquid Collateral Assets may be less than comparable, more liquid investments. The illiquidity of Collateral Assets and the restrictions on transfer of Collateral Assets, in each case as The illiquidity of Collateral Assets and the restrictions on transfer of Collateral Assets, in each case as described above, may also affect the ability of the Issuer to conduct a successful Auction, to exercise described above, may also affect the ability of the Issuer to conduct a successful Auction, to exercise redemptions and may also affect the amount and timing of receipt of proceeds from the sale of Collateral redemptions and may also affect the amount and timing of receipt of proceeds from the sale of Collateral Assets in connection with the exercise of remedies following an Event of Default Assets in connection with the exercise of remedies following an Event of Default. ..volatility of Ma~et Value o!_C()/IC!tera/ Assets. The market value of the Collateral Assets and the Volatility of Market Value of Collateral Assets. The market value of the Collateral Assets and the Reference Obligations' will generally fluctuate with, among other things, changes in prevailing interest Reference Obligations will generally fluituate with, among other things, changes in prevailing interest rates, general economic conditions, the condition of certain financial markets, developments or trends in rates, general economic conditions, the condition of certain financial markets, developments or trends in 53 53 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman SachsG GS MBS-E-021825423 GS MBS-E-021825423 Footnote Exhibits - Page 5513 any particular industry and the financial condition of the issuers of the Collateral Assets and the any particular industry and the financial condition of the issuers of the Collateral Assets and the Reference Obligations. A decrease in the market value of the Collateral Assets and the Reference Reference Obligations. A decrease in the market value of the Collateral Assets and the Reference Obligations would adversely affect the proceeds that could be obtained upon the sale of the Collateral Obligations would adversely affect the proceeds that could be obtained upon the sale of the Collateral Assets and could ultimately affect the ability of the Issuer to effect an Auction, an Optional Redemption by Assets and could ultimately affect the ability of the Issuer to effect an Auction, an Optional Redemption by Liquidation or a Tax Redemption, or to pay the principal of the Notes, or make distributions on the Income Liquidation or a Tax Redemption, or to pay the principal of the Notes, or make distributions on the Income Notes, upon a liquidation of the Collateral Assets following the occurrence of an Event of Default. Notes, upon a liquidation of the Collateral Assets following the occurrence of an Event of Default. Interest Rate Risk; Cashflow Swap Agreement. There will 'be a basis and timing mismatch Interest Rate Risk; Cashflow Swap Agreement. There will be a basis and timing mismatch between such Notes and the Collateral Assets which bear interest at a floating rate, since the interest between such Notes and the Collateral Assets which bear interest at a floating rate, since the interest rates' on such Collateral Assets bearing interest at a floating rate may adjust more frequently or less rates on such Collateral Assets bearing interest at a floating rate may adjust more frequently or less frequently, on different dates and based on different indices, than the interest rate on the Notes. The' frequently, on different dates and based on different indices, than the interest rate on the Notes. The fixed rates and the margins over LlBOR or other floating rates borne by Collateral Assets may be lower fixed rates and the margins over LIBOR or other floating rates borne by Collateral Assets may be lower than those on sold or amortized Collateral Assets which could cause a significant decline in interest than those on sold or amortized Collateral Assets which could cause a significant decline in interest coverage for the Notes. coverage for the Notes. On the Closing Date, the Issuer will enter into a Cashflow SWap Agreement to reduce the impact On the Closing Date, the Issuer will enter into a Cashflow Swap Agreement to reduce the impact of the timing mismatches between payments of interest on the Class S Notes, the Class A Notes and the of the timing mismatches between payments of interest on the Class S Notes, the Class A Notes and the Class B Notes and the receipt of payments on the Collateral Assets that are PIK Bonds. After the Closing Class B Notes and the receipt of payments on the Collateral Assets that are PIK Bonds. After the Closing Date, even if the Collateral Manager believes that engaging in a hedging technique (other than replacing Date, even if the Collateral Manager believes that engaging in a hedging technique (other than replacing an existing Cashflow Swap Agreement that is terminated) would be the Collateral Manager will an existing Cashflow Swap Agreement that is terminated) would be beneficial, the Collateral Manager will be unable to do so. Despite the Issuer having the benefit of a Cashflow Swap Agreement, there can be be unable to do so. Despite the Issuer having the benefit of a Cashflow Swap Agreement, there can be no assurance that the Collateral Assets and the Eligible Investments will in all circumstances generate no assurance that the Collateral Assets and the Eligible Investments will in all circumstances generate sufficient Proceeds to make timely payments slated interest on the or amounts subordinated sufficient Proceeds to make timely payments of stated interest on the Notes or amounts subordinated the Cashflow Swap Agreement solve all cashflow deferral thereto. There is no assurance thereto. 'There is no assurance that the Cashflow Swap Agreement will solve all cashflow deferral mismatches. mismatches. The Issuer Cashflow Swap Agreement the Rating Agency Condition is The Issuer may only terminate the Cashflow Swap Agreement if the Rating Agency Condition is satisfied. In the event the Cashflow Swap Agreement is terminated other than from termination events Agreement is than from termination events satisfied. In the event the Cashflow the Cashflow Swap use reasonable efforts to enter into described in the Cashflow Swap Agreement, the Issuer has agreed to use reasonable efforts to enter into described in not be satisfied by a a substitute Cashflow Swap Agreement unless the Rating Agency Condition would not be satisfied by a a substitute Cashflow Swap Agreement substitute will be found or that the SUbstitute Cashflow Swap Agreement, but there is no assurance that a SUbstitute will be found or that the Cashflow Swap Agreement, is substitute Cashflow Swap Agreement, whether in Rating Agency Condition will Rating Agency Condition will be satisfied. Any termination of the Cashflow Swap Agreement, whether in whole or in part, may require the Issuer to pay termination payments to the Cashflow Swap Counterparty, Counterparty, whole or in part, may require the prior to any payments on the which amounts are payable in accordance with the Priority of Payments prior to any payments on the amounts are payable in which Payments. Notes unless such payments are Defaulted Cashflow Swap Termination Payments. Notes unless such payments Notes will largely depend on the ability of the The Issuer's ability to meet its obligations on the Notes will largely depend on the ability of the on its The Issuer's ability Cashflow Swap Counterparty to meet its obligations under the Cashflow Swap Agreement. In the event under the Cashflow Swap Agreement. Inthe event Swap Counterparty to Cashflow is terminated, there can be the Cashflow Swap Counterparty defaults or the Cashflow Swap Agreement is terminated, there can be the Cashflow Swap Counterparty will be sufficient to provide for full no assurance that the amounts received from the Collateral Assets will be sufficient to provide for full amounts received from the Collateral no assurance that the otherwise distributable to the Holders of the payments due and payable on the Notes, or that amounts otherwise distributable to the Holders of the Notes, or payments due and payable on Income Notes will not be reduced. ' Income Notes will not be reduced. In the event of the insolvency of the Cashflow Swap Counterparty, the Issuer will be treated as a Inthe event of the insolvency of the Cashflow Swap Counterparty, the Issuer will be treated as a general creditor of such Cashflow Swap Counterparty. Consequently, the Issuer will be subject to the general creditor of such Cashflow Swap Counterparty. Consequently, the Issuer will be subject to the credit risk of the Cashflow Swap Counterparty. As a result, concentrations of Cashflow Swap credit risk of the Cashflow Swap Counterparty. As a result, concentrations of Cashflow Swap Agreements in anyone Cashflow Swap Counterparty subject the Notes to an additional degree of risk Agreements in any one Cashflow Swap Counterparty subject the Notes to an additional degree of risk with respect to defaults by such Cashflow Swap Counterparty. with respect to defaults by such Cashflow Swap Counterparty. Goldman Sachs Intemational will be the initial Cashflow Swap Counterparty. Goldman Sachs International will be the initial Cashflow Swap Counterparty. Prospective purchasers of the Notes and the Income Notes should consider and assess for Prospective purchasers of the Notes and the Income Notes should consider and assess for themselves the likelihood of a default by the Cashflow Swap Counterparty or a guarantor of its themselves the likelihood of a default by the Cashflow Swap Counterparty or a guarantor of its obligations, as well as the obligations of the Issuer under the Cashflow Swap Agreement, including the obligations, as well as the obligations of the Issuer under the Cashflow Swap Agreement, including the obligation to make termination payments to the Cashflow Swap Counterparty, and the Iikely.~~ililY. of the ,.. obligation to make termination payments to the Cashflow Swap Counterparty, and the likely.ability of the Issuer to terminate or reduce the Cashflow Swap Agreement or enter into additional Cashflow Swap Issuer to terminate or reduce the Cashflow Swap Agreement or enter into additional Cashflow Swap Agreements. ' Agreements. 54 54 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825424 GS MBS-E-02182S424 Footnote Exhibits - Page 5514 Concentration Risk. The Issuer will invest in pool of Collateral Assets consisting of U.S. Dollar Concentration Risk. The Issuer will invest in aapool of Collateral Assets consisting of U.S. Dollar denominated CDO Securities and Synthetic Securities referencing CDO Securities. With regard to the denominated COO Securities and Synthetic Securities referencing COO Securities. Wrth regard to the Conateral Assets or the securities underlying the COO Securities with respect to any particular obligor, Collateral Assets or the securities underlying the CDO Securities with respect to any particular obligor, industry or country (other than the United States), the concentration of the Collateral Assets (or the, industry or country (other than the United States), the concentration of the Collateral Assets (or the portfoliosof securities underlying certain Collateral Assets) in any one obligor would subject the Securities portfolios of securities underlying certain Collateral Assets) in anyone obligor would subject the Securities to a greater degree of risk with respect to defaults by such obligor, and the concentration of the Collateral' to a greater degree of risk with respect to defaults by such obligor, and the concentration of the Collateral, Assets (or the portfolios of securities underlying certain Collateral Assets) in any one industry would Assets (or the portfolios of securities underlying certain Collateral Assets) in anyone industry would subject the Securities to a greater degree of risk with respect to economic downturns relating to such subject the Securities to a greater degree of risk with respect to economic downturns relating to such industry. In addition, the concentration of the Collateral Assets (or the portfolios of securities underlying industry. In addition, the concentration of the Collateral Assets (or the portfolios of securities underlying certain Collateral Assets) in anyone country (other than the United States) would subject the Securities to certain Collateral Assets) in any one country (other than the United States) would subject the Securities to special risks related to regional economic conditions and sovereign risks. Further, the concentration of special risks related to regional economic conditions and sovereign risks. Further, the concentration of the Collateral Assets will change after the Closing Date as the underlying securities backing the CDO the Collateral Assets will change ?after the Closing Date as the underlying securities backing the COO Securities or Reference Obligations are sold, paid or redeemed. Securities or Reference Obligations are sold, paid or redeemed. No single issuer (or, with respect to Synthetic Securities, no single issuer of the related Reference No single issuer (or, with respect to Synthetic Securities, no single issuer of the related Reference ,Obligation) will represent as of the Closing Date more than approximately 2.0% of the Collateral Assets .Obligation) will represent as of the Closing Date more than approximately 2.0% of the Collateral Assets by outstanding Principal Balance. See "Security for the Notes-The Collateral Assets." by outstanding Principal Balance. See "Security for the Notes-The Collateral Assets." Other Considerations Other Considerations Changes in Tax Law; Gross-Up. Payments on Collateral Assets generally are expected to Changes in Tax Law; No Gross-Up. Payments on the Collateral Assets generally are expected to be exempt under current United States tax law from the imposition of United States withholding tax. See exempt under current United States tax law from the imposition of United States withholding tax. See be "Income Tax Considerations-United States Considerations-Tax Treatment of Issuer." "Income Tax Considerations-United States Tax Considerations-Tax Treatment of Issuer." However, of the surrounding the the Issuer will not be making any independent the Issuer will not be making any independent investigation of the circumstances surrounding the and, a no assurance that the individual assets comprising the Collateral Assets and, as a result, there can be no assurance that the assets comprising Collateral individual not be by the United States payments on the Collateral payments on the Collateral Assets may not be subject to withholding taxes imposed by the United States the Assets were not then of America or another jurisdiction. In of America or another jurisdiction. In that event, if the obligors of such Collateral Assets were not then required to make "gross-up" payments amount the required to make "gross-up" payments. that cover the full amount of any such withholding taxes, the Holders of the Securities would amounts available to make amounts available to make payments on, or distributions to, the Holders of the Securities would on the Collateral would be accordingly be reduced. There remaining accordingly be reduced. There can be no assurance that remaining payments on the Collateral would be at the Stated Maturity of each sufficient to make timely payments of interest on and payment of principal at the Stated Maturity of each sufficient to make timely payments Income Notes on the Stated Class of the Notes and, consequently, to make any payments on the Income Notes on the Stated Class of the Notes Maturity. Maturity. on the Securities, the Holders of In, the event that any with~olding tax is imposed on payments on the Securities,' the Holders of In.the event that any withholding tax is such Securities will not be entitled to receive "grossed-up" amounts to compensate for such withholding such Securities will not be entitled to receive "grossed-up" in part, at but tax. In addition, upon the occurrence of a Tax Event, the Issuer will redeem in whole but not in part, at redeem in Issuer tax. In addition, upon the occurrence of a Tax the procedures described applicable Redemption Prices specified herein, the Notes in accordance with the procedures described in accordance applicable Redemption Prices specified herein, under "Description of the Securities-Tax Redemption," "-Optional Redemption by Liquidation," "under "Description of the Securities-Tax Redemption," "-Optional Redemption by Liquidation," Optional Redemption by Refinancing-Optional Redemptionffax Redemption Procedures" herein. Optional Redemption by Refinancing-Optional Redemption/Tax Redemption Procedures" herein. Lack of Operating History. Each of the Issuers is a recently incorporated entity and has no Lack of Operating History. Each of the Issuers is a recently incorporated entity and has no substantial prior operating history. Accordingly, neither of the Issuers has a performance history for a substantial prior operating history. Accordingly, neither of the Issuers has a performance history for a prospective investor to consider. prospective investor to consider. Investment Company Act. Neither of the Issuers has registered with the United States Securities Investment Company Act. Neither of the Issuers has registered with the United States Securities and Exchange Commission (the ?SEC'1 as an investment company pursuant to the Investment Company and Exchange Commission (the "SEC') as an investment company pursuant to the Investment Company Act. The Issuer has not so registered in reliance on an exception for investment companies organized Act. The Issuer has not so registered in reliance on an exception for investment companies organized under the laws of a jurisdiction other than the United States whose investors resident in the United States under the laws of a jurisdiction other than the United States whose investors resident in the United States are solely Qualified Purchasers and which do not make a public offering of their securities in the United are solely Qualified Purchasers and which do not make a public offering of their securities in the United States. Counsel for the ,Issuers will opine, in connection with the sale of the Securities by the Initial States. Counsel for the Issuers will opine, in connection with the sale of the Securities by the Initial Purchaser, that neither the Issuer nor the Co-Issuer is on the Closing Date an investment company Purchaser, that neither the Issuer nor the Co-Issuer is on the Closing Date an investment company required to be registered under the Investment Company Act (assuming, for the purposes of such opinion, required to be registered under the Investment Company Act (assuming, for the purposes of such opinion, Purchase of -the terms _.. -. ?lhaf~the Securities -?are sold by the Initial Purchaser in accorcjance with the terms of ?the Purchase the with accordance in Purchaser Initial the by sold afe Securities thafthe Agreement). No opinion or no-action position has been requested of the SEC. position has been requested of the SEC. Agreement). No opinion or no-action 55 55 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825425 GS MBS-E-021825425 Footnote Exhibits - Page 5515 If the SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is If the SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but in violation of the Investment Company Act had failed, to register as an investment required, but in violation of the Investment Company Act had failed, to register as an investment company, possible consequences include, but are not limited to, the following: (i) the SEC could apply to company, possible consequences include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the violation; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or a district court to enjoin the violation; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is a party that is made in, or whose contract to which the Issuer or the Co-Issuer, as the case may be, is a party that is made in, or whose performance involves a violation of the Investment Company Act would be unenforceable by any party to performance involves a violation of the Investment Company Act would be unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement would produce a more the contract unless a court were to find that under the circumstances enforcement would produce a more equitable result than non-enforcement and would not be inconsistent with the purposes of the Investment equitable result than non-enforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing. the Issuer or Company Act Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer or the Co-Issuer, as the case may be, would be materially and adversely affected. the Co-Issuer, as the case may be, would be materially and adversely affected. The Securities are only permitted to be transferred to Qualified Institutional Buyers in transactions The Securities are only permitted to be transferred to Qualified Institutional Buyers in transactions meeting the requirements of Rule 144A and, solely in the case of the Income Notes, to Accredited meeting the requirements of Rule 144A and, solely in the case of the Income Notes, to Accredited Investors having a net worth of not less than U.S.$10 million in transactions exempt from registration Investors having a net worth of not less than U.S.$10 million in transactions exempt from registration under the. Securities Act, or in an offshore transaction, to a non-U.S. Person, complying with Rule 903 or under the Securities Act, or in an offshore transaction, to a non-U.S. Person, complying with Rule 903 or Rule 904 of Regulation S. The Securities being offered in the United States are being offered only to Rule 904 of Regulation S. The Securities being offered in the United States are being offered only to persons that are also Qualified Purchasers. Any non-permitted transfer will be voided and the Issuers persons that are also Qualified Purchasers. Any non-permitted transfer will be voided and the Issuers can require the transferee to sell its Securities to a permitted transferee, with such sale to be effected can require the transferee to sell its Securities to a permitted transferee, with such sale to be effected within 30 days after notice of such sale requirement is given. If is not effected within such 30 within 30 days after notice of such sale requirement is given. If such sale is not effected within such 30 day period, upon written direction from the Issuer, the Trustee will be authorized to conduct a period, upon written direction from the Trustee will be authorized to conduct a day such Securities to a permitted transferee and pending transfer, no commercially reasonable commercially reasonable sale of such Securities to a permitted transferee and pending such transfer, no further payments will be made in respect of interest therein. See further payments will be made in respect of such Securities or any beneficial interest therein. See "Notice Investors." "Description the Securities..:.-t=orm the Securities" "Description of the Securities--Form of the Securities" and "Notice to Investors." Credit Ratings. Credit debt represent the Credit Ratings. Credit ratings of debt securities represent the rating agencies' opinions regarding their credit guarantee agencies attempt evaluate the safety of are their credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and interest in market therefore, principal and interest payments and do not evaluate the risks of fluctuations in market value, therefore, they may not fully reflect the true risks may make timely they may not fully reflect the true risks of an investment. Also, rating agencies may fail to make timely an issuer's current financial condition changes in credit ratings in response to subsequent events, so that an issuer's current financial condition in changes in non-investment grade and comparable may be better or worse than a may be better or worse than a rating indicates. Credit ratings of non-investment grade and comparable unrated obligations in Obligations may be less reliable unrated obligations included in the Collateral Assets and Reference Obligations may be less reliable with investments in investment-grade debt indicators of investment quality than would be the case with investments in investment-grade debt investment indicators of obligations. obligations. As part of a coordinated action plan for Implementation of Securities Regulation in Europe. As part of a coordinated action plan for in Implementation of the Council of the European harmonization of securities markets in Europe, the European Parliament and the Council of the European harmonization of securities markets in (2003/71/EC) the Union has adopted a series of directives, including the Prospectus Directive (2003n1IEC) the including the Union has adopted a series Directive (2003/6/EC) which aim to ensure Transparency Directive (2004/109/EC) and the Market Abuse Directive (2003/6IEC) which aim to ensure Transparency Directive with high regulatory standards across the investor protection and market efficiency in accordance with high regulatory standards across the investor protection and market efficiency in or are in the process have European community. Pursuant to such directives member states have introduced, or are in the process directives European community. Pursuant implement the requirements of these directives. of introducing, legislation into their domestic markets to implement the reqUirements of these directives. legislation into their domestic of introducing, The introduction of such legislation has effected and will effect the regulation of issuers of securities that effect the regulation of issuers of securities that The introduction of such are offered to the public or admitted to trading on a European Union regulated market and the nature and on a European Union regulated market and the nature and admitted to are offered to the public or content of disclosure required to be made in respect of such issuers and their related securities. The content of disclosure required to be made in respect of such issuers and their related securities. The listing of Notes or Income Notes on any European Union stock exchange would subject the Issuer to listing of Notes or Income Notes on any European Union stock exchange would subject the Issuer to regulation under these directives, although the requirements applicable to the Issuer are not yet fully regulation under these directives, although the requirements applicable to the Issuer are not yet fully clarified. The Indenture will not require the Issuer to apply for, list or maintain a listing for any Class of clarified. The Indenture will not require the Issuer to apply for, list or maintain a listing for any Class of NoteS or Income Notes on a European Union stock exchange if compliance with these directives (or other Notes or Income Notes on a European Union stock exchange if compliance with these directives (or other requirements adopted by the European Parliament and Council of the European Union or a relevant requirements adopted by the European Parliament and Council of the European Union or a relevant member state) becomes burdensome. Should the Notes or Income Notes be delisted from any member state) becomes burdensome. Should the Notes or Income Notes be delisted from any exchange, the ability of the holders of such Securities to sell such Securities in the secondary market may exchange, the ability of the holders of such Securities to sell such Securities in the secondary market may be negatively impacted. be negatively impacted. ~-. -_ ..-EU Savings Directive. If, following implementation of European Council Directive 2003/48/EC, a __ EU Savings Directive. If, following implementation of European Council Directive 2003/48/EC, a payment were to be made or collected through a member state that opted for a withholding system and payment were to be made or collected through a member state that opted for a withholding system and an amount of or in respect of tax were to be withheld from that payment, neither the issuer nor the paying an amount of or in respect of tax were to be withheld from that payment, neither the issuer nor the paying 56 56 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825426 GS MBS-E-021825426 Footnote Exhibits - Page 5516 agent nor any other person would be obliged to pay additional amounts as a result of the imposition of agent nor any other person would be obliged to pay additional amounts as a result of the imposition of such withholding tax. If a withholding tax is imposed on a payment made by a paying agent following such withholding tax. If a withholding tax is imposed on a payment made by a paying agent following implementation of this Directive, the issuer will be required to maintain a paying agent in a member state implementation of this Directive, the issuer will be required to maintain a paying agent in a member state that will not be obliged to withhold or deduct tax pursuant to the Directive. that will not be obliged to withhold or deduct tax pursuant to the Directive. Certain Conflicts of Interest. Various potential and actual conflicts of interest may arise from the Certain Conflicts of Interest. Various potential and actual conflicts of interest may arise from the overall advisory, investment and other activities of the Collateral Manager, its affiliates and their overall advisory, investment and other activities of the Collateral Manager, its affiliates and their respective clients and employees and from the overall invesbnent actMty of the Initial Purchaser, respective clients and employees and from the overall investment activity of the Initial Purchaser, including in other transactions with the Issuer, including, without limitation, acting as counterparty with including in other transactions with the Issuer, including, without limitation, acting as counterparty with respect to any Cashflow Swap Agreement. The following briefly summarizes some of these conflicts, but respect to any Cashflow Swap Agreement. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. is not intended to be an exhaustive list of all such conflicts. The Col/ateral Manager Various potential and actual conflicts of interest may arise from the The Collateral Manager Various potential and actual conflicts of interest may arise from the overall advisory, investment and other activities of the Collateral Manager, its affiliates and their overall advisory, investment and other activities of the Collateral Manager, its affiliates and their respective clients and employees. The following briefly summarizes some of these conflicts, but is not respective clients and employees. The following briefly summarizes some of these conflicts, but is not of such intended to be an exhaustive intended to be an exhaustive list of all such conflicts. The Collateral Manager and/or affiliates have ongoing relationships with, render service to, The Collateral Manager and/or its affiliates have ongoing relationships with, render service to, with, may own debt or equity securities issued by issuers of and engage in finance and engage in transactions with, and may own debt or equity securities issued by issuers of certain of the Collateral Collateral Manager and its affiliates may invest on behalf of certain of the Collateral Assets. The Collateral Manager and its affiliates may invest on behalf of themselves clients in senior or subordinated or have interests different themselves and other clients in securities that are senior or subordinated to, or have interests different from the The interests parties may different than or adverse to from or adverse to, the Collateral Assets. The interests of such parties may be different than or adverse to Holders of In such persons may possess information relating the interests the interests of the Holders of the Securities. In addition, such persons may possess information relating is individuals the Collateral Manager responsible for to Collateral to the Collateral Assets which is not known to the individuals at the Collateral Manager responsible for monitoring the Collateral performing under the Collateral Management monitoring the Collateral Assets and performing the other obligations under the Collateral Management persons be be to share such information or Agreement. Such persons will not be required (and may not be permitted) to share such information or Neither the Collateral pass it along Collateral Manager pass it along to the Issuer, the Collateral Manager or any Holder of any Security. Neither the Collateral Issuer Holder of any Security for failure to Manager nor any of such person will have liability to the Issuer or any Holder of any Security for failure to nor such Manager upon such information. information to disclose such information or for taking, or failing to take, any action based upon such information. in any other business In addition, Collateral Manager and/or In addition, the Collateral Manager and/or any of its affiliates may engage in any other business others which may include, without and furnish investment management and advisory services to others which may include, without management and affiliated with or have other in, limitation, serving as consultant or servicer for, investing in, lending to, being affiliated with or have other limitation, obligations secured by ongoing relationships with, other entities organized to issue collateralized debt obligations secured by relationships ongoing investments vehicles that acquire assets similar to the Collateral Assets, and other trusts and pooled investments vehicles that acquire issued by issuers that would be suitable interests in, provide financing to, or otherwise deal with securities issued by issuers that would be suitable to, interests in, Assets held by the Issuer, the investments for the .Issuer. In the course of monitoring the Collateral Assets held by the Issuer, the In investments for entities whose securities (or Collateral Manager may consider its relationships with other clients (including entities whose securities (or Collateral and its affiliates. In providing services to other those of its affiliates) are pledged to secure the Notes) and its affiliates. In providing services to other secure the of its affiliates) those clients, the Collateral Manager and its affiliates may recommend activities that would compete with or recommend activities that would compete with or clients, the Collateral Manager otherwise adversely affect the Issuer. In addition, the Collateral Manager will be free, in its sole discretion, Manager will free, in its sole discretion, In otherwise adversely affect the to make recommendations to others, or effect transactions on behalf of itself or for others, that may be the transactions behalf of itself or for others, that may be the to make recommendations to Issuer, and the Collateral Manager may furnish same as or different from those effected on behalf of the Issuer, and the Collateral Manager may furnish on behalf of same as or to those followed by the Issuer and advisory services to others who may have investment policies similar to those followed by the Issuer and services to advisory same type as, the Collateral Assets. Under who may own securities of the same class, or which are the same type as, the Collateral Assets. Under class, or who may own securities the Collateral Manager will be permitted to take the terms of the Collateral Management Agreement, the Collateral Manager will be permitted to take the terms of the Collateral Management Agreement, whatever action is in the Collateral Manager's best interest regardless of the impact on the Collateral whatever action is in the Collateral Managers best interest regardless of the impact on the Collateral may direct the Issuer to sell Assets. In addition, under certain circumstances the Collateral Manager may direct the Issuer to sell Assets. In addition, under certain circumstances the Collateral certain Collateral Assets. Such sales of Collateral Assets may result in Iqsses by the Issuer, which losses Collateral Assets. Such sales of Collateral Assets may result in losses by the Issuer, which losses certain may result in the reduction or withdrawal of the rating of any or all of the Securities by any of the Rating may result in the reduction or withdrawal of the rating of any or all of the Securities by any of the Rating Agencies. In determining whether to exercise such right, the Collateral Manager need not take into Agencies. In determining whether to exercise such right, the Collateral Manager need not take into account the interests of the Issuers, the Noteholders, the Income Noteholders or any other party. account the interests of the Issuers, the Noteholders, the Income Noteholders or any other party. The Collateral Manager and/or its affiliates may at certain times be simultaneously seeking to The Collateral Manager and/or its affiliates may at certain times be simultaneously seeking to purchase or dispose of investments for their respective accounts or for 'another entity, including other purchlise or dispose of investments for their respective accounts or for 'another entity, including other collateralized debt obligation vehicles, at the same time as it is purchasing or disposing of investments for collateralized debt obligation vehicles, at the same time as it is purchasing or disposing of investments for the Issuer. Accordingly, conflicts may arise regarding the allocation of sale opportunities. the Issuer. Accordingly, conflicts may arise regarding the allocation of sale opportunities. 57 57 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825427 GS MBS-E-02182S427 Footnote Exhibits - Page 5517 Collateral Manager of placed respect to the The Collateral Manager may aggregate sales of securities placed with respect to the Collateral with being made accounts managed by Assets with similar sales being made simultaneously for other clients or other accounts managed by the Collateral Manager or the Collateral if in Collateral Manager or with accounts of the affiliates of the Collateral Manager, if in the Collateral result in Manager's judgment aggregation overall economic Manager's reasonable business judgment such aggregation will 'result in an overall economic benefit to brokerage commission other the Issuer, taking into consideration the advantageous selling price, brokerage commission and other no Collateral Management Agreement expenses. However, no provision of the Collateral Management Agreement requires the Collateral Manager or its. affiliates to execute orders as part of concurrent authorizations or to aggregate sales. its, execute orders Nevertheless, the Collateral Manager may, in the allocation of business, take into consideration research Collateral Manager consideration in and other brokerage services furnished to the Collateral Manager or its affiliates by brokers and dealers. brokerage Collateral Manager Manager in Manager's other Such services may be used by the Collateral Manager in connection with the Collateral Managers other may advisory services or investment operations. in Collateral Management Agreement prevents Collateral Manager or No provision in the Collateral Management Agreement prevents the Collateral Manager or any of its affiliates from rendering services of any kind to the issuer of any Collateral Assets and its affiliates, the the the Holders Cashflow Counterparty other Without Trustee, the Holders of the Securities, the Cashflow Swap Counterparty or any other entity. Without Collateral, prejudice to the generality of the foregoing, the Collateral Manager and its affiliates, directors, officers, among things: (a) employees and agents may, among other things:, (a) serve as general partner, adviser, sponsor or secured manager manager of partnerships or companies organized to issue collateralized bond or loan obligations secured Collateral by assets similar to the Collateral Assets, directors (whether supervisory or managing), partners, officers, (b) employees, agents, nominees or signatories for an issuer of any Collateral Assets; (b) receive fees for to thereof; (c) services rendered to the issuer of any Collateral Assets or any affiliate thereof, (c) be retained to provide services unrelated to the Collateral Management Agreement to the Issuer or its Affiliates and be paid Management Agreement paid in, therefor; (d) therefor; (d) a secured or unsecured creditor of, or hold an equity interest in, any issuer of any Collateral member "creditors' any board" Assets; (e) serve as a member of any "creditors' board" or "creditors' committee" with respect to any (e) Collateral Assets which has become or may become a Defaulted Obligation or with respect to any may mortgage commercial mortgage loan securing any Collateral Assets or the respective borrower for any such of any borrower mortgage of (f) commercial mortgage loan; (f) own or make loans to any borrower or affiliate of any borrower on any of in already (g) the commercial mortgage loans securing the Collateral Assets; (g) invest, or have already invested, in mortgage from or obligations and/or other securities that are identical to or senior to, or have interests different from or adverse to, the Collateral Assets; (h) make investments on their own behalf without offering such without' offering such (h) in before investment opportunities to the Issuer or informing the Issuer of any investments before engaging in any the Collateral (i) investment for themselves; (i) recommend or effect direct trades between the Issuer and the Collateral an Manager or a Collateral Manager Affiliate or funds or accounts for which the Collateral Manager or an Manager legal Affiliate serve as Collateral Manager, acting as principal or agent, subject to applicable legal 0> in' requirements; (j) invest in obligations that would be appropriate as Collateral and have ongoing obligations are relationships with, render services to or engage in transaction with, companies whose obligations are in of included in the Collateral and may own equity or debt securities by issuers of and other obligors of in the Collateral Assets; and (k) enter into agency cross-transactions where the Collateral Manager and/or the (k) ~o the Collateral Manage Affiliates acts as broker for the Issuer and for the other party to the transaction, to the the Management extent permitted under applicable law. Under the terms of the Collateral Management Agreement, the Manager's best interest is in Collateral Manager will be permitted to take whatever action is in the Collateral Manager's best interest regardless of the impact on the Collateral Assets. .-- ==... ~~- ..... ~- . or affiliates On the Closing Date it is expected that the Collateral Manager or one or more clients or affiliates it is of the of the Collateral Manager will purchase approximately 50% of the aggregate notional amount of the D Income Notes and 100% of the Aggregate Outstanding Amount of the Class 0 Notes and may purchase 100% clients or Notes and/or Income Notes on or after the Closing Date. The Collateral Manager or such clients or Manager or affiliates may at times also own other Securities. There is no assurance that the Collateral Manager or is Income Notes (including any of such clients or affiliates will continue to hold any or all of the Notes or the Income Notes (including to the Income Notes and the Class 0 Notes purchased on the Closing Date) or that they will continue to hold D Income Collateral interests in any securities related to the Collateral Assets. For so long as Greywolf is the Collateral is in Collateral Income Manager and any funds managed by Greywolf continue to hold any Income Notes, any Collateral hold managed Manager by- the Issuer in Management Fees otherwise payable to the Collateral Manager hereunder shall be paid by-the,lssuer in Collateral Manager.he(~under payable to the following order: (i) first, to such funds managed by Greywolf (on a pro rata basis among such funds), (i) first, such Greywolf a rate (y) a in an amount equal to the product of (x) such Collateral Management Fees and (y) a fraction the (x) to in 58 58 Goldman Sachs Confidential Treatment Requested by Goldman Sachs Requested Confidential MBS-E-021825428 GS MBS-E-021825428 Footnote Exhibits - Page 5518 numerator of which is the notional amount of the Income Notes held by such funds managed by Greywolf numerator of which is the notional amount of the Income Notes held by such funds managed by Greywolf and the denominator of which is the aggregate notional amount of all the Income Notes and (ii) second, and the denominator of which is the aggregate notional amount of all the Income Notes and (ii) second, the remainder, if any, to Greywolf. the remainder, ifany, to Greywolf. Greywolf or any of its affiliates or subsidiaries will be permitted to exercise all voting rights with Greywolf or any of its affiliates or subsidiaries will be permitted to exercise all voting rights with respectto any Securities that they may acquire (other than with respect to a vote regarding the removal of respect to any Securities that they may acquire (other than with respect to a vote regarding the removal of the Collateral Manager or the termination or assignment of the Collateral Management Agreement). The the Collateral Manager or the termination or assignment of the Collateral Management Agreement). The interests of such persons may be different from or adverse to the interests of the other Holders of interests of such persons may be different from or adverse to the interests of the other Holders of Securities. Securities. The Collateral Manager, in its sole discretion, may, from time to time; waive all or any portion of The Collateral Manager, in its sole discretion, may, from time to time, waive all or any portion of . the Collateral Management Fee, and may defer all or any portion of the Collateral Management Fee. Any Collateral Management Fee, and may defer all or any portion of the Collateral Management Fee. Any the deferred Collateral Management Fees will become payable on the next Payment Date (and, if not paid on deferred Collateral Management Fees will become payable on the next Payment Date (and, if not paid on such Payment Date, on one or more subsequent Payment Dates) in accordance with the Priority of such Payment Date, on one or more subsequent Payment Dates) in accordance with the Priority of Payments. Payments. Members of the board of directors of the Issuer who are not affiliated with the Collateral Manager Members of the board of directors of the Issuer who are not affiliated with the Collateral Manager or their delegates or other authorized representatives of the Issuer will have the responsibility for or their delegates or other authorized representatives of the Issuer will have the responsibility for approving any transactions between the Issuer and the Collateral Manager or its affiliates involving approving any transactions between the Issuer and the Collateral Manager or its affiliates involving significant of interest (including principal More particularly, directors unaffiliated with the significant conflicts of interest (including principal trades). More particularly, directors unaffiliated with the Collateral Manager or any delegate designated by such directors will be responsible approving any Collateral Manager or any delegate designated by such directors will be responsible for approving any principal transactions for which Issuer consent is required pursuant to Section 206(3) of the Advisers Act. transactions for which Issuer is required pursuant to Section 206(3) of the Advisers Act. principal In addition, the authorization which has been given and can be revoked at In addition, with the prior authorization of the Issuer, which has been given and can be revoked at any Manager and/or may enter into cross-transactions where the any time, the Collateral Manager and/or its affiliates may enter into agency cross-transactions where the acts broker the for the other party to the Collateral Manager and/or Collateral Manager and/or its affiliates acts as broker for the Issuer and for the other party to the transaction, to the permitted under in Collateral Manager or any transaction, to the extent permitted under applicable law, in which case the Collateral Manager or any such affiliate will receive commissions from, and have a potentially conflicting division of loyalties and division of loyalties and such affiliate will receive responsibilities regarding, responsibilities regarding, both parties to the transaction. may arise from the of The Purchaser. The Initial Purchaser. Various potential and actual conflicts of interest may arise from the conduct by the Initial Purchaser and its affiliates in other transactions with the Issuer, including, without Purchaser in the Issuer, including, without conduct by the Initial limitation, acting as Agreement and Synthetic Securities. Cashflow limitation, acting as counterparty with respect to any CashfioW Swap Agreement and Synthetic Securities. Counterparty and an The Initial Purchaser and/or its affiliates will act as an initial Synthetic Security Counterparty and an The Initial Purchaser Counterparty. The following briefly affiliate of the Initial Purchaser will act as the initial Cashflow Swap Counterparty. The following briefly affiliate of the Initial list of all such conflicts. summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. is summarizes some of these and selling agent will have placed or It is expected that Goldman, Sachs & Co. and/or its affiliates and selling agent will have placed or Sachs & Co. It is expected that will own equity or other securities of underwritten certain of the Collateral Assets at original issuance, will own equity or other securities of at certain of underwritten banking services, advisory, issuers of or obligors on Collateral Assets and will have provided investment banking services, advisory, issuers of or obligors on Collateral Assets and Issuer may invest in the securities of banking and other services to issuers of Collateral Assets. The Issuer may invest in the securities of of services banking and other companies affiliated with Goldman, Sachs & Co. and/or any of its affiliates or in which Goldman, Sachs & & Co. and/or any of its affiliates or in which Goldman, Sachs & companies affiliated with Goldman, Co. and/or any of its affiliates have an equity or participation interest. The purchase, holding and sale of Co. and/or any of its affiliates have equity or participation interest. The purchase, holding and sale of such investments by the Issuer may enhance the profitability of Goldman, Sachs & Co.'s and/or any of its profitability of Goldman, Sachs & Co.'s and/or any of its such investments by the Issuer may enhance that one or more affiliates of affiliates' own investments in such companies. In addition, it is expected that one or more affiliates of affiliates' own investments in such companies. In addition, it is respect to one or more Synthetic Securities and Goldman, Sachs & Co. may also act as counterparty with respect to one or more Synthetic Securities and & Co. may also act as counterparty Goldman, Sachs may act as a counterparty with respect to total return swaps with certain investors in the Notes or the may act as a counterparty with respect to total return swaps with certain investors in the Notes or the Income Notes. The Issuer may invest in money market funds that are managed by Greywolf or Goldman, Income Notes. The Issuer may invest in money market funds that are managed by Greywolf or Goldman, Sachs & Co. or any of their affiliates; provided that such money market funds otherwise qualify as Eligible Sachs & Co. or any of their affiliates; provided that such money market funds otherwise qualify as Eligible Investments. Goldman, Sachs & Co. and/or a consolidated entity controlled by Goldman, Sachs & Co. or Investments. Goldman, Sachs &Co. and/or a consolidated entity controlled by Goldman, Sachs & Co. or an affiliate thereof intends to provide "warehouse" financing to the Issuer prior to the Closing Date. See an affiliate thereof intends to provide "warehouse" financing to the Issuer prior to the Closing Date. See "-Collateral AccumUlation." . "-Collateral Accumulation." There is no limitation or restriction on the Initial Purchaser or any of its affiliates with regard to There is no limitation or restriction on the Initial Purchaser or any of its affiliates with regard to . acting as investment advisor, initial purchaser or placement-agent (or in a similar role) to other parties or acting as investment advisor, initial purchaser or placement.agent (or in a similar role) to other parties or persons. This and other future activities of the Initial Purchaser and/or its respective affiliates may give persons. This and other future activities of the Initial Purchaser and/or its respective affiliates may give rise to additional conflicts of interest. rise to additional conflicts of interest. 59 59 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825429 GS MBS-E-021825429 Footnote Exhibits - Page 5519 Anti Money Laundering? Provisions. Uniting and Strengthening America By Providing Appropriate Anti Money Laundering Provisions. Uniting and Strengthening America By Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Acf1, signed into Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signed into law on and effective as of October 26,2001, imposes anti money laundering obligations on different types law on and effective as of October 26, 2001, imposes anti money laundering obligations on different types of financial institutions, including banks, broker dealers and investment companies. The USA PATRIOT of financial institutions, including banks, broker dealers and investment companies. The USA PATRIOT Act requires the Secretary of the United States Department of the Treasury (the ''Treasury'') to prescribe Act requires the Secretary of the United States Department of the Treasury (the "Treasury") to prescribe regulations to define the types of investment companies subject to the USA PATRIOT Act and the related regulations to define the types of investment companies subject to the USA PATRIOT Act and the related antimoney laundering obligations. It is not clear whether Treasury will require entities such as the Issuer anti money laundering obligations. It is not clear whether Treasury will require entities such as the Issuer to enact anti money laundering policies. It is possible that Treasury will promulgate regulations requiring to enact anti money laundering policies. It is possible that Treasury will promulgate regulations requiring the Issuers or the Initial Purchaser or other service? providers to the Issuers, in connection with the the Issuers or the Initial Purchaser or other service providers to the Issuers, in connection with the establishment of anti money laundering procedures, to share information with governmental authorities establishment of anti money laundering procedures, to share information with governmental authorities with respect to investors in the Notes and/or the Income Notes. Such legislation and/or regulations could with respect to investors in the Notes and/or the Income Notes. Such legislation and/or regulations could require the Issuers to implement additional restrictions on the transfer of the Notes and/or the Income require the Issuers to implement additional restrictions on the transfer of the Notes andlor the Income Notes. As may be required, the Issuer reserves the right to request such information and take such Notes. As may be required, the Issuer reserves the right to request such information and take such actions as are necessary to enable it to comply with the USA PATRIOT Act. actions as are necessary to enable itto comply with the USA PATRIOT Act. The Issuer. The Issuer is a recently incorporated Cayman Islands exempted limited liability The Issuer. The Issuer is a recently incorporated Cayman Islands exempted limited liability company and has no substantial prior operating history. The Issuer will have no significant assets other company and has no substantial prior operating history. The Issuer will have no significant assets other than the Collateral Assets, the Default Swap Collateral Account, Eligible Investments, rights under the than the Collateral Assets, the Default Swap Collateral Account, Eligible Investments, rights under the Cashflow Swap Agreement and certain other accounts and agreements entered into as described herein, Cashflow Swap Agreement and certain other accounts and agreements entered into as described herein, and proceeds thereof, all of which have been pledged to the Trustee to secure the Issuer's obligations to and proceeds thereof, all of which have been pledged to the Trustee to secure the Issuer's obligations to the Holders of the Notes and the Cashflow Swap Counterparty. The Issuer will not engage in any the Holders of the Notes and the Cashflow Swap Counterparty. The Issuer will not engage in any business activity other than issuance and sale of the Notes Income Notes as described business activity other than the issuance and sale of the Notes and the Income Notes as described of the Collateral Assets and herein, the issuance of the Ordinary Shares, the acquisition and disposition of the Collateral Assets and the issuance of the Ordinary the and herein, and the performance of its obligations Eligible Investments as described herein, the entering Eligible Investments as described herein, the entering into of, and the .performance of its obligations under, the Indenture, the Cashflow Swap Agreement, Account Control Agreement, the Collateral under, the Indenture, the Cashflow Swap Agreement, the Account Control Agreement, the Collateral Management Agreement, Administration Agreement, Administration Agreement, the Management Agreement, the Collateral Administration Agreement, the Administration Agreement, the Fiscal Agency Agreement, the Deed any other Transaction Document, the pledge Fiscal Agency Agreement, the Deed of Covenant, any other applicable Transaction Document, the pledge of the Collateral security in Notes otherwise for the benefit of the of the Collateral as security for its obligations in respect of the Notes and otherwise for the benefit of the in payment of amounts in respect of the Secured Parties, certain actMties Secured Parties, certain activities conducted in connection with the payment of amounts in respect of the activities incidental to the Notes and the Income management Notes and the Income Notes and the management of the Collateral and other activities incidental to the will the Issuer's only source foregoing. Income derived from foregoing. Income derived from the Collateral Assets and other Collateral will be the Issuer's only source of cash. . of cash. Delaware corporation and has no prior The Co-Issuer. The Co-Issuer is a newly incorporated Delaware corporation and has no prior is a The Co-Issuer. significant assets. The Co-Issuer operating history. The Co-Issuer does not have and will not have any significant assets. The Co-Issuer and operating history. The Co-Issuer of the Class S Notes, the Class A will not engage in any business activity other than the co-issuance of the Class S Notes, the Class A than will not engage in any business Notes, the Class B Notes and the Class C Notes. C Notes, the Class B Notes and Tax. See "Income Tax Considerations." Tax. See "Income Tax Considerations." ERISA. See "ERISA Considerations." ERISA. See "ERISA Considerations." DESCRIPTION OF THE SECURITIES THE SECURITIES DESCRIPTION The Income Notes will be constituted by the deed of covenant executed by the Issuer on March The Income Notes will be constituted by the deed of covenant executed by the Issuer on March 27, 2007 (the "Deed of Covenant") and subject to the terms and conditions thereof (the ''Terms and 2007 (the "Deed of Covenant") and subject to the terms and conditions thereof (the "Terms and 27, Conditions") and the Income Notes will be issued pursuant to the Fiscal Agency Agreement The Conditions") and the Income Notes will be issued pursuant to the Fiscal Agency Agreement The following summary describes certain provisions of the Securities, the Indenture, the Fiscal Agency following summary describes certain provisions of the Securities, the Indenture, the Fiscal Agency Agreement and the Deed of Covenant. This summary does not purport to be complete and is subject to, Agreement and the Deed of Covenant. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Securities, the Indenture, the Fiscal and qualified in its entirety by reference to, the provisions of the Securities, the Indenture, the Fiscal Agency Agreement and the Deed of Covenant. Copies of the Indenture may be obtained by prospective Agency Agreement and the Deed of Covenant. Copies of the Indenture may be obtained by prospective purchasers of the Notes upon request in writing to the Trustee at The Bank of New York, 101 Barclay purchasers of the Notes upon request in writing to the Trustee at The Bank of New York, 101 Barclay Street, Floor BE, New York, New York, 10286, Attention: CDO Transaction Management Group -Street, Floor 8E, New York, New York, 10286, Attention: CDO Transaction Management Group Timberwolf I,I,fax (212) 815-3115, and, so long as any Notes and/or Income Notes are listed on a stock Timberwolf fax (212) 815-3115, and, so long as any Notes and/or Income Notes are listed on a stock exchange, the Indenture will be available for inspection free of charge from the office of the Listing and exchange, the Indenture will be available for irispection free of charge from the office of the Listing and Paying Agent. Copies of the Fiscal Agency Agreement and the Issuer's Memorandum and Articles of Paying Agent. Copies of the Fiscal Agency Agreement and the Issuer's Memorandum and Articles of Association may be obtained by prospective purchasers of Notes and Income Notes upon request in Association may be obtained by prospective purchasers of Notes and Income Notes upon request in 60 60 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825430 GS MBS-E-021825430 Footnote Exhibits - Page 5520 Canada Square, London E14 writing the Fiscal Agent at The Bank of New York, London Branch, One writing toto the Fiscal Agent at The "Bank of New York,London Branch, One Canada Square, London E14 7073-Attention: Corporate Trust 7961 SAL, the United Kingdom, fax +44 20 7964 6399, phone +44 20 5AL, the United Kingdom, fax +44 20 7964 6399, phone +44 20 7961 7073-Attention: Corporate Trust Administration. Administration. Status and Security Status and Security The Notes (other than the Class 0 Notes) will be limited recourse obligationsof the Issuers and of the Issuers The Notes (other than the Class D Notes) will be limited recourse obligations Issuer, secured and as theClass D Notes and the Income Notes will be limited recourse obligations of the Issuer, securedas Class 0 Notes and the Income Notes will be limited recourse obligations of the the and will described below. The Income Notes will be debt obligations of the Issuer,and will not be secured under described below. The Income Notes will be debt obligations of the Issuer, available not be secured under for payment to the the terms of the Indenture and will only be entitled to receive amounts the terms of the Indenture and will only be entitled to receive amounts available for payment to the Holdersof the Income Notes after payment of all amounts payable prior thereto under the Priority of of the Income Notes after payment of all amounts payable prior thereto under the Priority of Holders Payments. The Class S-1 Notes will be senior in right of payment on eachPayment Date to the Class APayment Date to Payments. The Class S-I Notes will be senior in right of payment on eachClass D Notes and the Class A1 Notes,the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class 0 Notes andthe Income the Class A-2 Notes, the Class B Notes, the Class C Notes, the the Income 1 Notes, will be senior in Notes to the extent provided in the Priority of Payments. The Class S-2 Notes will be senior in right of Notes to the extent provided in the Priority of Payments. The Class S-2 Notes of interest on the right of payment on each Payment Date to the Class A-2 Notes (provided, that payments theClass Class payment on each Payment Date to the Class A-2 Notes (provided, that payments of interest onthe Class S-2Notes and the Class A Notes will be paid pro rata), the Class B Notes, the Class C Notes, the Class Notes and the Class A Notes will be paid pro rata), the Class B Notes, the Class C Notes, S-2 o Notes and the Income Notes to the extent provided in the Priority of Payments. The Class A-1 Notes A-1 Notes D Notes and the Income Notes to the extent provided in the Priority of Payments. The Class payments will be senior in right of payment on each Payment Date to the Class A-2 Notes (provided, that payments be senior in right of payment on each Payment Date to the Class A-2 Notes (provided, that will of interest on the Class A Notes will be paid pro rata), the Class B Notes,the Class C Notes, the Class D the Class 0 of interest on the Class A Notes will be paid pro rata), the Class B Notes, the Class C Notes, principal on Notes and the Income Notes to the extent provided in the Priority of Payments. Payments of principal on and the Income Notes to the extent provided in the Priority of Payments. Payments of Notes the Class S:-2 Notes and the Class A-1 Notes will be paid as described in the Priority of Payments. The the Class S-2 Notes and the Class A-1 Notes will be paid as described in the Priority of Payments. The " Class A-2 Notes will be senior in right of payment on each Payment Date to the Class B Notes, the Class to the Class Class A-2 Notes will be senior in right of payment on each Payment Datein the Priority B Notes, the Class of Payments. The C Notes, the Class D Notes and the Income Notes to the extent provided in the Priority of Payments. The the Class 0 Notes and the Income Notes to the extent provided C Notes, Class B Notes will be senior in right of payment on each Payment Date to the Class C Notes, the Class D Date to the C Notes, the 0 Class B Notes will be senior in right of payment on each Paymentof Payments. Class Class C NotesClassbe The will Notes and the Income Notes to the extent provided in the Priority of Payments. The Class C Notes will be and the Income Notes to the extent provided in the Priority Notes senior in right of payment on each Payment Date to the Class 0 Notes and the Income Notes to the senior in right of payment on each Payment Date to the Class D Notes and the Income Notes to the in right of payment on each extent provided in the Priority of Payments. The Class 0 will be of payment on each extent provided in the Priority of Payments. The Class D Notes will be seniorofinPayments. Payments of Payment Date to the Income Notes to the extent provided in the Priority of Payments. Payments of Date to the Income Notes to the extent provided in the Priority Payment principal on the Class A-1 Notes will be paid in accordance with the Class A-1 Note Payment Sequence. with the A-1 Note Payment Sequence. Class A-1 Notes will be paid in principal on theof Payments." See "-Priority of Payments." "-Priority See the benefit and security Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit and security Under the terms of the Indenture, the Issuer Agent, the Collateral Administrator, of the Trustee for itself and on behalf of the Noteholders, the Fiscal Agent, the Collateral Administrator, of the Noteholders, of the Trustee for itself and on behalf Synthetic Security Counterparty the Collateral Manager, the Cashflow Swap Counterparty and the Synthetic Security Counterparty the Collateral Manager, the Cashflow Swap Counterparty (collectively, the "Secured Parties"), a first priority security interest in (i) the Collateral Assets; (ii) the in (i)the Collateral Assets; (ii)the (collectively, the "Secured Parties"), a first priority security Termination Receipts Account, the . Collection Account; (iii) the Payment Account; (iv) the Cashflow Swap Termination Receipts Account, the Cashflow Collection Account; (iii) the Payment Account; Account (subject, in each case, Cashflow Swap Replacement Account and the Cashflow Swap Collateral Account (subject, in each case, Cashflow Swap Replacement Account and the Cashflow Swap to the rights of the Cashflow Swap Counterparty); (v) the Expense Reserve Account; (vi) the Collateral Swap Counterparty); (v)the Expense Reserve Account; (vi) the Collateral to the rights of the Cashflow (subject, Account; (vii) the Synthetic Security Collateral Account and the Default Swap Collateral Account (subject, Account; (vii) the Synthetic Security Collateral Account and the Default Swap Collateral Account in each case, to the rights of the Synthetic Security Counterparty) (items (ii) through (vii), the "Accounts"); Counterparty) (items (ii)through (vii), the "Accounts"); in each case, to the rights of the Synthetic Security Swap Agreement; (x) the Issuer's (viii) Eligible Investments; (ix) the Issuer's rights under the Cashflow Swap Agreement; (x) the Issuer's (viii) Eligible Investments; (ix) the Issuer's rights under the Cashflow other property (collectively, the rights under the Collateral Management Agreement and (xi) certain other property (collectively, the rights under the Collateral Management Agreement and (xi) certain "Collateral'1? "Collateral'). on the Income Notes will be Payments of interest on and principal of the Notes and payments on the Income Notes will be Payments of interest on and principal of the Notes and payments of Payments. with the Priority made solely from the proceeds of the Collateral in accordance with the Priority of Payments. made solely from the proceeds of the Collateral in accordance permitted to be made on The aggregate amount that will be available for payments required or permitted to be made on The aggregate amount that will be available for payments required or on any Payment Date will the Notes and of certain expenses of the Issuers, the Trustee and the Agents on any Payment Date will Trustee and the Agents the Notes and of certain expenses of the Issuers, the (including the proceeds of the be the total amount of payments and collections in respect of the Collateral (including the proceeds of the be the total amount of payments and collections in respect of the Collateral on (and including) the fourth endingon (and including) the fourth sale of any Collateral) received during the period (a "Due Periodj ending sale of any Collateral) received during the period (a "Due Period') Due Period that is applicable to the Business Day prior to such Payment Date (or, in the case of aaDue Period that is applicable to the Business Day prior to such Payment Date (or, in the case of including) the day preceding Payment Date relating to the Stated Maturity of any Note, ending on (and including) the day preceding ending Payment Date relating to the Stated Maturity of any Note,Day prioron (and Payment Date occurs before to such such Payment Date) (provided, that ififthe fourth ~usiness Day prior to such Payment Date occurs before such Payment Date) (provided, that the fourth Business day of such the 25th day of any calendar month, such--bue-P-eriod shall ena on, and include, the 25th day of such the 25th day of any calendar month, such Due Peiiod shall end on, and include, the 25th Day)), and the 25th day not Business Day, the immediately following Business calendar month (or ifif the25th day isis notaa BusinessDay, the immediately following Business Day>>, and month (or calendar 61 61 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825431 GS MBS-E-021825431 Footnote Exhibits - Page 5521 commencing immediately following the fourth Business Day prior to the preceding Payment Date (or, in commencing immediately following the fourth Business Day prior to the preceding Payment Date (or, in the case of the Due Period relating to the first Payment Date, on the Closing Date) (provided, that if a Due. the case of the Due Period relating to the first Payment Date, on the Closing Date) (provided, that if a Due Period ends on the 25th day of a calendar month, the next succeeding Due Period shall commence Period ends on the 25th day of a calendar month, the next succeeding Due Period shall commence immediately following the 25th day of such calendar month (or if such day is not a Business Day, the immediately following the 25th day of such calendar month (or if such day is not a Business Day, the immediately following Business Day>> and any such amounts received in prior Due Periods that were not immediately following Business Day)) and any such amounts received in prior Due Periods that were not disbursed on a previous Payment Date. disbursed on a previous Payment Date. Interest and Distributions Interest and Distributions The Class S-1 Notes will bear interest during each Interest Accrual Period at the Class S-1 Note The Class S-1 Notes will bear interest during each Interest Accrual Period at the Class S-1 Note Interest Rate for such Interest Accrual Period. The Class S-2 Notes will bear interest during each Interest Interest Rate for such Interest Accrual Period. The Class S-2 Notes will bear interest during each Interest Accrual Period at the Class $-2 Note Interest Rate for such Interest Accrual Period. The Class A-1a Accrual Period at the Class S-2 Note Interest Rate for such Interest Accrual Period. The Class A-la Notes will bear interest during each Interest Accrual Period at the Class A-1a Note Interest Rate for such Notes will bear interest during each Interest Accrual Period at the Class A-I a Note Interest Rate for such Interest Accrual Period. The Class A-1b Notes bear interest during each Interest Accrual Period at the Interest Accrual Period. The Class A-lb Notes will bear interest during each Interest Accrual Period at the Class A-1b Note Interest Rate for such Interest Accrual Period. Class A-1c Notes bear interest Class A-lb Note Interest Rate for such Interest Accrual Period. The Class A-1c Notes will bear interest such Interest Accrual Period. during Interest Period at the Class A-1c Note Interest during each Interest Accrual Period at the Class A-1c Note Interest Rate for such Interest Accrual Period. The Class A-1d Notes bear interest during each Interest Accrual Period at the Class A-1d Note The Class A-Id Notes will bear interest during each Interest Accrual Period at the Class A-Id Note Interest Rate for Interest The Class A-2 Notes bear interest during Interest Interest Rate for such Interest Accrual Period. The Class A-2 Notes will bear interest during each Interest Accrual Period at the Class A-2 Note such Interest Accrual Period. The B Notes Accrual Period at the Class A-2 Note Interest Rate for such Interest Accrual Period. The Class B Notes will bear interest during each Interest Accrual at the Class Note Interest Interest will bear interest during each Interest Accrual Period at the Class B Note Interest Rate for such Interest Accrual C Notes bear interest during each Interest Accrual Period at the Class C Accrual Period. The Class C Notes will bear interest during each Interest Accrual Period at the Class C Note Accrual The Class will during each Note Interest Rate for such interest Accrual Period. The Class D Notes will bear interest during each Period. Interest with Interest Accrual Period Class 0 Interest Accrual Period at the Class D Note Interest Rate for such Interest Accrual Period. Interest with the Notes, Class B Notes, the Class C respect the Notes, respect to the Class S Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes Class 0 be in commencing the September 2007 Notes and the Class D Notes will be payable quarterly in arrears, commencing on the September 2007 determined as Payment Date. LlBOR Interest Period with Payment Date. LIBOR for the first Interest Accrual Period with respect to the Notes will be determined as on the Notes will be of the Day of the second Business Day preceding the Closing Date. Calculations of interest on the Notes will be a number in each Interest Accrual Period. The made made based on a 360-day year and the actual number of days in each Interest Accrual Period. The Holders of the Income Notes will receive on each Payment Date any amount of Proceeds that are Income Payment amount of Proceeds that are Payments on such Payment Date. The in available for distribution thereon in accordance with the Priority of Payments on such Payment Date. The on "Interest is "Interest Accrual Period," is with respect to the Notes and any Payment Date, the period commencing on and including the immediately preceding Payment Date (or the Closing Date in the case of the first Date in the case of the first and Date. Interest Accrual Period) and ending on and including the day immediately preceding such Payment Date. Interest amount of interest on the Class C If funds.are not available on any Payment Date to pay the full amount of interest on the Class C is in order to satisfy certain Coverage Notes, or to the extent interest that is due on such Notes is not paid in order to satisfy certain Coverage is be due and payable on such Tests, the interest not paid (the "Class C Deferred Interesf'), will not be due and payable on such Interest"), C Tests, to the C lawful Payment Date, but will be added to the principal amount of the Class C Notes and, to the extent lawful Rate. If funds are not C and enforceable, and enforceable, thereafter shall accrue interest at the Class C Note Interest Rate. If funds are not Class D Notes, or to the extent interest on available on any Payment Date to pay the full amount of interest on the Class 0 Notes, or to the extent Coverage Tests, the interest not interest that is in Notes is interest that is due on such Notes is not paid in order to satisfy certain Coverage Tests, the interest not such Payment Date, but will be paid (the "Class 0 Deferred Interesf'), will not be due and payable on such Payment Date, but will be Interest"), will D paid lawful and enforceable, thereafter added to the principal amount of the Class 0 Notes and. to the extent lawful and enforceable. thereafter D Notes and, to principal added long as any Class S Notes, Class A Notes or shall accrue interest at the Class 0 Note Interest Rate. So long as any Class S Notes. Class A Notes or D of the Class C Notes will not be the Class B Notes are outstanding. the failure to pay interest to the Holders of the Class C Notes will not be failure are outstanding, Class B S Notes, Class A Notes, Class B Notes an Event of Default under the Indenture and so long as any Class S Notes. Class A Notes, Class B Notes so long as Indenture Event Holders of the Class D Notes will not to or Class C Notes are outstanding, the failure to pay interest to the Holders of the Class 0 Notes will not failure C be an Event of Default under the Indenture. See "-Priority of Payments" and "-The Indenture and the "-Priority Payments" and "-The Indenture and the the of Default an . Fiscal Agency Agreement-Events of Default." Agreement-Events of Fiscal of repayment in full or Stated Maturity, or Interest will cease to accrue on each Note from the date of repayment in full or Stated Maturity. or Interest will cease accrue on each Note from the in the case of partial repayment. on such part. unless payment of principal is improperly withheld? or payment principal is improperly withheld or partial repayment, on such part, in the unless default is otherwise made with respect to suc~ payments of principal. See "-PrincipaL" To the of principal. See "-Principal." To the is otherwise made with respect to such unless extent lawful and enforceable, interest on any Defaulted Interest on each Class of Notes entitled thereto interest on any Defaulted Interest on each Class of Notes entitled thereto extent lawful and enforceable, will accrue at the interest rate applicable to such Class of Notes, until paid as provided hereiri. "DefauHed will accrue at the interest rate applicable to such Class of Notes, until paid as provided herein. "Defaulted Class S Note, Class A Note or Class B Interest" means any interest due and payable in respect of (i) any Class S Note. Class A Note or Class B Interest" means any interest due and payable in respect of (i) 62 62 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825432 GS MBS-E-021825432 Footnote Exhibits - Page 5522 Note Note or (iQ there are no Class S Notes, Class Notes or Class Notes outstanding, any Class C Note Note or (ii)if if there areno Class S Notes, Class AANotes or Class BB Notes outstanding,any Class CClass orifif there are no Class S Notes,Class A Notes, Class B Notes or Class C Notes outstanding, any Class Class A Notes, Class B Notes or Class C Notes outstanding, any or there are no Class S Notes, D Note which, in any such case, is not punctually paid or duly provided for on the applicable Payment D Note which, in any such case, is not punctually paid or duly provided for on the applicable Payment Date or at Stated Maturity, as the case may be. Date or at Stated Maturity, as the case may be. Determination of LIBOR Determination of LIBOR For purposes of calculating each of the Note Interest Rates, the Issuers will appoint asagent The For purposes of calculating each of the Note Interest Rates, the Issuers will appoint as agent The Bankof New York (in such capacity, the "Note Calculation Agent"). LIBOR shall be determined by the of New York (in such capacity, the "Note Calculation Agent"). L1BOR shall be determined by the Bank Note Calculation Agent in accordance with the following provisions: Note Calculation Agent in accordance with the following provisions: (i) On the second Business Day prior to the commencement of an Interest Accrual Period On the second Business Day prior to the commencement of an Interest Accrual Period (i) (eachsuch day, a "LIBOR Determination Date"), LIBOR ("LIBOR") shall equal the rate, as obtained by the such day, a "L1BOR Determination Date"), L1BOR C'L1BOR; shall equal the rate, as obtained by the (each Note Calculation Agent, for Eurodollar deposits for, with respect to the Class S Notes,the Class A Notes, the Class A Notes, Note Calculation Agent, for Eurodollar deposits for, with respect to the Class S Notes,(or, in the case of a the Class B Notes, the Class C Notes and the Class D Notes, a three-month period the Class B Notes, the Class C Notes and the Class D Notes, a three-month period (or, in the case of a designated initial payment period of less than 25 days or, in the case ofthe first Interest Accrual Period, the first Interest Accrual designated initial payment period of less than 25 days or, in the case of acceptable methodology) Period, the linear interpolation thereof, calculated in accordance with generally acceptable methodology) which linear interpolation thereof, calculated in accordance with generally which the appears on Bridge Telerate Page 3750 (as Telerate is defined in the International Swaps and Derivatives and Derivatives appears on Bridge Telerate Page 3750 (as Telerate is defined in the International Swaps as may replace Association, Inc. Annex to the 2000 ISDA Definitions (June 2000 version>>, or such page as may Association, Inc. Annex to the 2000 ISDA Definitions (June 2000 version)), or such page Date. replace BridgeTelerate Page 3750, as of 11:00 a.m. (London time) on such LIBOR Determination Date. Telerate Page 3750, as of 11:00 a.m. (London time) on such L1BOR Determination Bridge If, on any L1BOR Determination Date, such rate does not appear on Bridge Telerate Page (ii) If,on any LIBOR Determination Date, such rate does not appear on Bridge Telerate Page (ii) 3750, or such' page as may replace Bridge Telerate Page 3750, the Note Calculation Agent shall Agent shall 3750, or such page as may replace Bridge Telerate Page 3750, the Note Calculation banks in the determine the arithmetic mean of the offered quotations of the Reference Banks to leading banks in the the arithmetic mean of the offered quotations of the Reference Banks to leading determine London interbank market for Eurodollar deposits for, with respect to S Notes, the Class A Notes, the Class A Notes, London interbank market for Eurodollar deposits for, with respect to Class S Notes, (or, in the case of a the Class B Notes, the Class C Notes and the Class D Notes, a three month period (or, in the case of a Class B Notes, the Class C and D three month period the designated initial payment period of less than 25 in the the Interest Accrual Period, designated initial payment period of less than 25 days, or, in the case of the first Interest Accrual Period, the linear interpolation thereof, calculated in accordance with generally acceptable methodology) in an linear interpolation thereof, calculated in with acceptable methodology) in an the amount determined by the Calculation to requests for quotations as of amount determined by the Note Calculation Agent by reference to requestsbyfor quotations as of approximately 11:00 a.m. (London time) on the LIBOR Determination Date made by the Note Calculation 11:00 a.m. (London time) on L1BOR Determination Date made the Note Calculation approximately Agent to the Reference Banks. If, on any L1BOR Determination Date, at least two of the Reference the Reference Banks. If, on LIBOR Determination Date, at least two of the Reference Agent to quotations. If, on any Banks provide such quotations, LIBOR shall equal such arithmetic mean of such quotations; If, on any Banks provide such quotations, L1BOR shall equal provide such quotations, LIBOR LlBOR Determination Date, only one or none of the Reference Banks provide such quotations, UBOR one LIBOR Determination Date, only that leading banks inthe City of New shall be deemed to be the arithmetic mean shall be deemed to be the arithmetic mean of the offered quotations that leading banks in the City of New York selected by the Note Calculation Agent (after consultation with the Issuer or the Collateral Manager Issuer or the Collateral Manager York selected by the Note Calculation Agent (after on behalf of the Issuer) are quoting on the relevant L1BOR Determination Date for Eurodollar deposits for LIBOR Determination Date for Eurodollar deposits for are quoting on on behalf of the Issuer) the applicable period in an amount determined by the Note Calculation Agent (after conSUltation with the Note Calculation Agent (after consultation with the the applicable period in an amount determined by Issuer or the Collateral Manager on behalf of the Issuer) by reference to the principal London offices of on behalf the Issuer) by reference to the principal London offices of Issuer or the Collateral Manager Calculation Agent is leading banks in the London interbank market; provided, however, that if the Note Calculation Agent is leading banks in the London interbank market; provided, however, that the Note procedures provided required but is unable to determine a rate in accordance with at least one of the procedures provided at least one of the required but is unable to determine a rate in accordance available. As used above, L1BOR shall be L1BOR as determined on the most recent date L1BOR was available. As used above, LIBOR shall be LIBOR as determined on the most recent date LIBOR was selected by the Note herein, "Reference Banks" means four major banks in the London interbank market selected by the Note London interbank market herein, "Reference Banks" means four major banks in the Calculation Agent (after consultation with the Issuer or the Collateral Manager on behalf of the Issuer). Calculation Agent (after consultation with the Issuer or the Collateral Manager on behalf of the Issuer). Date, but in As soon as possible after 11:00 a.m. (New York time) on each L1BOR Determination Date, but in As soon as possible after 11:00 a.m. (New York time) on each LIBOR Determination each LIBOR no event later than 11:00 a:m. (New York time) on the Business Day immediately following each LIB OR (New York time) on the Business Day immediately following no event later than 11:00 a.m. Interest Rates for Determination Date, the Note Calculation Agent will cause notice of each of the Note Interest Rates for Determination Date, the Note Calculation Agent will cause notice of each of the Note Period payable in the next Interest Accrual Period and the amount of interest for such Interest Accrual Period payable in amount of interest for such Interest Accrual the next Interest Accrual Period and the S-1 Note Interest respect of each U.S.$1,OOO principal amount of the Class S-1 Notes (the "Class S-1 Note Interest respect of each U.S.$1,000 principal amount of the Class S-1 Notes (the "Class Amounf'), of the Class S-2Notes (the "Class S-2 Note Interest Amount"), of the Class A-1a Notes (the the Class A-la Notes (the Amount"), of the Class S-2 Notes (the "Class S-2 Note Interest Amount"), of "Class A-1a Note Interest Amounf1, of the Class A-1b Notes (the "Class A-1b Note 'Interest Amounf'), of "Class A-la Note Interest Amount'), of the Class A-lb Notes (the "Class A-lb Note Interest Amount"), of "Class A-1d the Class A-1c Notes (the "Class A~1c Note Interest Amount"), of the Class A-1d Notes (the "Class A-1d the Class A-1c Notes (the "Class A-1c Note Interest Amount"), of the Class A-1d Notes (the the Class B Note Interest Amount"), of the Class A-2 Notes (the "Class A-2' Note Interest Amount''), of the Class B "Class A-2 Note Interest Amount), of Note Interest Amount"), of the Class A-2 Notes (the Notes (the "Class B Note Interest Amount");-of the Class C Notes (the "Class C Note Interest Amount") Notes (the "Class B Note Interest Amount");of the Class C Notes (the "Class C Note Interest Amount") and of the Class D Notes (the "Class D Note Interest Amount") (collectively, the "Note Interest Amounts") and of the Class D Notes (the "Class D Note Interest Amount") (collectively, the "Note Interest Amounts") related Payment Date, (each rounded to the nearest cent, with half aa centbeing rounded upward) on the related Payment Date, (each rounded to the nearest cent, with half cent being rounded upward) on the 63 63 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825433 GS MBS-E-021825433 Footnote Exhibits - Page 5523 -to be communicated to the Issuers, DTC, Euroclear, Clearstream, the Note Paying Agents, the Trustee, DTC, Clearstream, the Note Paying Agents, Trustee, to be communicated the the Collateral Manager, the Securities Intermediary and the Usting Agent further delivery the Collateral Manager, the Securities Intermediary and the Listing and Paying Agent for further delivery the Notes are listed thereon. In the last case, the Note to stock exchange as any to any stock exchange so long as any of the Notes are listed thereon. In the last case, the Note Calculation Agent will furnish information as after determination to the Calculation Agent will fumish such information as soon as possible after its determination to the Listing Notes are on any exchange. The Calculation Agent and Paying Agent as long as and Paying Agent as long as any Notes are listed on any stock exchange. The Note Calculation Agent Issuers and Collateral Manager the quotations which each of the Note will also specify to the Issuers and the Collateral Manager the quotations upon which each of the Note Interest Rates are The Note Calculation Agent shall notify the Issuers and Collateral Manager Interest Rates are based. The Note Calculation Agent shall notify the Issuers and the Collateral Manager before 12:00 p.m. (New York time) on UBOR Determination Date if it has not determined and is not in before 12:00 p.m. (New York time) on any LIBOR Determination Date if ithas not determined and is not in Interest and Note Interest Amounts the process of determining the the process of determining the applicable Note Interest Rates and Note Interest Amounts (collectively, the "Interest together with its With respect to the Notes, "Business Day" "Interest Calculations"), together with its reasons therefor. With respect to the Notes, "Business Day" means other than (x) or (y) a on which commercial banking institutions means any day other than (x) Saturday or Sunday or (y)a day on which commercial banking institutions are regulation order New New are authorized or obligated by law, regulation or executive order to close in New York, New York, London, Trustee's corporate trust office-(initially, The Bank New 101 in the England or in the city of the Trustee's corporate trust office (initially, The Bank of New York, 101 Barclay New Attention: COO Transaction Management Floor Street, Floor 8E, New York, New York, 10286, Attention: CDO Transaction Management Group); provided, however, that sole purpose of determining UBOR, "Business Day" be defined as provided, however, that for the sole purpose of determining LIBOR, "Business Day" shall be defined as in U.S. Dollars in the London market and any day on which dealings in deposits in U.S. Dollars are transacted in the London interbank market and further, is required Usting location of the provided further, that to the extent action is required of the Listing and Paying Agent, the location of the purposes of Agent considered in determining the "Business Listing and Paying Agent shall be considered in determining the "Business Day" for purposes of determining and is determining when such Listing and Paying Agent action is required. Note Agent direction Collateral The Note Calculation Agent may be removed by the Issuers at the direction of the Collateral as Manager is or is removed by If Manager at any time. If the Note Calculation Agent is unable or unwilling to act as such or is removed by Interest Calculations for any if determine the Issuers, or ifthe Note Calculation Agent fails to determine the applicable Interest Calculations for any Interest Accrual Period, the Issuers will promptly appoint as a replacement Note Calculation Agent a promptly replacement Agent a Eurodollar in Eurodollar in leading in is leading bank which is engaged in transactions in Eurodollar deposits in the international Eurodollar or is common market and which does not control or is not controlled by or under common control with the Issuers or having been their affiliates. The Note Calculation Agent may not resign its duties without a successor having been and duly appointed. In addition, for so long as any Notes are listed on any stock exchange and the rules of In will be furnished to Note Calculation such exchange so require, notice of the appointment of any Note Calculation Agent will be furnished to will sLich stock exchange. For so long as any of the Notes remain outstanding, there will at all times be a times be a such the applicable Interest Note Calculation Agent for the purpose of calculating the applicable Interest Calculations. The The shall (in the absence Calculation determination of the applicable Interest Calculations by the Note Calculation Agent shall (in the absence of manifest error) be final and binding upon all parties. Payments on Income Notes receive, On each Payment Date, the Holders of the Income Notes will be entitled to receive, as interest on on with the Priority of Payments, in the Income Notes, after payment of items ranking higher in accordance With the Priority of Payments, of all other senior amounts payable in payments (if available) equal to amounts remaining after payment of all other senior amounts payable in Optional Redemption by Liquidation a accordance with the Priority of Payments. Upon a Tax Redemption, Optional Redemption by Liquidation receive any amounts remaining or successful Auction, the Holders of the Income Notes will be entitled to receive any amounts remaining Income of or an after distribution of the Liquidation Proceeds in accordance with the Priority of Payments. Upon an in the after after the redemption of the Proceeds Optional Redemption by Refinancing, any Refinancing Proceeds remaining after the redemption of the Refinancing, Optional Redemption and the payment of Class or Classes of Notes to be redeemed in respect of such Optional Redemption and the payment of redeemed in as Principal Proceeds and will be any expense or fees in connection therewith will be characterized as Principal Proceeds and will be be in with the Priority of Payments. Date in applied on the related Optional Redemption Date in accordance with the Priority of Payments. Principal Income Notes will A-1 Notes) and the The Notes (other than the Class S Notes and the Class A-1 Notes) and the Income Notes will S (other than the The Maturity" with respect to the Notes (other mature on the Payment Date in December 2047 (the "Stated Maturity" with respect to the Notes (other 2047 (the Payment Date in Notes), the Class S Notes will mature than the Class S Notes and the Class A-1 Notes) and the Income Notes), the Class S Notes will mature and Class S respect the Class S Notes), the on the Payment Date in September 2011 (the "Stated Maturity" with respect to the Class S Notes), the in September 2011 (the "Stated Maturity" Payment Payment Date in December 2039 (the Class A-1a Notes and the EURlass-A-1b- Notes will-mature on the Payment Date in December 2039 (the A-la Notes and the Class-A-b- Notes will mature "Stated Maturity" with respect to the Class A-1a Notes and the Class A-1b Notes) and the Class A-1c A-la Notes and the Class A-lb Notes) and the Class A-1c to the Maturity" with the Payment Date in September 2044 (the "Stated mature Notes and the Class A-1d Notes will mature on the Payment Date in September 2044 (the "Stated A-id Notes Notes 64 64 Confidential Treatment Requested by Goldman Sachs Requested by Goldman Sachs Confidential GS MBS-E-021825434 GS MBS-E-021825434 Footnote Exhibits - Page 5524 Maturity" Maturity" with respect to the Class A-1c Notes and the Class A-1d Notes). The average life of each Class A-Id of the . of Notes (other than .the Class S Notes) and duration of the Income Notes is expected to be substantially S is . shorter than the number of years from issuance until the Stated Maturity for such Class of Notes or number or Income Notes. See "Risk Factors-Securities--Average Lives, Duration and Prepayment Factors-8ecurities-Average Duration Prepayment Considerations. " Considerations." Principal will be payable . Principal will be payable on the Class S-1 Notes in accordance with the Priority of Payments on in on each Payment Date commencing on the Payment Date occurring in December 2007 in an amount equal in in to the Class S-1 Notes Amortizing Principal Amount with respect to such Payment Date and, if an Event Event of Default or Tax Event is of Default or Tax Event has occurred and is continuing or an Optional Redemption by Liquidation or or is successful Auction has occurred and the Collateral is being liquidated pursuant to the terms of the in Indenture, the Class S-1 Notes will be paid in full prior to any distributions to any other Notes. Principal in will be payable on the Class S-2 Notes in accordance with the Priority of Payments on each Payment in S-2 Date commencing on the Payment Date occurring in December 2007 in an amount equal to the Class S-2 commencing in Notes Amortizing Principal Amount with respect to such Payment Date and, if an Event of Default or Tax is Event has occurred and is continuing or an Optional Redemption by Liquidation or successful Auction has occurred and the Collateral is being liquidated .pursuant to the terms of the Indenture, the Class S-2 Notes is S-2 liquidated.pursuant will be paid in full prior to any distributions to any other Notes (other than the Class S-1 Notes and the in Class A-1 Notes). The Class S-2 Notes are subject to mandatory redemption if the Class A/B redemption AlB on Overcollateralization Test is not satisfied on any date of determination. Principal will be payable on is in certain of the Securities on each Payment Date in accordance with the Priority of Payments. On any Payment Date on which certain conditions are satisfied, principal will be paid to the A Holders of the Class A Notes (pro rata between the Class A-1 Notes and the Class A-2 Notes; provided in that principal on the Class A-1 Notes will be paid in accordance with the Class A-1 Note Payment Payment in Sequence), only in an amount required to increase (or maintain) the Class A Adjusted A a Overcollateralization Ratio to a specified target of 126.7%. After achieving and maintaining such target and minimum, the payment of remaining principal will shift to the Holders of the Class B Notes until such B . Holders have been paid an amount required to increase (or maintain) the Class B Adjusted B Overcollateralization Ratio to the specified target of 110.6%. After achieving and maintaining such target level, the payment of remaining principal shifts to the Holders of the Class C Notes which will receive C .principal only in an amount required to increase (or maintain) the Class C Adjusted Overcollateralization in C Ratio to a specified target of 106.0%. After achieving and maintaining such target level, the payment of of remaining principal shifts to the Holders of the Class D Notes which will receive principal only in an D in an D amount required to increase (or maintain) the Class D Adjusted Overcollateralization Ratio to a specified a target of 102.7%. 102.7%. However, if the Net Outstanding Portfolio Collateral Balance is less than is U.S.$300,000,000, then only Principal Proceeds received or held during the related Due Period will be U.S.$300,OOO,OOO,? be paid, first, to the Class A-1 Notes in accordance with the Class A-1 Note Payment Sequence and then first, in sequentially through the Class D Notes. The foregoing "shifting principal" method permits Holders of the D Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes to B C D to .receive payments of principal in accordance with the Priority of Payments while more senior Classes of in of Notes remain outstanding and permits distributions of Principal Proceeds to the Holders the Income in Notes, to the extent funds are available in accordance with the Priority of Payments, while Notes are of outstanding. therefor in Subject to the availability of funds therefor in accordance with the Priority of Payments, if any of the Coverage Tests are not satisfied on any Determination Date, the Notes (other than the Class S-1 Notes) will be subject to mandatory redemption on the related Payment Date until paid in full. See in "-Mandatory Redemption" and the Priority of Payments for a description of the order in which such a in Notes are paid in connection with the failure of a Coverage Test. in a Stated Maturity of the Income Notes Maturity Notes On or prior to the'date thatis ?one?B'usiness Day prior to the end of the Due Period applicable to the date that is one Business to the Stated Maturity of the Income Notes, the Collateral Manager will sell all remaining Collateral. The settlement dates for any such sales shall be no later than one Business Day prior to the end of such Due Due 65 65 Sachs by Treatment Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825435 MBS-E-021825435 Footnote Exhibits - Page 5525 Period. The proceeds of such sales will be paid to the Fiscal Agent after the payment of amounts senior Period. The proceeds of such sales will be paid to the Fiscal Agent after the payment of amounts senior to the Holders of the Income Notes in the Priority of Payments for deposit into the account maintained to the Holders of the Income Notes in the Priority of Payments for deposit into the account maintained therefor by the Fiscal Agent (the "Income Note Payment Accounf') and payment to the Holders of the therefor by the Fiscal Agent (the "Income Note Payment Account") and payment to the Holders of the Income Notes as the redemption price for the Income Notes upon such payment (the "Income Notes Income Notes as the redemption price for the income Notes upon such payment (the "Income Notes Redemption Price'). Upon such payment, the Issuer shall redeem the Income Notes. Redemption Price'). Upon such payment, the Issuer shall redeem the Income Notes. Auction Auction Sixty days prior to the Payment Date occurring in September of each year (each, an "Auction Sixty days prior to the Payment Date occurring in September of each year (each, an "Auction Date") commencing on the September 2015 Payment Date, the Collateral Manager will take steps to Date") commencing on the September 2015 Payment Date, the Collateral Manager will take steps to conduct an auction (the "Auction') of the Collateral in accordance with procedures specified in the conduct an auction (the "Auction') of the Collateral in accordance with procedures specified in the one or more bids from Eligible Bidders not later than ten Indenture. If the Collateral Manager Indenture. If the Collateral Manager receives one or more bids from Eligible Bidders not later than ten Business Days prior to the Auction Date equal to or greater than the Minimum Bid Amount, the Issuer will Business Days prior to the Auction Date equal to or greater than the Minimum Bid Amount, the Issuer will Day prior to Auction Date and the sell the Collateral for settlement on or before the sell the Collateral for settlement on or before the fifth Business Day prior to such Auction Date and the such Auction Date (any such date, "Auction Payment Date"). If a Notes redeemed in whole Notes will be redeemed in whole on such Auction Date (any such date, an "Auction Payment Date"). Ifa successful Auction occurs, Income Notes redeemed in full. The Collateral Manager and successful Auction occurs, the Income Notes will also be redeemed in full. The Collateral Manager and be considered Eligible Bidders. the highest bid on the entire portfolio of its affiliates its affiliates shall be considered Eligible Bidders. If the highest single bid on the entire portfolio of or aggregate amount multiple with respect items of Collateral, does not Collateral, or the aggregate amount of multiple bids with respect to individual items of Collateral, does not equal exceed the Minimum Bid Amount or a settlement, then redemption of equal or exceed the Minimum Bid Amount or if there is a failure at settlement, then the redemption of Notes and the Income on the related Auction Date will . Notes and the Income Notes on the related Auction Date will not occur. the Priority of The Notes be redeemed following Auction in The Notes will be redeemed following a successful Auction in accordance with the Priority of Payments the The amount distributable the payment on the Payments at the applicable Redemption Price. The amount distributable as the final payment on the Income Notes following any redemption will equal amount remaining after redemption of the Income Notes following any such redemption will equal any amount remaining after the redemption of the . in with termination CashfJow Swap Notes, the payment of any amounts due in connection with the termination of the Cashfiow Swap Notes, in the Priority of Agreement Agreement and Synthetic Securities and the payment of all expenses in accordance with the Priority of Payments. Tax Redemption Redemption be redeemed by the Issuers at Subject to certain conditions described herein, the Securities may be redeemed by the Issuers at Subject Event at any time, in whole but not in part upon the occurrence of a Tax Event at their Redemption Prices at the time, in Redemption Prices at the in any 66-2/3% of the aggregate of written direction of, or with the written consent of, (i) the Holders of at least 66-2/3% of the aggregate of, (i) of, written of Majority of any (ii) outstanding notional principal amount of the affected Income Notes or (ii) the Holders of a Majority of any outstanding not received 100% of the a a of Class of Notes which, as a result of the occurrence of a Tax Event, has not received 100% of the and such Notes on any principal aggregate amount of prinCipal and interest or other amounts then due and payable on such Notes on any that no such redemption shall be Payment Date (such redemption, a "TaX Redemption'1: provided that no such redemption shall be a "Tax Redemption"); Payment the sum of all amounts due as of the effected unless the expected Liquidation Proceeds equal or exceed the sum of all amounts due as of the effected for Final Payment Dates of Redemption Date pursuant to clauses (i) through (ix) of the Priority of Payments for Final Payment Dates (i) Redemption (the "Total Redemption Amount"), which includes the Redemption Prices of the Notes. If a Tax Redemption Prices of the Notes. If a Tax (the "Total Redemption occurs, the Income Notes will be redeemed simultaneously. be Redemption occurs, of the Notes) and the Issuer (inthe (in In connection with a Tax Redemption, the Issuers (in the case of the Notes) and the Issuer (in the a Tax In and the Payment Date which case of the Income Notes) shall notify the Trustee of such Tax Redemption and the Payment Date which Trustee notify Income Notes) shall case direct the Trustee, in writing, to sell, in the is the date for redemption (the "Tax Redemption Date'1 and direct the Trustee, in writing, to sell, in the Date') (the "Tax for is the the Indenture, any Collateral and manner determined by the Collateral Manager, and in accordance with the Indenture, any Collateral and Manager, and in Collateral pursuant to the Indenture; upon upon any such sale the Trustee shall release the lien upon such Collateral pursuant to the Indenture; upon any such sale the sell (and the Trustee shall not be provided, however, that the Issuer may not direct the Trustee to sell (and the Trustee shall not be may provided, however, obligated to release the lien upon) any Collateral except in accordance with the procedures set forth in the in accordance with the procedures set forth in the obligated release the lien upon) the Collateral Manager shall have forwarded Indenture including, without limitation, the requirement that the Collateral Manager shall have forwarded the requirement Indenture including, to the Trustee binding agreements or certificates evidencing that the Liquidation Proceeds anticipated certificates evidencing that the Liquidation Proceeds anticipated agreements the Trustee assets of the Issuer will equal or exceed the Total from the disposition of the Collateral and other assets of the Issuer will equal or exceed the Total Collateral and the disposition Redemption Amount. Liquidation Proceeds available for distribution in connection with a Tax Redemption Redemption Amount. Liquidation Proceeds available for distribution in connection with a Tax Redemption will be reduced by the amount of expected termination payments (other than Defaulted Synthetic Security . will be reduced by the amount expected termination payments (other than Defaulted Synthetic Security. Termination Payments) due to the Synthetic Security Counterparty. Termination Payments) due to the Synthetic Security Counterparty. 66 66 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825436 GS MBS-E-021825436 Footnote Exhibits - Page 5526 The amount payable in connection with any Tax Redemption of the Notes will equal the Total The amount payable in connection with any Tax Redemption of the Notes will equal the Total Redemption Amount. The amount payable as a final payment on the Income Notes following any Tax Redemption Amount. The amount payable as -a final payment on the Income Notes following any Tax Redemption will equal the Liquidation Proceeds, if any, remaining after the distribution of the Total Redemption will equal the Liquidation Proceeds, if any, remaining after the distribution of the Total Redemption Amount by the Issuer in accordance with the Priority of Payments. Redemption Amount by the Issuer in accordance with the Priority of Payments. Optional Redemption by Liquidation Optional Redemption by Liquidation Subject to certain conditions described herein, the Notes may be redeemed by the Issuers and Subject to certain conditions described herein, the Notes may be redeemed by the Issuers and the Income Notes may be redeemed by the Issuer, in whole but not in part at their Redemption Prices on Income Notes may be redeemed by the Issuer, in whole but not in part at their Redemption Prices on the any Payment Date on or after the March 2010 Payment Date, at the written direction of, or with the written any Payment Date on or after the March 2010 Payment Date, at the written direction of, or with the written consent of, the Holders of at least a Majority of the aggregate outstanding notional principal amount of consent of, the Holders of at least a Majority of the aggregate outstanding notional principal amount of Income Notes (including Income Notes held by the Collateral Manager or any affiliate thereof) (such Income Notes (including Income Notes held by the Collateral Manager or any affiliate thereof) (such redemption, an "Optional Redemption" or an "Optional Redemption by Liquidation"); provided that no redemption, an "Optional Redemption" or an "Optional Redemption by Liquidation"); provided that no Optional Redemption by Liquidation shall be effected unless the expected Liquidation Proceeds will equal Optional Redemption by Liquidation shall be effected unless the expected Liquidation Proceeds will equal or exceed the Total Redemption Amount. If the Holders of the Income Notes so elect' to cause an or exceed the Total Redemption Amount. If the Holders of the Income Notes so elect to cause an Optional Redemption by Liquidation, the Income Notes will be redeemed simultaneously. Optional Redemption by Liquidation, the Income Notes will be redeemed simultaneously. In with an Optional Redemption by Liquidation, the Issuers (in the case of the Notes) In connection with an Optional Redemption by Liquidation, the Issuers (inthe case of the Notes) and the Issuer (in the case the Income Notes) shall notify the Trustee of such Optional Redemption by the Issuer (in the case the Income Notes) shall notify Trustee of such Optional Redemption by and Liquidation and the Optional Redemption Date and direct the Trustee, in writing, to sell, in the manner Liquidation and the Optional Redemption Date and direct the Trustee, in writing, to sell, in the manner determined by the Collateral Manager, and accordance with the Indenture, any Collateral Asset and determined by the Collateral Manager, and in accordance with the Indenture, any Collateral Asset and upon any Trustee lien upon Collateral Assets pursuant to the upon any such sale the Trustee shall release the lien upon such Collateral Assets pursuant to the Indenture; provided, the Issuer may not direct Trustee to sell (and the Trustee shall not Indenture; provided, however, that the Issuer may not direct the Trustee to sell (and the Trustee shall not be obligated to lien upon) in accordance with the procedures set forth in be obligated to release the lien upon) any Collateral except in accordance with the procedures set forth in the Indenture without limitation, Manager shall have the Indenture including, without limitation, the requirement that the Collateral Manager shall have forwarded to the Trustee agreements or that the Liquidation Proceeds forwarded to the Trustee binding agreements or certificates evidencing that the Liquidation Proceeds anticipated from other of the Issuer will equal or anticipated from the disposition of the Collateral Assets and other assets of the Issuer will equal or Total Amount. Amounts in connection with an Optional exceed the Total Redemption Amount. Amounts available for distribution in connection with an Optional expected termination payments (other than Redemption Redemption by Liquidation will be reduced by the amount of expected termination payments (other than Defaulted Synthetic Security Termination Payments) due to the Synthetic Security Counterparty. Defaulted Synthetic Security The amount payable in connection with any Optional Redemption by Liquidation of the Notes will by Liquidation of the Notes will in The final payment on the Income Notes equal the Total Redemption Amount. The amount payable as the final payment on the Income Notes equal the Total Redemption Liquidation Proceeds, if any, remaining Liquidation any Optional following any Optional Redemption by Liquidation will equal the Liquidation Proceeds, if any, remaining with the Priority of in after the distribution of the Total Redemption Amount by the Issuer in accordance with the Priority of after the distribution Payments. . Payments. Optional Redemption by Refinancing Optional Redemption by Refinancing Subject to certain conditions described herein. any Class or Classes of Notes may be redeemed Subject to certain conditions described herein, any Class or Classes of Notes may be redeemed credit or similar facility by the Issuers from the net cash proceeds (the "Refinancing Proceeds'') of a loan, credit or similar facility Proceeds") a (the by the Issuers from the net cash or an issuance of replacement notes, from or to one or more financial institutions or purchasers, in whole or to one or more financial institutions or purchasers, in whole or an issuance of replacement but not in part, on any Payment Date on or after the Optional Redemption Date, at the written direction of. on or after the Optional Redemption Date, at the written direction of, Payment but not in part, on or with the written consent of. the Holders of at least a Majority of the Income Notes (an "Optional of, the Holders of at least a Majority of the Income Notes (an "Optional or with the written Redemption" or an "Optional Redemption by Refinancing"). The Issuer will conduct an Optional Redemption" or an "Optional Redemption by Refinancing"). The Issuer will conduct an Optional Redemption by Refinancing only if the Collateral Manager determines that: (i) the principal amount of any Redemption by Refinancing only if the Collateral Manager determines that: (i)the principal amount of any obligations providing the funds to be applied in respect of such Optional Redemption by Refinancing is no obligations providing the funds to be applied in respect of such Optional Redemption by Refinancing is no greater than the principal amount of the Notes being redeemed; (iQ the stated maturity of the obligations greater than the principal amount of the Notes being redeemed; (ii)the stated maturity of the obligations providing the funds to be applied in respect of such Optional Redemption by -Refinancing is no earlier than providing the funds to be applied in respect of such Optional Redemption by Refinancing isno earlier than the Stated Maturity of the Notes being redeemed; (iii) the agreements relating to the Optional Redemption the Stated Maturity of the Notes being redeemed; (iii) the agreements relating to the Optional Redemption by Refinancing contain limited-recourse and non-petition provisions equivalent to those set forth in the by Refinancing contain limited-recourse and non-petition provisions equivalent to those set forth in the Indenture; (iv) the proceeds from the Optional Redemption by Refinancing will be at least sufficient to pay Indenture; (iv) the proceeds from the Optional Redemption by Refinancing will be at least sufficient to pay in full the Aggregate Outstanding Amount of the applicable Notes); (v) amounts are expected to be in full the Aggregate Outstanding Amount of the applicable Notes); (v) amounts are expected to be available in accordance -with the-Priority of Payments on the Payment Date related to such_OptionaL~:. available in accordance with the-Priority of Payments on the Payment Date related to such- Optional .. Redemption by Refinancing (a) to pay any fees and administrative expenses of the Issuer related to the Redemption by Refinancing (a) to pay any fees and administrative expenses of the Issuer related to the Optional Redemption by Refinancing, (b) to pay any accrued and unpaid interest on the Notes being Optional Redemption by Refinancing, (b) to pay any accrued and unpaid interest on the Notes being -: -. ':..~ 67 67 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825437 GS MBS-E-021825437 Footnote Exhibits - Page 5527 redeemed (including Defaulted Interest and interest on Defaulted Interest) and (c) to pay any "Cashflow (c) is Cashfiow Swap Shortfall Amounts" (as such term is defined in the Cashflow Swap Agreement) that have been paid in Agreement) by the Cashflow Swap Counterparty under the Cashflow Swap Agreement but that have not been repaid Counterparty Cashflow Counterparty (Plus to the Cash flow Swap Counterparty (plus any accrued and unpaid interest thereon) pursuant to the Priority of Payments; (vi) the Refinancing Proceeds will be used (to the extent necessary) to redeem the applicable Notes; (vii) such Optional Redemption by Refinancing will not cause an Event of Default; and {vii~ (viii) the Rating Agency Condition for each Rating Agency shall be satisfied (other than with respect to the a Notes being redeemed). If any Holder of an Income Note so elects, such Holder may pay all or a portion If (v) (pro rata with any other electing Holder of an Income Note) of the amounts required under clause (v) Income above directly as opposed to requiring that such amounts be paid through funds available in accordance in with the Priority of Payments on the Payment Date related to the Optional Redemption by Refinancing. If If any Holder of an Income Note so elects. the amounts due shall be remitted to the Trustee at least two elects, amounts days prior to the related Payment Date. Any such amounts paid by the Holders of the Income Notes will Income not be reimbursed by the Issuer. Any Refinancing Proceeds will be applied directly on the related Optional Redemption Date pursuant to the Indenture to redeem the Notes being refinanced without to regard to the Priority of Payments described herein. Any Refinancing Proceeds that are not used to as administrative redeem the applicable Notes and to pay any administrative expenses of the Issuer will be treated as Principal Proceeds and will be applied in accordance with the Priority of Payments. None of the Issuers. Issuers, in the Trustee or any other Person will be liable to the Holders of the Income Notes for the failure to issue additional notes or to obtain secured loans. Optional RedemptionfTax Redemption Procedures. To conduct an Optional Redemption or a Tax Redemption/Tax Redemption. the procedures set forth in the Indenture must be followed and any conditions precedent precedent in Redemption, thereto must be satisfied. Manager a Redemption, Upon the occurrence of a Tax Redemption or an Optional Redemption. the Collateral Manager Agent, in Agent. in shall notify the Principal Note Paying Agent. in the case of the Holders of Notes or the Fiscal Agent, in the a in case. case of Holders of Income Notes, which in each case, shall notify the Trustee (with a copy to the Issuer) be in writing no less than thirty (30) Business Days prior to the Redemption Date. Such notice shall be in irrevocable. The Fiscal Agent shall, within three (3) Business Days after receiving such notice, notify the (3) other Holders of the Income Notes of the receipt of such notice. Redemption The Trustee will provide notice of any Optional Redemption or Tax Redemption by firstclass mail, postage prepaid, mailed not less than ten (10) Business Days prior to the scheduled Tax Redemption Date or Optional Redemption Date, as applicable, to the Principal Note Paying Agent, to the Holder's Fiscal Agent, to each Cashflow Swap Counterparty, to each Noteholder at such Holder'S address in the in at register maintained by the Note Registrar under the Indenture and to each Holder of an Income Note at in Agreement such Holder's address in the income note register maintained pursuant to the Fiscal Agency Agreement and, as long as any Notes or Income Notes are listed on any stock exchange, the Trustee will also give notice to the Listing and Paying Agent. Notes called for redemption must be surrendered at the office of any paying agent appointed in under the Indenture in order to receive the Redemption Price. The initial paying agents for the Notes are a The Bank of New York, as Principal Note Paying Agent, and, so long as any Notes are listed on a stock York. exchange, the Listing and Paying Agent. Income Notes called for redemption must be surrendered at the office of any paying agent surrendered in appointed under the Fiscal Agency Agreement in order to receive final payments, if any, thereon. The initial paying agent for the Income Notes is The Bank of New York, London Branch. is Any such notice of redemption may be withdrawn by the Issuers (with respect to the Notes) and the Issuer (with respect to the Income Notes) on or prior to the seventh Business Day prior to the scheduled redemption date by written notice from the Issuers to the Collateral Manager, the Trustee, the 'Holders of the each Cashflow Swap-Counterparty, the Rating Agencies, the Holders of the Notes and the-Holders ofthe"--'if Income Notes, but only if the Collateral Manager shall be unable to deliver the sale agreement or or in agreements or certifications or, in the case of an Optional Redemption by Refinancing, the loan, credit or or 68 68 Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825438 MBS-E-021825438 Footnote Exhibits - Page 5528 similar facility, required by the form satisfactory to the The Cashflow Swap similar facility, required by the Indenture, in form satisfactory to the Trustee. The Cashflow Swap Agreement will not terminate upon notice to respective counterparties of redemption until time for Agreement will not terminate upon notice to the respective counterparties of redemption until the time for withdrawal notice has expired. The Collateral Manager shall be liable only for the to effect an withdrawal of notice has expired. The Collateral Manager shall be liable only for the failure to effect an Optional Redemption Tax Redemption due to the Collateral Manager's gross negligence or willful Optional Redemption or Tax Redemption due to the Collateral Manager's gross negligence or willful Trustee to each misconduct. Notice any such withdrawal shall be given at the Issuer's expense misconduct. Notice of any such withdrawal shall be given at the Issuer's expense by the Trustee to each the address appearing applicable register maintained Note Transfer Holder of a Security at the address appearing in the applicable register maintained by the Note Transfer Agent Indenture or the Income Note Registrar under the Fiscal Agency Agreement, as Agent under the Indenture or the Income Note Registrar under the Fiscal Agency Agreement, as by overnight courier guaranteeing next day delivery sent not later the Business Day applicable, by overnight courier guaranteeing next day delivery sent not later than the third Business Day prior scheduled redemption or will notice Listing prior to the scheduled redemption date. The Trustee or the Fiscal Agent will also give notice to the Listing and Paying Agent of the stock exchange if any Securities are then listed on a stock exchange. Paying Agent of exchange any Secunties are on stock exchange. Mandatory Redemption Mandatory Redemption the NB Overcollateralization Test was Date qn On any Payment Date on which the Class A/B Overcollateralization Test was not satisfied on the Business Day the immediately preceding Period Day, "Determination last Business Day of the immediately preceding Due Period (such Business Day, the "Determination Date"), without effect amounts payable of Priority of Date"), without giving effect to amounts payable under clauses (vii), (x) and (xii) of the Priority of in A-1 Payments, Proceeds will be used to redeem the Class A-1 Notes in accordance with the Class A-1 Note Payment Class A-1 Notes have paid in redeem S-2 Payment Sequence until the Class A-1 Notes have been paid in full, then to redeem the Class S-2 Notes have in Notes A-2 until the Class S-2 Notes have been paid in full, then to redeem the Class A-2 Notes until the Class A-2 B Notes redeem Notes have in Notes have been paid in full and then to redeem the Class B Notes until the Class B Notes have been in paid in full. On any Payment Date on which the Class C Overcollateralization Test was not satisfied on the C (xii) of payable under without giving related Determination (x) related Determination Date, without giving effect to amounts payable under clauses (x) and (xii) of the (in Priority of Payments, Principal Proceeds will be used to redeem the Class A Notes (in accordance with Proceeds A until Notes, B in the Class A-1 Note Payment Sequence), the Class B Notes and the Class C Notes, pro rata, until paid in is less full provided, however, that if the Net Outstanding Portfolio Collateral Balance is less than U.S.$500,OOO,OOO, U.S.$500,000,000, then such amount shall be paid first, to the payment of principal of all outstanding to the payment of Class A-1 Notes (pursuant to the Class A-1 Note Payment Sequence), second, to the payment of principal of all outstanding Class A-2 Notes, third, to the payment of principal of all outstanding Class B remaining C Notes, and Notes and fourth, to the payment of principal of all outstanding Class C Notes, and any remaining paid in full. have C Proceeds will be used to redeem the Class C Notes until the Class C Notes have been paid in full. C the Class Test (together D On any Payment Date on which the Class 0 Overcollateralization Test (together with the Class NB Overcollateralization Test and the Class C Overcollateralization Test the "Coverage Tests") was not "Coverage not C A/B under clauses (i) through satisfied on the related Determination Date, Proceeds net of amounts payable under clauses (i) through until the Class D Notes have D (xii) of the Priority of Payments will be used to redeem the Class D Notes until the Class 0 Notes have been paid in full. . in full. not be D The Class S-1 Notes, the Class C Notes, the Class 0 Notes and the Income Notes will not be C Notes, the Class A/B Overcollateralization Test. The subject to mandatory redemption as a result of the failure of the Class NB Overcollateralization Test. The redemption a not be subject to mandatory redemption as a Income Notes Class S Notes, the Class D Notes and the Income Notes will not be subject to mandatory redemption as a D S Notes, the A Notes, the S result of the failure of any Class C Overcollateralization Test. The Class S Notes, the Class A Notes, the C Overcollateralization any to mandatory redemption as a Class B Notes, the Class C Notes and the Income Notes will not be subject to mandatory redemption as a C Notes the B result of the failure of any Class D Overcollateralization Test. Test. Class D Cancellation surrendered for cancellation as All Notes and Income Notes that are redeemed or paid and surrendered for cancellation as are redeemed or paid and Income Notes All described herein will forthwith be canceled and may not be reissued or resold. be reissued or and will forthwith be Payments Payments -~=--'-;...--. - .----Payments on any Payment Date in respect of principal of and interest-on the Notes issued as -"-_ ...o ---Payments on any Payment Date in respect of principal of and interest -on -the Notes issued as -is registered at the relevant Global Notes will be made to the person in whose name the relevant Global Note is registered at the Global Notes will be made the person in whose close of business on the Business Day prior to such Payment Date. For the Securities issued in definitive Day prior to such Payment Date. For the Securities issued in definitive close business the 69 69 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs MBS-E-021825439 GS MBS-E-021825439 Footnote Exhibits - Page 5529 form, payments on any Payment Date in respect of principal, interest and other distributions will be made form, payments on any Payment Date in resped of principal, interest and other distributions will be made to the person in whose name the relevant Security is registered as of the close of business 10 Business to the person in whose name the relevant Security is registered as of the close of business 10 Business Days prior to such Payment Date. Payments on the Global Notes will be payable by wire transfer in Days prior to such Payment Date. Payments on the Global Notes will be payable by wire transfer in immediately available funds to a U.S. Dollar account maintained by DTC or its nominee (inthe case of the immediately available funds to a U.S. Dollar account maintained by DTC or its nominee (in the case of the Global Notes) or each Holder (in the case of individual Definitive Notes) to the extent practicable or Global Notes) or each Holder (in the case of individual Definitive Notes) to the extent practicable or otherwise by U.S. Dollar check drawn on a bank in the United States sent by mail either to DTC or its otherwise by U.S. Dollar check drawn on a bank in the United States sent by mail either to DTC or its nominee (in the case of the Global Notes), or to each Holder at its address appearing in the applicable nominee (in the case of the Global Notes), or to each Holder at its address appearing in the applicable register. Final payments in respect of principal on the Notes will be made only against surrender of the register. Final payments in respect of principal on the Notes will be made only against surrender of the Notes at the office of any paying agent. None of the Issuers, Notes at the office of any paying agent. None of the Issuers, the Securities Intermediary, the Trustee, the Securities Intermediary, the Trustee, the Collateral Manager, the Cashflow Swap Counterparty or any paying agent will have any responsibility or Collateral Manager, the Cashflow Swap Counterparty or any paying agent will have any responsibilitY or liability for any aspects of the records maintained by DTC or its nominee any of its participants relating liability for any aspects of the records maintained by DTC or its nominee or any of its participants relating to, or for payments made thereby on account to, or for payments made thereby on account of beneficial interests in, a Global Note. interests in,a Global The Issuers expect that DTC or its nominee, upon receipt any payment The Issuers expect that DTC or its nominee, upon receipt of any payment of principal or interest or interest in respect of a Global Note held by DTC or its nominee, in respect of a Global Note held by DTC or its nominee, will immediately credit participants' accounts with immediately credit participants' accounts with payments in amounts proportionate to their payments in amounts p(Oportionate to their respective beneficial interests in such Global Notes as shown beneficial in such Global Notes as on the records of DTC or its nominee. The Issuers on the records of DTC or its nominee. The Issuers also expect that payments by participants to owners of of beneficial interests in such Global beneficial interests in such Global Notes held through such participants will be govemed by standing participants be governed by instructions and customary practices, as is now instructions and customary practices, as is now the case with securities held for the accounts of case securities for the of customers registered in the names of nominees for customers registered in the names of nominees for such customers. Such payments will be the be responsibility of such participants. responsibility of such participants. If any payment on a Security is due on a If any payment on a Security is due on a day that is not a Business Day, then payment will not be is a will be made until the next succeeding Business made until the next succeeding Business Day. For so long as For so long as the Securities are listed on any stock exchange and the rules of such exchange so so require, the Issuers will have a paying require, the Issuers will have a paying agent and a transfer agent (which shall be the Listing and Paying a Agent) for such Securities and payments on and transfers or exchanges of interest in such Securities may on Agent) for such Securities and in be effected through the Listing Paying be, effected through the Listing and Paying Agent. In the event that the Listing and Paying Agent is In is replaced at any time during such replaced at any time during such period, notice of the appointment of any replacement will be given to the applicable stock exchange as any applicable stock exchange as long as any Securities are listed thereon. Priority of Payments Priority of Payments With respect to Payment Date, Proceeds With respect to any Payment Date, all Proceeds received on the Collateral during the related Due Due Period will be applied by Payments"). For Period will be applied by the Trustee in the priority set forth below (the "Priority of Payments"). For Trustee in "Priority purposes of the Priority of Payments. amounts or purposes of the Priority of Payments, amounts paid as interest, fees or distributions on the Notes on a "pro rata" basis shall be rata based "pro rata" basis shall be pro rata based on the amount of interest due on such Class or subclass of Notes due Notes or fees, amounts paid the amount of principal or fees, amounts paid as principal shall be paid pro rata based on the amount of principal then outstanding on such Class or subclass of Notes and unless stated otherwise, Proceeds not constituting Class otherwise, Proceeds outstanding on Principal Proceeds will be assumed to be applied prior to any Principal Proceeds. Principal Proceeds will be to applied Two Business Days prior to each Payment Date, to the extent there is a positive Aggregate Two Business Days prior is Aggregate Amortization Amount determined as of the related Determination Date, an amount (in cash or par amount, the Determination Date, an amount (in par Amortization Amount determined as applicable) equal to the Aggregate Amortization Amount shall be withdrawn by the Trustee from the as applicable) equal to the Aggregate Amortization Amount shall withdrawn by Trustee from the Default Swap Collateral Account (first, by applying cash on deposit in the Default Swap Collateral Account applying cash on deposit in Default Swap Collateral Account Default Swap Collateral Account (first, received as principal, second, by liquidating Eligible Investments in the Default Swap Collateral Account received as principal, second, liquidating Eligible Investments in the Default Collateral Account and third, by releasing Default Swap Collateral from the Default Swap Collateral Account and from the and third, by releasing Default Swap Collateral from the Default Swap Collateral from the lien of the Synthetic Security Counterparty and depositing itto the Collateral Account) and deposited to lien of the Synthetic Security Counterparty and it to the Collateral Account) and deposited to the Payment Account for application as Principal Proceeds in accordance with the Priority of Payments on the Payment Account for application as Principal Proceeds in with the Priority of Payments the related Payment Date or in the case of the release of Default Swap Collateral, for deposit to the of the release of Default Swap Collateral, for deposit to the the related Paymen,t Date or in the Collateral Account. Collateral Account. On the Business Day prior to each Payment Date (other than a Fihal Payment Date): the Trustee ,'-'--' -'---:--On the Business Day prior to each Payment Date (other than a Final Payment Date), the Trustee will transfer all funds then on deposit in the Collection Account (other than amounts received after the end will transfer all funds then on deposit in the Collection Account (other than amounts received after the end of the related Due Period) into the Payment Account. On each Payment Date (other than a Final of the ,related Due Period) into the Payment Account. On each Payment Date (other than a Final 70 70 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S440 GS MBS-E-021825440 Footnote Exhibits - Page 5530 Payment Date}, amounts in the Payment Account and any payments received from the Cashflow Swap Payment Date), amounts in the Payment Account and any payments received from the Cashflow Swap Counterparty since the previous Payment Date will be applied by the Trustee in the manner and order of Counterparty since the previous Payment Date will be applied by the Trustee in the manner and order of priority set forth below: priority set forth below: i. i. ii. ii. to the payment of taxes and filing and registration fees (including, without limitation, to the payment of taxes and filing and registration fees (including, without limitation, annual return fees) owed by the Issuers, if any; annual return fees) owed by the Issuers, if any; to the payment of accrued and unpaid fees of the Trustee up to maximum amount on to the payment of accrued and unpaid fees of the Trustee up to aa maximum amount on any Payment Date equal to the greater of U.S.$12,062.50 and 0.0018125% of the any Payment Date equal to the greater of U.S.$12,062.50 and 0.0018125% of the Quarterly Asset Amount for the related Due Period (or, in the case of the first Due Period, Quarterly Asset Amount for the related Due Period (or, in the case of the first Due Period, as such amounts are adjusted based on the number of days in such Due Period); as such amounts are adjusted based on the number of days in such Due Period); (a) first, to the payment of any remaining accrued and unpaid Administrative Expenses of (a)first, to the payment of any remaining accrued and unpaid Administrative Expenses of the Issuers, excluding any indemnities (and legal expenses related thereto) payable by the Issuers, excluding any indemnities (and legal expenses related thereto) payable by the Issuers first, to the Trustee, the Collateral Administrator and the Fiscal Agent and the Issuers first, to the Trustee, the Collateral Administrator and the Fiscal Agent and second, pro rata, to any other parties entitled thereto; (b) second, to the payment of any second, pro rata, to any other parties entitled thereto; (b)second, to the payment of any indemnities (and legal expenses related thereto) payable by the Issuers first, to the indemnities (and legal expenses related thereto) payable by the Issuers first, to the Trustee, the Conateral Administrator, the Fiscal Agent and second, pro rata, to any other Trustee, the Collateral Administrator, the Fiscal Agent and second, pro rata, to any other parties entitled thereto; (c) to the Expense Reserve Account the lesser of parties entitled thereto; and (c) third, to the Expense Reserve Account the lesser of U.S.$50,OOO and the amount necessary to bring the balance of such account to U.S.$50,000 and the amount necessary to bring the balance of such account to U.S.$200,OOO; provided, that aggregate payments pursuant to subclauses U.S.$200,000; provided, however, that the aggregate payments pursuant to subclauses clause (iii) on Payment Date shall not exceed U.S.$250,OOO (a) through (c) (a) through (c) of this clause (iii) on any Payment Date shall not exceed U.S.$250,000 aggregate pursuant to subclauses (a) and (b) of this clause (iii) on the and the aggregate payments pursuant to subclauses (a)and (b)of this clause (iii) on the current and prior three Payment exceed U.S.$300,OOO; current and prior three Payment Dates shall not exceed U.S.$300,000; to the payment (a) amounts due) (Q be paid to the payment of (a)first, pro rata (based on amounts due) (i) amounts, if any, to be paid to the Cashflow Swap Counterparty Cashflow Swap Agreement including to the Cashfiow Swap Counterparty pursuant to the Cashflow Swap Agreement including termination Cashflow Swap termination and partial termination payments (other than Defaulted Cashflow Swap and including on any Payment (xviii) Termination Payments payable under clause (xviii) below) and including on any Payment Termination by Date all "Cashflow Swap Amounts" Date related to an Optional Redemption by Refinancing all "Cashfiow Swap Amounts" under the that have been advanced by the Cashflow Swap Counterparty under the Cashflow Swap Swap that unpaid interest thereon, (Ii) Agreement but that have not been repaid plus accrued and unpaid interest thereon, (ii) Agreement but Notes (including Defaulted Interest and accrued and unpaid interest on the Class S-1 Notes (including Defaulted Interest and accrued and in December 2007, interest thereon) and (iii) beginning with the Payment Date occurring in December 2007, interest thereon) equal to the Class S-1 Notes Amortizing principal of the Class S-1 Notes in an amount equal to the Class S-1 Notes Amortizing in principal are paid in full and (b)second, if an Event of Principal Amount until the Class S-1 Notes are paid in full and (b) second, if an Event of Principal Default or a Tax Event shall have occurred and is continuing or an Optional Redemption and is continuing or an Optional Redemption Default or a and the Collateral Assets are being by Liquidation or a successful Auction has occurred and the Collateral Assets are being by Liquidation or a liquidated pursuant to the terms of the Indenture, to the payment of principal of the Class Indenture, to the payment of principal of the Class liquidated pursuant to the in full; S-1 Notes until the Class S-1 Notes are paid in full; S-1 Notes until the Class S-1 to the payment, pro rata based on the amount due (a), to the Collateral Manager of the to the payment, pro rata based on the amount due (a), to the Collateral Manager of the accrued and unpaid Collateral Management Fee, plus interest due on any portion of such accrued and unpaid Collateral Management Fee, plus interest due on any portion of such Collateral Management Fee not paid on a prior Payment Date at a rate equal to LISOR Collateral Management Fee not paid a prior Payment Date at a rate equal to LIBOR (excluding any portion thereof included in any Cumulative Deferred Management Fees (excluding any portion thereof included in any Cumulative Deferred Management Fees that were not paid on a previous Payment Date); provided, however, the Collateral that were not paid on a previous Payment Date); provided, however, the Collateral Manager may at its option defer all or a portion of such Collateral Management Fee (the Manager may at its option defer all or a portion of such Collateral Management Fee (the amount, if any, so deferred on such Payment Date to be included in the Current Deferred amount, ifany, so deferred on such Payment Date to be included in the Current Deferred Management Fee on such date) and (b) to the payment to the Initial Purchaser of any Management Fee on such date) and (b)to the payment to the Initial Purchaser of any unpaid Deferred Structuring Expense, plus interest due on any portion of the Deferred unpaid Deferred Structuring Expense, plus interest due on any portion of the Deferred Structuring Expense not paid on the prior Payment Date at a rate equal to USOR; Structuring Expense not paid on the prior Payment Date at a rate equal to LIBOR; to the payment of (a) first, pro rata, (i) accrued and unpaid interest on the Class A-1 to the payment of (a) first, pro rata, (i) accrued and unpaid interest on the Class A-1 Notes (including any Defaulted Interest and interest thereon), (iQ accrued and unpaid Notes (including any Defaulted Interest and interest thereon), (ii) accrued and unpaid interest on the Class A-2 Notes (including any Defaulted Interest and interest thereon); interest on the Class A-2 Notes (including any Defaulted Interest and interest thereon), iii. iii. iv. iv. v. v. vi. vi. 71 71 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825441 GS MBS-E-02182S441 Footnote Exhibits - Page 5531 and (iii) accrued and unpaid interest on the Class S-2 Notes (including any Defaulted and (iii) accrued and unpaid interest on the Class S-2 Notes (including any Defaulted. Interest and any interest thereon), and (b)second, and unpaid interest on the Interest and any interest thereon), and (b) second, accrued and unpaid interest on the Class B Notes (including any Defaulted Interest and any interest thereon); Class B Notes (including any Defaulted Interest and any interest ther~n); vii. vii. if the Class A/B Overcollateralization Test is not satisfied the Determination Date with if the Class NB Overcollateralization Test is not satisfied on the Determination Date with respect to the related Payment Date after giving effect to all respect to the related Payment Date after giving effect to all payments of principal on of principal on such Payment Date (without giving effect to any such Payment Date (without giving effect to any payments pursuant to this clause (viQ or pursuant to clause (vii) or clauses (x)and (xii) below), first, to the payment of principal of clauses (x) and (xii) below), first, to the payment of principal of all outstanding Class A-1 Class A-1 Notes in accordance with the Class A-1 Note Payment Sequence Notes in accordance with the Class A-1 Note Payment Sequence until the Class A-1 the Class A-1 Notes are paid in full, second, Notes are paid in full, second, to the payment of principal of all outstanding Class S-2 principal of all outstanding S-2 Notes until the Class Notes are paid in full, third, to the payment Notes until the Class S-2 Notes are paid in full, third, t6 the payment of principal of all outstanding Class A-2 Notes until the Class outstanding Class A-2 Notes until the Class A-2 Notes are paid in full, and fourth, to the Notes paid in full, and fourth, the payment of principal of all outstanding Class B Notes until payment of principal of all outstanding Class B Notes until the Class B Notes are paid in B paid in full; full; to the payment of (a) beginning with the Payment Date to the payment of (a) beginning with the Payment Date occurring in December 2007, in December 2007, principal of the Class S-2 Notes in an principal of the Class S-2 Notes in an amount equal to the Class S-2 Notes Amortizing S-2 Amortizing Principal Amount until the Class S-2 Notes are paid in full, Principal Amount until the Class S-2 Notes are paid in full, and (b) if an Event of Default (b) Event or a Tax Event shall have is continuing or or a Tax Event shall have occurred and is continuing or an Optional Redemption by by Liquidation or successful has Liquidation or successful Auction has occurred and the Collateral Assets are being being liquidated pursuant to the terms of the Indenture, principal the liquidated pursuant to the terms of the Indenture, principal of the Class S-2 Notes until S-2 the Class S-2 Notes are paid in full; the Class S-2 Notes are paid in full; to the payment of accrued and unpaid interest on the Class C Notes (including Defaulted to the payment of accrued and unpaid interest C Interest and any interest thereon but not including Interest and any interest thereon but not including Class C Deferred Interest); C if the Class C Overcollateralization is if the Class C Overcollateralization Test is not satisfied on the Determination Date with Determination respect to the related Payment Date after on respect to the related Payment Date after giving effect to all payments of principal on such Payment Date (without giving effect any payments such Payment Date (without giving effect to any payments pursuant to this clause (x) or (x) or clause (xii) below), then, (a) pro rata, Principal Proceeds only (i) to the payment of clause (xii) below), then, (a) pro rata, Principal (i) of principal of all outstanding Class principal of all outstanding Class A-1 Notes in accordance with the Class A-1 Note in Payment Sequence, (ii) to of principal Payment Sequence, (ii) to the payment of principal of all outstanding Class A-2 Notes, (iii) to the payment of principal of all Class B (iii) to the payment of principal of all outstanding Class B Notes and (iv) to the payment of of principal of all outstanding C principal of all outstanding Class C Notes, until the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, and the Class C Notes are paid in full; provided, however, that if the the the Class B Notes, C in Net Portfolio Collateral Net Outstanding Portfolio Collateral Balance is less than U.S.$500,OOO,OOO, then such is U.S.$500,000,000, amount shall be paid first, to the payment of principal of all outstanding Class A-1 Notes paid first, the payment amount in accordance Note Payment in accordance with the Class A-1 Note Payment Sequence until the Class A~1 Notes are A-1 paid in full, second, to the payment of principal of all outstanding Class A-2 Notes until principal all paid in full, second, to the the Class A-2 Notes are paid in full, third, to the payment of principal of all outstanding the payment the Class A-2 Notes are paid in Class B Notes until the Class B Notes are paid in full and fourth, to the payment of payment Class B Notes until B in principal of all outstanding Class C Notes until the Class C Notes are paid in full; and (b) principal of all outstanding C Notes C Notes in (b) any remaining Proceeds to the payment of principal of all outstanding Class C Notes until of principal C any remaining Proceeds the Class C Notes are paid in full; C Notes are in to the payment of accrued and unpaid interest on the Class D Notes (including Defaulted unpaid to the payment of accrued on D Interest and any interest thereon but not including Class D Deferred Interest); Interest and any interest including Deferred Interest): to the payment of principal of first, pro rata, the Class A Notes up to the amount specified to the payment of principal of pro A Notes to amount in clause (b)(1) below (provided, that the Class A-1 Notes shall be paid in accordance in clause (b)(1) below Notes shall paid in with the Class A-1 Note Payment Sequence), second, the Class B Notes up to the with the Class Payment Notes amount specified in clause (b)(2) below, third, the Class C Notes up to the amount Class C Notes amount amount specified in clause (b)(2) specified in clause (b)(3) below and fourth, the Class D Notes up to the amount specified Not.es to amount specified in clause (b)(3) and fouith, in clause (b)(4) below in an aggregate amount equal to the. lesser of (a) Principal in clause (b)(4) below in aggregate_allJ9!Jl1t,equaIJo the. lesser of (a) Principal Proceeds received or held during the related Due Period, and (b) the sum of (1) the Proceeds received or the related Due (b) sum (1) the amount necessary to increase the Class A Adjusted Overcollateralization Ratio to or amount necessary increase Class A Adjusted Ratio to or viii. viii. ix. ix. x. x. xi. xii. xii. 72 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S442 GS MBS-E-021825442 Footnote Exhibits - Page 5532 maintain it at 126.7%, plus (2) the amount necessary to increase the Class B Adjusted maintain it at 126.7%, plus (2) the amount necessary to increase the Class B Adjusted Overcollateralization Ratio to or maintain it at 110.6%, plus (3) the amount necessary to Overcollateralization Ratio to or maintain itat 110.6%, plus (3) the amount necessary to increase the Class C Adjusted Overeollateralization Ratio to or maintain at 106.0%, increase the Class C Adjusted Overcollateralization Ratio to or maintain ititat 106.0%, plus (4) the amount necessary to increase the Class D Adjusted Overcollateralization plus (4) the amount necessary to increase the Class D Adjusted Overcollateralization Ratio to or maintain at 102.7%; provided, however, that the Net Outstanding Portfolio Ratio to or maintain ititat 102.7%; provided, however, that ififthe Net Outstanding Portfolio Collateral Balance is less than U.S.$300,OOO,OOO, then only the amount described in subCollateral Balance is less than U.S.$300,000,000, then only the amount described in subclause (a) of this clause (xii) will be paid, such amount to be allocated, first, to the clause (a) of this clause (xii) will be paid, such amount to be allocated, first, to the payment of principal of all outstanding Class A-1 Notes in accordance with the Class A-1 payment of principal of all outstanding Class A-1 Notes in accordance with the Class A-1 Note Payment Sequence, second, to the payment of principal of all outstanding Class ANote Payment Sequence, second, to the payment of principal of all outstanding Class A2 Notes, third, to the payment of principal of all outstanding Class B Notes, fourth, to the 2 Notes, third, to the payment of principal of all outstanding Class B Notes, fourth, to the payment of principal of all outstanding Class C Notes, and fifth, to the payment of payment of principal of all outstanding Class C Notes, and fifth, to the payment of principal of all outstanding Class D Notes, until the Class A Notes, the Class B Notes, the principal of all outstanding Class D Notes, until the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes are paid in full; Class C Notes, and the Class DNotes are paid in full; xiii. xiii. xiv. xiv. xv. xv. if the Class D Overcollateralization Test is not satisfied on the Determination Date with if the Class D Overcollateralization Test is not satisfied on the Determination Date with respect to the related Payment Date after giving effect to all payments of principal on respect to the related Payment Date after giving effect to all payments of principal on such Payment Date (without giving effect to any payments pursuant to this clause (xiii>> such Payment Date (without giving effect to any payments pursuant to this clause (xiii)) then to the payment of principal of all outstanding Class D Notes until the Class D Notes then to the payment of principal of all outstanding Class D Notes until the Class D Notes are paid in full; are paid in full; to the payment to the Collateral Manager of the Cumulative Deferred Management Fee to the payment to the Collateral Manager of the Cumulative Deferred Management Fee (or'any portion thereof as directed Collateral Manager); (or any portion thereof as directed by the Collateral Manager); first, to the payment principal of Class in an amount equal to that portion first, to the payment of principal of the Class C Notes in an amount equal to that portion of ClassG Deferred Interest unpaid after of the principal the Class Notes of the principal of the Class C Notes comprised of Class C Deferred Interest unpaid after giving effect payments under (x) (amounts will be considered giving effect to payments under clauses (x) and (xii) above (amounts will be considered the C Notes after giving effect to unpaid for this unpaid for this purpose if the principal balance of the Class C Notes after giving effect to lowest amount outstanding)? and clauses (x) clauses (x) and (xii) above exceeds any previous lowest amount outstanding) and second, to the. payment of principal of the Class D Notes in an amount equal to that to the, payment in an amount equal to that second, portion of comprised of Class 0 Deferred Interest D portion of the principal of the Class D Notes comprised of Class D Deferred Interest and (xiiQ above (amounts will be unpaid after giving effect to payments under clauses (xii) and (xiii) above (amounts will be unpaid after giving balance of the Class D Notes after considered unpaid for this purpose if the principal balance of the Class D Notes after if considered giving effect to clauses (xii) and (xiii) above exceeds any previOus lowest amount any previous lowest amount giving effect to outstanding); outstanding); 2015, first, to the payment of principal of after the Payment Date occurring in September 2015, first, to the payment of principal of after the Payment Date occurring in C Notes are paid in full, and second, to the all outstanding Class C Notes until the Class C Notes are paid in full, and second, to the until Class C all outstanding payment of principal of all outstanding Class D Notes until the Class 0 Notes are paid in payment of principal of all outstanding Class D Notes until the Class D Notes are paid in full; full; xvi. xvi. xvii. xvii. xviii. xviii. to the payment of principal of the Class D Notes in an amount equal to the Class D Notes to the payment of principal of the Class D Notes in an amount equal to the Class D Notes Amortizing Principal Amount; Amortizing Principal Amount; to the payment of, pro rata, any Defaulted Cashflow Swap Termination Payments, with to the payment of, pro rata, any Defaulted Cashflow Swap Termination Payments, with respect to the Cashflow Swap Agreement, pro rata, based on the amount owed and respect to the Cashflow Swap Agreement, pro rata, based on the amount owed and Defaulted Synthetic Security Termination Payments, with respect to the Synthetic Defaulted Synthetic Security Termination Payments, with respect to the Synthetic Securities, pro rata, based on the amount owed; Securities, pro rata, based on the amount owed; first (a) to the payment of any remaining accrued and unpaid Administrative Expenses of first (a)to the payment of any remaining accrued and unpaid Administrative Expenses of the Issuers not paid pursuant to clauses (ii) and (iii) above (as the result of the limitations the Issuers not paid pursuant to clauses (ii)and (iii) above (as the result of the limitations on amounts set forth therein) in the same order of priority set forth above in clause (iii) . on amounts set forth therein) in the same order of priority set forth above in clause (iii) excluding any indemnities (and legal expenses related thereto) payable by the Issuers; excluding any indemnities (and legal expenses related thereto) payable by the Issuers; second, (b) to the payment, pro rata, of any indemnities (and legal expenses related second, (b) to the payment, pro rata, of any indemnities (and legal expenses related thereto) payable by the Issuers not paid pursuant to clause (iiQ above (as the result of the thereto) payable by the Issuers not paid pursuant to clause (iii) above (as the result of the limitation on amounts set forth therein) in the same order of priority set forth above in limitation on amounts set forth therein) in the same order of priority set forth above in clause (iii); and third, (c) to the Expense Reserve Account until the balance of such clause (iii); and third, (c) to the Expense Reserve Account until the balance of such xix. xix. 73 73 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825443 GS MBS-E-021825443 Footnote Exhibits - Page 5533 account reaches U.S.$200,000 (after giving effect to any deposits made therein on such account reaches U.S.$200,OOO (after giving effect to any deposits made therein on such Payment Date under clause (iii) above); provided, however, that the aggregate payments Payment Date under clause (iii) above); provided, however, that the aggregate payments pursuant to subclause (c) of this clause (xix) and subclause (c) of clause (iii) on any pursuant to subclause (c) of this clause (xix) and subclause (c) of clause (iii) on any Payment Date shall not exceed U.S.$50,000; and Payment Date shall not exceed U.S.$50,OOO; and xx. xx. any remaining amount to the payment to the Fiscal Agent for deposit into the Income any remaining amount to the payment to the Fiscal Agent for deposit into the Income Note Payment Account for payment to the Holders of the Income Notes as additional Note Payment Account for payment to the Holders of the Income Notes as additional distributions (subject to certain restrictions imposed under Cayman Islands law and to the distributions (subject to certain restrictions imposed under Cayman Islands law and to the extent of funds legally available therefor). extent of funds legally available therefor). On the Business Day prior to the Final Payment Date, the Trustee will transfer all funds then on On the Business Day prior to the Final Payment Date, the Trustee will transfer all funds then on deposit in the Collection Account into the Payment Account. On the Final Payment Date, amounts in the deposit in the Collection Account into the Payment Account. On the Final Payment Date, amounts in the Payment Account will be applied by the Trustee inthe manner and order of priority set forth below: Payment Account will be applied by the Trustee in the manner and order of priority set forth below: i.i. to the payment of the amounts referred to in clauses (i) through (vi) of the Priority of to the payment of the amounts referred to in clauses (i) through (vi) of the Priority of Payments for Payment Dates which are not Final Payment Dates, in that order (without Payments for Payment Dates which are not Final Payment Dates, in that order (without regard to the limitations in clause (iii) except for any Final Payment Date which is the regard to the limitations in clause (iii) except for any Final Payment Date which is the. Stated Maturity of a Note (other than the Class S Notes)); provided that no deposit shall Stated Maturity of a Note (other than the Class S Notes>>; provided that no deposit shall be made to the Expense Reserve Account pursuant to subclause (iii); be made to the Expense Reserve Account pursuant to subclause (iii); to the payment to the Class A-1 Notes in accordance with the Class A-1 Note Payment to the payment to the Class A-1 Notes in accordance with the Class A-1 Note Payment Sequence of the amount necessary to pay Sequence of the amount necessary to pay the outstanding principal amount of such outstanding amount of such Notes; Notes; to the payment to the Class S-2 Notes of to the payment to the Class S-2 Noles of the amount necessary to pay the outstanding outstanding principal amount of such Notes; principal amount of such Notes; to the payment to the Class A-2 Notes of to the payment to the Class A-2 Notes of the amount necessary to pay the outstanding the outstanding principal amount of such Notes; principal amount of such Notes; to the payment to the Class B Notes to the payment to the Class B Notes of the amount necessary to pay the outstanding the outstanding principal amount of such Notes in full; principal amount of such Notes in to the payment to the to the payment to the Class C Notes of the amount necessary to pay accrued and unpaid C and unpaid interest on and the outstanding principal amount of such Notes (including any Class C principal amount interest on and the any Class C Deferred Interest and Defaulted Interest and any interest thereon) in full; Deferred Interest and Defaulted Interest in to the payment to the Class D Notes of the amount necessary to pay accrued and unpaid of to the payment to the Class 0 and unpaid interest on and the outstanding principal amount of such Notes (including any Class D interest on and the outstanding principal amount Class 0 Deferred Interest and Defaulted Interest and any interest thereon) in full; Deferred Interest and Defaulted Interest any interest thereon) in full; to the payment of the amounts referred to in clause (xiv) of the Priority of Payments for to the payment of the amounts referred in of Priority of Payments for Payment Dates that are not Final Payment Dates; Payment Dates that are not Payment Dates; to the payment of the amounts referred to in clause (xviii) of the Priority of Payments for to the payment of the amounts referred to in clause (xviii) of the Priority Payments for Payment Dates that are not Final Payment Dates; Payment Dates that are not Final Payment Dates; to the payment of the amounts referred to in subclause (a) and subclause (b)of clause to the payment of the amounts referred to in subclause (a) and subclause (b) of clause (xix) of the Priority of Payments on any Final Payment Date that is the Stated Maturity of (xix) of the Priority of Payments on any Final Payment Date that is the Stated Maturity of any Notes (other than the Class S Notes); and any Notes (other than the Class S Notes); and to the payment of the amounts referred to in clause (xx) of the Priority of Payments for to the payment of the amounts referred to in clause (xx) of the Priority of Payments for Payment Dates which are not Final Payment Dates in accordance with the Fiscal Agency Payment Dates which are not Final Payment Dates in accordance with the Fiscal Agency Agreement. Agreement. ii. ii. iii. iii. iv. iv. v. v. vi. vi. vii. vii. viii. viii. ix. ix. x. x. xi. xi. 74 74 Confidential Treatment Requested by Goldman Sachs Confidenti'al Treatment Requested by Goldman Sachs GS MBS-E-02182S444 GS MBS-E-021825444 Footnote Exhibits - Page 5534 Upon payment in full of the last outstanding Note, the Issuer (or the Collateral Manager acting Upon payment in full of the last outstanding Note, the Issuer (or the Collateral Manager acting pursuant to the Collateral Management Agreement on behalf of the Issuer) will liquidate any remaining pursuant to the Collateral Management Agreement on behalf of the Issuer) will liquidate any remaining Collateral Assets, Eligible Investments, the Cashflow Swap Agreement and any other items comprising Collateral Assets, Eligible Investments, the Cashflow Swap Agreement and any other items comprising the Collateral and deposit the proceeds thereof in the Collection Account. The net proceeds of such the Collateral and deposit the proceeds thereof in the Collection Account. The net proceeds of such liquidation and all available cash (other than the U.S.$250 of capital contributed by the owners of the liquidation and all available cash (other than the U.S.$250 of capital contributed by the owners of the Issuer Ordinary Shares in accordance with the Issuers Memorandum and Articles of Association and Issuer Ordinary Shares in accordance with the Issuer's Memorandum and Articles of Association and U.S.$250 representing a transaction fee to the Issuer (the "Excepted Property; will be distributed in U.S.$250 representing a transaction fee to the Issuer (the "Excepted Property) will be distributed in accordance with the Priority of Payments for Final Payment Dates and all amounts remaining thereafter accordance with the Priority of Payments for Final Payment Dates and all amounts remaining thereafter will be paid to the Holders of the Income Notes as a redemption payment, whereupon all of the Notes and will be paid to the Holders of the Income Notes as a redemption payment, whereupon all of the Notes and the Income Notes will be canceled. the Income Notes will be canceled. Income Notes Income Notes The final payment on the Income Notes will be made by the Issuer on the Stated Maturity of the The final payment on the Income Notes will be made by the Issuer on the Stated Maturity of the Income Notes, unless redeemed or retired prior thereto in accordance with the Priority of Payments. unless redeemed or retired prior thereto in accordance with the Priority of Payments. Income The Indenture and the Fiscal Agency Agreement The Indenture and the Fiscal Agency Agreement The summary describes the Indenture and the Fiscal Agency The following summary describes certain provisions of the Indenture and the Fiscal Agency is and its Agreement. The summary does purport Agreement. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture and the Fiscal Agency Agreement. reference the provisions of the Indenture and the Fiscal Agency Agreement. Indenture Indenture An "Event of Default" under Events of Default. An "Event of Default" under the Indenture includes: i. i. a default in the payment, when due and payable, of any interest on any Class S Note, default in of any interest Class S Note, Class A Note or Class B Note or, if there are no Class S Notes, Class A Notes or Class B A Note S Class A Notes or Class B Note if no Class Notes, Class A Notes, Notes outstanding, any Class C Note or, if there are no Class S Notes, Class A Notes, of and a Class B Notes or Class C Notes outstanding, any Class D Note and a continuation of C D B default in payment in in case, such default, in each case, for a period of 7 days (or, in the case of a default in payment any Note Paying resulting solely from an administrative error or omission by the Trustee, any Note Paying from of 7 days after the Agent or the Note Registrar, such default continues for a period of 7 days after the Trustee is made aware of such administrative error or omission); is ii. ii. its Stated prinCipal or on any in a default in the payment of principal due on any Note at its Stated Maturity or on any resulting solely from an in a Redemption Date (or, in the case of a default in payment resulting solely from an in Agent or the Note administrative error or omission by the Trustee, any Note Paying Agent or the Note after the Trustee is made aware 7 Registrar, such default continues for a period of 7 days after the Trustee is made aware a of such administrative error or omission); (other than in payment of interest the failure on any Payment Date to disburse amounts (other than in payment of interest any Payment date set for redemption on any Note or principal of any Note at its Stated Maturity or any date set for redemption Maturity at in the Payment Account in excess of as described in (I) and (ii) above) available in the Payment Account in excess of (ii) in (i) and a continuation of such failure U.S.$500 in accordance with the Priority of Payments and a continuation of such failure U.S.$500 in recognized; for a period of 7 days after such failure has been recognized; after a period 7 Collateral or any portion thereof or a circumstance in which either of the Issuers or the Collateral or any portion thereof either of a circumstance in under the Investment becomes an investment company required to be registered under the Investment to company becomes J . Company Act; . Company Act; the Notes (as determined a default, which has a material adverse effect on the Holders of the Notes (as determined effect on a material a the Controlling Class), in the by at least 50% in aggregate principal amount of the Controlling Class), in the by at least 50% in aggregate principal amount performance, or breach, of any covenant, representation, warranty or other agreement of performance, or breach, of any covenant, representation, warranty or other agreement of the Issuers in the Inde'riture-(it being und-erstci6d that a failure to satisfy a Coverage Test the Issuers in the Indenture (it being understood that a failure to satisfy a Coverage Test to the is not a default or breach) or in any certificate or writing delivered pursuant to the is not a default or breach) or in any certificate or writing delivered iii. iii. iv. iv. v. v. 75 75 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825445 GS MBS-E-021825445 Footnote Exhibits - Page 5535 Indenture, or any representation or warranty of the Issuers made in the Indenture or in Indenture, or ififany representation or warranty of the Issuers made in the Indenture or in any certificate or writing delivered pursuant thereto proves to be incorrect in any material any certificate or writing delivered pursuant thereto proves to be incorrect in any material respect when made, and the continuation of such default or breach for a period of 30 respect when made, and the continuation of such default or breach for a period of 30 days after notice thereof shall have been given to the Issuers and the Collateral Manager days after notice thereof shall have been given to the Issuers and the Collateral Manager by the Trustee or to the Issuers, the Collateral Manager and the Trustee by the Holders by the Trustee or to the Issuers, the Collateral Manager and the Trustee by the Holders of at least 50% in Aggregate Outstanding Amount of the ContrOlling Class; and of at least 50% in Aggregate Outstanding Amount of the Controlling Class; and vi. vi. certain events of bankruptcy, insolvency, receivership or reorganization of either of the certain events of bankruptcy, insolvency, receivership or reorganization of either of the Issuers. Issuers. If an Event of Default should occur and be continuing, the Trustee may, with the consent of the If an Event of Default should occur and be continuing, the Trustee may, with the consent of the Holdersof at least a Majority of the Controlling Class, and will at the direction of the Holders of at least a Holders of at least a Majority of the Controlling Class, and will at the direction of the Holders of at least a Majority of the Controlling Class, declare the principal of and accrued and unpaid interest on all Notes to Majority of the Controlling Class, declare the principal of and accrued and unpaid interest on all Notes to be immediately due and payable (except that in the case of an Event of Default described in clause (vi) be immediately due and payable (except that in the case of an Event of Default described in clause (vi) above, such an acceleration will occur automatically and shall not require any action by the Trustee or above, such an acceleration will occur automatically and shall not require any action by the Trustee or any Noteholder). . any Noteholder). If an Event of Default should occur and be continuing, the Trustee is required to retain the If an Event of Default should occur and be continuing, the Trustee is required to retain the Collateral intact and collect all payments in respect of the Collateral and continue making payments in the Collateral intact and collect all payments in respect of the Collateral and continue making payments in the manner described under Priority of Payments' unless (a) the Trustee determines (which determination will manner described under Priority of Payments unless (a)the Trustee determines (which determination will be based upon a certificate from the Collateral Manager) that the anticipated proceeds of a sale or be based upon a certificate from the Collateral Manager) that the anticipated proceeds of a sale or liquidation of the Collateral based on an estimate from a nationally recognized investment liquidation of the Collateral based on an estimate obtained from a nationally recognized investment banking firm (which into account time between such estimate and the banking firm (which estimate takes into account the time elapsed between such estimate and the anticipated sale of the Collateral) would amount necessary pay in (after deducting the anticipated sale of the Collateral) would equal the amount necessary to pay in full (after deducting the reasonable expenses of such sale or sum (i) the (including any Class C reasonable expenses of such sale or liquidation) the sum of (i)the principal (including any Class C Deferred Interest and Class 0 Deferred and all Defaulted Interest, Deferred Interest and Class D Deferred Interest) and accrued interest (including all Defaulted Interest, and interest thereon) and any other amounts due with respect to all the outstanding Notes; (ii) all interest thereon) and amounts to Notes; (ii) all and Security Counterparty or Administrative Expenses; (iii) all amounts Administrative Expenses; (iii) all amounts payable by the Issuer to the Synthetic Security Counterparty or an assignee of a Synthetic Security (other than Defaulted Synthetic Security Termination Payments) net Synthetic Termination Payments) net an assignee of a Synthetic Security (other of all amounts payable or an assignee of a Synthetic Issuer of all amounts payable to the Issuer by any Synthetic Security Counterparty or an assignee of a Synthetic Swap Counterparty (other than Defaulted Security; (iv) all amounts payable Security; (iv)all amounts payable by the Issuer to the Cashflow Swap Counterparty (other than Defaulted Issuer by any Cashflow Swap Cashflow Swap Termination Payments) net of all amounts payable to the Issuer by any Cashflow Swap Cashflow Swap Termination accrued and unpaid Collateral Counterparty; (v)accrued and unpaid Deferred Structuring Expenses; (vi) accrued and unpaid Collateral (v) accrued and Counterparty; Fees; and (vii) all other items in the Management Fees, including any Cumulative Deferred Management Fees; and (vii) all other items in the Deferred Management Fees, including case, the Holders of a Majority of Priority of Payments ranking prior to payments on the Notes, and, in any case, the Holders of a Majority of in Priority of Payments ranking prior to payments Holders of at least 66-2/3% of the the ContrOlling Class agree with such determination or (b) the Holders of at least 66-2/3% of the (b) agree with the Controlling Class Counterparty (other than Aggregate Outstanding Amount of the Controlling Class and any Cashflow Swap Counterparty (other than Cashflow Aggregate Outstanding Amount of any Cashflow Swap Counterparty which will be paid in full the amounts due to it, including in any paid in full the amounts due to it, including in any any Cashflow Swap Counterparty applicable termination payments other than Defaulted Cashflow Swap Termination Payments at the time than Defaulted Cashflow Swap Termination Payments at the time applicable termination payments of distribution of the proceeds of any sale or liquidation of the Collateral) direct, subject to the provisions liquidation of the Collateral) direct, subject to the provisions of distribution of the proceeds of any of the Indenture, the sale and liquidation of the Collateral. the sale and liquidation of the Collateral. of the Indenture, The Holders of a Majority of the Controlling Class will have the right to direct the Trustee in writing The Holders of a Majority of the Controlling Class will have the right to direct the Trustee inwriting In the conduct of any ?proceedings or in the sale of any or all of the Collateral, but only if (i)? such direction Inthe conduct of any .proceedings or in the sale of any or all of the Collateral, but only if(i)such direction will not conflict with any rule of law or the Indenture (including the limitations described in the paragraph will not conflict with any rule of law or the Indenture (including the limitations described in the paragraph above) and (ii) the Trustee determines thafsuch action will not involve it in liability (unless the Trustee has above) and (ii)the Trustee determines that such action will not involve it in liability (unless the Trustee has received an indemnity which is reasonably acceptable to the Trustee against any such liability). received an indemnity which is reasonably acceptable to the Trustee against any such liability). Subject to the prOVisions of the Indenture relating to the duties of the Trustee, in case an Event of Subject to the provisions of the Indenture relating to the duties of the Trustee, in case an Event of Default with respect to the Notes occurs and is continuing, the Trustee is under no obligation to exercise Default with respect to the Notes occurs and is continuing, the Trustee is under no obligation to exercise any of the rights or powers under the Indenture at the request of any Holders of Notes, unless such any of the rights or powers under the Indenture at the request of any Holders of Notes, unless such Holders have offered to the Trustee reasonable security or an indemnity which is reasonably acceptable Holders have offered to the Trustee reasonable security or an indemnity which is reasonably acceptable to the Trustee. The Holders of a Majority of the Controlling Class may waive any default with respect to to the Trustee. The Holders of a Majority of the Controlling Class may waive any default with respect to the Notes, except (a) a default in tj1Eu?ayment of principal or interest on any Note; (b) failure on any the Notes, except (a) a default in the payment of principal or interest on any Note; (b)failure on any Payment Date to disburse amounts available in the Payment Account in accordance with the Priority of Payment Date to disburse amounts available in the Payment Account in accordance with the Priority of Payments and continuation of such failure for a period of five days; (c) certain events of bankruptcy or Payments and continuation of such failure for a period of five days; (c)certain events of bankruptcy or 76 76 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825446 GS MBS-E-021825446 Footnote Exhibits - Page 5536 insolvency with respect to the Issuers; or (d)a default in respect of a provision of insolvency with respect to the Issuers; or (d) a default in respect of a provision of the Indenture that cannot modified or amended the waiver cannot be modified or amended without the waiver or consent of Holder of each outstanding Note consent of Note adversely affected thereby. . Furthermore, declaration of acceleration of maturity of Furthermore, any declaration of acceleration of maturity of the Notes may be revoked and may be revoked a Majority annulled by the Holders of a Majority of the Controlling Class before a judgment or decree for the a payment of money has been obtained by Trustee or payment of money has been obtained by the Trustee or the Collateral has been sold or foreclosed in in whole in part, Issuers, whole or in part, by notice to the Issuers, the Trustee and any Cashflow Swap Counterparty, if (a) the any Counterparty, (a) Issuer paid Trustee a Issuer has paid or deposited with the Trustee a sum sufficient to pay, in accordance with the Priority of in with of Payments, the principal Payments, the principal and accrued interest (including all Defaulted Interest and the interest thereon), Interest and the discount unpaid discount or other unpaid amounts with respect to the outstanding Notes and any other administrative respect Notes administrative or.other amounts 'expenses, fees or other amounts that, under the Transaction Documents and pursuant to the Priority of of Payments, are Payments, are payable prior to the payment of the principal of and interest on the outstanding Notes, and interest (b)the Trustee has determined Default, non-payment (b) the Trustee has determined that all Events of Default, other than the non-payment of the interest on or interest or principal of the outstanding 'principal of the outstanding Notes that have become due solely by such acceleration, have been cured acceleration, have and the Holders of a Majority by notice and the Holders of a Majority of the Controlling Class by notice to the Trustee have agreed with such Trustee have such determination (which agreement shall be or determination (which agreement shall not be unreasonably withheld) or waived such Event of Default in Event of in accordance with the provisions in accordance with the provisions set forth in the Indenture. Only the Trustee Only the Trustee may pursue the remedies available under the Indenture and the Notes and no no Holder of a Note will have Holder of a Note will have the right to institute any proceeding with respect to the Indenture, its Note or or otherwise unless (i) such otherwise unless (i) such Holder previously has given to the Trustee written notice of a continuing Event a of Default; (i~ except in a in of Default; (ii)except in the case of a default in the payment of principal or interest, the Holders of at least 25%, by 25%, by Aggregate Outstanding Amount, of the Controlling Class have made a written request upon the a Trustee to institute such proceedings in Trustee to institute such proceedings in its own name as Trustee and such Holders have offered the Trustee an indemnity which is Trustee an. indemnity which is reasonably acceptable to the Trustee; (iii) the Trustee has for 30 days (iii) failed to institute any (iv) failed to institute any such proceeding; and (iv) no direction inconsistent with such written request has been to the Trustee 30-day been given to the Trustee during such 3D-day period by the Holders of a Majority of the Controlling Class. a In In determining whether the Holders of the requisite percentage of Notes have given any direction, notice or consent, notice or consent, Notes owned by the Issuer, the Co-Issuer or any affiliate thereof shall be disregarded and deemed not to be outstanding. hi addition, Holders of Income Notes will not be considered to be to be In be affiliates of the Issuer or Co-Issuer by virtue of such ownership of Income Notes. affiliates Notices. Notices to Notices. Notices to the Holders of the Notes shall be given by first-class mail, postage prepaid, to each Noteholder at the address appearing in the applicable note register. In addition, for so long as any Noteholder in any In of the Notes are listed on any stock exchange and so long as the rules of such exchange so require, notices to the Holders of such Notes shall also be published by the Listing and Paying Agent in the official the Holders such in list thereof. list thereof. Modification of the Indenture. Except as provided below, with the consent of the Holders of a a Majority, by Aggregate Outstanding Amount, of the Notes materially adversely affected thereby, voting by Aggregate Outstanding together as a single class, and a Majority of the Income Notes materially and adversely affected thereby, single a Income the Trustee and the Issuers, with respect to the Notes, may execute a supplemental Indenture to add Trustee and the Indenture add provisions to, or change in any manner or eliminate any provisions of, the Indenture or modify in any change in in Indenture manner the rights of the Holders of the Notes of such Class or the Income Notes; provided that the Rating Rating Agency Condition would be satisfied after such addition, change or elimination. The Trustee may, after consistent with the written advice of legal counsel or an officer's certificate, at the expense of the Issuer, counselor officer's determine or not Holders the Income determine whether or not the Holders of the Notes or Income Notes would be materially and adversely affected by affected by such change. Such determination shall be conclusive and binding on all present and future determination Holders. . Without the consent of the Holders of each adversely affected Note and each adversely affected affected Income Note, and unless the Rating Agency Condition is satisfied, no supplemental indenture may be is be Income entered date any entered into which would (i) change the Stated Maturity of the principal of or the due date of any (i) Stated Maturity installment of interest or discount on a Note; reduce the principal amount thereof or the rate of interest a or interest thereon, or the applicable Redemption Price with respect thereto; change the earliest date on which a Redemption a 77 n Confidential Treatment Requested by Goldman Sachs Confidential Treatment Goldman Sachs GS MBS-E-02182S447 GS MBS-E-021825447 Footnote Exhibits - Page 5537 Note may be redeemed; change the provisions of the Indenture relating to the application of proceeds of any Collateral to the payment of principal of or interest or discount on Notes or change any place where, in or the coin or currency in which, Notes or the principal thereof or interest or discount thereon are payable; or impair the right to institute suit for the enforcement of any such payment on or after the Stated Maturity enforcement Maturity thereof in Date); (ii) in thereof (or, in the case of redemption, on or after the Redemption Date); (ii) reduce the percentage in aggregate principal amount of Holders of the Notes of each Class and Holders of the Income Notes whose consent is required for the authorization of any supplemental indenture or for any waiver of is of compliance with certain provisions of the Indenture or certain defaults thereunder or their consequences; Indenture (iii) impair or adversely affect the Collateral except as otherwise permitted by the Indenture; (iv) permit the (iii) creation of any security interest ranking prior to or on a parity with the security interest created by the a Indenture (it Indenture with respect to any part of the Collateral (it being understood that the addition of the Cashflow Cashflow Swap Counterparty having the benefit of the Indenture pursuant to its terms does not require consent consent Counterparty under this clause) or terminate such security interest on any property at any time subject thereto or or deprive the Holder of any Note, the Trustee or any. other Secured Party of the security afforded by the (v) is Indenture; (v) reduce the percentage of Holders of the Notes of each Class whose consent is required to request the Trustee to preserve the Collateral or rescind the Trustee's election to preserve the Collateral or to sell or liquidate the Collateral pursuant to the Indenture; (vi) modify any of the provisions of the Indenture with respect to supplemental indentures, except to increase the percentage of outstanding the' Notes whose Holders' consent is required for any such action or to provide that other provisions of the is Indenture cannot be modified or waived without the consent of the Holder of each outstanding Note adversely affected thereby; (vii) modify the definition of the term "Outstanding" or the Priority of Payments "Outstanding" Indenture in in set forth in the Indenture; (viii) modify any of the provisions of the Indenture in such a manner as to affect the calculation of the amount of any payment of interest or discount on or principal of any Note or modify . any any amount distributable to the Fiscal Agent for payment to the Holders of the Income Notes on any Payment Date or to affect the right of the Holders of the Notes or the Trustee to the benefit of any any provisions for the redemption of such Notes contained therein; (ix) amend any provision of the Indenture (ix) or any other agreement entered into by the Issuer with respect to the transactions contemplated by the agreement Indenture as Indenture relating to the institution of proceedings for the Issuer or the Co-Issuer to be adjudicated as bankrupt or insolvent, or the consent of the Issuer or the Co-Issuer to the institution of bankruptcy or or insolvency proceedings against it, or the filing with respect to the Issuer or the Co-Issuer of a petition or it, a or answer or consent seeking reorganization, arrangement, moratorium or liquidation proceedings, or other moratorium proceedings under the United States Bankruptcy Code or any similar laws, or the consent of the Issuer or or liquidator, appointment the Co-Issuer to the filing of any such petition or the appointment of a receiver, liquidator, assignee, trustee or sequestrator (or other similar official) of the Issuer or the Co-Issuer or any substantial part of its its property, respectively; (x) increase the amount of. the Collateral Management Fees payable to the (x) Management Collateral Manager beyond the amount provided for in the original Collateral Management Agreement; in Management (xi) amend any provision of the Indenture or any other agreement entered into by the Issuer with respect to the transactions contemplated thereby that provides that the obligations of the Issuers or the Issuer, as as the case may be, are limited recourse obligations of the Issuers or the Issuer, respectively, payable solely from in from the Collateral in accordance with the terms of the Indenture; (xii) at the time of execution of such supplemental indenture, cause the Issuer, any Cashflow Swap Counterparty, the Collateral Manager or indenture, cause the Issuer, or any Paying Agents to become subject to withholding or other taxes, fees or assessments or cause the Issuer to be treated as engaged in a United States trade or business or otherwise be subject to United in United States federal, state or local income tax on a net income basis; or (xiii) at the time of execution of such a supplemental indenture, result in a deemed sale or exchange of any of the Notes under Section 1001 of in deemed of collectively, the Code (items (i)through (xiii) above collectively, the "Reserved Matters"). (0 Matters'1. Except as provided above, the Issuers and the Trustee may also enter into one or more supplemental indentures, without obtaining the consent of Holders of the Notes or the Income Notes but with no with satisfaction of the Rating Agency Condition, (i) if such supplemental indentures would have no (i) material adverse effect on any of the Noteholders (as evidenced by an officer's certificate delivered by the officers Trustee) (ii) Issuer, or the Collateral Manager on behalf of the Issuer, to the Trustee) or (ii)for any of the following (a) purposes: (a) to evidence the succession of any person to either the Issuer or Co-Issuer and the the assumption of t~e co~enants in assumption by any such successor of the covenants of the Issuer or Co-Issuer in the Notes, the Fiscal Agency Agreement and the Indenture; (b) to add to the covenants of the Issuers or the Trustee for the (b) benefit of the Holders of the Notes or the Income Notes or to surrender any .right or power conferred upon any.right 78 78 Confidential Treatment Requested by Goldman Sachs Treatment Requested GS MBS-E-021825448 MBS-E-021825448 Footnote Exhibits - Page 5538 the Issuers; (c) convey, transfer, assign, mortgage or pledge the Issuers; (c) to convey, transfer,assign, mortgage or pledge any property to the Trustee, or add to the to or add the conditions, limitations conditions, limitations or restrictions on the authorized amount, terms and purposes of the issue, restrictions on the authorized amount, terms and purposes the issue, authentication and Notes or authentication and delivery of the Notes or the Income Notes; (d) to evidence and provide for the Income (d)to evidence provide acceptance of appointment by a successor trustee and to add to or change any of the provisions of the a successor and any the Indenture as shall be necessary to Indenture as shall be necessary to facilitate the administration of the trusts under the Indenture by more of the by than one Trustee; (e)to correct than one Trustee; (e) to correct or amplify the description of any property at any time subject to the any security interest created by the Indenture, security interest created by the Indenture, or to better assure, convey, and confirm unto the Trustee any convey, property subject or required property subject or required to be subject to the security interest created by the Indenture (including, security interest (including, without limitation, any and all actions necessary or desirable as a result of changes in law or regulations) limitation, any and all actions necessary a in or regulations) or subject to the security interest created or subject to the security interest created by the Indenture any additional property; (f) to otherwise correct Indenture any (f) any inconsistency or cure any ambiguity any inconsistency or cure any ambiguity or manifest error or correct or supplement any provisions correct any contained herein which may be defective inconsistent contained herein which may be defective or inconsistent with any provision contained herein or make any make modification that is of a formal, modification that is of a formal, minor or technical nature or which is made to correct a manifest error; or nature is made a manifest (g)to any action (g) to take any action necessary or advisable to prevent the Issuer, the Trustee or any Paying Agents prevent Paying from becoming subject from becoming subject to withholding or other taxes, fees or assessments or to prevent the Issuer from or being treated as engaged in a United being treated as engaged in a United States trade or business or otherwise being subject to United States or federal, state or local income tax on a net income basis; (h)to the Indenture federal, state or local income tax on a net income basis; (h) to conform the Indenture to the descriptions thereof in the final Offering Circular; (i) to comply with any reasonable requests made by any stock in the final Circular, (i) exchange in order to list or exchange in order to list or maintain the listing of any Notes or Income Notes on such stock exchange; 0) (j) to reflect the terms of an Optional Redemption by Refinancing (including the grant of a security interest in reflect the terms of an Optional Refinancing a in the Collateral); or (k) to enter into any additional agreements not expressly prohibited by any of the the? Collateral); or (k) to enter agreements Indenture or the other Transaction Indenture or the other Transaction Documents, as well as any amendment, modification or waiver if the if Issuer determines that entering into agreement Issuer determines that entering into such an agreement or such amendment, modification or waiver thereof would not, upon or after becoming effective, materially and adversely affect the rights or interests rights of Holders of any Class of Notes of Holders of any Class of Notes or Income Notes. The Issuers and the Trustee shall not enter into any Issuers supplemental indenture, amendment supplemental indenture, amendment or modification of the Indenture which would require the consent of of any of Holders of Notes or any of the Holders of the Notes or Income Notes, any Cashflow Swap Counterparty or any Synthetic Security Counterparty an a Security Counterparty due to an adverse effect or a material adverse effect, as applicable, on such person a person as a result of such supplemental indenture, amendment or modification without any such person's amendment consent (except as below) if consent (except as provided below) if any such person could be reasonably determined to be adversely affected or materially adversely affected, as applicable, by any supplemental indenture, amendment or or modification to this . modification to this Indenture. The Issuer may give at least five (5) Business Days' prior notice of any (5) such supplemental indenture, amendment such supplemental indenture, amendment or modification which could reasonably be determined to give rise to an or material effect rise to an adverse effect or a material adverse effect to the Holders of the Notes and of the Income Notes, the Cashflow Swap Counterparty the Cashflow Swap Counterparty and the Synthetic Security Counterparty. All Classes and counterparties respond to counterparties that fail to respond to any such notice on or before the retum date indicated on such notice shall be deemed to be not affected shall be deemed to be not adversely affected or materially adversely affected by such change and the Issuers, the Trustee and any opinion of counsel may rely on the results of any such notice or on a Trustee any of counsel Issuers, a certificate the Issuer the certificate from the Issuer or the Collateral Manager. The Trustee may require the delivery of an opinion of counsel or an of counselor an officer's certificate delivered by the Issuer (or the Collateral Manager on behalf of the Issuer) to the Trustee, reasonably satisfactory to it, at the expense of the Issuer, that the execution of to Trustee, it, of such amendment or modification is authorized or permitted under the terms of the Indenture. Such modification is amendment permitted determination shall conclusive determination shall be conclusive and binding on all present and future Holders of Notes or Income Income Notes, any Synthetic Security Counterparty, the Collateral Manager and any Cashflow Swap Counterparty. Counterparty. Notwithstanding anything to the contrary herein,(i) the Issuer will not consent to enter into any Notwithstanding enter any herein, (i) supplemental indenture or any supplement or amendment to any other document related thereto unless indenture or thereto and until the Collateral Manager has received written notice of such proposed amendment or supplement the Manager amendment supplement and has consented in writing thereto and has received a final copy thereof from the Issuer or the Trustee in a and, if any such supplement or amendment could reasonably be expected to have a material adverse if amendment material effect on any Synthetic Security Counterparty, such Synthetic Security Counterparty has received written Security Counterparty notice of such amendment or supplement and has consented thereto in writing (which consent shall not amendment supplement and has consented (which not in be unreasonably withheld) and (ii)-no amendment to the Indenture will be effective until the consent of unreasonably (iQ-no amendment of each Cashflow Swap Counterparty (which shall not be unreasonably withheld) has been obtained to the Counterparty obtained extent required under the Cashflow Swap Agreement. under Cashflow . 79 79 Confidential Treatment Requested by Goldman Sachs Treatment Goldman Sachs GS MBS-E-021825449 GS MBS-E-021825449 Footnote Exhibits - Page 5539 Under the Indenture, the Trustee will, for so long as any of the Securities are outstanding and rated by the Rating Agencies, deliver a copy of any proposed supplemental indenture (whether or not a required to be approved by the Holders of any Notes or Income Notes) to the Rating Agencies, each Counterparty Counterparty Cashflow Swap Counterparty and each Synthetic Security Counterparty not later than 20 Business Days prior to the execution of such proposed supplemental indenture, and no such supplemental indenture is shall be entered into unless the Rating Agency Condition is met; provided that the Trustee shall, with the Aggregate eaph 100% consent of the Holders of 100% of the Aggregate Outstanding Amount of Notes of each Class and Income Notes, each Synthetic Security" Counterparty and each Cashflow SWap Counterparty, enter into Cashflow Swap Security. Counterparty of any such supplemental indenture notwithstanding any potential reduction or withdrawal of the ratings of a any outstanding Class of Notes. In addition, the Trustee will deliver a copy of any proposed supplemental In a as indenture with respect to which a determination must be made pursuant to the terms of the Indenture as to whether the Controlling Class would be materially adversely affected thereby to the Controlling Class (or not later than five (5) Business Days prior to the execution of such proposed supplemental indenture (or (5) such shorter period prior to the execution of such proposed supplemental indenture as a Majority of the Majority the is Controlling Class shall consent to, or otherwise agree is sufficient). The Trustee must provide notice of any amendment or modification of the Indenture (whether or not required to be approved by the Holders of any Notes or Income Notes) to the Holders of the Notes and Income Notes, each Cashflow Swap Cashflow Income Counterparty Counterparty, each Synthetic Security Counterparty and, for so long as any Notes or Income Notes are listed on any stock exchange, the Listing and Paying Agent, promptly upon the execution of such supplemental indenture. In In connection with any amendment, the Trustee may require the delivery of an opinion of counsel it, amendment is satisfactory to it, at the expense of the Issuer, that such amendment is permitted under the terms of the Indenture. Co-Issuer Jurisdictions of Incorporation and Formation. Under the Indenture, the Issuer and the Co-Issuer incorporation will be required to maintain their rights and franchises as a company incorporated under the laws of the a Cayman Islands and a corporation formed under laws of the State of Delaware, respectively, to comply a comply with the provisions of their respective organizational documents and to obtain and preserve their or in in qualification to do business as foreign corporations in each jurisdiction in which such qualifications are or shall be necessary to protect the validation and enforceability of the Indenture, the Notes or any of the Collateral; provided, however, that the Issuers shall be entitled to change their jurisdictions of provided, however, reasonably incorporation from the Cayman Islands or Delaware, as applicable, to any other jurisdiction reasonably applicable, selected by such Issuer or Co-Issuer, as applicable, and approved by its common shareholders, so long is as (Q the Issuer or Co-Issuer, as applicable, does not believe such change is disadvantageous in any (i) in Counterparty or material respect to such entity, the Holders of any Class of Notes, the Cashflow Swap Counterparty or any Synthetic Security Counterparty; (ii) written notice of such change shall have been given by the Issuer Counterparty; (ii) the" or Co-Issuer, as applicable to the other of the Issuer or Co-Issuer, as applicable, the Trustee, the Agents, the Collateral Manager, the Cashflow Swap Counterparty, each Synthetic Security Counterparty, the the Holders of each Class of Notes and each of the Rating Agencies at least thirty (30) Business Days prior to such change of jurisdiction; and (iii) on or prior to the 25th Business Day following such notice the Trustee (iii) a shall not have received written notice from Holders of a Majority of the Controlling Class, the Collateral Swap Counterparty Manager, the Cashflow SWap Counterparty, any Synthetic Security Counterparty or, so long as any Notes or Income Notes are listed thereon, any stock exchange objecting to such change. Petitions for Bankruptcy. The Indenture will provide that no Secured Party may, prior to the date in which is one year and one day (or, if longer, the applicable preference period then in effect) after the is payment in full of all Securities, institute against, or join any other person in instituting against, the Issuer in in proceedings or Co-Issuer any bankruptcy, reorganization, arrangement, moratorium, liquidation or similar proceedings moratorium, under the laws of any jurisdiction. Indenture Satisfaction and Discharge of the Indenture. The Indenture will be discharged with respect to the Collateral securing the Notes upon delivery to the Note Paying Agent for cancellation all of the Notes, or, within .certain limitations (including the obligation to pay principal and interest), upon deposit with the "'{itJ:!in certain Trustee of funds sufficient for the payment or redemption thereof and the payment by the Issuers of all other amounts due under the Indenture. 80 80 Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182S4S0 MBS-E-021825450 Footnote Exhibits - Page 5540 Trustee. The Bank of New York will be the Trustee under Indenture. The Issuers and their Trustee. The Bank of New York will be the Trustee under the Indenture. The Issuers and their in the ordinary course of with the Trustee. affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. may maintain other banking The payment the and expenses the Trustee relating to Notes is the obligation of the The payment of the fees and expenses of the Trustee relating to the Notes is solely the obligation of the Trustee's Issuers. Trustee and/or its affiliates may receive compensation in connection Issuers. The Trustee and/or its affiliates may receive compensation in connection with the Trustee's investment trust assets Eligible Investments as in the Indenture and in investment of trust assets in certain Eligible Investments as provided in the Indenture and in connection lending of the the Trustee's administration any with the Trustee's administration of any securities lending activities of the Issuer. The Indenture for indemnification Trustee for any or The Indenture contains provisions for the indemnification of the Trustee for any loss, liability or expense incurred without or bad on arising out of or in expense incurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with the or administration of the Trustee be bound to connection with the acceptance or administration of the Indenture. The Trustee will not be bound to take action indemnified The Noteholders shall together. have the any action unless indemnified for such action. The Noteholders shall together. have the power, by Majority Controlling Class,? as set forth in the Indenture. exercisable by a Majority of the Controlling Class, to remove the Trustee as set forth in the Indenture. Trustee not effective of the The removal of The removal of the Trustee shall not become effective until the later of the effective date of the . the acceptance appointment the appointment appointment of a successor trustee and the acceptance of appointment by a successor trustee. If the Trustee is removed in with the Trustee is removed without cause, costs and expenses of the Trustee incurred in connection with the transfer to the Trustee the successor transfer to the successor Trustee shall be paid by the successor Trustee or the Issuer. Bank the Note Agents. The Bank of New York will be the Note Paying Agent, the Note Registrar, the Note New be Calculation under Indenture. Calculation Agent and the Note Transfer Agent under the Indenture. The Bank of New York will also be the Collateral Administrator Administration The Issuers and their the Collateral Administrator pursuant to the Collateral Administration Agreement. The Issuers and their may other in of affiliates may maintain other banking relationships in the ordinary course of business with The Bank of relating payment the? of Bank New is New York. The payment of the fees and expenses of The Bank of New York relating to the Notes is the indemnification of solely the obligation of the Issuers. The Indenture contains provisions for the indemnification of The Bank Bank misconduct, default of New York for any loss, liability or expense incurred without gross negligence, willful misconduct, default administration of the in or bad faith on its part arising out of or in connection with the acceptance or administration of the Indenture. Indenture. on any Income Notes Listing and Paying Agent. For so long as any of the Notes or the Income Notes are listed on any have Listing and stock exchange and the rules of such exchange shall so require, the Issuers will have a Listing and the Securities. The a Paying Agent and a paying agent (which shall be the "Listing and Paying Agent") for the Securities. The course in the Issuers and their affiliates may maintain other relationships in the ordinary course of business with the Paying Agent expenses of the Listing Listing and Paying Agent. The payment of the fees and expenses of the Listing and Paying Agent Indenture contains provisions for the relating to the Securities is solely the obligation of the Issuers. The Indenture contains provisions for the is without or indemnification of the Listing and Paying Agent for any loss, liability or expense incurred without parts arising out of or in connection with the negligence, willful misconduct or bad faith on their respective parts arising out of or in connection with the acceptance or administration of the Indenture. have certain rights to vote Status of the Income Notes. The Holders of the Income Notes will have certain rights to vote with Notes. Management Agreement respect.-to limited matters arising under the Indenture and the Collateral Management Agreement Indenture Under respect to Indenture. However, the modifications to including, without limitation, in connection with certain modifications to the Indenture. However, the in connection of the Collateral the Holders of the Income Notes will have no right to vote in connection with the realization of the Collateral in connection right Notes or certain other matters under the Indenture. Consolidation, Merger or Transfer of Assets. Except under the limited circumstances set forth in Transfer Assets. Except under the limited circumstances set forth in Consolidation, merge into, or transfer or convey all or the Indenture, the Issuer will not be permitted to consolidate with, merge into, or transfer or convey all or be Issuer partnership, trust or other person or other entity. substantially all of its assets to, any other corporation, partnership, trust or other person or other entity. to, in the Indenture, the Co-Issuer will not be permitted to Except under the limited circumstances set forth in the Indenture, the Co-Issuer will not be permitted to under substantially all of its assets to, any other limited consolidate with, merge into, or transfer or convey all or substantially all of its assets to, any other limited convey or or entity. other liability company, corporation, partnership, trust or other person or entity. liability company, Fiscal Agency Agreement Fiscal Agency Agreement perform various fiscal services on .. Pursuant to the Fiscal Agency Agreement, the Fiscal Agent will perform various fiscal services on the Fiscal Pursuant to the Fiscal of the Fiscal Agent is . behalf of the Holders of the Income Notes. The payment of the fees and expenses of the Fiscal Agent is of the fees and Income Notes. The Holders of behalf solely the obligation of the Issuer. The Fiscal Agency Agreement contains provisions for the Issuer. The Fiscal Agency Agreement contains provisions for the of solely 81 81 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825451 GS MBS-E-021825451 Footnote Exhibits - Page 5541 indemnification of the Fiscal Agent for any loss, liability or expense incurred without gross negligence, indemnification of the Fiscal Agent for any loss, liability or expense incurred without gross negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration of the Fiscal Agency Agreement. administration of the Fiscal Agency Agreement. Governing Law of the Indenture, the Notes, the Fiscal Agency Agreement, the Cashflow Swap Governing Law of the Indenture, the Notes, the Fiscal Agency Agreement, the Cashflow Swap Agreement, the Synthetic Securities, the Deed of Covenant, the Income Notes, the Collateral Agreement, the Synthetic Securities, the Deed of Covenant, the Income Notes, the Collateral Management Agreement and the Collateral Administration Agreement Management Agreement and the Collateral Administration Agreement The Indenture, the Notes, the Cashflow Swap Agreement, the Collateral Management Agreement The Indenture, the Notes, the Cashflow Swap Agreement, the Collateral Management Agreement and the Collateral Administration Agreement will be govemed by, and construed in accordance with, the the Collateral Administration Agreement will be governed by, and construed in accordance with. the and laws of the State of New York applicable to agreements made and to be performed therein without regard laws of the State of New York applicable to agreements made and to be performed therein without regard to the conflict of laws principles thereof. Under the Indenture, the Fiscal Agency Agreement, the to the conflict of laws principles thereof. Under the Indenture, the Fiscal Agency Agreement, the Cashflow Swap Agreement, the Collateral Management Agreement and the Collateral Administration Cashflow Swap Agreement, the Collateral Management Agreement and the Collateral Administration Agreement the as have submitted to the jurisdiction of the Agreement the Issuers, as applicable, have submitted irrevocably to the non-exclusive jurisdiction of the courts of United States of America the State of New York courts of the State of New York and courts of the State of New York and the courts of the United States of America in the State of New York purposes of hearing and determining suit, (in each sitting in the County of New York) for (in each case sitting in the County of New York) for the purposes of hearing and determining any suit, disputes out of in the the action or proceedings or settling action or proceedings or settling any disputes arising out of or in connection with the Indenture, the Notes, Agency Cashflow Swap Agreement, the Collateral Management Agreement the Fiscal Agency Agreement, the Cashflow Swap Agreement, the Collateral Management Agreement and the Administration Agreement. The Fiscal Deed of Covenant and and the Collateral Administration Agreement. The Fiscal Agency Agreement, the Deed of Covenant and Cayman the Income Notes will governed by. and in accordance with, the laws of the Income Notes will be governed by, and construed in accordance with, the laws of the Cayman Islands. Securities Form Form of the Securities The Notes. Each Class of Notes (other than the Class D Notes) sold in reliance on Rule 144A Each Notes D Notes) Rule 144A under Act more Rule 144A Global Notes and will be under the Securities Act will be represented by one or more Rule 144A Global Notes and will be deposited with The Bank of New York as custodian for DTC and registered in the name of Cede &Co., a The DTC in name Co., a deposited issued in of DTC. are Class 0 fully nominee of DTC. The Rule 144A Notes which are Class D Notes will be issued in definitive, fully Notes"). The Rule 144A Global registered form, registered in the name of the owner thereof ("Definitive Notes'1. The Rule 144A Global form. in in Notes and the Definitive Notes (and any Notes issued in exchange therefor) will be subject to certain will be subject to certain restrictions on transfer as set forth under "Notice to Investors." S will initially be on in Each Class of Notes sold in offshore transactions in reliance on Regulation S will initially be in Each Closing Temporary The Bank of represented by a Temporary Regulation S Global Note deposited on the Closing Date with The Bank of & Co., a nominee of DTC, for the New York in DTC New York as custodian for DTC and registered in the name of Cede & Co., a nominee of DTC, for the in a Temporary Regulation S respective accounts of Euroclear and Clearstream. Beneficial interests in a Temporary Regulation S Clearstream. Beneficial interests in a Temporary Global Note may be held only through Euroclear or Clearstream. Beneficial interests in a Temporary Euroclear Global interests in a permanent Regulation S Global Regulation S Global Note will be. exchanged for beneficial interests in a permanent Regulation S Global be Note S expiration of fol'm (i) Note for the related Class of Notes in definitive, fully registered form upon the later of (i) the expiration of in Note requisite certifications (in the form the Distribution Compliance Period and (ii) the first date on which the requisite certifications (in the form (ii) The Regulation S Global Note will be registered in provided in the Indenture) are provided to the Trustee. The Regulation S Global Note will be registered in provided provided in Bank of New York as custodian for the name of Cede & Co., a nominee of DTC, and deposited with The Bank of New York as custodian for deposited of & Co., a the respective accounts of the Holders of DTC for credit to the accounts of Euroclear and Clearstream for the respective accounts of the Holders of Clearstream of DTC for held only through Euroclear or such Notes. Beneficial interests in a Regulation S Global Note may be held only through Euroclear or S Global Note in a such Notes. Clearstream. Clearstream. Regulation S Global Note or a A beneficial interest in a Regulation S Global Note, a Temporary Regulation S Global Note or a Note, a S A beneficial interest in a the expiration of the Distribution Regulation S Income Note may be transferred, whether before or after the expiration of the Distribution be transferred, whether before Note Regulation S Class S Notes, the Class A Notes, the Compliance Period, to a U.S. person only, with respect to the Class S Notes, the Class A Notes, the respect to Period, a U.S. person only, interest in a Rule 144A Global Note and, a Class B Notes or the Class C Notes, in the form of a beneficial interest in a Rule 144A Global Note and, C Notes, in the Class or Class B with respect to a Regulation S Class 0 Note or a Regulation S Income Note, In the form of a Definitive D Note or a Regulation S Income Note, in the form of a Definitive respect a Regulation S Agent, in upon receipt by the Note Note or an Income Note Certificate, as applicable, and only upon receipt by the Note Transfer Agent, in Note or an Income Note Certificate, applicable, and the case of the Notes, or Fiscal Agent, in the case of the Income Notes, of a written certification from the the Notes, or Fiscal Agent, in the case the Income Notes, of a written certification from the the case of transferor (in the form provided in the Indenture, in the case of the Notes, or in the form provided-in the form provided in Indenture, in the case of the Notes, or in the form provided-in the transferor (in effect that the transfer is being made to Fiscal Agency Agreement, in the case of the Income Notes) to the effect that the transfer is being made to Income Notes) to Fiscal Agency Agreement, in case of a person the transferor reasonably believes is a Qualified Institutional Buyer and a Qualified Purchaser. a person the transferor reasonably believes is a Qualified Institutional Buyer and a Qualified Purchaser. 82 82 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825452 GS MBS-E-021825452 Footnote Exhibits - Page 5542 S S a In addition, transfers of a beneficial interest in a Regulation S Global Note or Temporary Regulation S in a Temporary In in Global Note to a person who takes delivery in the form of an interest in a Rule 144A Global Note may in a minimum denominations in occur only in denominations greater than or equal to the minimum denominations applicable to the Rule greater 144A Global Notes. 144A in A beneficial interest in a Rule 144A Global Note may be transferred to a person who takes A a a in in delivery in the form of an interest in a Temporary Regulation S Global Note or a Regulation S Global S S . Note, as the case may be, whether during or after the expiration of the Distribution Compliance Period, a only upon receipt by the Note Registrar of a written certification from the transferor (in the form provided (in in is in the Indenture) to the effect that such transfer is being made to a non U.S. Person in accordance with in Regul~tion S. Rule 903 or 904 of Regulation S. Any beneficial interest in one of the Global Notes that is transferred to the person who takes in is delivery in the form of an interest in another Global Note will, upon transfer, cease to be an interest in in in in be in accordingly, such Global Note and become an interest in the other Global Note and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to beneficial interests in such other in Global Note for as long as itremains such interest. it in Except in the limited circumstances described below, owners of beneficial interests in any Global in Note will not be entitled to receive a Definitive Note. The Notes are not issuable in bearer form. in a U.S.$250,000 (in in minimum Each Note will be issued in minimum denominations of U.S.$250,OOO (in the case of Rule 144A U.S.$100,OOO (in S in Notes) and U.S.$100,000 (in the case of Regulation S Notes) and integral multiples of U.S.$1 in excess thereof. thereof. in minimum denominations U.S.$100,000 Income The Income Notes will be issued in .minimum denominations of U.S.$100,OOO notional principal thereof. amount of Income Notes and integral multiples of U.S.$1 in excess thereof. U.S.$1 in its Global Notes. Upon the issuance of the Global Notes, DTC or its custodian will credit, on its DTC internal system, the respective aggregate original principal amount of the individual beneficial interests aggregate represented by such Global Notes to the accounts of persons who have accounts with DTC. Such accounts initially will be designated by or on behalf of the Initial Purchaser. Ownership of beneficial in DTC ("participants'') or interests in Global Notes will be limited to persons who have accounts with DTC ("participants') or in be persons who hold interests through participants. Ownership of beneficial interests in a Global Note will be shown on, and the transfer of that ownership will be effected only through, records maintained by DTC or DTC or its nominee (with respect to interests of participants) and the records of participants (with respect to to interests of persons other than participants). So long as DTC, or its nominee, is the registered owner or Holder of the Global Notes, DTC or DTC, DTC or is such nominee, as the case may be, will be considered the sole owner or Holder of each Class of the Notes represented by such Global Notes for all purposes under the Indenture and such Notes. Unless DTC DTC notifies the Issuers that it is unwilling or unable to continue as depositary for a global note or ceases it is a a in to be a "Clearing Agency" registered under the Exchange Act, owners of the beneficial interests in the Global Notes will not be entitled to have any portion of such Global Notes registered in their names, will ~otes in in be physical? not receive or be entitled to receive physical delivery of Notes in certificated form and will not be In considered to be the owners or Holders of any Notes under the Indenture. In addition, no beneficial in with owner of an Interest in the Global Notes will be able to transfer that interest except in accordance with interest in (in if DTC's applicable procedures (in addition to those under the Indenture referred to herein and, if . applicable, those of Euroclear and Clearstream). Clearstream). in a S a Investors may hold their interests in a Regulation S Global Note or a Temporary Regulation S Global Note directly through Clearstream or Euroclear, if they are participants in these systems, or direCtly or Clearstream if in indirectly-through in Clearstream Euroclear indirectly.through organizations which are participants in these systems. Clearstream and Euroclear will hold interests in the Regulation S Global Notes on behalf of their participants through their respective in depositaries, which in tum will hold the interests in the Regulation S Global Notes and Temporary S Temporary in in 83 83 Confidential Treatment Requested by Goldman Sachs Treatment GS MBS-E-021825453 MBS-E-021825453 Footnote Exhibits - Page 5543 Regulation S Global Notes in customers' securities accounts in the depositories' names on the books of Regulation S Global Notes in customers' securities accounts in the depositories' names on the books of OTC. Investors may hold their interests in a Rule 144A Global Note directly _ through OTC they are DTC. Investors may hold their interests in a Rule 144A Global Note directly. through DTC ifif they are in the system, or indirectly through organizations which are participants in the system. participantsin the system, or indirectly through organizations which are participants in the system. participants Payments of the principal of and interest on the Global Notes will be made to OTC or its nominee, Payments of the principal of and interest on the Global Notes will be made to DTC or its nominee, as the registered owner thereof. Neither the Issuers, the Trustee, the Note Registrar, the Income Note as the registered owner thereof. Neither the Issuers, the Trustee, the Note Registrar, the Income Note Registrar nor any paying agent will have any responsibility or liability for any aspect of the records relating Registrar nor any paying agent will have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in the Global Notes or for any notice to or payments made on account of beneficial ownership interests in the Global Notes or for any notice permitted or required to be given to Holders of Notes or any consent given or actions taken by OTC as permitted or required to be given to Holders of Notes or any consent given or actions taken by DTC as Holder of Notes. The Issuers expect that OTC or its nominee, upon receipt of any payment of principal or Holder of Notes. The Issuers expect that DTC or its nominee, upon receipt of any payment of principal or interest in respect of a Global Note representing any Notes held by it or its nominee, will immediately interest in respect of a Global Note representing any Notes held by it or its nominee, will immediately credit participants' accounts with payments in amounts proportionate to their respective interests in the credit participants' accounts with payments in amounts proportionate to their respective interests in the principal amount of such Global Notes as shown on the records of OTC or its nominee. The Issuers also principal amount of such Global Notes as shown on the records of DTC or its nominee. The Issuers also expect that payments by participants to owners of interests in such Global Notes held through such expect that payments by participants to owners of interests in such Global Notes held through suchparticipants will be governed by standing instructions and customary practices, as is now the case with participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. securities held for the accounts of customers registered in the names of nominees for such customers. Such payments will be the responsibility of such participants. Such payments will be the responsibility of such participants. Transfers between participants will be effected in the ordinary way in accordance with OTC rules Transfers between participants will be effected in the ordinary way in accordance with DTC rules and will be settled in same-day funds. The laws of some jurisdictions require that certain persons take will be settled in same-day funds. laws of some jurisdictions require that certain persons take and physical delivery of securities in definitive form. Consequently, the ability transfer beneficial interests in physical delivery of securities in definitive form. Consequently, the ability to transfer beneficial interests in only act on behalf of Global Notes to these persons may be limited. Because OTC Global Notes to these persons may be limited. Because DTC can only act on behalf of participants, who in turn act on behalf of indirect participants and certain banks, the ability of a person having a beneficial tum act on behalf indirect participants and of a person having a beneficial in Notes pledge interest persons do not participate in the OTC interest in interest in Global Notes to pledge its interest to persons or entities that do not participate in the DTC system, or otherwise take actions in respect of be affected by the lack of a physicalsystem, or otherwise take actions in respect of its interest, may be affected by the lack of a physical certificate of the interest. Transfers between holders in Clearstream will be certificate of the interest. Transfers between account holders in Euroclear and Clearstream will be effected in way in accordance with operating procedures. effected in the ordinary way in accordance with their respective rules and operating procedures. Subject to compliance with the transfer restrictions applicable to the Notes described above, Subject to compliance with through cross-market transfers between DTC participants, on the one hand, and, directly or indirectly through cross-market transfers between OTC in accordance with OTC in Euroclear or Clearstream account holders, on the other, will be effected in DTC in accordance with DTC Euroclear or Clearstream however, rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depositary; however, rules on behalf of Euroclear or Clearstream, to Euroclear or Clearstream, as the these cross-market transactions will require delivery of instructions to Euroclear or Clearstream, as the cross-market transactions these and within its case may be, by the counterparty in the system in accordance with its rules and procedures and within its with in counterparty in case may be, by established deadlines (Brussels time). Euroclear or Clearstream, as the case may be, will, if the may be, will, if the Clearstream, as (Brussels established deadlines respective depositary to take transaction meets its settlement requirements, deliver instructions to its respective depositary to take deliver instructions transaction meets its settlement interests in a Temporary Regulation action to effect final settlement on its behalf by delivering or receiving interests in a Temporary Regulation action to effect final settlement or receiving payment in accordance and S Global Note or a Regulation S Global Note in DTC, and making or receiving payment in accordance in S Global Note or a Regulation S Global with normal procedures for a same-day funds settlement applicable to OTC. Clearstream and Euroclear applicable to DTC. Clearstream and Euroclear a with normal procedures for Clearstream or Euroclear. account holders may not deliver instructions directly to the depositaries for Clearstream or Euroclear. instructions directly to account holders may Because of time zone differences, the securities account of a Euroclear or Clearstream Because of time zone differences, the securities account of a Euroclear or Clearstream credited during the participant purchasing an interest in a Global Note from a OTC participant will be credited during the participant purchasing an interest in a Global Note from a DTC participant will securities settlement processing day (which must be a Business Day for Eu~oclear or Clearstream, as the (which must be a Business Day for Euroclear or Clearstream, as the securities settlement processing case may be) immediately following the DTC settlement date and the credit of any transactions in DTC settlement date and the credit of any transactions in case may be) immediately following interests in a Global Note settled during the processing day will be reported to the relevant Euroclear or interests in a Global Note settled during the processing day will be reported to the relevant Euroclear or Clearstream participant on that day. Cash received in Euroclear or Clearstream as a result of sales of Clearstream participant on that day. Cash received in Euroclear or Clearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream participant to a DTC participant will be interests in a Global Note by or through a Euroclear or Clearstream participant to a DTC participant will be received with value on the OTC settlement date but will be available in the relevant Euroclear or received with value on the DTC settlement date but will be available in the relevant Euroclear or Clearstream cash account only as of the Business Day following settlement in OTC. Clearstream cash account only as of the Business Day following settlement in DTC. OTC has advised the Issuers that it will take any action permitted to be taken by a Holder of the DTC has advised the Issuers that itwill take any action permitted to be taken by a Holder of the Notes (including the presentation of the applicable Notes for exchange as described below) only at the Notes (including the presentation of the applicable Notes for exchange as described below) only at the --'---direction of one or more participants to whose account with Dle interests in a-Global Note?are-credited - -- direction of one or more participants to whose account with DTC interests in a-Global Note-are-credited and only in respect of that portion of the aggregate principal amount of the Notes as to which the and only in respect of that portion of the aggregate principal amount of the Notes as to which the participant or participants has or have given direction. participant or participants has or have given direction. 84 84 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825454 GS MBS-E-021825454 Footnote Exhibits - Page 5544 The communications DTC participants, participants to The giving of notices and other communications by DTC to participants, by participants to persons hold persons to of in persons who hold accounts with them and by such persons to Holders of beneficial interests in a Global Note governed arrangements between statutorY or regulatory requirements Note will be governed by arrangements between them, subject to any statutory or regulatory requirements as may exist from time to as may exist from time to time. DTC DTC is purpose DTC has advised the Issuers as follows: DTC is a limited purpose trust company organized member the Federal under the laws of the State of New York, a member of the Federal Reserve System, a "clearing corporation" meaning Uniform Commercial corporation" within the meaning of the Uniform Commercial Code and a "Clearing Agency" registered Section 17A DTC its pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold securities for its between participants and facilitate the clearance and settlement of securities transactions between participants in through electronic book-entry changes in accounts of its participants, thereby eliminating the need for movement Participants include physical movement of certificates. Participants include securities brokers and dealers, banks, trust Indirect companies and clearing corporations and may include certain other organizations. Indirect access to the DTC is dealers DTC system is available to others such as banks, brokers, dealers and trust companies that clear through or rindirect a or maintain a custodial relationship with a participant, either directly or indirectly ("indirect participants"). Cfearstream. Clearstream Banking, societe anonyme, was incorporated as a limited liability soci6t6 Clearstream. under Luxembourg Clearstream is societe company under luxembourg law. Clearstream is owned by Cedel International, soci6t6 anonyme, and and financial Deutsche Borse AG. 'The shareholders of these two entities are banks, securities dealers and financial The institutions. of Clearstream holds securities for its customers and facilitates the clearance and settlement of Clearstream changes in securities transactions' between Clearstream customers through electronic book-entry changes in transactions movement Clearstream accounts of Clearstream customers, thus eliminating the need for physical movement of certificates. Clearstream Clearstream provides to its customers, among other things, services for safekeeping, administration, clearance and settlement of internationally traded securities, securities lending and borrowing and in number Clearstream collateral management. Clearstream interfaces with domestic markets in a number of countries. Clearstream S.A.lN.v., operator Clearstream has established an electronic bridge with Euroclear Bank S.A./N.V., the operator of the Clearstream Euroclear System, to facilitate settlement of trades between Clearstream and Euroclear. As a registered bank in Luxembourg, Clearstream is subject to regulation by the Luxembourg in Clearstream is a financial Clearstream Commission for the Supervision of the Financial Sector. Clearstream customers are recognized financial institutions around the world, including underwriters, securities brokers and dealers, banks, trust Clearstream to companies and clearing corporations. In the United States, Clearstream customers are limited to In institutions that securities brokers and dealers and banks and may include the Initial Purchaser. Other institutions that maintain a custodial relationship with a Clearstream customer may obtain indirect access to Clearstream. a Clearstream Clearstream is an indirect participant in DTC. in DTC. Clearstream is Clearstream to held Distributions with respect to the Notes held beneficially through Clearstream will be credited to extent to in cash accounts of Clearstream customers in accordance with its rules and procedures, to the extent Clearstream received by Clearstream. securities for in The Eurocfear System. The Euroclear System was created in 1968 to hold securities for Euroclear participants of the Euroclear System and to clear and settle transactions between Euroclear participants the need through simultaneous electronic book-entry delivery against payment, thus eliminating the need for physical movement of cer:tificates and risk from lack of simultaneous transfers of securities and cash. certificates The Transactions may now be settled in many currencies, including U.S. Dollars and Japanese Yen. The. in Euroclear System provides various other services, including securities lending and borrowing and System' services, interfaces with domestic markets in several countries generally similar to the arrangements for crossin market transfers with DTC described above. DTC "Euroclear Operator"), The Euroclear System is operated by Euroclear Bank SAIN.V. (the "Euroclear Operato('), under SA.IN.V. is The System'). "Euroclear contract with Euroclear Clearance System pic, a UK corporation (the "Euroclear Clearance System'). plc, a U.K. and accounts clearance 'The Euroclear Operator conducts all operations, and all Euroclear" securities clearance accounts and securities Euroclear and all all operations, conducts Operator Euroclear The Euroclear cash accounts are accounts with the Euroclear Operator, not the Euroclear Clearance System. Operator, not the Euroclear accounts on behalf The Euroclear Clearance System establishes policy for the Euroclear System on behalf of Euroclear Euroclear establishes 85 85 Confidential Treatment Requested by Goldman Sachs Goldman Confidential GS MBS-E-021825455 GS MBS-E-021825455 Footnote Exhibits - Page 5545 participating organizations. Euroclear participants include banks (including central banks), securities Euroclear brokers and dealers and other professional financial intermediaries and may include the Initial Purchaser. a is Indirect access to the Euroclear System is also available to other firms that clear through or maintain a is Euroclear custodial relationship with a Euroclear participant, either directly or indirectly. Euroclear is an indirect in DTC. participant in DTC. Commission is The Euroclear Operator is a Belgian bank. The Belgian Banking Commission regulates and examines the Euroclear Operator. of The Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of govern the Euroclear System and applicable Belgian law govem securities clearance accounts and cash accounts with the Euroclear Operator. Specifically, these terms and conditions govern: Euroclear (a) (a) (b) (b) (c) (c) transfers of securities and cash within the Euroclear System; withdrawal of securities and cash from the Euroclear System; and receipts of payments with respect to securities in the Euroclear System. in receipts payments in a All securities in the Euroclear System are held on a fungible basis without attribution of specific Operator certificates to specific securities clearance accounts. The Euroclear Operator acts under the terms and conditions only on behalf of Euroclear participants and has no record of or relationship with persons holding securities through Euroclear participants. Distributions with respect to Notes held beneficially through Euroclear will be credited to the cash accounts of Euroclear participating organizations in accordance with the Euroclear Terms and Conditions, Euroclear in . to the extent received by the Euroclear Operator and by Euroclear. DTC, procedures in to Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to S in in facilitate transfers of interests in the Regulation S Global Notes and in the Rule 144A Global Notes among to participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to DTC, Clearstream nor perform these procedures, and the procedures may be discontinued at any time. Neither the Issuers nor DTC, the Trustee will have any responsibility for the performance by DTC, Clearstream, Euroclear or their respective participants or indirect participants of their respective obligations under the rules and and procedures governing their operations. Notes. A a Payments; Certifications by Holders of Temporary Regulation S Global Notes. A Holder of a S in a Temporary beneficial interest in a Temporary Regulation S Global Note must provide Clearstream or Euroclear, as S Clearstream as the case may be, with a certificate in the form required by the Indenture certifying that the beneficial in Indenture in is U.S. in S), and owner of the interest in such Global Note is not a U.S. Person (as defined in Regulation S), and Clearstream or Euroclear, as the case may be, must provide to the Trustee a certificate in the form in Clearstream (i) required by the Indenture prior to (i)the payment of interest or principal with respect to such Holder's Holders beneficial interest in the Temporary Regulation S Global Note and (ii) any exchange of such beneficial in S (ii) interest for a beneficial interest in a Regulation S Global Note. in S A B Individual Definitive Notes. The Class S Notes, the Class A Notes, the Class B Notes and the S Class C Notes will be initially issued in global form. The Class D Notes (other than Regulation S Class D in D S D C Notes) will be represented by one or more Definitive Notes and will be subject to certain transfer restrictions as set forth under "Notice to Investors". If DTC or any successor to DTC advises the Issuer in If DTC DTC in writing that it is at any time unwilling or unable to continue as a depositary for the reasons described in is a in "-Global Notes" and a successor depositary is not appointed by the Issuers within ninety (90) days or as as is a a result of any amendment to or change in, the laws or regulations of the Cayman Islands or the State of in, of Delaware, Delaware, as applicable, or of any authority therein or thereof having power to tax or in the interpretation in or administration of such laws or regulations which become effective on or after the Closing Date, the any is Issuers or the Note Paying Agent is or will be required to make any deduction or withholding from any payment in respect of the Notes which would nC?t be required if the Notes were in definitive form and the not if in in 86 86 Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825456 MBS-E-021825456 Footnote Exhibits - Page 5546 Issuers will issue Definitive Notes in registered form in exchange for the Regulation S Global Notes and Issuers will issue Definitive Notes in registered form in exchange for the Regulation S Global Notes and the Rule 144A Global Notes, as the case may be. Upon receipt of such notice from DTC, the Issuers will the Rule 144A Global Notes, as the case may be. Upon receipt of such notice from DTC, the Issuers will use their best efforts to make arrangements with DTC for the exchange of interests in the Global Notes use their best efforts to make arrangements with DTC for the exchange of interests in the Global Notes for individual Definitive Notes and cause the requested individual Definitive Notes to be executed and for individual Definitive Notes and cause the requested individual Definitive Notes to be executed and delivered to the Note Registrar in sufficient quantities and authenticated by or on behalf of the Note delivered to the Note Registrar in sufficient quantities and authenticated by or on behalf of the Note Transfer Agent for delivery to Holders of the Notes. Persons exchanging interests in a Global Note for Transfer Agent for delivery to Holders of the Notes. Persons exchanging interests in a Global Note for individual Definitive Notes will be required to provide to the Note. Transfer Agent, through DTC, individual Definitive Notes will be required to provide to the Note Transfer Agent, through DTC, Clearstream' or Euroclear, (i) written instructions and other information required by the Issuers and the Clearstream' or Euroclear, (i)written instructions and other information required by the Issuers and the Note Transfer Agent to complete, execute and deliver such individual Definitive Notes, (ii) in the case of Note Transfer Agent to complete, execute and deliver such individual Definitive Notes, (ii)in the case of an exchange of an interest in a Rule 144A Global Note, such certification as to Qualified Institutional an exchange of an interest in a Rule 144A Global Note, such certification as to Qualified Institutional Buyer status and that such Holder a Qualified Purchaser, as the Issuers require and (iii) in the Buyer status and that such Holder is a Qualified Purchaser, as the Issuers shall require and (iii) in the case of an exchange of an interest in Regulation S Global Note, such certification as the Issuers shall case of an exchange of an interest in a Regulation S Global Note, such certification as the Issuers shall require as to non-U.S. Person status. In all cases, individual Definitive Notes delivered in exchange for require as to non-U.S. Person status. In all cases, individual Definitive Notes delivered in exchange for Global Note or interests therein will be in the names, and issued in any Global Note or beneficial interests therein will be registered in the names, and issued in denominations in compliance with minimum denominations specified the applicable Global denominations in compliance with the minimum denominations specified for the applicable Global Notes, requested by DTC. . requested by DTC. Definitive will bear, be subject legend the in order Individual Definitive Notes will bear, and be subject to, such legend as the Issuers require in order assure compliance with Individual Definitive transferable subject to to assure compliance with any applicable law. Individual Definitive Notes will be transferable subject to the minimum denomination applicable to Rule 144A Notes and Global the minimum denomination applicable to the Rule 144A Global Notes and Regulation S Global Notes, in same the office of the or in Definitive Notes of whole or in part, and exchangeable for individual Definitive Notes of the same Class at the office of the Note Paying Agent, Note Transfer Agent or the office of any transfer agent, upon compliance with the Paying Note Transfer Agent of any transfer compliance with the requirements Indenture. Definitive Notes may through any requirements set forth in the Indenture. Individual Definitive Notes may be transferred through any any transfer upon completed assignment transfer agent upon the delivery and duly completed assignment of such Notes. Upon transfer of any in Agent in the transferee Definitive individual Definitive Note in part, the Note Transfer Agent will issue in exchange therefor to the transferee Notes in transferred the transferor one or more individual Definitive Notes in the amount being so transferred and will issue to the transferor in transferred. No charge one or more individual Definitive Notes in the remaining amount not being transferred. No service charge more any to of a sum will be imposed for any registration of transfer or exchange, but payment of a sum sufficient to cover any individual Definitive Note tax or governmental may tax or other governmental charge may be required. The Holder of a restricted individual Definitive Note Upon the legend of may may transfer such Note, subject to compliance with the provisions of the legend thereon. Upon the of replacement transfer, exchange or replacement of Notes bearing the legend, or upon specific request for removal of legend, or will refuse to remove legend a the legend on a Note, the Issuer will deliver only Notes that bear such legend, or will refuse to remove evidence, such such legend, as the case may be, unless there is delivered to the Issuer such satisfactory evidence, is Issuer that neither the by be which may include an opinion of counsel, as may reasonably be required by the Issuer that neither the compliance with the to legend nor the restrictions on transfer set forth therein are required to ensure compliance with the and interest on of provisions of the Securities Act and the Investment Company Act. Payments of principal and interest on check drawn on a by U.S. individual Definitive Notes shall be payable by the Note Paying Agents by U.S. Dollar check drawn on a transfer in thereof, by bank in the United States of America and sent by mail to the registered Holder thereof, by wire transfer in in stock exchange and immediately available funds. In addition, for so long as any Notes are listed on any stock exchange and In or exchange of individual Definitive a the rules of such exchange shall so require, in the case of a transfer or exchange of individual Definitive require, in by presenting such Notes at, and obtaining Notes, a Holder thereof may effect such transfer or exchange by presenting such Notes at, and obtaining Notes, a Agent, in the case of a transfer of a new individual Definitive Note from the office of the Usting and Paying Agent, in the case of a transfer of Listing of a Note in respect of the balance of the only a part of an individual Definitive Note, a new individual Definitive Note in respect of the balance of the Note, a a part an will be delivered at the office of principal amount of the individual Definitive Note not transferred will be delivered at the office of Note the principal mutilated or destroyed applicable stock exchange, and. in the case of a replacement of any lost, stolen, mutilated or destroyed and in the case of a replacement any applicable stock Note from the Listing a individual Definitive Notes, a Holder thereof may obtain a new individual Definitive Note from the Listing a Holder individual Definitive and Paying Agent. and Paying Class D Notes (other than The Class 0 Notes (other than Regulation S Class 0 Notes). The Class D Notes (other than Regulation S Class D (other The Class D Regulation S Class D Notes) will be represented by one or more notes in definitive form and will be more notes in definitive form and will be S Class D Notes) will be subject to certain restrictions on transfer as set forth under "Notice to Investors." as set forth under "Notice to subject to certain restrictions on The Class D Notes (other than Regulation S Class D Notes) may be transferred only upon receipt Regulation S Class D Notes) may be transferred only upon receipt D Notes The Letter to the effect by the Issuer and the Note Transfer Agent of a Class D Notes Purchase and Transfer Letter to the effect by the Issuer and the Note Transfer Agent of a Class D Notes Purchase and that the transfer is being made (i) to a Qualified Institutional Buyer that has acquired an interest in the that the transfer is being made (i) to a Qualified Institutional Buyer that has acquired an interest in the is also a Qualified Purchaser Class D Notes in a transaction meeting the requirements of Rule 144A who is also a Qualified Purchaser Class D Notes in a transaction meeting the requirements of Rule 144A 87 87 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825457 GS MBS-E-021825457 Footnote Exhibits - Page 5547 or (ii) to a non-U.S. Person in an offshore transaction complYing with Rule 903 or' Rule 904 of Regulation or (ii)to a non-U.S. Person in an offshore transaction complying with Rule 903 or Rule 904 of Regulation S. The transferee must also make certain other representations applicable to such transferee, as set S. The transferee must also make certain other representations applicable to such transferee, as set forth in the Class 0 Notes Purchase and Transfer Letter. forth in the Class D Notes Purchase and Transfer Letter. Payments on the Class 0 Notes (other than Regulation S Class 0 Notes) on any Payment Date Payments on the Class D Notes (other than Regulation S Class D Notes) on any Payment Date will be made to the person in whose name the relevant Note is registered as of the close of business 10 will be made to the person in whose name the relevant Note is registered as of the close of business 10 Business Days prior to such Payment Date. Business Days prior to such Payment Date. The Income Notes (other than the Regulation S Income Notes). The Income Notes (other than The Income Notes (other than the Regulation S Income Notes). The Income Notes (other than the Regulation S Income Notes) will be represented by one or more Income Note Certificates in definitive Regulation S Income Notes) will be represented by one or more Income Note Certificates in definitive the form and the Income Notes will be subject to certain restrictions on transfer as set forth under "Notice to form and the Income Notes will be subject to certain restrictions on transfer as set forth under "Notice to Investors." Investors." Income Notes (other than Regulation S Income Notes) may be transferred only upon receipt by Income Notes (other than Regulation S Income Notes) may be transferred only upon receipt by the Issuer and the Fiscal Agent of an Income Notes Purchase and Transfer Letter to the effect that the Issuer and the Fiscal Agent of an Income Notes Purchase and Transfer Letter to the effect that the the transfer is being made (i}(a) to a Institutional Buyer that has acquired an interest in the Income transfer is being made (i)(a) to a Qualified Institutional Buyer that has acquired an interest in the Income Notes in a transaction meeting the requirements of Rule 144A, or (b) to an Accredited Investor having a Notes in a transaction meeting the requirements of Rule 144A, or (b)to an Accredited Investor having a not than U.S.$10 million a transaction exempt from registration under the Securities net worth net worth of not less than U.S.$10 million in a transaction exempt from registration under the Securities Person in offshore transaction complying with Act, who is a Purchaser, or (ii) to a Act, who is a Qualified Purchaser, or (ii)to a non-U.S. Person in an offshore transaction complying with transferee must make certain other representations Rule 903 or 904 of Regulation S. Rule 903 or Rule 904 of Regulation S. The transferee must also make certain other representations Income and Transfer Letter. applicable such applicable to such transferee, as set forth in the Income Notes Purchase and Transfer Letter. Income Notes will minimum denominations U.S.$100,OOO notional principal The Income Notes will be issued in minimum denominations of U.S.$100,000 notional principal of U.S.$1 in thereof. Payments on the Income amount of Income Notes and integral multiples of U.S.$1 in excess thereof. Payments on the Income and integral amount of Income (other Regulation S Payment Date made to the person in whose Notes (other than Regulation S Income Notes) on any Payment Date will be made to the person in whose as of the close of business on name the Income is registered in the income note name the relevant Income Note is registered in the income note register as of the close of business on the in if such day is not a Business the first the first calendar day of the month in which such Payment Date occurs (or if such day is not a Business Day, Day). next Day, the next succeeding Business Day). PROCEEDS USE OF PROCEEDS USE are expected to equal The gross proceeds associated with the offering of the Securities are expected to equal U.S.$1,850,OOO of such gross proceeds will be approximately U.S.$1,007,169,OOO. Approximately U.S.$1,850,000 of such gross proceeds will be approximately U.S.$1,007,169,000. the offering of the Securities. In applied by the Issuer to pay upfront fees and expenses associated with the offering of the Securities. In applied the proceeds from the issuance of the addition, on the Closing Date, approximately U.S.$200,OOO of the proceeds from the issuance of the approXimately U.S.$200,000 addition, On the Closing Date or promptly Securities will be deposited into the Expense Reserve Account. On the Closing Date or promptly Securities to agreements to purchase thereafter as is consistent with customary settlement procedures, pursuant to agreements to purchase is thereafter apply the net proceeds to purchase the entered into on or before the Closing Date, the Issuer will apply the net proceeds to purchase the Issuer entered into an aggregate Principal Balance of herein Collateral Assets which are cash assets described herein having an aggregate Principal Balance of Collateral Assets Collateral and Eligible Investments of approximately U.S.$70,OOO,OOO and to purchase the Default Swap Collateral and Eligible Investments of approximately U.S.$70,000,000 the Cashflow Swap Agreement. approximately U.S.$930,OOO,OOO and will have entered into the Cashflow Swap Agreement. approximately U.S.$930,000,000 RATINGS OF THE NOTES THE NOTES Class S Notes, the Class A-1 Notes and the It is a condition to the issuance of the Notes that the Class S Notes, the Class A-1 Notes and the Notes issuance of It is a condition to Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, that the Class B Notes be rated at least Class A-2 Notes be rated "Aaa" Moody's and "AAA" by S&P, that the Class B Notes be rated at least "Aa2" by Moody's and at least "M" by S&P, that the Class C Notes be rated at least "A2" by Moody's and "Aa2" by Moody's and least "AA" by S&P, that the Class C Notes be rated at least "A2" by Moody's and at least "AU by S&P and that the Class 0 Notes be rated at least "Baa2" by Moody's and at least "BBB" by by at least "A" S&P and that the Class D Notes be rated at least "Baa2" by Moody's and at least "BBB" by sell or hold securities S&P. The Income Notes will not be rated. A rating is not a recommendation to buy, sell or hold securities not be rated. A rating is not a recommendation to S&P. The Income Notes and may be subject to revision or withdrawal at any time. revision or withdrawal at any be and may Moody's Ratings Moody's Ratings The ratings assigned to the Notes by Moody's are based upon its assessment of the probability The ratings assigned to the Notes by Moody's are based upon its assessment of the probability that the Collateral Assets will provide sufficient funds to'pay such Securities, based largely upon Moody's the Collateral Assets will provide sufficient funds to-pay such Securities, based largely upon Moody's that statistical analysis of historical default rates on debt obligations with various ratings, expected recovery statistical analysis of historical default rates on debt obligations with various ratings, expected recovery 88 88 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825458 GS MBS-E-021825458 Footnote Exhibits - Page 5548 rates on the Collateral Assets and the asset and interest coverage required for such Securities (which is rates on the Collateral Assets and the asset and interest coverage required for such Securities (which is achieved through the subordination of more junior Notes), and the diversification requirements that the achieved through the subordination of more junior Notes), and the diversification requirements that the Collateral Assets must satisfy. Collateral Assets must satisfy. Moody's rating of (i) the Class S Notes, the Class A Notes and the Class B Notes addresses the Moody's rating of (i)the Class S Notes, the Class A Notes and the Class B Notes addresses the ultimate cash receipt of all required principal payments and the timely cash receipt of all interest ultimate cash receipt of all required principal payments and the timely cash receipt of all interest payments as provided in the governing documents and (ii) the Class C Notes and the Class 0 Notes payments as provided in the governing documents and (ii) the Class C Notes and the Class D Notes addresses the ultimate cash receipt of all required interest and principal payments as provided in the addresses the ultimate cash receipt of all required interest and principal payments as provided in the governing documents. Moody's ratings are based on the expected loss posed to the Holders of the Notes governing documents. Moody's ratings are based on the expected loss posed to the Holders of the Notes to the promise of receiving the present value, calculated using a discounted rate equal to the relative to the promise of receiving the present value, calculated using a discounted rate equal to the promised interest rate of such payments. Moody's analyzes the likelihood that each debt obligation promised interest rate of such payments. Moody's analyzes the likelihood that each debt obligation included in the will default, based on historical default rates for similar debt obligations, the included in the portfolio will default, based on historical default rates for similar debt obligations, the increases as securities with lower ratings are added to the historical volatility of such default rates historical volatility of such default rates (which increases as securities with lower ratings are added to the and an additional default assumption to for future fluctuations in defaults. Moody's then portfolio) and an additional default assumption to account for future fluctuations in defaults. Moody's then credit protection necessary achieve expected loss associated with the rating determines the determines the level of credit protection necessary to achieve the expected loss associated with the rating of structured taking into account recovery of Collateral Assets and of the structured securities, taking into account the potential recovery value of the Collateral Assets and expected volatility of default rate of the portfolio based the of by issuer and the expected volatility of the default rate of the portfolio based on the level of diversification by issuer and industry. industry. In addition quantitative Moody's account qualitative features of a In addition to these quantitative tests, Moody's ratings take into account qualitative features of a transaction, the experience Collateral Manager, legal structure and the risks transaction, including the experience of the Collateral Manager, the legal structure and the risks the quality participants in transaction and other with such structure, as associated with such structure, its view as to the quality of the participants in the transaction and other factors that it deems relevant. that deems S&P Ratings S&P Ratings S&P will rate the Notes in a manner similar to the manner in which it rates other structured in manner similar manner in it rates other structured issues. The ratings assigned to the Class S Notes, the Class A Notes and the Class B Notes by S&P S Notes, Class A and the Class B Notes by S&P principal on such interest ultimate payment address the likelihood of the timely payment of interest and the ultimate payment of principal on such address Class 0 Notes by S&P address the likelihood C Notes. The ratings assigned to the Class C Notes and the Class D Notes by S&P address the likelihood payment of the following: of the ultimate payment of interest and principal on such Notes. This requires an analysis of the following: (ii) used to pay liabilities and the (i) (i) credit quality of the Collateral Assets securing the Notes; (in cash flow used to pay liabilities and the these analyses, S&P determines the Based priorities of these payments; and (iii) legal considerations. Based on these analyses, S&P determines the rating. necessary level of credit enhancement needed to achieve a desired rating. enhancement a computer model, the S&P's analysis includes the application of its proprietary default expectation computer model, the Collateral Manager), which is used to to Standard & Poor's COO Monitor (which will be provided to the Collateral Manager), which is used to (which & Poor's CDO The Standard & Poor's CDO Monitor estimate the default rate the portfolio is likely to experience. The Standard & Poor's COO Monitor is of Collateral Assets consistent with a specified calculates the projected cumUlative default rate of a pool of Collateral Assets consistent with a specified a cumulative debt default studies. The Standard & benchmark rating level based upon S&P's proprietary corporate debt default studies. The Standard & benchmark issuer or obligor, the number of issuers or Poor's COO Monitor takes into consideration the rating of each issuer or obligor, the number of issuers or consideration the CDO Monitor and the remaining weighted average maturity of each obligors, the issuer or obligor industry concentration and the remaining weighted average maturity of each of the Collateral Assets and Eligible Investments included in the portfolio. The risks posed by these included in the portfolio. The risks posed by these default level needed to achieve a variables are accounted for by effectively adjusting the necessary default level needed to achieve a effectively of defaults the portfolio must withstand. desired rating. The higher the desired rating, the higher the level of defaults the portfolio must withstand. desired rating, the rating. The higher results of Credit enhancement to support a particular rating is then provided based, in. part, on the results of provided based, in.part, rating is a Credit enhancement the Standard & Poor's COO Monitor, as well as other more qualitative considerations such as legal issues qualitative considerations such as legal issues CDO Standard & is typically provided by a combination of and management capabilities. Credit capabilities. Credit enhancement is typically provided by a combination of and overcollateralizationlsubordination, cash collateraVreserve account,excess spread/interest and overcollateralization/subordination, cash collateral/reserve account, excess spread/interest and (the "Transaction-Specific Cash Flow Model") is amortization. A transaction-specific cash flow model (the "Transaction-Specific Cash Flow Model'') is cash flow amortization. A an estimated level of default while used to evaluate the portfolio and determine whether it can withstand an estimated level of default while . it can portfolio and determine used to evaluate fully repaying the class of debt under consideration. of debt under consideration. fully repaying the class 89 89 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825459 GS MBS-E-021825459 Footnote Exhibits - Page 5549 There can be no assurance that actual loss on the Collateral Assets will not exceed those There can be no assurance that actual loss on the Collateral Assets will not exceed those assumedin the application of the Standard &Poor's CDO Monitor or that recovery rates and the timing of assumed in the application of the Standard & Poor's COO Monitor or that recovery rates and the timing of recovery with respect thereto will not differ from those assumed in the Transaction-8pecific CashFlow Flow recovery with respect thereto will not differ from those assumed in the Transaction-Specific Cash as to Model. The Issuers make no representation as to the expected rate of defaults on the portfolio or as to Model. The Issuers make no representation as to the expected rate of defaults on the portfolio or the expected timing of any defaults that may occur. the expected timing of any defaults that may occur. S&P's rating of the Notes will be established under various assumptions and scenario analyses. S&P's rating of the Notes will be established under various assumptions and scenario analyses. Therecan be no assurance, and no representation is made, that actual defaults on the Collateral Assets can be no assurance, and no representation is made, that actual defaults on the Collateral Assets There will not exceed those in S&P's analysis, or that recovery rates with respect thereto (and, consequently, will not exceed those in S&P's analysis, or that recovery rates with respect thereto (and, consequently, loss rates) will not differ from those in S&P's analysis. loss rates) will not differ from those in S&P's analysis. SECURITY FOR THE NOTES SECURITY FOR THE NOTES . Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit of the Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit of the Secured Parties (but not the Holders of the Income Notes), a first priority perfected security interest in the Secured Parties (but not the Holders of the Income Notes), a first priority perfected security interest in the Collateral (subject to the SynthetiC Security Counterparty's interest in the Default Swap Collateral), Collateral (subject to the Synthetic Security Counterparty's interest in the Default Swap Collateral), including the Collateral Assets, that is free of any adverse claim, to secure the Issuers' obligations under including the Collateral Assets, that is free of any adverse claim, to secure the Issuers' obligations under the Indenture, the Notes and the Cashflow Swap Agreement. the Indenture, the Notes and the Cashflow Swap Agreement. On the Closing Date, the Issuer expects to acquire approximately U.S.$1,OOO,000,000 in On the Closing Date, the Issuer expects to acquire approximately U.S.$1,000,000,000 in aggregate Principal Balance of Collateral Assets. The Collateral Assets are expected to consist of CDO The Collateral Assets are expected to consist of COO aggregate Principal Balance of Collateral Securities and Synthetic Securities Reference Obligations of which are COO Securities). Certain Securities and Synthetic Securities (the Reference Obligations of which are CDO Securities). Certain information with respect to the Collateral Assets and the Reference Obligations is included in Appendix B information with respect to the Collateral Assets and the Reference Obligations is included in Appendix B herein. This information. was provided by or derived from information provided by the issuers, issuers, herein. This information. was provided by or derived from information provided by the the Initial underwriters and/or the each underlying None of the Issuers, underwriters and/or the servicers for each underlying Collateral Asset. None of the Issuers, the Initial Purchaser, the Collateral Manager, the the Cashflow Swap Counterparty, the Purchaser, the Collateral Manager, the Collateral Administrator, the Cashflow Swap Counterparty, the Synthetic Security Counterparty (or any guarantor thereof), the Trustee, any of their affiliates or any party Security Counterparty any guarantor the Trustee, their affiliates or any party Synthetic on their behalf has made any independent to the accuracy and completeness of on their behalf has made any independent review or verification as to the accuracy and completeness of the information contained below. prospective must make their own evaluation the information contained below. Accordingly, prospective purchasers must make their own evaluation investment decision. information in regarding the extent to which they will rely on such information in making an investment decision. the extent to which regarding The Collateral Assets The Collateral Assets U.S.$1,000,000,000 The Collateral Assets had an aggregate Principal Balance of approximately U.S.$1,OOO,000,000 The Collateral Assets had an aggregate (the "Reference Date'). 21, (an aggregate "Collateral Asset Principal Balance") on or about March 21, 2007 (the "Reference Date"). Balance") (an aggregate "Collateral Asset Principal Balances after giving effect to their The Reference Date balances of the Collateral Assets reflect their Principal Balances after giving effect to The Reference Date balances of distributions received on March 21, 2007 and (without duplication) after application of all payments due on (without duplication) after application of all payments due on distributions received on March 21, the Collateral Assets before the Reference Date, whether or not received. However, the first distributions whether or not received. However, the first distributions the Collateral Assets before on the Collateral Assets available to make payments on the Notes will be those made from March 27, Notes will be those made from March 27, payments on on the Collateral Assets available to 2007 through the end of the first Due Period. The use of a later Reference Date would result in a lower of the first Due Period. The use a later Reference Date would result in a lower 2007 through the end and, consequently, a lower aggregate Collateral Reference Date balance for certain Collateral Assets and, consequently, a lower aggregate Collateral Reference Date balance for certain Collateral Asset Principal Balance. Unless otherwise stated herein, statistical information relating to the Collateral stated herein, statistical information relating to the Collateral Asset Principal Balance. Unless otherwise Assets is calculated on the basis of the Principal Balances of such Collateral Assets. Assets iscalculated on the basis of the Principal Balances of such Collateral Assets. For purposes of the information set forth herein, unless otherwise specified, Synthetic Securities For purposes of the information set forth herein, unless otherwise specified, Synthetic Securities included in the Collateral Assets are treated in the category in which the related Reference Obligation included in the Collateral Assets are treated in the category in which the related Reference Obligation would be treated. All of the Synthetic Securities, constituting approximately 93.00% of the Collateral would be treated. All of the Synthetic Securities, constituting approximately 93.00% of the Collateral Assets (by Principal Balance) on the Closing Date will reference Reference Obligations which are COO Assets (by Principal Balance) on the Closing Date will reference Reference Obligations which are CDO Securities. Securities. On the. Closing Date, the COO Securities and the Reference Obligations which are COO On the. Closing Date, the CDO Securities and the Reference Obligations which are CDO Securities include 56 whole and partial classes of COO Securities, representing 100% of the Principal Securities include 56 whole and partial classes of CDO Securities, representing 100% of the Principal Balance of the Collateral Assets as of the Closing Date. The following is a list of the respective. classes Balance of the Collateral Assets as of the Closing Date. The following is a list of the respective. classes and series of COO Securities included in the Collateral Assets: and series of CDO Securities included in the Collateral Assets: 90 90 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825460 GS MBS-E-02182S460 Footnote Exhibits - Page 5550 Collateral Asset Collateral Asset LOCH 2006-1A C LOCH 2006-1A C SMSTR 2005-1A B SMSTR 2005-IA B TABS 2006-5A A3 TABS 2006-5A A3 TOPG 2005-1A B TOPG 2005-1A B VRGO 2006-1 A A3 VRGO 2006-1A A3 ACABS 2005-2A A3 ACABS 2005-2A A3 OUKEF 2006-10A A3 DUKEF 2006-10A A3 GSCSF 2006-2A 0 GSCSF 2006-2A D GEMST 2005-4A C GEMST 2005-4A C PINEM 2005-A C PINEM 2005-A C RIVER 2005-1A C RIVER 2005-1A C STAK 2oo6-1A 5 STAK 2006-1A 5 VERT 2006-1A A3 VERT 2006-IA A3 OVSQ 2005-5A C DVSQ 2005-5A C CAMBR5AB CAMBR 5A B CRNMZ 2006-2A CRNMZ 2006-2A C BLHV 2005-1A BLHV 2005-IA C FTORB 200s.:1A A3L FTDRB 2005-1A A3L ICM 2005-2A C ICM 2005-2A C SCF 8AC SCF 8A C 2006-HG1A ABAC 2006-HG1A C ABAC 2oo6-HG1A 0 ABAC 2006-HGlA D TOPG 2006-2A B TOPG 2006-2A B CRNMZ CRNMZ 2006-2A C FORTS 2oo6-2A C FORTS 2006-2A C ICM 2006-3A C ICM ACABS 2006-1A A3L ACABS 2oo6-1A A3L CACOO 2006-1A C1 . CACDO 2006-1A Cl GSCSF 2006-4A A3 GSCSF INOE7 7A 0 INDE7 7A D LSTRT 2006-1A 0 LSTRT 2006-1A D TABS 2005-4A 0 TABS 2005-4A D BFCSL 2oo6-1A 0 BFCSL 2006-1A D ICM 2006-S2A A3L ICM 2006-S2A A3L SHERW 2005-2A C SHERW 2005-2A C AOROC 2005-2A C ADROC 2005-2A C GRAND 2005-1A C ORAND 2005-IA C STAK 2006-2A 5 STAK 2006-2A 5 NEPTN 2006-3A B 2006-3A B OGCDO 2006-2A C DGCDO 2006-2A C AOMSQ 2006-1A C ADMSQ 2006-1A C MNTRS 2oo6-1A C MNTRS 2006-lA C CETUS 2006-1A B CETUS 2006-IA B CETUS 2006-2A B CETUS 2006-2A B GSCSF 2oo6-1A B GSCSF 2006-1A B MKP6AC MKP 6A C SHERW 2006-3A A3 SHERW 2006-3A A3 PYXIS 2006-1A C PYXIS 2006-IA C GLCR 2006-4A C GLCR 2006-4A C MAYF 2006-1 A A3L MAYF 2006-1A A3L TRNTY 2oo5-1A B TRNTY 2005-1A B TOPG 2006-2A B TOPG 2006-2A B Principal Principal Balance Balance as 'of as of Closing Date Closing Date 12,000,000 12,000,000 10,000,000 10,000,000 20,000,000 20,000,000 15,000,000 15,000,000 15,000,000 15,000,000 18,240,508 18,240,508 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 15,000,000 15,000,000 20,000,000 20,000,000 20,000,000 20,000,000 15,000,000 15,000,000 15,000,000 15,000,000 3,000,000 . 15,000,000 15,000,000 15,000,000 15,000,000 14,782,894 6,000,000 9,000,000 9,000,000 10,000,000 17,000,000 20,000,000 20,000,000 19,939,607 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 10,000,000 10,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 ..20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 20,000,000 9,936,305 9,936,305 . 2.0,000,000 20,000,000 20,000,000 20,000,000 10,000,000 10,000,000 Percentage of Percentage of Collateral Collateral Assets Assets (by Principal (by Principal Balance) Balance) 1.20% 1.20% 1.00% 1.00% 2.00% 2.00% 1.50% 1.50% 1.50% 1.50% 1.82% 1.82% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 1.50% 1.50% 2.00% 2.00% 2.00% 2.00% 1.50% 1.50% 1.50% 1.50% 0.30% 0.30% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.48% 1.48% 0.60% 0.60% 0.90% 1.00% 1.00% 1.70% 1.70% 2.00% 2.00% 1.99% 1.99% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 1.00% 1.00% 2.00% 2.00% 2.00% 2.00%' 2.00% 2.00% 2.00% 2.00% 2.00% 2.00%' 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 0.99% 0.99% 2.00% 2.00% 2.00% 2.00% 1.00% 1.00% Ratings Ratings (Moody's/S&P) (Moody's/S&P) A2/A A2JA A3/AA3/AA2/A A2JA A3/AA3/AA2/A A2JA A3/AA3/AA2/A A2JA A2/A A2IA A2/A A2JA A2/A A2IA A2IA A2IA A2/A A2IA A2IA A2IA A2/A A2JA A3/AA3/AA2/A A2JA A2/A A2JA A2/A A2JA A2/A A2/A A2JA A2/A A2JA A3/AA2IA A2/A A2JA A2/A A2JA A2/A A2JA A2/A A2IA A2/A A2IA A21A A2JA A3/AA2/A A2JA A2/A A2JA A2/A A2JA A2/A A2/A A2JA A2/A A2IA A2/A A2JA A2/A A2JA A2IA A2IA A2/A A2JA A2/A A2JA A2/A A2JA A2/A A2IA A2/A A2JA A2/A A2IA A2/A A2JA A2/A A2JA A2A A2JA A2IA A2IA A2A A2JA A3/AA3/AA2IA A2IA Coupon Types Coupon Types UBOR01M UBOR01M synthetic spread synthetic spread LIBOR01M LlBOR01M synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread? synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread LIBORO3M LlBOR03M synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread LIBOR01M LlBOR01M LIBOR01M LlBOR01M LIBOR01M LlBOR01M synthetic spread synthetic spread synthetic spread synthetic spread spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread LIBORO3M LlBOR03M synthetic spread synthetic spread synthetic spread synthetic spread spread synthetic spread spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread 'synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread Weighted Weighted Average Average Ufe* Ufe* 6.2 6.2 7.1 7.1 6.8 6.8 7.5 7.5 6.8 6.8 9.6 9.6 6.8 6.8 5.3 5.3 5.3 5.3 4.1 4.1 6.0 6.0 8.0 8.0 6.4 6.4 7.9 7.9 7.6 7.6 6.9 6.9 6.3 6.3 6.5 6.5 6.2 6.2 6.0 6.0 6.8 6.8 6.8 6.8 7.2 7.2 6.5 6.5 5.4 5.4 6.7 6.7 7.0 7.0 7.5 7.5 6.9 5.1 6.2 6.2 6.7 6.7 7.6 7.6 6.0 6.0 6.0 6.0 5.3 5.3 7.3 7.3 7.0 7.0 5.7 5.7 6.2 6.2 6.5 6.5 6.8 6.8 6.7 6.7 6.6 6.6 6.4 6.4 6.6 6.6 6.6 6.6 6.8 6.8 4.8 4.8 6.4 6.4 8.8 8.8 7.2 7.2 91 91 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825461 GS MBS-E-02182S461 Footnote Exhibits - Page 5551 Collateral Asset Collateral Asset DVSQ 2006-6A C DVSQ 2006-6A C GSCSF 2005-1A GSCSF 2005-IA A3 BFCGE 2006-1 A BFCGE 2006-1A A3L CAMBR 7A CAMBR 7A C Principal Balance Balance as of as of Closing Date Closing Date 15,000,000 20,000,000 19,852,320 19,852,320 20,248,366 Percentage of Percentage Collateral Collateral Assets Assets (by Principal (by Principal Balance) Balance) 1.50% 1.50% 2.00% 2.00% 1.99% 1.99% 2.02% 2.02% Ratings Ratings (Moody's/S&P) (Moody's/S&P) A2/A A21A A2/A A21A A2/A A21A A21A A2/A Coupon Types Coupon Types synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread synthetic spread Weighted Weighted Average Average Ufe* Ufe* 8.2 8.2 5.3 5.3 7.0 7.0 7.9 7.9 with market convention. Such methodology may differ as between each Collateral Asset and may not reflect the actual Weighted market convention. Such may differ as between Collateral Asset and reflect the actual Weighted Ufe Asset Average Life of such Collateral Asset 7.2 synthetic spread A2/A 1.50% CRNMZ 2006-1A 15,000,000 1.50% A21A synthetic spread 7.2 15,000,000 CRNMZ 2006-1A 5 5.8 synthetic spread A2/A VERT 2006-2A A3 2.00% A21A synthetic spread 5.8 2.00% 20,000,000 VERT 2006-2A A3 * For purposes hereof, the Weighted Average Life of each Collateral Asset has been calculated Individually inaccordance For Weighted Average Ufe Collateral Asset has been calculated individually In accordance are pledged repay COO other of by such assets assets of which are pledged to repay the CDO Securities and other classes of securities issued by such COO revoMng during proceeds of the issuer. Certain of the CDO Securities provide for a revolving period during which certain proceeds of the period during underlying assets are in the COO underlying assets are reinvested in additional assets, and for a lockout period during which the CDO While the payments in limited Securities Securities will be redeemed or receive principal payments only in limited circumstances. While the in Collateral rated grade as of the CDO classes of COO Securities included in the Collateral Assets are each rated investment grade as of the in COO are and rank junior to other date date hereof, certain of the CDO Securities are subordinate in right of payment and rank junior to other COO Securities securities in same securities in the same issuance, and all of the CDO Securities are senior to other more subordinate Assets provide for the in the same Certain COO securities of the same issuance. Certain CDO Securities included in the Collateral Assets provide for the pay current interest on such classes of deferral of interest under certain circumstances and the failure to pay current interest on such classes of more senior COO Securities generally will not be an event of default so long as any more senior classes of securities CDO would it the cash flow are outstanding. The deferral of interest payments, if it occurs, would adversely affect the cash flow available to the Issuer. Each COO are debt issued Each of the CDO Securities are debt securities issued by a special purpose issuer, all of the and the Reference each of the Collateral to provisions of the various agreements pursuant to which each of the Collateral Assets and the Reference classes of which herein Obligations were issued as to the other documents referred to herein pursuant to which certain classes of Prospective investors are the Collateral Assets and the Reference Obligations were originally offered. Prospective investors are information the Collateral in strongly urged to read them in their entirety to obtain material information concerning the Collateral note, however, that, although they are Assets and the Reference Obligations. Investors should note, however, that, although they are Investors and such this Offering in substantially consistent in their overall presentation of information, this Offering Circular and such and any particular defined term should be Disclosure Documents may vary in their use of defined terms, and any particular defined term should be in Documents Notwithstanding the foregoing, none of the it read in the context of the document in which it is contained. Notwithstanding the foregoing, none of the in respective issuers of the Collateral Assets or the Reference Obligations has passed on the accuracy or of the Securities, nor way associated with the is in completeness of this Offering Circular or is in any way associated with the offering of the Securities, nor of does any such issuer make any representation or warranty as to the appropriateness of any document for make does any such any responsibility for such use. None of the use in connection with the offering of the Securities or take any responsibility for such use. None of the offering in the Collateral Administrator, or the Trustee takes Collateral Issuers, the Initial Purchaser, the Collateral Manager, the Collateral Administrator, or the Trustee takes Initial or warranty as to the accuracy or completeness of, any responsibility for, or makes any representation or warranty as to the accuracy or completeness of, any responsibility for, offerings of the Collateral Assets. any of the Disclosure Documents used in connection with the original offerings of the Collateral Assets. used in Disclosure not'purport herein does not'purport to be complete and is subject to and qualified in its entirety by reference to, the Appendix B. The information included in Appendix B to this Offering Circular and elsewhere B in B. respect to the Collateral Assets and the Reference All numerical information provided herein with respect to the Collateral Assets and the Reference information provided All as of, unless otherwise specified, the Reference Date. Obligations is provided on an approximate basis as of, unless otherwise specified, the Reference Date. an approximate Obligations is provided to the Collateral Assets and the Reference All weighted average information provided herein with respect to the Collateral Assets and the Reference average information Obligations reflects weighting by the related Reference Date Balance. Date by Collateral Assets and the Reference The information contained herein with respect to the Collateral Assets and the Reference information contained herein documents, and reports Obligations has been derived from a variety of sources including the disclosure documents, and reports been derived from a variety of sources including Obligations from and communications with the related trustee, servicer, master servicer or special servicer. The trustee, servicer, master servicer or special servicer. The with from Issuers, the Collateral Manager, the Collateral Administrator, the Initial Purchaser and the Trustee are Administrator, the Initial Purchaser and the Trustee are Issuers, the Collateral Manager, the limited in their ability to independently verify the information obtained from the above-referenced sources. the information obtained from the above-referenced sources. to independently in their 92 92 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825462 GS MBS-E-021825462 Footnote Exhibits - Page 5552 The Coverage Tests The Coverage Tests The Coverage Tests will be used primarily to determine whether interest may be paid on the The Coverage Tests will be used primarily to determine whether interest may be paid on the Class C Notes and the Class D Notes and whether Proceeds will be paid to the Holders of the Income C Notes and the Class D Notes and whether Proceeds will be paid to the Holders of the Income Class Notes, and whether Proceeds must be used to make mandatory redemptions of the Class S-2 Notes, the Notes, and whether Proceeds must be used to make mandatory redemptions of the Class S-2 Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes. See Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes. See "Description of the Securities-Principar' and "-Priority of Payments." The Coverage Tests will consist "Description of the Securities-Principal' and "-Priority of Payments." The Coverage Tests will consist of the Class NB Overcollateralization Test, the Class C Overcollateralization Test and the Class D of the Class A/B Overcollateralization Test, the Class C Overcollateralization Test and the Class D Overcollateralization Test. For purposes of the Coverage Tests, the Class A Adjusted For purposes of the Coverage Tests, the Class A Adjusted Overcollateralization Test. Overcollateralization Ratio, the Class B Adjusted Overcollateralization Ratio, the Class C Adjusted Overcollateralization Ratio, the Class B Adjusted Overcollateralization Ratio, the Class C Adjusted OvercollateralizatioilRatio and the Class D Adjusted Overcollateralization Ratio, (Q unless otherwise Overcollateralization Ratio and the Class D Adjusted Overcollateralization Ratio, (i) unless otherwise specified, a Synthetic Security shall be included as a Collateral Asset having the characteristics of the specified, a Synthetic Security shall be included as a Collateral Asset having the characteristics of the .. Reference Obligation (including, for the purposes of determining whether such Synthetic Security is a Reference Obligation (including, for the purposes of determining whether such Synthetic Security is a Defaulted Obligation) and not of the Synthetic Security; provided, that if such Synthetic Security Defaulted Obligation) and not of the Synthetic Security; provided, that if such Synthetic Security Counterparty in default under the related Synthetic Security, such Synthetic Security shall not be Counterparty is in default under the related Synthetic Security, such Synthetic Security shall not be included in the Coverage Tests or such? Synthetic Security will be treated in such a way that will satisfy the included in the Coverage Tests or such Synthetic Security will be treated in such a way that will satisfy the Rating Agency Condition and (ii) the calculation of the Class AlB Overcollateralization Ratio, the Class C Rating Agency Condition and (ii) the calculation of the Class A/B Overcollateralization Ratio, the Class C Overcollateralization Ratio on any Determination Date that Overcollateralization Ratio and the Class Overcollateralization Ratio and the Class D Overcollateralization Ratio on any Determination Date that such Coverage Test is applicable shall be made by giving effect to all payments scheduled or expected to such Coverage Test is applicable shall be made by giving effect to all payments scheduled or expected to Payment Date following such Determination Date be made pursuant to the Priority of Payments on be made pursuant to the Priority of Payments on the Payment Date following such Determination Date with certain exceptions. See "Description of the Securities-Principar' and "-Priority of Payments." For with certain exceptions. See "Description of the Securities-Principar' and "-Priority. of Payments." For purposes of each of the Class AlB Overcollateralization Test, Class Overcollateralization Test and purposes of each of the Class A/B Overcollateralization Test, the Class C Overcollateralization Test and notwithstanding the definition of Principal Balance contained the Class D Overcollateralization Test, notwithstanding the definition of Principal Balance contained Class 0 Overcollateralization the herein, the Principal Balance any security that is currently interest any herein, the Principal Balance of any security that is not currently paying cash interest (excluding any security that is, in accordance with its terms, making payments due thereon "in kind") shall be the that is, in terms, making thereon "in kind") shall be the security on it purchased by the Issuer; accreted value of such security as of accreted value of such security as of the date on which it was purchased by the Issuer; provided, that of such such accreted value shall not exceed the par amount of such security. accreted value shall not exceed such AlB Overcol/atera/ization The Class A/B Overcollateralization Test Determination Date will equal the ratio The AlB The "Class AB Overcollateralization Ratio" as of any Determination Date will equal the ratio Portfolio Collateral Balance on (expressed as a percentage) obtained by dividing (Q the Net Outstanding Portfolio Collateral Balance on a percentage) (i) (expressed as Net such Determination Date (for the purposes of such calculation, the Net Outstanding Portfolio Collateral Portfolio Collateral such Determination Investments) by (ii) the sum of the . Balance will not include Principal Proceeds held as cash and Eligible Investments) by (ii) the sum of the will not include Balance B Notes minus Principal Proceeds Aggregate Outstanding A of Aggregate Outstanding Amount cif the Class A Notes and the Class B Notes minus Principal Proceeds on the related Payment Date expected to be available prior to clause (xii) of the Priority of Payments on the related Payment Date expected to be available assuming that the Coverage Tests are satisfied. assuming that the Coverage Date on which The "Class NB Overcollateralization Test" will be satisfied on any Determination Date on which be The "Class A/B Overcollateralization AB Overcollateralization Ratio on if any Class A Notes or Class B Notes remain outstanding if the Class AlB Overcollateralization Ratio on B any Class A Notes or Class As of the Closing Date, the Class A/B such Determination Date is equal to or greater than 106.4%. As of the Closing Date, the Class AlB or greater such Determination Date is Overcollateralization Ratio is expected to be equal to 109.6%. to to be Overcollateralization Ratio is The Class C Overcol/ateralization Test The Class C Overcollateralization Test The "Class C Overcollateralization Ratio" as of any Determination Date will equal the ratio The "Class C Overcollateralization Ratio" as of any Determination Date will equal the ratio (expressed as a percentage) obtained by dividing (Q the Net Outstanding Portfolio Collateral Balance on (expressed as a percentage) obtained by dividing (i)the Net Outstanding Portfolio Collateral Balance on such Determination Date (for the purposes of such calculation, the Net Outstanding Portfolio Collateral such Determination Date (for the purposes of such calculation, the Net Outstanding Portfolio Collateral Balance will not include Principal Proceeds held as cash and Eligible Investments) by (ii) the sum of the Balance will not include Principal Proceeds held as cash and Eligible Investments) by (ii)the sum of the Aggregate Outstanding Amount of the Notes (other than ~he Class S Notes and the Class D Notes and Aggregate Outstanding Amount of the Notes (other than the Class S Notes and the Class D Notes and including Class C Deferred Interest), minus Principal Proceeds expected to be available prior to clause including Class C Deferred Interest), minus Principal Proceeds expected to be available prior to clause (xii) of the Priority of Payments on the related Payment Date assuming that the Coverage Tests are (xii) of the Priority of Payments on the related Payment Date assuming that the Coverage Tests are satisfied. satisfied. The "Class C Overcollateralization Tesf' will be satisfied on any Determination Date on which any The "Class C Overcollateralization Test" will be satisfied on any Determination Date on which any -Class C Notes remain outstanding if the Class C Overcollateralization Ratio on such Determination DateClass C Notes remain outstanding if the Class C Overcollateralization Ratio on such Determination Date is equal to or greater than 103.3%. As of the Closing Date, the Class C Overcollateralization Ratio is is equal to or greater than 103.3%. As of the Closing Date, the Class C Overcollateralization Ratio is expected to be equal to 105.5%. expected to be equal to 105.5%. 93 93 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825463 GS MBS-E-021825463 Footnote Exhibits - Page 5553 The Class D Overcol/ateralization Test D Overcollateralization the ratio Determination The "Class 0 Overcollateralization Ratio" as of any Determination Date will equal the ratio D Portfolio Collateral Balance on (i) (expressed as a percentage) obtained by dividing (Q the Net Outstanding Portfolio Collateral Balance on a Portfolio Collateral such Determination Date (for the purposes of such calculation, the Net Outstanding Portfolio Collateral (ii) Balance will not include Principal Proceeds held as cash and Eligible Investments) by (ii) the sum of the S Notes and including Class? C Aggregate Outstanding Amount of the Notes (other than the Class S Notes and including Class C Aggregate Deferred Interest and Class 0 Deferred Interest), minus Principal Proceeds expected to be available prior D Deferred to clause (xiQ of the Priority of Payments on the related Payment Date assuming that the Coverage Tests (xii) are satisfied. Determination The "Class 0 Overcollateralization Tesf' will be satisfied on any Determination Date on which any D Test" Determination Date D Class D Notes remain outstanding if the Class 0 Overcollateralization Ratio on such Determination Date if 0 D is 101.1%. is equal to or greater than 101.1 %. As of the Closing Date, the Class 0 Overcollateralization Ratio is expected to be equal to 102.2%. Disposition of COO Securities and Removal of Reference Obligations CDO Removal Reference The Collateral Assets may be retired, or in the case of a Synthetic Security, removed from the in the and reference portfolio, prior to their respective final maturities due to, among other things, the existence and frequency of exercise of any optional or mandatory redemption features of such Collateral Assets and the In Reference Obligations related thereto. In addition, pursuant to the Indenture and subject to the is the restrictions contained therein, so long as no Event of Default has occurred and is continuing, the Collateral Manager may direct the Issuer to sell Credit Risk Obligations, Defaulted Obligations or equity Defaulted securities or assign or terminate Synthetic Securities the Reference Obligations of which are Credit Risk securities termination Obligations, Defaulted Obligations or equity securities.. The assignment, termination or disposition price for any such sale or removal of a Collateral Asset will equal the fair market value of such Collateral Asset. the Collateral The fair market value of any such Collateral Asset will be the highest bid received by the Collateral parties to three independent Manager a market in Manager after attempting to solicit a bid from up to three independent third parties making a market in such? Collateral Asset, at least one of which is not from the Collateral Manager; provided that, if upon Collateral that,. if such is commercially reasonable efforts of the Collateral Manager, bids from three independent third parties making a making a market in such Collateral Asset are not available, the higher of the bids from two such third in provided, if parties may be used; provided, further that, if upon commercially reasonable efforts of the Collateral not a Manager, bids from two independent third parties making a market in such Collateral Asset are not in Collateral Manager. The proceeds from is available, one such bid may be used so long as it is not from the Collateral Manager. The proceeds from Payment any such sale of Collateral Asset will be applied as Principal Proceeds on the next succeeding Payment Date. "Credit is a in a Date.? A "Credit Risk Obligation" is a Collateral Asset and, in the case of Synthetic Securities, a any Rating (i) Reference Obligation (i) the rating of which has been downgraded, qualified or withdrawn by any Rating downgrading, Agency or has been put on "negative credit watch" or similar status for possible downgrading, "negative qualification or withdrawal from the ratings that were in place as of the date the Issuer purchased such in Manager Collateral Asset or entered into such Synthetic Security and in respect of which the Collateral Manager in believes that, since such Collateral Asset was purchased or such Synthetic Security was entered into by by in a the Issuer, it has a material risk of declining in credit quality or, with a lapse of time, a risk of becoming a it a a (ii) in Defaulted Obligation or (ii) in respect of which the Collateral Manager believes that, since such Collateral stich Collateral has material Asset was purchased or such Synthetic Security was entered into by the Issuer, it has a material risk of a declining in credit quality or, with a lapse of time, a risk of becoming a Defaulted Obligation; provided that, in if Moody's has withdrawn or reduced its long-term ratings on any of the Class S Notes, the Class A Notes S in effect on the Closing or the Class B Notes by two or more subcategories below the ratings in effect on the Closing Date B if (disregarding any withdrawal or reduction if subsequent thereto Moody's has upgraded any such reduced or withdrawn ratings to at least one subcategory below the initial long-term rating) or if Moody's has or 0 withdrawn or reduced its long-term ratings on any of the Class C Notes or the Class D Notes by three or long-term C more or more subcategories below the ratings in effect on the Closing Date (disregarding any withdrawal or in at least reduction if subsequent thereto Moody's has upgraded any such reduced or withdrawn ratings to at least if withdrawn ratings twosiJbcategories below the initial long-term rating), the initial long-term rating), (a) such Reference Obligation or Collateral Asset such Reference Asset or Collateral (a) Obligation two subcategories below has been downgraded by Moody's at least one or more rating subcategories since it was acquired by the downgraded it 94 94 Confidential Treatment Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825464 MBS-E-021825464 Footnote Exhibits - Page 5554 Issuer or placed by Moody's on watch list with negative implications since the date on which such Issuer or placed by Moody's on aawatch list with negative implications since the date on which such Reference Obligation or Collateral Asset was purchased by the Issuer, (b) the Holders of a Majority of the Reference Obligation or Collateral Asset was purchased by the Issuer, (b)the Holders of a Majority of the Controlling Class vote to waive the requirement of subclause (a) of this proviso or (c) such Reference Controlling Class vote to waive the requirement of subclause (a) of this proviso or (c) such Reference Obligationor Collateral Asset has experienced an increase in credit spread of 10% or more compared to Obligation or Collateral Asset has experienced an increase in credit spread of 10% or more compared to the credit spread at which such Reference Obligation or Collateral Asset was purchased by the Issuer, the credit spread at which such Reference Obligation or Collateral Asset was purchased by the Issuer, determined by reference to an applicable index selected by the .Collateral Manager (subject to the determined by reference to an applicable index selected by the Collateral Manager (subject to the satisfaction of the Rating Agency Condition with respect to Moody's). The proceeds from the disposition satisfaction of the Rating Agency Condition with respect to Moody's). The proceeds from the disposition of a Collateral Asset may not be reinvested in other Collateral Asset. of a Collateral Asset may not be reinvested in other Collateral Asset. The Issuer may also (i) in the case of an Auction, at the direction of the Collateral Manager, direct The Issuer may also (i) in the case of an Auction, at the direction of the Collateral Manager, direct the Trustee to sell, terminate or assign and the Trustee shall sell, terminate or assign in the manner the Trustee to sell, terminate or assign and the Trustee shall sell, terminate or assign in the manner directed by the Collateral Manager in writing, the Collateral Assets and liquidate tne remaining Collateral directed by the Collateral Manager in writing, the Collateral Assets and liquidate the remaining Collateral in connection with an Auction; provided, that the criteria for an Auction can be demonstrably met prior to in connection with an Auction; provided, that the criteria for an Auction can be demonstrably met prior to any such sale and that the expected liquidation Proceeds equal or exceed the Minimum Bid Amount; any such sale and that the expected Liquidation Proceeds equal or exceed the Minimum Bid Amount; (Ii) in the case of a Tax Redemption, at the direction, or with the consent, of the Collateral Manager on (ii) in the case of a Tax Redemption, at the direction, or with the consent, of the Collateral Manager on any Payment Date, direct the Trustee to sell, terminate or assign, and the Trustee shall sell, terminate or or any Payment Date, direct the Trustee to sell, terminate or assign, and the Trustee shall sell, terminatethe assign in the manner directed by the Collateral Manager in writing, the Collateral Assets and liquidate the in the manner directed by the Collateral Manager in writing, the Collateral Assets and liquidate assign remaining Collateral in connection with a Tax Redemption; provided that the criteria for a Tax Redemption remaining Collateral in connection with a Tax Redemption; provided that the criteria for a Tax Redemption can be demonstrably met prior to any such sale and that the expected Liquidation Proceeds equal or can be demonstrably met prior to any such sale and that the expected Liquidation Proceeds equal or exceed the Total Redemption Amount; and (iii) in the case of an Optional Redemption by Liquidation, at exceed the Total Redemption Amount; and (iii) in the case of an Optional Redemption by Liquidation, at the direction of the Collateral Manager, direct the Trustee to sell, terminate or assign and the Trustee the direction of the Collateral Manager, direct the Trustee to sell, terminate or assign and the Trustee shall sell, terminate or assign in the manner directed by the Collateral Manager in writing, the Collateral shall sell, terminate or assign in the manner directed by the Collateral Manager in writing, the Collateral Assets and liquidate the remaining Collateral in connection with Optional Redemption by Liquidation; Assets and liquidate the remaining Collateral in connection with an Optional Redemption by Liquidation; provided that the criteria for an Optional Redemption by Liquidation can be demonstrably met prior to any that the criteria for an Optional Redemption l..iquidation can be demonstrably met prior to any provided such sale and that the Proceeds or the Total Redemption Amount. such sale and that the expected Liquidation Proceeds equal or exceed the Total Redemption Amount. See "Description of the Securities-Auction," Redemption" by See "Description of the Securities-Auction," "-Tax Redemption" and "-Optional Redemption by Liquidation." Liquidation." Accounts Accounts be opened and at all times maintained Pursuant to the Indenture, the Issuer shall cause there to be opened and at all times maintained Pursuant to the Indenture, the Collateral Account, the the Collection Account, the Payment Reserye the Collection Account, the Payment Account, the Expense Reserve Account, the Collateral Account, the Replacement Account, the Cashflow Cashflow Swap Termination Receipts Account, the Cashflow Swap Replacement Account, the Cashflow Cashflow Swap Termination and the Synthetic Security Collateral Swap Collateral Account, the Default Swap Collateral Account and the Synthetic Security Collateral Swap Collateral Account, the Default be a segregated account or sub-account Account (each as hereinafter defined), each of which shall be a segregated account or sub-account Account (each as hereinafter defined), of the Trustee for the benefit of the Secured established with the Securities Intermediary in the name of the Trustee for the benefit of the Secured in established with the Securities to be maintained by the Trustee is Parties as further described in the Indenture. Each Account is required to be maintained by the Trustee Indenture. Parties as further described in or by another financial institution that is an Eligible Depositary. that isan Eligible or by another financial institution All distnbutions on the Collateral Assets and any proceeds received from the disposition of any All distributions on the Collateral Assets and any proceeds received from the disposition of any the issuance of the Notes and the Income Collateral Assets, all net proceeds from, and associated with the issuance of the Notes and the Income Collateral Assets, all net proceeds from, and associated Notes not used on the Closing Date to purchase Collateral Assets or Default Swap Collateral or to enter on the Closing Date to purchase Collateral Assets or Default Swap Collateral or to enter Notes not used into Cashflow Swap Agreement or to be deposited to the Default Swap Collateral Account, the initial into Cashflow Swap Agreement or to be deposited to the Default Swap Collateral Account, the initial Amounts payment, if any, pursuant to the Cashflow Swap Agreement, any Cashflow Swap Receipt Amounts payment, if any, pursuant to the Cashflow Swap Agreement, any Cashflow Swap Receiptfrom other received prior to a Payment Date and any other amounts transferred to the Collection Account from other received prior to a Payment Date and any other amounts transferred to the Collection Account and will Accounts as provided for in the Indenture will be remitted to an account (the "Collection Accounf') and will Accounts as provided for in the Indenture will be remitted to an account (the "Collection Account") be available, together with reinvestment earnings thereon, for application in accordance with the Priority be available, together with reinvestment earnings thereon, for application in accordance with the Priority of Payments. of Payments. On the Business Day prior to each Payment Date other than a Final Payment Date (the ''Transfer On the Business Day prior to each Payment Date other than a Final Payment Date (the "Transfer any Date"), the Trustee will deposit into a separate account (the "Payment Account") all funds (including any Date"), the Trustee will deposit into a separate account (the "Payment Account") all funds (including Due reinvestment income) in the Collection Account (to the extent received prior to the end of the related Due (to the extent received prior to the end of the related reinvestment income) in the Collection Account Period) and any Cashflow Swap Receipt Amount received on the Transfer Date related to such Payment Period) and any Cashflow Swap Receipt Amount received on the Transfer Date related to such Payment Date for application in accordance with the Priority of Payments. Date for application in accordance with the Priority of Payments. Principal Proceeds shall be deposited in the Collection Account and applied in accordance with Principal Proceeds shall be deposited in the Collection Account and applied in accordance with the Priority of Payments except as otherwise provided herein. the Priority of Payments except as otherwise provided herein. 95 95 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825465 GS MBS-E-021825465 Footnote Exhibits - Page 5555 On the Closing Date, U.S.$200,OOO from the net proceeds of the offering of the Securities will be On the Closing Date, U.S.$200,000 from the net proceeds of the offering of the Securities will be depositedby the Trustee into aasingle, segregated account established and maintained by the Trustee deposited by the Trustee into single, segregated account established and maintained by the Trustee under the Indenture (the "Expense Reserve Account"). On each Payment Date, to the extent that funds under the Indenture (the "Expense Reserve Account'). On each Payment Date, to the extent that funds are available for such purpose in accordance with and subject? to the limitations of the Priority of are available for such purpose in accordance with and subject to the limitations of the Priority of Payments, the Trustee will deposit into the Expense Reserve Account an amount from Proceedssuch such Payments, the Trustee will deposit into the Expense Reserve Account an amount from Proceeds equal that the amount on deposit in the Expense Reserve Account (after giving effect to such deposit) will that the amount on deposit in the Expense Reserve Account (after giving effect to such deposit) will equal U.S.$200,OOO. Amounts on deposit in the Expense Reserve Account may be withdrawn from timeto time U.S.$200,000. Amounts on deposit in the Expense Reserve Account may be withdrawn from time to time to pay accrued and unpaid Administrative Expenses of the Issuers. With respect to the first Payment to pay accrued and unpaid Administrative Expenses of the Issuers. With respect to the first Payment Date, funds on deposit in the Expense Reserve Account in excess of U.S.$200,OOO willbe transferred by be transferred by Date, funds on deposit in the Expense Reserve Account in excess of U.S.$200,000 will on deposit in the the Trustee to the Payment Account for application as interest proceeds. All funds on deposit in the Trustee to the Payment Account for application as interest proceeds. All funds the assets been sold or Expense Reserve Account at the time when substantially all of the Issuer's assets have been sold or Expense Reserve Account at the time when substantially all of the Issuer's Account haveapplication as otherwise disposed of will be transferred by the Trustee to the Payment Account for application as for otherwise disposed of will be transferred by the Trustee to the Payment Proceeds on the immediately succeeding Payment Date. Proceeds on the immediately succeeding Payment Date. The Synthetic Securities will require that the Issuer purchase or post Default Swap Collateral as The Synthetic Securities will require that the Issuer purchase or post Default Swap Collateral as security for its obligations under such Synthetic Security which complies with the criteria set forth in the security for its obligations under such SynthetiC Security which complies with the criteria set forth in the Indenture and the Synthetic Securities. The Default Swap Collateral shall be deposited in a segregated Indenture and the Synthetic Securities. The Default Swap Collateral shall be deposited in a segregated trust account (the "Default Swap Collateral Account"). The Default Swap Collateral Account shall be trust account (the "Default Swap Collateral Account'). The Default Swap Collateral Account shall be established in the name of the Trustee. established in the name of the Trustee. Any Cashflow Swap Collateral pledged by the Cashflow Swap Counterparty will be deposited by Any Cashflow Swap Collateral pledged by the Cashflow Swap Counterparty will be deposited by the Trustee into a segregated account (the "Cashflow Swap Collateral Account") established in the name Trustee into a segregated account (the "CashflOW Swap Collateral Account") established in the name the of the Trustee and held therein pursuant to the terms of the Cashflow Swap Agreement. of the Trustee and held therein pursuant to the terms of the Cashflow Swap Agreement. Under certain conditions described in the SynthetiC Securities, Synthetic Security Under certain conditions described in the Synthetic Securities, the Synthetic Security Counterparty may be required to post collateral ('Synthetic Security Collateral") under the terms of the may be required to post collateral C'Synthetic Collateral") under the terms of the Counterparty related Synthetic Security. The Synthetic Security Collateral pledged by Synthetic Security related Synthetic Security. The Synthetic Security Collateral pledged by such Synthetic Security Trustee into segregated "Synthetic Security Counterparty will be deposited by the Trustee into a segregated account (the "Synthetic Security will be deposited Counterparty Collateral Account") established in the name of the Trustee and held therein pursuant to the terms of the the terms of Collateral Account") established in the name of the Trustee and held therein pursuant toAccount shall the related Synthetic Security. A separate sub-account of the Synthetic Security Collateral Account shall be Security. A separate Security Collateral be related Synthetic established for each Synthetic Security Counterparty. established for each Synthetic be invested in Eligible Investments. Amounts retained in the Accounts a Amounts retained in the Accounts during a Due Period will be invested in Eligible Investments. Synthetic Securities Synthetic Securities is a summary of certain provisions of the The following description of the Synthetic Securities is a summary of certain provisions of the The following description of the and prospective investors must refer to the Synthetic Securities but does not purport to be complete and prospective investors must refer to the Synthetic Securities but does not purport Master Synthetic Securities for more detailed information. Copies of the Master Agreement and the Master Synthetic Securities for more detailed information. Copies of the Master Agreement and the Capitalized terms not otherwise defined in Confirmation will be available to investors from the Trustee. Capitalized terms not otherwise defined in Confirmation will be available to investors this section will have the meanings set forth in the Master Agreement or Master Confirmation. in the Master Agreement or Master Confirmation. this section will have the meanings set be The Synthetic Securities will be structured as "pay-as-you-go" credit default swaps and will be The Synthetic Securities will be structured as "pay-as-you-go" credit default swaps and will Border), including the documented pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Border), including the documented pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Schedule thereto (the "Master Agreement"), between the Issuer and the Synthetic Security Counterparty, Schedule thereto (the "Master Agreement"), between the Issuer and the Synthetic Security Counterparty, to each along with a confirmation (the "Master Confirmation") evidencing a transaction with respect to each along with a confirmation (the "Master Confirmation") evidencing a transaction with respect Reference Obligation referenced thereunder. thereunder. Reference Obligation referenced Each Synthetic Security will have a specified Reference Obligation Notional Amount that Each Synthetic Security will have a specified Reference Obligation Notional Amount that represents the dollar' amount of the credit exposure which the Issuer is assuming thereunder with respect represents the dollar amount of the credit exposure which the Issuer is assuming thereunder with respect Obligation to the Reference Obligation related to such Synthetic Security. The "Aggregate Reference Obligation to the Reference Obligation related to such Synthetic Security. The "Aggregate Reference Securities. of all Synthetic Amounts of all Synthetic Securities. Notional Amount" is the sum of the Reference Obligation Notional Amounts Notional Amount" is the sum of the Reference Obligation Notional On or before the Closing Date, the Issuer expects to enter into Synthetic Securities with an Aggregate On or before the Closing Date, the Issuer expects to enter into Synthetic Securities with an Aggregate Reference Obligation Notional Amount of approximately U.S.$930,OOO,OOO. After the Closing Date, in Reference Obligation Notional Amount of approximately U.S.$930,000,000. After the Closing Date, in accordance with the terms of the Master Confirmation, the Reference Obligation Notional Amount of each accordance with the terms of the Master Confirmation, the Reference Obligation Notional Amount of each Synthetic Security will be: (i) decreased on each day on which aaReference Obligation Principal Payment Synthetic Security will be: (i)decreased on each day on which Reference Obligation Principal Payment is made by an amount equal to the relevant Reference Obligation Principal Amortization Amount; (ii) is made by an amount equal to the relevant Reference Obligation Principal Amortization Amount; (ii) relevant decreased on each day on which aaFailure to Pay Principal occurs by an amount equal to the relevant decreased on each day on which Failure to Pay Principal occurs by an amount equal to the 96 96 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825466 GS MBS-E-021825466 Footnote Exhibits - Page 5556 Principal Shortfall Amount; (ii~ decreased on each day on which Writedown occurs by an amount equal Principal Shortfall Amount; (iii) decreased on each day on which aaWritedown occurs by an amount equal to the relevant Writedown Amount; (iv) increased on each day on which Writedown Reimbursement to the relevant Writedown Amount; (iv) increased on each day on which aaWritedown Reimbursement Writedown occurs by an amount equal to any Writedown Reimbursement Amount in respect of occurs by an amount equal to any Writedown Reimbursement Amount in respect of aa Writedown Reimbursement within paragraphs (ii) or (iii) of the definition of ''Writedown Reimbursement"; and (v) Reimbursement within paragraphs (ii) or (iii) of the definition of 'Writedown Reimbursement"; and (v) decreased on each Delivery Date by an amount equal to the relevant Exercise Amount mint,ls the relevant decreased on each Delivery Date by an amount equal to the relevant Exercise Amount minus the relevant amount determined pursuant to paragraph (b) under the heading, "Settlement Terms-Physical amount determined pursuant to paragraph (b) under the heading, "Settlement Terms-Physical Settlement Amount" in the Master Confirmation; provided that, in accordance with the Master with the Settlement Amount' in the Master Confirmation; provided that, in accordance be deemed Master Confirmation, any Relevant Amount is applicable, the Exercise Amount will also deemed to be Confirmation, ififany Relevant Amount is applicable, the Exercise Amount will also beAmount ifto be such decreased by such Relevant Amount (or increased by the absolute value of such Relevant decreased by such Relevant Amount (or increased by the absolute value of such Relevant Amount ifsuch Relevant Amount is negative) with effect from such Delivery Date. Relevant Amount is negative) with effect from such Delivery Date. The effective 'date of the Synthetic Securities will be the Closing Date and the Synthetic Securities The effective date of the Synthetic Securities will be the Closing Date and the Synthetic Securities will terminate by their terms on the scheduled termination date thereof referenced in the Master terminate by their terms on the scheduled termination date thereof referenced in the Master will Confirmation (the "Scheduled Termination Date") unless a Credit Event occurs with respect to a Synthetic Confirmation (the "Scheduled Termination Date") unless a Credit Event occurs with respect to a Synthetic Security and the final-physical settlement date is scheduled to occur after such date. Security and the final physical settlement date isscheduled to occur after such date. For purposes of the Coverage Tests and for purposes of determining whether a Synthetic For purposes of the Coverage Tests and for purposes of determining whether a Synthetic Security is a Defaulted Obligation or aCredit Risk Obligation, a Synthetic Security shall be included as a Security is a Defaulted Obligation or a Credit Risk Obligation, a Synthetic Security shall be included as a Collateral Asset having the characteristics of the Reference Obligation and not of the Synthetic Security; Collateral Asset having the characteristics of the Reference Obligation and not of the Synthetic Security; provided, that if such Synthetic Security Counterparty is in default under the related Synthetic Security, the provided, that if such Synthetic Security Counterparty is in default undersuch related Synthetic Security, such Synthetic Security shall not be included in the Coverage Tests or Synthetic Security will be such Synthetic Security shall not be included in the Coverage Tests or such Synthetic Security will be treated in such a way that will satisfy the Rating Agency Condition. treated in such a way that will satisfy the Rating Agency Condition. All principal payments on the Default Swap Collateral Default Swap Collateral Account will All principal payments on the Default Swap Collateral in the Default Swap Collateral Account will be invested in Eligible Investments at the direction of the Trustee until invested in Default Swap Collateral invested in Eligible Investments at the direction Trustee until invested in Default Swap Collateral be satisfying the Default Swap Collateral Eligibility Criteria the the Collateral Manager with the satisfying the Default Swap Collateral Eligibility Criteria at the direction of the Collateral Manager with the Notwithstanding the foregoing, if and so long as the as the consent of the Synthetic Security consent of the Synthetic Security Counterparty. Notwithstanding the foregoing, if and so long support unsecured, unsubordinated debt Synthetic Counterparty or the credit unsecured, unsubordinated debt rating of the Synthetic Security Counterparty or the credit support provider for the Synthetic Security Counterparty, Moody's is below "Al", "A1", provider for the Synthetic Security Counterparty, whichever is higher, assigned by Moody's is below Swap Default in the Default all principal payments on the Default all principal payments on the Default Swap Collateral and Eligible Investments in the required Swap - Collateral Account will be maintained in Cash and Eligible Investments (unless otherwise required to be Collateral Account will be maintained in (unless otherwise to be (i) payment of the Notes or other amounts in accordance with applied, in accordance with the terms of the Indenture, to either (Q payment of the Notes or other amounts applied, Protection Amounts) until such in accordance with the Priority of Payments or (ii) the payment of Credit Protection Amounts) until such (ii) in accordance with the Priority is equal time as the Balance of the Cash and Eligible Investments in the Default Swap Collateral Account is equal as the Balance of the Cash and Eligible Investments in time B Notes. Furthermore, all to the Aggregate Outstanding Amount of the Class A Notes and the Class B Notes. Furthermore, allA to the Aggregate Outstanding Amount of principal payments on the Default Swap Collateral and Eligible Investments in the Default Swap Collateral Investments in the Default Swap Collateral principal payments on the Default Swap required to be applied, in Account will be maintained in Cash and Eligible Investments (unless otherwise required to be applied, in Investments Account will be maintained in Cash payment of the Notes or other amounts in (i) accordance with the terms of the Indenture, to either (i) the payment of the Notes or other amounts in the terms the accordance with Amounts) such that the of accordance with the Priority of Payments or (ii) the payment of Credit Protection Amounts) such that the accordance with the Priority of Payments or (ii)the Balance of the Cash and Eligible Investments in the Default Swap Collateral Account is at least equal to in the Default Swap Collateral Account is at least equal to Eligible Balance of the Cash and 120% of the projected amortization of the Aggregate Reference Obligation Notional Amount for the Aggregate Reference Obligation Notional Amount for the 120% of the projected amortization following six month period (recalculated on each Determination Date). Principal Shortfall Reimbursement on each Determination Date). Principal Shortfall Reimbursement following six month period (recalculated Payment Amounts and Writedown Reimbursement Payment Amounts received by the Issuer from the Payment Amounts and Writedown Reimbursement Payment Amounts received by the Issuer from the Synthetic Security Counterparty will be deposited to the Default Swap Collateral Account. Synthetic Security Counterparty will be deposited to the Default Swap Collateral Account. Payments by the Synthetic Security Counterparty Payments by the Synthetic Security Counterparty Pursuant to the Synthetic Securities, on each Fixed Rate Payer Payment Date the Synthetic Pursuant to the Synthetic Securities, on each Fixed Rate Payer Payment Date the Synthetic Security Counterparty will make a fixed rate payment (net of any related Interest Shortfall Amounts as Security Counterparty will make a fixed rate payment (net of any related Interest Shortfall Amounts as described below and in the Master Confirmation) (the "Fixed Amounf') to the Issuer, representing the described below and in the Master Confirmation) (the "Fixed Amount") to the Issuer, representing the aggregate Fixed Amounts payable with respect to the Reference Obligation Payment Date for the related aggregate Fixed Amounts payable with respect to the Reference Obligation Payment Date for the related Fixed Rate Payer Calculation Period. The Synthetic Security Counterparty will make certain other Fixed Rate Payer Calculation Period. The Synthetic Security Counterparty will make certain other payments under the Synthetic Securities to the Issuer at the times and in the amounts described herein, payments under the Synthetic Securities to the Issuer at the times and in the amounts described herein, including any Interest Shortfall Reimbursement Payment Amounts, Write down Reimbursement Payment including any Interest Shortfall Reimbursement Payment Amounts, Writedown Reimbursement Payment Amounts and any Principal Shortfall Reimbursement Payment Amounts (together "Additional Fixed Amounts and any Principal Shortfall Reimbursement Payment Amounts (together "Additional Fixed Amounts'). In connection with any termination or assignmenfof aaSynthetic Securities, proceeds, if any, Amounts"). In connection with any termination or assignment of Synthetic Securities, proceeds, if any, from such termination or assignment will be deposited into the Default Swap Collateral Account. from such termination or assignment will be deposited into the Default Swap Collateral Account. 97 97 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825467 GS MBS-E-021825467 Footnote Exhibits - Page 5557 Upon the occurrence Interest Shortfall with respect any Reference Obligation, the Fixed Upon the occurrence of any interest Shortfall with respect to any Reference Obligation, the Fixed Amount payable under the Security by the Security Counterparty to the Issuer Amount payable under the related Synthetic Security by the Synthetic Security Counterparty to the Issuer be reduced by an amount to Interest Shortfall Payment Amount, such reduction will be reduced by an amount equal to the related Interest Shortfall Payment Amount, such reduction amount to exceed the Fixed Amount, if ''fixed cap" applicable, or such amount not to amount not to exceed the Fixed Amount, if "fixed cap" is applicable, or such reduction amount not to exceed the applicable if ''variable cap" is applicable, as described in each Synthetic Security. exceed the applicable floating cap, if"variable cap" is applicable, as described in each Synthetic Security. Interest may Interest Shortfall Payment Amount rate UBOR the rate Interest may accrue on any Interest Shortfall Payment Amount at a rate equal to LIBOR plus the fixed rate Synthetic any amount in of the Interest Shortfall as specified in the as specified in the applicable Synthetic Security. If any amount in satisfaction of the Interest Shortfall gave any Interest Shortfall Payment including interest accrued is paid which gave rise to any Interest Shortfall Payment Amount, including interest accrued thereon, is later paid respect Reference Synthetic Security Counterparty pay amount, or in with respect to a Reference Obligation, the Synthetic Security Counterparty will pay such amount, or in circumstances a portion of amount as Interest Shortfall Reimbursement. certain circumstances a portion of such amount to the Issuer as an Interest Shortfall Reimbursement. Interest Reimbursement Amounts not Interest Shortfall Interest Shortfall Reimbursement Amounts will not exceed the cumulative Interest Shortfall Amounts thereon) determined in such Obligation. (including any interest thereon) previously determined in relation to such Reference Obligation. So the the Synthetic Counterparty or guarantor So long as the long-term ratings of the Synthetic Security Counterparty or any guarantor of the Counterparty's obligation under Security are (i) Synthetic Security Counterparty's obligation under a Synthetic Security are equal to or higher than (i) if "Aa3" Moody's, is watch for downgrade) and (ii) "M-" "Aa3" Moody's "Aa3" by Moody's (and, if rated "Aa3" by Moody's, is not on watch for possible downgrade) and (ii) "AA-" byS&P rated "M-" S&P, on for possible Fixed Amount due by by S&P (and, if rated "AA-" by S&P, is not on watch for possible downgrade), the Fixed Amount due by in long-term the Security Counterparty the Synthetic Security Counterparty will be payable in arrears. However, if the long-term ratings of the Counterparty guarantor Security Synthetic Security Counterparty or any guarantor fall below any such levels, the Synthetic Security Synthetic Counterparty will be required to pay the Fixed Amount due under the Synthetic Securities in advance. required Amount in Counterparty Counterparty Amount in advance if such rating The failure of the Synthetic Security Counterparty to pay the Fixed Amount in advance if such rating under of an Synthetic levels are no longer satisfied will constitute an "event of default" under the terms of the Synthetic Counterparty "Defaulting under such Synthetic Securities with the Synthetic Security Counterparty as the sole "Defaulting Party" under such Synthetic Security. Amounts With respect to any Writedown Amount or Interest Shortfall Amounts received after the long-term after the long-term Security Counterparty "AA-" Counterparty rating of the Synthetic Security Counterparty is below "M-" by S&P, the Synthetic Security Counterparty Reserve Amount Interest will be required to reserve the related Writedown Reserve Amount and Interest Shortfall Reserve Amount of the Synthetic with in Security Counterparty in in the Synthetic Security Counterparty Collateral Account in accordance with the terms of the Synthetic Securities. Payments by the Issuer Issuer to Under the Synthetic Securities, the Issuer will be required to pay certain Floating Amounts to the to a Event with a Synthetic Security Counterparty following the occurrence of a Floating Amount Event with respect to a the Synthetic Security Reference Obligation as described herein. The Issuer will pay Floating Amounts to the Synthetic Security the occurrence of a Floating Counterparty Counterparty on the Floating Rate Payer Payment Date following the occurrence of a Floating Amount Event with respect to the related Reference Obligation. Reference the Synthetic a Following the occurrence of a Credit Event with respect to a Reference Obligation, the Synthetic a Issuer, in to a Deliverable Security Counterparty may deliver such Reference Obligation as a Deliverable Obligation to the Issuer, in Security Counterparty an amount (a "Physical exchange for which the Issuer will pay to the Synthetic Security Counterparty an amount (a "Physical in accordance with the related Synthetic Security Settlement Amount"), which amount shall be calculated in accordance with the related Synthetic Security Counterparty may elect to and paid on the related Physical Settlement Date. The Synthetic Security Counterparty may elect to Synthetic Physical case, there may be more than one Physical in in physically settle a Synthetic Security only in part, in which case, there may be more than one Physical a physically Synthetic Security. Settlement Amount payable by the Issuer with respect to such Synthetic Security. the to be a Collateral Asset and be the Any Deliverable Obligation delivered to the Issuer will be deemed to be a Collateral Asset and Manager without regard to of may be retained or sold by the Issuer at the sole discretion of the Collateral Manager without regard to Issuer the by retained permitted as a sale of a Defaulted Obligation or a Credit Risk Obligation. whether such sale would be permitted as a sale of a Defaulted Obligation or a Credit Risk Obligation. whether into the Default Swap Collateral Account net The proceeds of such sale will be deposited by the Trustee into the Default Swap Collateral Account net by the thereon. In addition, any principal proceeds or of purchased accrued interest or interest payments thereon. In addition, any principal proceeds or accrued interest Trustee into interest received on such Deliverable Obligations prior to such sale, will be deposited by the Trustee into such sale, will deposited received such Deliverable the Collateral Account. Account. In connection with any early termination or assignment of a Synthetic Security, the Issuer may with any early termination or assignment a Synthetic Security, the Issuer may In owe a Synthetic Security Termination Payment. Synthetic Security Termination Payments will generally Security Termination Payments will generally Payment. a Synthetic Security Payment; provided that Defaulted Synthetic Security be paid directly and outside of the Priority of Payment; provided that Defaulted Synthetic Security the Priority and be paid Priority of Payments. Termination Payments will be paid in accordance with the Priority of Payments. Payments will paid in accordance with 9B 96 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825468 GS MBS-E-021825468 Footnote Exhibits - Page 5558 The obligations of the Issuer to make payments under a Synthetic Security will exist irrespective The obligations of the Issuer to make payments under a Synthetic Security will exist irrespective of whether the Synthetic Security Counterparty suffers a loss on the related Reference Obligation upon of whether the Synthetic Security Counterparty suffers a loss on the related Reference Obligation upon the occurrence of a Credit Event. The Issuer will have no rights of subrogation under the Synthetic the occurrence of a Credit Event. The Issuer will have no rights of subrogation under the Synthetic Securities. Securities. Credit Events and Floating Amount Events Credit Events and Floating Amount Events . A Credit Event with respect to any Synthetic Security and a Reference Obligation means the A Credit Event with respect to any Synthetic Security and a Reference Obligation means the occurrence of any of the events specified in the Master Confirmation as a Credit Event on or before the occurrence of any of the events specified in the Master Confirmation as a Credit Event on or before the scheduled termination date for such Synthetic Security. The Credit Events are expected to be Failure to scheduled termination date for such Synthetic Security. The Credit Events are expected to be Failure to Pay Principal, Writedown, Distressed Ratings Downgrade and Failure to Pay Interest. In addition to Pay Principal, Writedown, Distressed Ratings Downgrade and Failure to Pay Interest. In addition to Credit Events which may trigger physical settlement, the Synthetic Securities will require the Issuer to pay Credit Events which may trigger physical settlement, the Synthetic Securities will require the Issuer to pay to the Synthetic Security Counterparty Floating Amounts in connection with the occurrence of Floating to the Synthetic Security Counterparty Floating Amounts in connection with the occurrence of Floating Amount Events, which are expected to be Failure to Pay Principal, Writedown and Interest Shortfall. Amount Events, which are expected to be Failure to Pay Principal, Writedown and Interest Shortfall. Failure to Pay Principal and Writedown are Floating Amount Events as well as Credit Events. Interest Failure to Pay Principal and Writedown are Floating Amount Events as well as Credit Events. Interest Shortfall is only a Floating Amount Event. The Master Confirmation may alter the standard definitions of Shortfall is only a Floating Amount Event. The Master Confirmation may alter the standard definitions of such terms and the actual Synthetic Securities should be consulted for the details of the Credit Events such terms and the actual Synthetic Securities should be consulted for the details of the Credit Events applicable thereto. The capitalized terms used this section and not otherwise defined, have the applicable thereto. The capitalized terms used in this section and not otherwise defined, have the meanings set forth the related Synthetic Securities. meanings set forth in the related Synthetic Securities. A "Credit Evenf' is the occurrence of of the following (however cause~, directly or indirectly), A "Credit Event" is the occurrence of any of the following (however caused, directly or indirectly), as applicable: as applicable: (i) Failure to Pay Principal Failure to Pay Principal (i) "Failure to Principal" means (i) Reference Obligor Insurer) to pay an "Failure to Pay Principal" means (i)a failure by the Reference Obligor (or any Insurer) to pay an Expected Principal Amount on the Final Amortization Date or the Legal Final Maturity Date, as the case Amortization Date Maturity Date, as the case Expected Principal Amount on the may be or (ii) payment any that is less than the Expected may be or (ii) payment on any such day of an Actual Principal Amount that is less than the Expected failure any Insurer) to pay any such Principal Amount; provided that the failure by the Reference Obligor (or any Insurer) to pay any such Principal Amount; amount in respect of principal in accordance with the foregoing shall not constitute a Failure to Pay in constitute a Failure to Pay in respect amount Principal if such failure has been remedied within any grace period applicable to such payment obligation grace period applicable to such payment obligation Principal if such failure has is applicable, within three Business Days under the underlying under the underlying instruments or, if no such grace period is applicable, within three Business Days to be paid. after the day on which the Expected Principal Amount was scheduled to be paid. after the day on which (ii) (ii) Writedown Effective Date of: (i)(A) a "Write down" means the occurrence at any time on or after the Effective Date of: (i}(A) a "Writedown" means the instruments) resulting in a reduction in the writedown or applied loss (however described in the underlying instruments) resutting in a reduction in the in or applied writedown Outstanding Principal Amount (other than as a result of a scheduled or unscheduled payment of of a scheduled or unscheduled payment of as a Outstanding Principal Amount or realized loss (howsoever described in the principal); or (B) the attribution of a principal deficiency or realized loss (howsoever described in the a principal); or (B) the attribution underlying instruments) to the Reference Obligation resulting in a reduction of the current interest payable in a reduction of the current interest payable Obligation underlying instruments) to the on the Reference Obligation; (ii) the forgiveness of any amount of principal by the holders of the of any amount of principal by the holders of the on the Reference Obligation; (ii) Reference Obligation pursuant to an amendment to the underlying instruments resulting in a reduction in Reference Obligation pursuant to an amendment the underlying instruments resulting in a reduction in the Outstanding Principal Amount; or (iii) if the underlying instruments do not provide for writedowns, (iii) if the underlying instruments do not provide for writedowns, the Outstanding Principal Amount; applied losses, prinCipal deficiencies or realized losses as described in (i) above to occur in respect of the deficiencies or realized losses as described in (i)above to occur in respect of the applied losses, principal Reference Obligation, an Implied Writedown Amount (if Implied Writedown Amounts are applicable to the Reference Obligation, an Implied Writedown Amount (if Implied Writedown Amounts are applicable to the related Synthetic Security) being determined in respect of the Reference Obligation by the Calculation related Synthetic Security) being determined in respect of the Reference Obligation by the Calculation Agent. Agent. (iii) (iii) Distressed Ratings Downgrade: Distressed Ratings Downgrade: "Distressed Ratings Downgrade" means, with respect to a Reference Obligation: "Distressed Ratings Downgrade" means, with respect to a Reference Obligation: (i) if publicly rated by Moody's, (A) is downgraded to "Caa2" or below by Moody's or (B) has ifpublicly rated by Moody's, (A)is downgraded to "Caa2" or below by Moody's or (B) has (i) the rating assigned to it by Moody's withdrawn and, in either case, not reinstated within five Business rating assigned to it by Moody's withdrawn and, in either case, not reinstated within five Business the Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public Days of such downgrade or withdrawal; provided that ifsuch Reference Obligation was assigned a public rating of at least "Baa3" or higher by Moody's?immediately prior to the occurrence of such withdrawal, it rating of at least "Baa3" or higher by Moody's immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "Caa1" by Moody's within three calendar months after such withdraWal; or rating of at least "Caal" by Moody's within three calendar months after such withdrawal; or 99 99 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825469 GS MBS-E-021825469 Footnote Exhibits - Page 5559 (iQ if (A) is downgraded "ccc" rated by Standard & ifpublicly rated by Standard & Poor's, (A) is downgraded to "CCC" or below by Standard (ii) & Poor's or (B) has the rating assigned to it by Standard & PoOr's withdrawn and, in either case, not & & Poor's in or (B) the it reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference reinstated Business Days downgrade withdrawal; that if such Reference Obligation was assigned a public rating of at least "BBB-" or higher by Standard & Poor's immediately a public rating of Standard & Poor's immediately "BBB-" or higher prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade ifsuch the occurrence of such withdrawal, it shall Ratings Downgrade if a Reference Obligation is assigned a public rating of at least "CCC+" by Standard & Poor's within three Obligation is a rating at least "CCC+" by within & calendar months after such withdrawal; or months such or (iii) if by Fitch, (A)is downgraded to "CCC') below by Fitch (B) the (iiQ if publicly rated by Fitch, (A) is downgraded to "CCC'1 or below by Fitch or (B) has the rating assigned to it by Fitch withdrawn and, in either case, not reinstated within five Business Days of assigned to it by withdrawn in either five Business of a such Reference Obligation was such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of downgrade of at least "BBB-" or higher by immediately prior the of withdrawal, it shall not at least "BBB-'; or higher by Fitch immediately prior to the occurrence of such withdrawal, it shall not rating of at Reference Obligation is assigned a constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at a Distressed Ratings Downgrade least "CCC+" Fitch three calendar months after such withdrawal. least "CCC+" by Fitch within three calendar months after such withdrawal. (iv) (iv) Failure to Pay Interest: Failure to Pay Interest: with Obligation, the of an "Failure to Pay Interest" "Failure to Pay Interesr means, with respect to a Reference Obligation, the occurrence of an a Interest Amount or on a cumulative basis) in excess Interest Shortfall Amount or Interest Shortfall Amounts (calculated on a cumulative basis) in excess of the relevant Payment Requirement. Requirement. "Fixed Implied Writedown will be applicable with respect to certain Reference Obligations where "Fixed Writedown be with respect to Reference COO Securities Cap" is applicable under the Master Confirmation. Because most CDO Securities do not experience is the Master Confirmation. Because experience a modified form of actual writedowns, the Master Confirmation has a modified form of Implied Writedown applicable to CDO Master Confirmation COO agent Synthetic acting in role as whereby Securities, whereby the Synthetic Security Counterparty, acting in its role as calculation agent thereunder, will be required to determine the Implied Writedown Amount by reference to the reported determine the will Amount reference the reported ifthe servicer report for the Obligation; overcollateralization ratio in the servicer report for the Reference Obligation; provided, however, that if the ratio in overcollateralization ratio for the Reference Obligation is not reported there, the Synthetic Security the Reference is reported the Security set forth in the Counterparty in capacity as calculation agent may use other amounts, the Counterparty in its capacity as calculation agent may use other amounts, to the extent set forth in the servicer report, to determine an overcollateralization ratio. The overcollateralization ratio in the servicer determine ratio. The ratio in the servicer "haircuts" on assets provided in the Underlying Instruments for report generally take account report generally will take into account the "haircuts" on assets provided in the Underlying Instruments for assets that have been downgraded, have "PIKed," have the Reference Obligation (for example, on assets that have been downgraded, have "PIKed," have Reference Obligation defaulted or were purchased at a discount), which will make an Implied Writedown more likely to occur on an Writedown likely occur on the Reference Obligation. . settled respect a Distressed Ratings Downgrade and Credit Events must be physically settled with respect to a Distressed Ratings Downgrade and Credit Events must be Failure to Pay . Interest; provided, however, that if the Reference Obligation is a PIKable Reference Failure to Pay however, Obligation is a PIKabie Reference a period at least 360 calendar days have Obligation, it be a condition to physical Obligation, it will be a condition to physical settlement that a period of at least 360 calendar days have elapsed occurrence Failure to Pay Interest the relevant elapsed since the occurrence of the Failure to Pay Interest without reimbursement in full of the relevant reimbursement in Interest Shortfall. In the case of a Writedown or a Failure to Pay Principal, the Synthetic Security In of a Writedown a Failure to Pay Principal, Synthetic than physical Payment from the Issuer may receive a Counterparty may elect to receive a Floating Amount Payment from the Issuer rather than physical settlement. Multiple Credit Event may delivered with respect each Synthetic Security. settlement. Multiple Credit Event notices may be delivered with respect to each Synthetic Security. The Synthetic Security Counterparty will be required to reimburse the Issuer for all or part of any Synthetic Security Counterparty will be required to reimburse Issuer all or part of any Reference Obligor to Floating Amount Payment if a corresponding payment has been made by the Reference Obligor to Payment if a corresponding payment has been made holders of the related Reference Obligation within one year after the earlier of (i) the legal final maturity (i) of Obligation within such Security, as set forth in such date of the Reference Obligation underlying such Synthetic Security, as set forth in such Synthetic Reference Security, and (ii) the related Final Amortization Date. However, in the case of an Interest Shortfall and (ii) Date. Shortfall in Reimbursement to Synthetic the Synthetic Security Reimbursement with respect to a Synthetic Security, the Synthetic Security Counterparty generally will be will be entitled to receive recovery of any portion of an Interest Shortfall under such Synthetic Security for which receive recovery of an Interest Shortfall under such Security for which it was not compensated by the Issuer before it makes any payment to the Issuer in respect of an Interest in respect it not compensated by the before makes payment an Interest Shortfall Reimbursement. Shortfall Reimbursement. Synthetic Security Early Termination the Securities upon The Issuer will have right to The Issuer will have the right to terminate the Synthetic Securities upon the occurrence of an an the EVent," -including,? not limited "Event of Default" or (a) "Event of Default" or "Termination ?Event;" -including, but nor limited to, (a) payment defaults by the Synthetic Security Counterparty and any guarantor lasting a period of at least three local business days, a business days, 100 100 Confidential Treatment Requested by Goldman Sachs Treatment MBS-E-021825470 GS MBS-E-021825470 Footnote Exhibits - Page 5560 as (b) default by the Synthetic Security Counterparty or any guarantor on specific financial transactions (b)aadefault by the Synthetic Security Counterparty or any guarantor on specific financial transactions as specifiedin the Synthetic Security, (c) bankruptcy-related events applicable to the Synthetic Security in the Synthetic Security, (c) bankruptcy-related events applicable to the Synthetic Security specified Collateral Counterparty or any guarantor, (d) any redemption of the Notes in whole, (e) liquidation of the Collateral Counterparty or any guarantor, (d)any redemption of the Notes in whole, (e)aaliquidation of the the Issuer followingthe occurrence of an Event of Default under the Indenture, (f) it becomes unlawful for the Issuer the occurrence of an Event of Default under the Indenture, (f) it becomes unlawful for following to perform its obligations under the Synthetic Securities and the Issuer is not able to transfer its its to perform its obligations under the Synthetic Securities and the Issuer is not able to transfer to ceases obligations to different jurisdiction or substitute another entity in its place so thatsuch illegality obligations to aadifferent jurisdiction or substitute another entity in its place so that asuchillegality ceases to apply, (g) because of (x) any action taken by a taxing authority, or brought in acourt, on or after the court, on or after apply, (g)because of (x) any action taken by a taxing authority, or brought inIssuer will be required the ClosingDate or (y)a change in tax law, there is a substantial likelihood that the Issuer will be requiredto to Closing Date or (y) a change in tax law, there is a substantial likelihood that the (1) make a "gross-up" payment or (2) receive a payment subject to withholding for which another party is (1) make a "gross-up" payment or (2) receive a payment subject to withholding for which another party is not required. to make a "gross-up" payment or (h) the unsecured, unsubordinated debt rating ofthe not required to make a "gross-up" payment or (h) the unsecured, unsubordinated debt rating of the is Synthetic Security Counterparty or any guarantor of the Synthetic Security Counterparty, whichever is Synthetic Security Counterparty or any guarantor of the Synthetic Security Counterparty, whicheveror higher,assigned by S&P or Moody's at any time falls below "AA-" (or ison downgrade watch at "AA-") or assigned by S&P or Moody's at any time falls below "AA-" (or is on downgrade watch at "AA-") higher, "Aa3" (or is on downgrade watch at "Aa3"), the Synthetic Security Counterparty fails to make an Expected "Aa3" (or ison downgrade watch at "Aa3"), the Synthetic Security Counterparty fails to make an Expected its Fixed Amount as set forth in the Synthetic Securities and the Synthetic Security Counterparty, or its Fixed Amount as set forth in the Synthetic Securities and the Synthetic Security Counterparty, or to guarantor, fails to either (a) transfer all of its rights and obligations under the Synthetic Securities to fails to either (a) transfer all of its rights and obligations under the Synthetic Securities guarantor, another entity which has such ratings or (b) cause an entity which has such ratings to guarantee orto another entity which has such ratings or (b)cause an entity which has such ratings to guarantee or to provide an indemnity in respect of the Synthetic Security Counterparty's or its guarantor's, obligations provide an indemnity in respect of the Synthetic Security Counterparty's or its guarantor's, obligations under the Synthetic Securities which satisfies the Rating Agency Condition. under the Synthetic Securities which satisfies the Rating Agency Condition. The Synthetic Security Counterparty will have the right to terminate the Synthetic Securities upon The Synthetic Security Counterparty will have the right to terminate the Synthetic Securities upon the occurrence of an "Event of Default" or "Termination Event" under the Synthetic Securities, including, including, the occurrence of an "Event of Default' or "Termination Event" under the Synthetic Securities, the Issuer but not limited to (a) an Event of Default under the Indenture caused by a payment default by the Issuer not limited to (a) an Event of Default under the Indenture caused by a payment default by but lasting a period of at least three local business days, (b) any redemption of the Notes in whole, (c) in whole, (c) lasting a period of at least three local business days, (b) any redemption of the NotesIndenture that that bankruptcy-related events applicable to the (d) an Event of Default under the bankruptcy-related events applicable to the Issuer, (d) an Event of Default under the Indenture of a occurs and is continuing and there has been a liquidation (in whole), or the commencement of a and is continuing there has liquidation (in whole), or the commencement occurs liquidation (in whole) of the assets of the Issuer, (e) the Indenture supplemented or amended without without liquidation (inwhole) of the assets of the Issuer, (e)the Indenture is supplemented or amended Security the consent of the Synthetic Security Counterparty as described therein, (f) the Synthetic Security consent of the Synthetic Security Counterparty described (f) the Synthetic the Cotinterparty is no longer a Party under Indenture or the Trustee's security interest in the Counterparty is no longer a Secured Party under the Indenture or the Trustee's security interest in the Default Swap Collateral or the Default Swap Collateral Account is impaired or no longer existing, (g) it Swap Collateral or the Default Swap Collateral Account is impaired (g) it Default becomes unlawful for the Synthetic Security Counterparty to perform its obligations under the Synthetic perform its obligations under the Synthetic unlawful for the Synthetic becomes a different transfer its obligations to a different Securities and the Synthetic Security Counterparty is Securities and the Synthetic Security Counterparty is not able to transfer its obligations to because jurisdiction or substitute another entity in its place so that such illegality ceases to apply, or (h)because of substitute another entity in its ceases to apply, or (h) of jurisdiction or Date or (y) a (x) any action taken by a taxing authority, or brought in a court, on or after the Closing Date or (y) a any action taken by a taxing authority, or brought in a court, (x) Synthetic Security Counterparty will be change in tax law, there is a substantial likelihood that the Synthetic Security Counterparty will be change in tax law, there is a substantial a payment subject to withholding for which required to make (1) a "gross-up" payment or (2) receive a payment subject to withholding for which (2) required to make (1) a "gross-up" payment Securities are terminated, another party is not required to make a "gross-up" payment. If the Synthetic Securities are terminated, If another party is not required to make a "gross-up" and will likely not the Issuer will no longer receive payments from the Synthetic Security Counterparty and will likely not no longer receive payments from the Issuer will Notes and may not have sufficient funds to have sufficient funds to make payments when due on the Notes and may not have sufficient funds to have sufficient funds to make payments when due on redeem the Notes in full. redeem the Notes in full. Condition prior to any (i) replacement of the The Issuer is required to satisfy the Rating Agency Condition prior to any (i) replacement of the The Issuer is required to satisfy the Rating Synthetic Security Counterparty or (ii) assignment of the Synthetic Securities. or (ii) assignment of the Synthetic Securities. Synthetic Security Counterparty If an Event of Default or a Termination Event occurs under the Synthetic Securities "Market If an Event of Default or a Termination Event occurs under the Synthetic Securities "Market Quotation" and "Second Method" will apply as set forth in the Synthetic Securities. Quotation" and "Second Method" will apply as set forth in the Synthetic Securities. Payments on Synthetic Security Early Termination Payments on Synthetic Security Early Termination Payments by the Issuer. Upon the occurrence of an early termination of a Synthetic Security, the Payments by the Issuer. Upon the occurrence of an early termination of a Synthetic Security, the Issuer will be required to pay to the Synthetic Security Counterparty the following amounts: Issuer will be required to pay to the Synthetic Security Counterparty the following amounts: (i) any PhYSical Settlement Amounts owed by the Issuer to the Synthetic Security any Physical Settlement Amounts owed by the Issuer to the Synthetic Security (i) Counterparty for any Credit Events that occur on or prior to the terminatipn date of the Synthetic Counterparty for any Credit Events that occur on or prior to the termination date of the Synthetic Securities for which the Conditions to Settlement have been satisfied; and Securities for which the Conditions to Settlement have been satisfied; and (ii) (ii) any Synthetic Security Termination Payment due to the Synthetic Security Counterparty. any Synthetic Security Termination Payment due to the Synthetic Security Counterparty. 101 101 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825471 GS MBS-E-02182S471 Footnote Exhibits - Page 5561 Payments by the Synthetic Security Counterparty. Upon the occurrence of an earty termination of Payments by the Synthetic Security Counterparty. Upon the occurrence of an early termination of a Synthetic Security, the Synthetic Security Counterparty will be required to pay to the Issuer the following a Synthetic Security, the Synthetic Security Counterparty will be required to pay to the issuer the following amounts: amounts: (i) any accrued but unpaid Fixed Amounts and Additional Fixed Amounts; and (i) . any accrued but unpaid Fixed Amounts and Additional Fixed Amounts; and any Synthetic Security Termination Payment due to the Issuer. any Synthetic Security Termination Payment due to the Issuer. There can be no assurance that, upon early termination by the Issuer or the Synthetic Security There can be no assurance that, upon early termination by the Issuer or the Synthetic Security . Counterparty, either the Synthetic Security Counterparty would be required to make any termination Counterparty, either the Synthetic Security Counterparty would be required to make any termination payment to the Issuer or, if it did make such a payment, the amount of the termination payment made by payment to the Issuer or, ifitdid make such a payment, the amount of the termination payment made by the Synthetic Security Counterparty would be sufficient to pay any amounts due in respect of the Notes. the Synthetic Security Counterparty would be sufficient to pay any amounts due in respect of the Notes. If the Issuer is required to make a Synthetic Security Termination Payment, such termination payment If the Issuer is required to make a Synthetic Security Termination Payment, such termination payment may be substantial and may result in losses to the holders of the Notes. may be substantial and may result in losses to the holders of the Notes. (ii) (ii) Amendment Amendment The Synthetic Securities may be amended only with (Q the satisfaction of the Rating Agency The Synthetic Securities may be amended only with (i) the satisfaction of the Rating Agency Condition and (Ii) the consent of the Collateral Manager {which consent shall not be unreasonably Condition and (ii) the consent of the Collateral Manager (which consent shall not be unreasonably withheld); provided however, that with respect to (i), such condition need not be satisfied with respect to withheld); provided however, that with respect to (i),such condition need not be satisfied with respect to any amendment that manifest any amendment that corrects a manifest error. Guarantee Guarantee The Group will guarantee obligations of Synthetic Security Counterparty under the The GS Group will guarantee the obligations of the Synthetic Security Counterparty under the Synthetic Security. Synthetic Security. Counterparty The Synthetic The Synthetic Security Counterparty The initial Synthetic Security Counterparty Security will be Goldman Sachs The initial Synthetic Security Counterparty under the Synthetic Security will be Goldman Sachs Intemational. The Goldman Sachs Group, Intemational. The swap guarantor with respect to the Synthetic Security is The Goldman Sachs Group, Synthetic Security Counterparty. Inc., a Delaware corporation Group"), is Inc., a Delaware corporation (the "GS Group"), which is an affiliate of the Synthetic Security Counterparty. 133 Fleet Goldman London EC4A 2BB. International is Goldman Sachs International is located at Peterborough Court 133 Fleet Street, London EC4A 2BB. The Annual Report on Form 10-K for the fiscal year ended November 30, 2006 filed byGS Group Form 10-K November 30,2006 filed by GS Group The Annual or information deemed to have been furnished and with the SEC (other than, in each case, documents or information deemed to have been fumished and in SEC with a prospectus prepared for the purposes of not filed in accordance with SEC rules) will not form part of a prospectus prepared for the purposes of SEC not filed in accordance market should any admission to the official list of the Irish Stock Exchange and to trading on its regulated market should any to the official admission Notes be listed on such exchange. Notes be listed on such investment banking, securities and GS Group, together with its subsidiaries, is a global investment banking, securities and is a GS Group, together with to clients that include investment management firm that provides financial services worldwide to clients that include provides investment management firm individuals. corporations, financial institutions, governments and high net-worth individuals. and high financial institutions, corporations, . Any statement contained in a document incorporated or deemed to be incorporated by reference Any statement contained in a document incorporated or deemed to be incorporated by reference into this Offering Circular, or contained in this Offering Circular, will be deemed to be modified or this Offering Circular, or contained in this Offering Circular, will be deemed to be modified or into superseded for purposes of this Offering Circular to the extent that a statement contained herein or in any Offering Circular the extent that a statement contained herein or in any superseded for purposes of other subsequently filed document which also is or is deemed to be incorporated by reference herein, also is or is deemed to be incorporated by reference herein, other subsequently filed modifies or? supersedes such statement. Any such statement so modified or superseded will not be statement. Any such statement so modified or superseded will not be modifies or supersedes deemed, except as so modified or superseded, to constitute a part of this Offering Circular. GS Group's deemed, except as so modified or superseded, to constitute a part of this Offering Circular. GS Group's filings with the SEC are available to the public through the SEC's Intemet site at http://www.sec.gov, and filings with the SEC are available to the public through the SEC's Intemet site at http://www.sec.gov, and through the New York Stock Exchange, 20 Broad Street, New York, New York 10005, on which GS through the New York Stock Exchange, 20 Broad Street, New York, New York 10005, on which GS Group's common stock is listed. . Group's common stock is listed. . The Notes do not represent an obligation of, and will not be insured or guaranteed by, GS Group The Notes do not represent an obligation of, and will not be insured or guaranteed by, GS Group or any of its subsidiaries and investors will have no rights or recourse against GS Group or any of its or any of its subsidiaries and investors will have no rights or recourse against GS Group or any of its subsidiaries. subsidiaries. 102 102 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825472 GS MBS-E-02182S472 Footnote Exhibits - Page 5562 The Default Swap Collateral The Default Swap Collateral Pursuant to the Synthetic Securities, the Issuer will use the net proceeds from the offering of the Pursuant to the Synthetic Securities, the issuer will use the net proceeds from the offering of the Notesto purchase Default Swap Collateral and Eligible Investments which, in the aggregate, will have an to purchase Default Swap Collateral and Eligible Investments which, in the aggregate, will have an Notes initial principal amount as of the Closing Date of approximately U.S.$930,000,000, which shall be initial principal amount as of the Closing Date of approximately U.S.$930,000,000, which shall be depositedto the Default Swap Collateral Account. deposited to the Default Swap Collateral Account. The Default Swap Collateral is required to satisfy the following "Default Swap Collateral Eligibility The Default Swap Collateral is required to satisfy the following "Default Swap Collateral Eligibility Criteria": Criteria": (i) it (a) is rated "Aaa" by Moody's and, if such asset has a short-term rating from Moody's, it (a) is rated "Aaa" by Moody's and, ifsuch asset has a short-term rating from Moody's, (i) "P-1", and "AAA" by S&P, and, such asset has a short-term rating from S&P, it must be "A-1+" and (b) "P-1", and "AAA" by S&P, and, ififsuch asset has a short-term rating from S&P, it must be "A-1+" and (b) does not have a "t", "q", "pi" or "r" subscript; does not have a "t", "q", "pi" or "r" subscript; (ii) (a) in all cases, the payments with respect to which are not payable in a currency other (a) in all cases, the payments with respect to which are not payable in a currency other (ii) than U.S. Dollars and (b)it is expected to have an outstanding principal balance of less than U.S.$1,000 U.S. Dollars and (b) it is expected to have an outstanding principal balance of less than U.S.$1,000 than after the Stated Maturity of the Class B Notes, assuming a constant prepayment rate since the date of of after the Stated Maturity of the Class B Notes, assuming a constant prepayment rate since the datethe purchase equal to the constant prepayment rate reasonably expected by the Collateral Manager as of the equal to the constant prepayment rate reasonably expected by the Collateral Manager as of purchase date of purchase; . date of purchase; (iiQ it is eligible to be entered into by, sold or assigned to, the Issuer; it iseligible to be entered into by, sold or assigned to, the Issuer, (iii) (iv) (iv) it is not to an offer; it is not subject to an offer; (v) it is an obligation upon which payments are subject to withholding tax imposed by any it is an obligation upon which no payments are subject to withholding tax imposed by any (v) jurisdiction unless the obligor thereof is required to make "gross-up" payments that cover the full amount unless the obligor thereof is required to make "gross-up" payments that cover the full amount jurisdiction of any such withholding taxes . of any such withholding taxes on an after-tax basis; (vi) after taking into (a) at least 40% of the after taking into consideration the addition of any such security (a) at least 40% of the (vi) Default Swap Collateral acquired after the Closing Date and Eligible Investments in the Default Swap Swap Collateral acquired after the Date Investments in Default Swap Default by life (calculated by the Collateral Collateral Account by principal balance have an expected average life (calculated by the Collateral Collateral Account (2) that Eligible Investments have Manager (1) based on market prepayment assumptions and (2) assuming that Eligible Investments have Manager (1) based on market prepayment (b)100% of the Default Swap Collateral a weighted average life of zero) of less than or equal to 1.0 year, (b) 100% of the Default Swap Collateral weighted average life of zero) 1.0 a by acquired after the Closing Date and Eligible Investments in the Default Swap Collateral Account by acquired after the Closing Date and Eligible Investments in Manager (1)based on market principal balance has an expected average life (calculated by the Collateral Manager (1)based on market principal balance has an expected average life Investments have a weighted average life of prepayment assumptions and (2) assuming that Eligible Investments have a weighted average life of prepayment assumptions and (2) assuming zero) of less than or equal to 2.0 years, and (c) after Closing Date, the expected weighted average life Closing Date, the expected weighted average life (c) zero) of less than or equal to 2.0 years, (2) assuming (calculated by the Collateral Manager (1) based on market pre payment assumptions and (2) assuming payment (calculated by the Collateral Manager (1) based on market Default Swap Collateral acquired that Eligible Investments have a weighted average life of zero) of the Default Swap Collateral acquired average that Eligible Investments have a after the Closing .Date and Eligible Investments in the Default Swap Collateral Account does not exceed after the Closing Date and Eligible Investments in the Default Swap Collateral Account does not exceed the expected weighted average life of the portfolio of Reference Obligations at such time; the expected weighted average life of the portfolio of Reference Obligations at such time; (vii) after taking into consideration the addition of any such security, the aggregate of the (vii) after taking into consideration the addition of any such security, the aggregate of the weighted average spread and the rate of the related index of the Default Swap Collateral and Eligible weighted average spread and the rate of the related index of the Default Swap Collateral and Eligible Investments in the Default Swap Collateral Account, in the aggregate, is at least equal to UBOR plus Investments in the Default Swap Collateral Account, in the aggregate, is at least equal to LIBOR plus 0.05% per annum or if prior to acquisition of such item of Default Swap Collateral or Eligible Investment, 0.05% per annum or if prior to acquisition of such item of Default Swap Collateral or Eligible Investment, in the the spread and the rate of the related index of the Default Swap Collateral and Eligible Investments in the the spread and the rate of the related index of the Default Swap Collateral and Eligible Investments would annum, such acquisition per annum, such acquisition would Default Swap Collateral Account was less than UBOR plus 0.05% per Default Swap Collateral Account was less than LIBOR plus 0.05% the maintain or improve the aggregate of the weighted average spread and the rate of the related index of the maintain or improve the aggregate of the weighted average spread and the rate of the related index of Default Swap Collateral and Eligible Investments in the Default Swap Collateral Account; Collateral and Eligible Investments in the Default Swap Collateral Account; Default Swap (viii) after taking into consideration the addition of any such security, no more than 50% of the (viii) after taking into consideration the addition of any such security, no more than 50% of the Default Swap Collateral and Eligible Investments in the Default Swap Collateral Account by principal Default Swap Collateral and Eligible Investments in the Default Swap Collateral Account by principal balance has single counterparty exposure including servicer, issuer and swap counterparty exposure; balance has single counterparty exposure including servicer, issuer and swap counterparty exposure; (ix) provides for payments of monthly periodic interest in cash at floating rate and for a (ix) ititprovides for payments 'of monthly periodic interest in cash at aafloating rate and for a payment of principal in full and in cash at its final maturity; payment of principal in full and in cash at its final maturity; 103 103 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825473 GS MBS-E-021825473 Footnote Exhibits - Page 5563 (x) (A) either (1) constitutes Mortgage-Backed Security, Commercial (A) either (1) constitutes a Residential Mortgage-Backed Security, a Commercial (x) Mortgage-Backed Security, an Asset-Backed Security or a CDO Security which in each instance was Mortgage-Backed Security, an Asset-Backed Security or a CDO Security which in each instance was either (a) offered by underwriter, a placement or any person in similar capacity through either (a) offered by an underwriter, a placement agent or any person acting in a similar capacity through a a private placement memorandum or any other similar document, as to which neither a public prospectus, a private placement memorandum or any other similar document, as to which neither the Collateral Manager nor affiliate thereof was either the underwriter, collateral manager, placement the Collateral Manager nor any affiliate thereof was either the underwriter, collateral manager, placement agent or involved in the negotiation the the thereof and as to which a agent or otherwise involved in the negotiation of the terms or the conditions thereof and as to which a security acquired one more persons unrelated to the Issuer, the substantial amount substantial amount of the security was acquired by one or more persons unrelated to the Issuer, the any other structured managed or controlled by the Collateral Collateral Manager Collateral Manager or any other structured finance vehicle managed or controlled by the Collateral Manager substantially contemporaneously with, substantially the securities Manager substantially contemporaneously with, and on substantially the same terms as, the securities the secondary market, (ii) acquired directly or indirectly acquired by the Issuer or (b) (n acquired acquired by the Issuer or (b)(i) acquired on the secondary market, (ii) not acquired directly or indirectly from issuer of such pursuant agreement made prior to the second from the issuer of such security pursuant to a legally binding agreement made prior to the second (iii) not acquired from the Collateral Manager, its after business day after the issuance of such security, (iii) not acquired from the Collateral Manager, its Collateral Manager unless Affiliates or any other managed Affiliates or any other structured finance vehicle managed or controlled by the Collateral Manager unless entity regularly of same its own account, could have held the security such entity regularly acquires securities of the same type for its own account, could have held the security its own account investment security as intended for sale for its own account consistent with its investment policies, did not identify the security as intended for sale 90 days of hedge the Issuer, for at to the Issuer within 90 days of its issuance and held the security, without any hedge with the Issuer, for at days (iv) Collateral Manager nor thereof was involved in least 90 days and (iv)as to which neither the Collateral Manager nor any Affiliate thereof was involved in "Eligible the negotiation of the terms or conditions of the security or (2) satisfies the definition of an "Eligible negotiation terms or (2) of of Section 897 of the Investrnenf'; (B) is United Investment"; (B) is not a United States real property interest within the meaning of Section 897 of the (C) U.S. Code and (C)is treated as debt for U.S. federal income tax purposes, if it is a CDO Security, such CDO Security must (a) be a CDO S Note Security and (b)as is a CDO Security, CDO (a) be CDO S Note Security and (b) as (xi) eligibility criteria, profile tests with of the time of purchase by the Issuer, be in compliance with the applicable eligibility criteria, profile tests in instruments; and quality tests set forth in the related underlying instruments; in principal balance consists of Asset(xii) at least 87.5% of the Default Swap Collateral by principal balance consists of AssetMortgage-Backed Securities or Commercial Mortgage-Backed Securities; Backed Securities, Residential Mortgage-Backed Securities or Commercial Mortgage-Backed Securities; (xiii) such security and par of .the purchase price thereof is equal to at least 98% of the par value of such security and is ownership or the manner it is a (xiv) it is a security the acquisition (including the manner of acquisition), ownership or in a trade or business within the to be treated disposition of which will not cause the Issuer to be treated as engaged in a trade or business within the United States for United States federal income tax purposes. to is in a face amount equal to the initial Default Swap The DefaultSwap Collateral is expected to be purchased in a face amount equal to the initial of the Indenture, all Default Under the Aggregate Notional Amount of the Synthetic Securities. Under the terms of the Indenture, all Default Collateral Account for the benefit of the in the Default Swap Collateral is required to be deposited in the Default Swap Collateral Account for the benefit of the is Trustee for the benefit of the Secured grant to Synthetic Security Counterparty. The Issuer will also grant to the Trustee for the benefit of the Secured subject to the lien of the Synthetic Security Parties, a security interest in the Default Swap Collateral, subject to the lien of the Synthetic Security in a Security Counterparty of such security interest. The Issuer Counterparty, and shall notify the Synthetic Security Counterparty of such security interest. The Issuer notify Security Counterparty with respect to any initial Default Swap must obtain the consent of the Synthetic Security Counterparty with respect to any initial Default Swap Collateral purchased by the Issuer and any Default Swap Collateral purchased thereafter. Swap Collateral purchased thereafter. Interest payments, redemption premiums, dividend distributions, investment earnings on and any premiums, dividend distributions, investment earnings on and any payments, fees paid with respect to any Default Swap Collateral will constitute property of the Issuer and will be paid Default Swap Collateral will constitute property of the Issuer and will be paid respect paid Account and treated as Proceeds unless such amounts to the Trustee and deposited into the Collection Account and treated as Proceeds unless such amounts into and the Security Counterparty under the terms of the related are required to be paid to the related Synthetic Security Counterparty under the terms of the related related required to be paid to Synthetic Security. Principal payments on the Default Swap Collateral prior to the termination of the Default Swap Collateral prior to the termination of the Principal with the Synthetic Securities in the Default Swap Synthetic Securities shall be held in accordance with the Synthetic Securities in the Default Swap be held in until reinvested in Default Swap Collateral which Collateral Account and invested in Eligible Investments until reinvested in Default Swap Collateral which Account and invested in satisfy the Default Swap Collateral Eligibility Criteria with the consent of the Synthetic Security Swap Collateral Eligibility Criteria with the consent of the Synthetic Security satisfy the Counterparty . Counterparty. In the event a Synthetic Security is terminated prior to its scheduled maturity? without the a Synthetic Security is terminated prior to its scheduled maturity without the In occurrence of a Credit Event or a Floating Amount Event, the Collateral Manager on behalf oHhe Issuer . occurrence of a Credit Event or a Floating Amount Event, the Collateral Manager on behalf of the Issuer shall cause such portion of the related Default. Swap Collateral chosen by the Synthetic Security the related Default.Swap Collateral chosen by the Synthetic Security portion shall Counterparty as may be required to make any Synthetic Security Termination Payments, to be liquidated make any Synthetic Security Termination Payments, to be liquidated may be Counterparty 104 104 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825474 GS MBS-E-02182S474 Footnote Exhibits - Page 5564 and any such Synthetic Security Termination Payments to be paid directly to the Synthetic Security and any such Synthetic Security Termination Payments to be paid directly to the Synthetic Security Counterparty;provided that, in the case of Defaulted Synthetic Security Termination Payments, such Counterparty; provided that, in the case of Defaulted Synthetic Security Termination Payments, such amounts will be deposited to the Collection Account and paid in accordance with the Priority of Payments. amounts will be deposited to the Collection Account and paid in accordance with the Priority of Payments. The remaining related Default Swap Collateral to the extent not required to be pledged to the related The remaining related Default Swap Collateral to the extent not required to be pledged to the related Synthetic Security Counterparty shall be released from the lien of the Synthetic Security Counterparty and Synthetic Security Counterparty shall be released from the lien of the Synthetic Security Counterparty and delivered to the Trustee free of such lien. In the event that no Credit Event or Floating Amount Event delivered to the Trustee free of such lien. In the event that no Credit Event or Floating Amount Event under a Synthetic Security has occurred prior to the scheduled maturity of the Synthetic Security, upon under a Synthetic Security has occurred prior to the scheduled maturity of the Synthetic Security, upon thescheduled maturity of the Synthetic Security, the Synthetic Security Counterparty's lien on the Default the scheduled maturity of the Synthetic Security, the Synthetic Security Counterparty's lien on the Default Swap Collateral shall be released and the Collateral Manager on behaH of the Issuer shall cause such Swap Collateral shall be released and the Collateral Manager on behalf of the Issuer shall cause ofsuch the Default Swap Collateral to be delivered to the Trustee free of such lien. Upon release of the lien Default Swap Collateral to be delivered to the Trustee free of such lien. Upon release of the lien ofthe Synthetic Security Counterparty, the Issuer shall direct the Trustee to take any specific actions necessary Synthetic Security Counterparty, the Issuer shall direct the Trustee to take any specific actions necessary to create in favor of the Trustee a vafid, perfected, first priority security interest in such Default Swap to create in favor of the Trustee a valid, perfected, first priority security interest in such Default Swap Collateral under applicable law and regulations for the benefit of the Secured Parties. Any Default Swap Collateral under applicable law and regulations for the benefit of the Secured Parties. Any Default Swap Collateral released from the lien of the Synthetic Security Counterparty shall be treated as a Collateral Collateral released from the lien of the Synthetic Security Counterparty shall be treated as a Collateral Asset and may be retained by the Trustee or sold by the Collateral Manager in the sole discretion of the Asset and may be retained by the Trustee or sold by the Collateral Manager in the sole discretion of the Collateral Manager without regard to whether such sale would be permitted as a sale of a Defaulted Collateral Manager without regard to whether such sale would be permitted as a sale of a Defaulted Obligation or a Credit Risk Obligation; provided that no Event of Default has occurred and is continuing. Obligation or a Credit Risk Obligation; provided that no Event of Default has occurred and is continuing. Any Proceeds net of purchase accrued interest or interest payments received upon the maturity or Any Proceeds net of purchase accrued interest or interest payments received upon the maturity or liquidation of the Default Swap Collateral released from the lien of the Synthetic Security Counterparty liquidation of the Default Swap Collateral released from the lien of the Synthetic Security Counterparty shall be deposited to the Default Swap Collateral Account. shall be deposited to the Default Swap Collateral Account. Upon the occurrence of a Credit Event or Floating Amount Event under a Synthetic Security, the Upon the occurrence of a Credit Event or Floating Amount Event under a Synthetic Security, the of any cash Default Swap Collateral chosen by the Synthetic Security Counterparty after the application of any cash Default Swap Collateral chosen by the Synthetic Security Counterparty after the and Eligible Investments on deposit in the Default Swap Collateral Account will be sold by the Collateral Eligible Investments on deposit in the Default Swap Collateral Account will be sold by the Collateral and Manager in a sale arranged by the Collateral Manager and any amounts owed the Synthetic Security Manager in a sale arranged by the Collateral Manager and any amounts owed to the Synthetic Security such Default Swap Collateral. In Counterparty will be paid by the Issuer from the liquidation proceeds of such Default Swap Collateral. In will be paid by Issuer Counterparty the event such liquidation proceeds Security Counterparty will accept the the event such liquidation proceeds are less than par, the Synthetic Security Counterparty will accept the liquidation proceeds applicable to the Default Collateral sold which is equal to the the liquidation proceeds applicable to the face amount of Default Swap Collateral sold which is equal to the amount due to the Synthetic Security Counterparty. In addition, under certain circumstances upon the In certain circumstances upon amount due to the Synthetic Security Counterparty occurrence of a Credit Event, the Default SWap occurrence of a Credit Event, the Default Swap Collateral chosen by the Synthetic Security Counterparty will instead be delivered to the Synthetic Security Counterparty in exchange for a Deliverable Obligation. Counterparty in exchange for a Deliverable Obligation. will instead be delivered the may be Collateral Asset and may be Any Deliverable Obligation delivered to the deemed Any Deliverable Obligation delivered to the Issuer will be deemed to be a Collateral Asset and whether Manager without regard to retained or sold by the Issuer at the sole discretion of the Collateral Manager without regard to whether sold by the Issuer at retained or Risk Obligation. Any a such sale would be permitted as a sale of a Defaulted Obligation or a Credit Risk Obligation. Any such sale would be permitted as a sale a Defaulted received upon the maturity or liquidation Proceeds net of purchased accrued interest or interest payments received upon the maturity or liquidation interest accrued Proceeds net of purchased Collateral Account. In the event a of a Deliverable Obligation shall be deposited to the Default Swap Collateral Account. In the event a deposited to of a Deliverable Obligation shall Default Swap Collateral and deliver cash Credit Event has occurred and the Issuer is required to liquidate Default Swap Collateral and deliver cash the Issuer is required Credit Event has occurred and to the Synthetic Security Counterparty, the Synthetic Security Counterparty will bear any market risk on Synthetic Security Counterparty will bear any market risk on to the Synthetic Security Counterparty, the liquidation of the Default Swap Collateral. the liquidation of the Default Swap Collateral. The Synthetic Security Counterparty has the right to purchase any Default Swap Collateral being The Synthetic Security Counterparty has the right to purchase any Default Swap Collateral being Swap sold for less than its par amount at a price equal to the highest bid received for such Default SWap for less than its par amount at a price equal to the highest bid received for such Default of the sold Collateral. The Collateral Manager shall provide the Synthetic Security Counterparty prior notice of the the Synthetic Security Counterparty prior notice Collateral. The Collateral Manager shall provide price at which any Default Swap Collateral is being sold prior to such sale. price at which any Default Swap Collateral is being sold prior to such sale. Reports Reports and A report will be made available to the Holders of the Notes and Holders of the Income Notes and A report will be made available to the Holders of the Notes and Holders of the Income Notes on will provide information on the Collateral Assets as well as information with respect to payments made on Assets as well as information with respect to payments made will provide information on the Collateral the related Payment Date (each, a "Payment Report'). beginning in September 2007. the related Payment Date (each, a "Payment Report'), beginning in September 2007. The information in each Payment Report will be prepared as of the Determination Date preceding The information in each Payment Report will be prepared as of the Determination Date preceding with the related Payment Date and will set out. among other things. the amounts payable in accordance with the related Payment Date and will set out, among other things, the amounts payable in accordance the the Priority of Payments on such Payment Date. The Issuer will instruct the Trustee to transfer the Payments on such Payment Date. The Issuer will instruct the Trustee to transfer the Priority of -amounts set forth in such Payment Report in the manner specified in. and in accordance with o.the Priority amounts set forth in such Payment Report in the manner specified in, and in accordance with,,the Priority be of Payments. As long as any Notes are listed on any stock exchange, the Payment Reports will be of Payments. As long as any Notes are listed on any stock exchange, the Payment Reports will obtainable at the office of the Listing and Paying Agent. obtainable at the office of the Listing and Paying Agent. 105 105 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825475 GS MBS-E-021825475 Footnote Exhibits - Page 5565 Cashflow Swap Agreement Cashflow Swap Agreement General. On the Closing Date, the Issuer will enter into a Cashflow Swap Agreement with On the Date, enter CashfJow Agreement with Goldman Sachs International ("GSI') as initial Cashflow Swap Counterparty. The Issuer may replace the Cashflow Swap replace the Goldman Sachs International ("GSI'1 Swap Agreement enter additional agreements after the Closing Cashflow Swap Agreement but shall not enter into any additional hedge agreements after the Closing Date. Pursuant to the Cashfiow Swap Agreement, on each Payment Date occurring through the CashfJow Agreement, on Date Issuer of termination Cashflow Swap Agreement in the termination of the Cashflow Swap Agreement in accordance with the Priority of Payments, the Issuer will amounts CashfJow Swap Counterparty Cashflow Swap Counterparty pay certain amounts to the Cashflow Swap Counterparty and the Cashflow Swap Counterparty will make in Amount in certain Cashflow advances to the Issuer in an amount equal to certain Cashflow Swap Shortfall Amount as described in the Cashflow Swap CashfioiN Shortfall under Cashflow Swap Cashfiow Swap Agreement. Any Cashflow Swap Shortfall Amounts paid under the Cashflow Swap accrue Issuer the Agreement CashfJow Counterparty Agreement by the Cashflow Swap Counterparty to the Issuer will accrue interest and be repaid to the Cashflow Swap Counterparty in with "Description of Notes Cashflow Swap Counterparty in accordance with the Priority of Payments. See "Description of the Notes Issuers Payments." To - Payments on the Notes - Priority of Payrmhents." To the extent the Issuers would have insufficient funds Notes the the Notes on a Payment S available to pay interest on the Class S Notes, the Class A Notes or the Class B Notes on a Payment payment of in Date Date as a result of any of the Collateral Assets deferring the payment of interest due thereon in be B A accordance with its terms, interest on the Class S Notes, the Class A Notes and the Class B Notes will be Cashflow Swap Counterparty to the Issuer payable by the Issuer from the amounts advanced by the Cashflow Swap Counterparty to the Issuer from in under the Cashflow Swap Agreement up to U.S.$50,000,000 (as reduced in accordance with the CashfJow U.S.$50,OOO,OOO not make advances to Cashflow Swap Agreement); provided that the Cashflow Swap Counterparty will not make advances to Swap Agreement): Swap second year. cover any shortfall resulting from any Collateral Asset deferring interest beyond the second year. ensiJre Agreement The Issuer shall ensure that the Cashflow Swap Agreement shall provide that the Cashflow Swap Cashflow Swap Agreement are limited Counterparty (a) Counterparty will agree (a) that the Issuer's obligations under the Cashflow Swap Agreement are limited forth in the subordinated as recourse obligations of the Issuer payable solely from the Collateral and subordinated as set forth in the and (c) (b) Swap a Priority of Payments and (b) to a standard non-petition clause, and (c) that such Cashflow Swap the Agreement ofthe State of New York. in Agreement shall be govemed by, and construed in accordance with, the laws of the State of New York. Cashflow Payments) Defaulted Cashflow Payments (other than Defaulted CashfJow Swap Termination Payments) due to the Cashflow Priority of in accordance Swap Counterparty under the Cashflow Swap Agreement shall be paid, in accordance with the Priority of Counterparty Agreement on each Payment Proceeds available Payments, prior to any payments on the Securities, from Proceeds available therefor on each Payment with the claims of other rank Date. The claims of the CashfJow Swap Counterparty shall rank pari passu with the claims of other Cashflow the Priority payments at the same CashfJow Swap Counterparties entitled to receive payments at the same level of priority within the Priority Cashflow payment of Principal paid shall of Payments. Defaulted CashfJow Swap Termination Payments shall be paid after payment of Principal Termination Cashflow Payments. Proceeds to the Notes in accordance with the Priority of Payments. in Issuer may terminate the initial Cashflow Agreement, Pursuant to the initial Cashflow Swap Agreement, the Issuer may terminate the initial Cashflow Cashflow more local 30 Trigger Swap Agreement if (A) the Moody's First Rating Trigger Requirements apply and 30 or more local Agreement if (A) Moody's First Rating Trigger Requirements. did not business days have elapsed since the last time the Moody's First Rating Trigger Requirements did not or performed be perform apply and GSI has failed to comply with or perform any obligation to be complied with or performed under (B) (x)the Moody's Second Rating Trigger Requirements apply and or the Credit Support Annex, and (B) (x) the Moody's Second Rating Trigger Requirements apply and 30 or Second Rating Trigger time the more local business days have elapsed since the last time the Moody's Second Rating Trigger the transferee of a ReqUirements did not apply and (y) (i) an Eligible Replacement has not become the transferee of a (y) (i) an Eligible Requirements Swap Agreement, subject to satisfaction of 5(b)(i) of the in transfer made in accordance with Part 5(b}(i) of the Cashflow Swap Agreement, subject to satisfaction of has not Moody's First Trigger Required the Rating Agency Condition and/or (ii) an entity with the Moody's First Trigger Required Ratings has not (ii) of the initial Cashflow Swap Counterparty's present and provided an Eligible Guarantee in respect of all of the initial Cashflow Swap Counterparty's present and in Mure future obligations under the Cashflow Swap Agreement. whether or not the Notes have been paid in The Cashflow SWap Agreement may be terminated, whether or not the Notes have been paid in Swap full on or prior to such termination, upon, among other things, (i) certain events of bankruptcy, insolvency, among (i) conservatorship, receivership or reorganization of the Issuer or the related CashfJow Swap Counterparty, Cashflow Counterparty to make any payment related Cashflow (ii) failure on the part of the Issuer or the related CashfJow Swap Counterparty to make any payment (ii) under the Cashflow Swap Agreement within the applicable grace period. (iii) certain withholding or other applicable grace period, (iii) certain withholding or other Swap the taxes being imposed on payments to be made under the Cashflow Swap Agreement as. set. forth in payments be made under the Cashflow Swap Agreement as set forth in being Sections 5(b}(ii} and (iii) of the ISDA Master Agreement incorporated in the Cashflow Swap Agreement. 5(b)(ii) in Swap Agreement, Counterparty to be (iv) a change in law making it illegal for either the Issuer or the related Cashflow Swap Counterparty to be Cashflow Issuer or it illegal either in (iv)a 106 106 Confidential Treatment Requested by Goldman Sachs Treatment Requested Goldman MBS-E-021825476 GS MBS-E-021825476 Footnote Exhibits - Page 5566 party to, or perform an obligation under, the Cashflow Swap Agreement, (v) an Event of Default under aaparty to, or perform an obligation under, the Cashflow Swap Agreement, (v) an Event of Default under the Indenture occurs and is continuing and there has been liquidation (in whole), or the commencement the Indenture occurs and iscontinuing and there has been aaliquidation (inwhole), or the commencement of liquidation (in whole) of the assets of the Issuer, (vi) the Indenture is supplemented or amended of aaliquidation (in whole) of the assets of the Issuer, (vi) the Indenture is supplemented or amended without the consent of the Cashflow Swap Counterparty as described therein, (vii) the Cashflow Swap without the consent of the Cashflow Swap Counterparty as described therein, (vii) the Cashflow Swap of Counterparty is no longer Secured Party under the Indenture or (vii~ the aggregate Principal Balanceof Counterparty is no longer aaSecured Party under the Indenture or (viii) the aggregate Principal Balancenot the Collateral Assets is less than U.S.$50,000,000. Notwithstanding the.foregoing, the Issuer will not Collateral Assets is less than U.S.$50,OOO,OOO. Notwithstanding the foregoing, the Issuer will the optionally terminate any Cashflow Swap Agreement unless the Rating Agency Condition is satisfied in optionally terminate any Cashfiow Swap Agreement unless the Rating Agency Condition is satisfied in connection with such termination. connection with such termination. A termination of a Cashflow Swap Agreement will not constitute an Event of Default under the A termination of a Cashflow Swap Agreement will not constitute an Event of Default under the Indenture. Although the Issuer believes that any such termination is unlikely, the Issuer has agreed to Indenture. Although the Issuer belieVes that any such termination is unlikely, the Issuer has agreed to Lise reasonable efforts to enter into a substitute Cashflow Swap Agreement on similar terms to the extent use reasonable efforts to enter into a substitute Cashflow Swap Agreement on similar terms to the extent that the Issuer is able to enter into such an agreement, and shall apply any termination receipts to the that the Issuer is able to enter into such an agreement, and shall apply any termination receipts to the SUbstitute Cashflow purchase of a new Cashflow Swap Agreement. If the Issuer is unable to obtain a substitute Cashflow purchase of a new Cashflow Swap Agreement. If the Issuer is unable to obtain athe Collateral Assets Swap Agreement, interest due on the Notes will be paid from amounts received on Swap Agreement, interest due on the Notes will be paid from amounts received on the Collateral Assets and Default Swap Collateral without the benefit of any Cashflow Swap Agreement. There can be no and Default Swap Collateral without the benefit of any Cashflow Swap Agreement. There can be no or assurance that such amounts will be sufficient to provide for the full payment of interest on the Notes, or assurance that such amounts will be sufficient to provide for the full payment of interest on the Notes, be that amounts that would otherwise be distributable to the Holders of the Income Notes will not be amounts that would otherwise be distributable to the Holders of the Income Notes will not that reduced. reduced. In the event of any early termination of a Cashflow Swap Agreement (i) any Cashflow Swap In the event of any early termination of a Cashflow Swap Agreement (i) any Cashflow Swap Termination Receipts paid to the Issuer and not concurrently applied in connection with the Issuer's Termination Receipts paid to the Issuer and not concurrently applied in connection with the Issuer's entering into a replacement Cashflow Swap Agreement will in a single, segregated trust entering into a replacement Cashflow Swap Agreement will be deposited in a single, segregated trust account held in the name Trustee "Cashflow Swap Termination Receipts Account") for the account held in the name of the Trustee (the "Cashflow Swap Termination Receipts Account") for the benefit of the Secured Parties (ii) any amounts by the Issuer from a replacement benefit of the Secured Parties and (ii) any amounts received by the Issuer from a replacement counterparty in consideration for a replacement agreement that counterparty in consideration for entering into a substantially similar replacement agreement that preserves for the Issuer the economic equivalent the terminated Cashflow Swap Agreement ("Cashflow preserves for the Issuer the economic equivalent of the terminated Cashflow Swap Agreement ("Cashflow in the Swap ReplacementProceeds") will be trust account held in the United in Swap Replacement Proceeds") will be deposited in a single, segregated trust account heldbenefit United States in the name of the Trustee (the "Cashflow Swap Replacement Account") for the benefit of the in the name of the Trustee "Cashflow Swap Replacement Account") for the of the States Secured Parties. Parties. Secured following the early termination of a The Collateral Manager may cause' The Collateral Manager may cause the Issuer, promptly following the early termination of a Date) and to the extent possible Cashflow Swap Agreement (other than with respect to a Final Payment Date) and to the extent possible a Cashflow Swap Agreement Termination Receipts Account, to enter into a through application of funds available in the Cashflow Swap Termination Receipts Account, to enter into a funds available in through application of replacement Cashflow Swap Agreement (a "Replacement Cashflow Swap Agreement") which may have Swap Agreement") which may have replacement Cashflow Swap Agreement (a"Replacement that the Rating Agency Condition is different terms, including different notional amounts, provided that the Rating Agency Condition is amounts, different terms, including different satisfied. satisfied. of If (i) the funds available in the Cashflow Swap Termination Receipts Account exceed the costs of If (i)the funds available in the Cashflow Swap Termination Receipts Account exceed the costs to Manager determines not Collateral Manager determines not to entering into a Replacement Cashflow Swap AgreemElnt, (ii) the Collateral entering into a Replacement Cashflow Swap Agreement, (ii) the replace the terminated Cashflow Swap Agreement and the Rating Agency Condition is satisfied, or (iii) replace the terminated Cashflow Swap Agreement and the Rating Agency Condition is satisfied, or (iii) the termination is occurring with respect to a Final Payment Date, then amounts in the Cashflow Swap the termination is occurring with respect to a Final Payment Date, then amounts in the Cashflow Swap Termination Receipts Account (after providing for the costs of entering into a Replacement Cashflow Termination Receipts Account (after providing for the costs of entering into a Replacement Cashflow Swap Agreement, if any) will be transferred to the Collection Account on the next following Transfer Date Swap Agreement, if any) will be transferred to the Collection Account on the next following Transfer Date on and will be treated as Principal Proceeds and distributed in accordance with the Priority of Payments on and will be treated as Principal Proceeds and distributed in accordance with the Priority of Payments full the next Payment Date (or on such Final Payment Date, in the event the Notes are redeemed in full Final Payment Date, in the event the Notes are redeemed in the next Payment Date (or on such thereon). thereon). If a Cashflow Swap Agreement is terminated and the costs of entering into a Replacement If a Cashflow Swap Agreement is terminated and the costs of entering into a Replacement Cashflow Swap Agreement exceed the funds on deposit and available therefor in the Cashflow Swap Cashflow Swap Agreement exceed the funds on deposit and available therefor in the Cashflow Swap Termination Receipts Account, then, after using the funds in the Cashflow Swap Termination Receipts Termination Receipts Account, then, after using the funds in the Cashflow Swap Termination Receipts Account, the Issuer may enter into a Replacement Cashflow Swap Agreement with the amount of such Account, the Issuer may enter into a Replacement Cashflow Swap Agreement with the amount of such shortfall payable to the replacement Cashflow Swap Counterparty in accordance with the Priority of shortfall payable to the replacement Cashflow Swap Counterparty in accordance with the Priority of - -- ----. Payments-on following Payment Dates. ' . __.__ _ - Payments-on following Payment Dates. 107 107 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825477 GS MBS-E-02182S477 Footnote Exhibits - Page 5567 The amounts in the Cashflow Swap Replacement Account will be applied directly to the payment The amounts in the Cashflow Swap Replacement Account will be applied directly to the payment of termination amounts owing to the Cashflow Swap Counterparty, any. To the extent not fully paid from of termination amounts owing to the Cashflow Swap Counterparty, ififany. To the extent not fully paid from Cashflow Swap Replacement Proceeds, such amounts will be payable to the Cashflow Swap Cashflow Swap Replacement Proceeds, such amounts will be payable to the Cashflow Swap Counterpartyon subsequent Payment Dates in accordance with the Priority of Payments. To the extent Counterparty on subsequent Payment Dates in accordance with the Priority of Payments. To the extent that the funds available in the Cashflow Swap Replacement Account exceed any such termination that the funds available in the Cashflow Swap Replacement Account exceed any such termination amounts (or there are no termination amounts), the excess amounts in the Cashflow Swap Swap amounts (or ifif there are no termination amounts), the excess amounts in the Cashflow will be ReplacementAccount will be transferred to the Collection Account on the next Transfer Date and will be Account will be transferred to the Collection Account on the next Transfer Date and Replacement treated as Principal Proceeds and distributed in accordance with the Priority of Payments on the next treated as Principal Proceeds and distributed in accordance with the Priority of Payments on the next exceed the Payment Date. If the termination amounts owing to the Cashflow Swap Counterpartyexceed the Payment Date. If the termination amounts owing to the Cashflow Swap Counterparty represent Cashflow Swap Replacement Proceeds for such agreements, then, unless such amounts Cashflow Swap Replacement Proceeds for such agreements, then, unless such amounts represent Defaulted Cashflow Swap Termination Payments, they will be paid before funds are applied to pay Defaulted Cashflow Swap Termination Payments, they will be paid before funds are applied to pay principal or interest on any Notes (except for the Class S-1 Notes) in accordance with the Priority of principal or interest on any Notes (except for the Class S-1 Notes) in accordance with the Priority of Payments. . Payments. In order to effect an Optional Redemption by Liquidation, Tax Redemption or Auction, the In order to effect an Optional Redemption by Liquidation, Tax Redemption or Auction, the Cashflow Swap Agreement must be terminated and the proceeds from such termination and from the and from the Cashflow Swap Agreement must be terminated and the proceeds from such termination owing to the liquidation of the remaining Collateral must be sufficient to pay any termination payment owing to the of the remaining Collateral must be sufficient to pay any termination payment liquidation Cashflow Swap Counterparty (other than any Defaulted Cashflow Swap Termination Payments) in Cashflow Swap Counterparty (other than any Defaulted Cashflow Swap Termination Payments) in addition to any amounts owing under the Notes and certain other expenses. addition to any amounts owing under the Notes and certain other expenses. Each Cashflow Swap Agreement will provide that the related Cashflow Swap Counterparty may Each Cashflow Swap Agreement will provide that the related Cashflow Swap Counterparty may assign its obligations under a Cashflow Swap Agreement to any institution which satisfies the Rating its obligations under a Cashflow Swap Agreement to any which satisfies the Rating assign Agency Condition with respect assignment. Agency Condition with respect to such assignment. The initial Cashflow Swap Counterparty is GSI. GSI is affiliate of the Initial Purchaser, and The initial Cashflow Swap Counterparty is GSI. GSI is an affiliate of the Initial Purchaser, and other affiliates of.the Initial Purchaser or the Collateral Manager may also act as Cashflow Swap affiliates of the Initial Purchaser Collateral Manager may act as Cashflow Swap other of interest. See "Risk Factors-Other Counterparties from time to time, which may create Counterparties from time to time, which may create certain conflicts of interest. See "Risk Factors-Other Considerations-Certain Interest." Considerations-Certain Conflicts of Interest" The Cashflow Swap Counterparty termination events and the required The Cashflow Swap Counterparty ratings requirements, termination events and the required Closing Date, and may be consents and actions described herein are subject to modification prior to the Closing Date, and may be and actions described consents revised thereafter upon satisfaction of the Rating Agency Condition. The description of the provisions of The description of the provisions of revised thereafter upon satisfaction Swap Agreement to be entered the Cashflow Swap Agreement herein may vary from the actual Cashflow Swap Agreement to be entered the Cashflow Swap Agreement into by the Issuer and GSI on the Closing Date. by the Issuer and GSI into a Cashflow Swap Cashflow Swap Agreement. As of the Closing Date, the Issuer will enter into a Cashflow Swap Cashflow Swap Agreement. As of Swap Agreements (each, a Agreement with GSI and may from time to time enter into additional Cashflow Swap Agreements (each, a GSI and may from time to time enter into Agreement with Swap Counterparty"). "Cashflow Swap Agreement") with GSI or other counterparties (each, a "Cashflow Swap Counterparty"). "Cashflow Swap Agreement") with GSI or other counterparties (each, a WEIGHTED AVERAGE LIFE AND YIELD CONSIDERATIONS WEIGHTED AVERAGE LIFE AND YIELD CONSIDERATIONS The Stated Maturity of the Notes (other than the Class S Notes and the Class A-1 Notes) and the The Stated Maturity of the Notes (other than the Class S Notes and the Class A-1 Notes) and the is the Income Notes is the Payment Date in December 2047, the Stated Maturity of the Class S Notes is the Income Notes its the Payment Date in December 2047, the Stated Maturity of the Class S Notes Notes Payment Date in September 2011, the Stated Maturity of the Class A-1a Notes and the Class A-1b Notes of the Class A-I a Notes and the Class A-1b Payment Date in September 2011, the Stated Maturity Ais the Payment Date in December 2039 and the Stated Maturity of the Class A-1c Notes and the Class Aisthe Payment Date in December 2039 and the Stated Maturity of the Class A-1c Notes and the Classthe of the Notes (other than principal of the Notes (other than the 1d Notes is the Payment Date in September 2044. However, the prinCipal ld Notes is the Payment Date in September 2044. However, the Class S Notes) is expected to be paid in full prior to the Stated Maturity. Average life refers to the Class S Notes) is expected to be paid in full prior to the Stated Maturity. Average life refers to the the average amount of time that will elapse from the date of delivery of a security until each dollar of the average amount of time that will elapse from the date of delivery of a security until each dollar of of the Notes will be determined by principal of such security will be paid to the investor. The average lives of the Notes will be determined by principal of such security will be paid to the investor. The average lives the amount of principal payments which are dependent on a number of factors, including when the the amount of principal payments which are dependent on a number of factors, including when the Collateral Assets are repaid. Collateral Assets are repaid. will Weighted Average Ufe. Weighted average life refers to the average amount of time that will Weighted Average Life. Weighted average life refers to the average amount of time thatpaid elapse from the date of delivery of a security until each dollar of the principCiI of such securitY. will be paid of delivery of a security until each dollar of the principal of such security will be elapse from the date to the investor. The weighted average lives of the Notes of each Class will be determined by the amount to the investor. The weighted average lives of the Notes of each Class will be determined by the amount and frequency of prinCipal payments, which are dependent upon, among other things, the amount of and frequency of principal payments, which are dependent upon, among other things, the amount of 108 108 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825478 GS MBS-E-021825478 Footnote Exhibits - Page 5568 payments in advance of maturity the Collateral Assets through payments received at or in advance of the scheduled maturity of the Collateral Assets (whether through other or The sale, maturity, redemption, prepayment, default or other liquidation or disposition). The actual weighted actual maturities of Notes be affected "of average lives and actual maturities of the Notes will be affected by the financial conditions of the obligors the issl,lers Collateral the the on or the issuers of the Collateral Assets or the obligors on the underlying assets, and the characteristics and of such securities and assets, including the existence and frequency of exercise of any optional or redemption redemption prepayment mandatory redemption features, the prevailing level of interest rates, the redemption price, prepayment actual prepayment premiums default rates, any lockout periods or prepayment premiums or penalties, the actual default rate and the actual Defaulted tender level of recoveries on any Defaulted Obligations, and the frequency of tender or exchange offers for such Collateral Assets. Any disposition of a Collateral Asset will change the composition and characteristics of Assets payments the Collateral Assets and the scheduled payments and payment characteristics thereon, and, accordingly, weighted of Notes. rate futurE! amount may affect the actual weighted average lives of the Notes. The rate of future defaults and the amount Credit and timing of any cash realization from Defaulted Obligations and Credit Risk Obligations also will affect of maturity of weighted the maturity and weighted average lives of the Notes. The weighted average life of the Notes of each depending whether average Class may also vary depending on whether or not the Notes are redeemed. The weighted average lives the Notes than" the of the Notes are expected to be shorter, and may be substantially shorter, than the Stated Maturity of the Notes. The table set forth below indicates the percentage of the initial balance of each Class of Notes the" prepayments Date that would be outstanding on each Payment Oate assuming no prepayments or losses and the weighted average life of each Class of Notes and principal window of each Class based on the following assumptions (the "Collateral Assets Assumptions"): i. i. ii. ii. Forward LIBOR Forward three month UBOR curve as of March 20, 2007 are assumed; is March Payment is 4, the Closing Date is March 27, 2007, the first Payment Date is September 4, 2007, and not September Payment Payment Dates are the third day of every March, June, September and December, not adjusting for Business Days; iii. iv. iv. v. v. as the Closing Date are all of the net proceeds of the offering of the Securities are invested as of the Closing Date in the Collateral Assets and Default Swap Collateral; in the Coverage Tests are satisfied as of the Closing Date; Payments are paid (iii) expenses due under clauses (i), (ii) and (iii) of the Priority of Payments are paid on each (i), (ii) U.S.$12,062.50 0.0018125% Payment Date and will be $35,500 plus the greater of U.S.$12,062.50 and 0.0018125% the first (or, of the Quarterly Asset Amount for the related Due Period (0(, with respect to the first Due in Payment Date, as such amounts are adjusted based on the number of days in such Due Period); Balance the Collateral Management Fee is 0.04% per annum of the outstanding Principal Balance is Management of the Collateral Assets; there are no Current Deferred Management Fees; Deferred vi. vii. vii. viii. viii. ix. Principal is the Deferred Structuring Expense is 0.04% per annum of the outstanding Principal Balance of the Collateral Assets; be Prior to distribution on each Payment Date, interest collections are assumed to be to deposited in the Collection Account for 30 days, and principal collections are assumed to in to a be deposited in the Collection Account for 50 days, each earning a rate equal to three in month UBOR minus 0.30% per annum; LIBOR 0.30% Default Swap Collateral and Eligible Investments in the Default Swap Collateral Account In 0.10%; LIBOR are assumed. to accrue interest at three month USOR plus 0.10%; assumed. x. x. xi. xi. and its in each Collateral Asset will pay principal and interest in accordance with its terms and scheduled payments will be timely received, unless otherwise specified; specified; received, unless 109 109 Confidential Treatment Requested by Goldman Sachs MBS-E-021825479 GS MBS-E-021825479 Footnote Exhibits - Page 5569 xii. xii. xiii. xiii. xiv. xiv. xv. xv. xvi. xvi. failure to pay interest to the HolderS of the Class A Notes and the Class B Notes is not an failure to pay interest to the Holders of the Class A Notes and the Class B Notes is not an Event of Default; Event of Default; all unpaid Class C Note and Class 0 Note interest is Deferred Interest; all unpaid Class C Note and Class D Note interest is Deferred Interest; there are no sales; there are no sales; no rating change occurs on any Collateral Asset or the Notes; no rating change occurs on any Collateral Asset or the Notes; there is no Optional Redemption, Tax Redemption or, except with respect to the table there is no Optional Redemption, Tax Redemption or, except with respect to the table setting. forth the Percentages of Initial Principal Balance of the Class A-1 Notes, Class Asetting forth the Percentages of Initial Principal Balance of the Class A-1 Notes, Class A2 Notes, Class B Notes, Class C Notes and Class 0 Notes and the table setting forth the 2 Notes, Class B Notes, Class C Notes and Class D Notes and the table setting forth the Sensitivity of Principal Payments to CDR, Auction Call; Sensitivity of Principal Payments to CDR, Auction Call; defaults are incurred at the constant annual default rates and are applied on each defaults are incurred at the constant annual default rates and are applied on each Payment Date to the outstanding Principal Balance of the Collateral Assets as of such Payment Date to the outstanding Principal Balance of the Collateral Assets as of such Payment Date commencing on the Payment Date September 2008; and Payment Date commencing on the Payment Date in September 2008; and the Collateral Assets. there is no PIK interest there is no PIK interest on the Collateral Assets. xvii. xvii. xviii. xviii. Percentages of Initial Balance of the Class A-1 Noles, Class A-2 Notes, Percentages of Initial Principal Balance of the Class A-1 Notes, Class A-2 Notes, Class Notes, Class C Notes and Class D Notes Class B Notes, Class C Notes and Class D Notes A-1a Class A-la Closing Date Closing Date September 4, 2007 September 4, 2007 September 3, 2008 September 3, 2008 September 3, 2009 September 3, September 3,2010 September 3,2010 September 3,2011 September 3, 2011 September 3, 2012 September 3, 2012 September 3, 2013 September 3,2013 September 3, 2014 September 3, 2014 September 3, 2015 September 3, 2015 100.00% 100.00% Class A-lb Class A-1b 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 95.95% 95.95% Class Class A-1c 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% Class A-1d ClassA-1d 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 25.22% 25.22% Class A-2 ClassA-2 100.00% 100.00% 98.63% 98.63% 96.78% 96.78% 93.74% 88.63% 78.38% 67.46% Class B Class B 100.00% 100.00% 100.00% 100.00% 100.00% Class C Class C 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 98.52% 87.13% Class D Class 0 100.00% 100.00% 99.33% 99.33% 98.00% 98.00% 96.67% 96.67% 92.55% 92.55% 80.44% 80.44% 69.19% 69.19% 50.70% 50.70% 37.59% 37.59% 0.00% 0.00% September September 4, 2007 to 4,2007 to September September 3,2015 3,2015 93.17% 83.89% 83.89% 68.69% 68.69% 43.13% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% September September 4,200710 4, 2007 to September 3,2011 3, 2011 100.00% 100.00% 97.06% 85.84% 73.88% 54.23% 68.64% 23.80% 0.00% 0.00% September September 3,201110 3, 2011 to March 3, March 3, 2014 2014 5.96 years years 74.99% 74.99% 55.05% 55.05% 40.90% 49.52% 36.80% 0.00% 0.00% 0.00% March 3, March 3, 2014 to 2014 June 3, 2014 2014 7.14 years 7.14 40.30% 0.00% June 3, to 2010 to September September 3,2015 3,2015 0.00% 0.00% 3, June 3, 201410 2014 to December December 3,2014 3, 2014 0.00% 0.00% September September 3, 2010 to 3,2010 to September September 3, 2015 3,2015 Expected Principal Expected Window(1) Window(1) September September 4, 2007 to 4,2007 to September September? 3,2015 3,2015 6.11 years 6.11 Expected Weighted Expected Weighted Average Ufe(2) 2.99 years years Average Life(2) years 7.49 years 6.73 years 6.73 years 6.79 years 6.79 years 6.45 years 6.45 years payment of the (a)the initial (1) The "Expected Principal WindoW' for a Class of Notes Is the period in which (a) the Initial principal payment of the (1) The "Expected Principal Window" for a Class of Notes is the period In to made under the Collateral Assets Class is expected to be made and (b) the final payment of principal of the Class is expected to be made under the CoOateral Assets Class is expected to be made and (b)the final payment of principal of the Class is Assumptions (assuming no defaults). Assumptions (assuming no defaults). (2) The "Expected Weighted Average Life" of each Class of Notes is determined by (i) multiplying the amount of each (2)The "Expected Weighted Average Life" of each Class of Notes is determined by (i)multiplying the amount of each principal distribullon on such Class that would result under the Collateral Assets Assumptions (assuming no defaults) by the number principal distribution on such Class that would result under the Collateral Assets Assumptions (assuming no defaults) by the number of years from the date of determination to the related Payment Date (assuming 30 days In each month and a 36O-day year), of years from the date of determination to the related Payment Date (assuming 30 days In each month and a 360-day year), (il) adding the results and (ui) dividing the sum by the aggregated principal distributions referred to In clause (I). (ii)adding the results and (iii) dividing the sum by the aggregated principal distributions referred to in clause (i). The following table shows the "Expected Weighted Average Life" and the "Expected Principal The following table shows the "Expected Weighted Average Life" and the "Expected Principal Window" for each Class of Notes under various constant default rates. The "Expected Weighted Average Window" for each Class of Notes under various constant default rates. The "Expected Weighted Average Life" of each Class of Notes is determined by (i) multiplying the amount of each principal distribution on Life" of each Class of Notes is determined by (i) multiplying the amount of each principal distribution on such Class that would result under the Collateral Assets Assumptions by the number of years from the such Class that would result under the Collateral Assets Assumptions by the number of years from the 110 110 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825480 GS MBS-E-02182S480 Footnote Exhibits - Page 5570 date determination the related Payment Date (assuming 30 days in eachmonth and month and 360-day date ofofdetermination totothe related Payment Date (assuming 30 days in each distributions aa360-day referred to year), (ii) adding the results and(iii) dividing the sum by the aggregated principal distributions referred to and (iiQ dividing the sum by the aggregated principal and last payments of year), (ii) adding the results Principal Window" for Class of Notes is when the first in clause (Q. The "Expected in clause (i). The "Expected Principal Window" for aa Class of Notesiswhen the first and last payments of principal areexpected to be made under the Collateral Assets Assumptions. The loss severity is expected to be made under the Collateral Assets Assumptions. The loss severity is principal are be 80%. assumed to assumed to be 80%. Sensitivity of Principal Payments to CDR Sensitivity of Principal Payments to CDR 0.0% CDR 0.0% CDR Expected Expected Weighted' Weighted Average Average Ufe Ufe Expected Expected Principal Principal Window Window September September 4,2007to 4, 2007 to September September 3,2011 3, 2011 September September 3,201110 3,2011 to March 3 March 3, 2014 2014 March 3, March 3, 2014 to June 2014 to June 3,2014 3, 2014 June 3, 2014 June 3, 2014 10 December to December 3,2014 3, 2014 September September 4,2007to 4, 2007 to September September 3,2015 3,2015 June 3, 2010 June 3, 2010 to to September September . 3,2015 3, 2015 0.1% CDR 0.1% CDR Expected Expected Weighted Weighted Average Average Ufe Ufe Expected Expected Principal Principal Window Window 0.25% CDR 0.25% CDR Expected Expected Weighted Weighted Average Average Ufe Ute Expected Expected Principal Principal Window WindOw September 4, September 4, 2007 to 2007 to September 3, September 3, 2011 2011 September 3, September 3, 2011 to March 2011 to March 3, 2014 3,2014 March 3, 2014 March 3, 2014 to June 3, to June 3, 2014 2014 June 3, 2014 June 3, 2014 to December December 3, 2014 3,2014 September 4, September 4, 2007 to 2007 to September 3, September 3, 2015 2015 September 3, September 3, 2010 to 2010 to September 3, September 3, 2015 2015 March 3,2011 March 3, 2011 to September to September 3,2015 3,2015 September 4. September 4, 200710 2007 to September 3, September 3, 2015 2015 0.5% CDR 0.5% CDR Expected Expected Weighted Weighted Average Life Average Ute Expected Expected Principal Principal Window Wmdow September 4, September 4, 2007 to 2007 to September '3, September 3, 2011 2011? September 3, September 3, 20114 2011 3, March to March 3, 2014 2014 March 3, March 3, 2014 to June 20142014 3, to June 3,2014 June 3,2014 June 3, 2014 to December to December 3,.2014 3,2014 September 4, September 4, 200to 2007 to September 3, September 3, 2015 2015 December 3, December 3, 2010 to 201010 September 3, September 3, 2015 2015 September 3, September 3, 2011 to 2011 to September 3, September 3, 2015 2015 September 4, September 4; 2007 to September 3, 2007 to September 3, 2015 2015 Class Class A-1a A-la 2.99 years 2.99 years September 4, September 4. 2007 to 200710 2.95 years 2.97years September years 2.95 years 2.97 September3, 3, 2011 2011 September 3, September 3, 2011 to 2011 3, March to 5.94 years 5.94 years March 3, 2014 2014 March 3, March 3, 2014 to June 201410 June 3,2014 3,2014 3, 2014 June 3, 2014 to December to December 3,2014 3,2014 September September 4, 2007 to 2007 to September 3. September 3, 2015 2015 June 3, 2010 June 3, 2010 to September September 2015 3, 3,2015 December 3, December 3, 2010 to, 2010 to September 3, September 3, 2015 2015 September 4, September 4, 2007 to 2007 to September 3, September 3, 2015 2015 2.93 years 2.93 years A-1b A-lb 5.96 years 5.96 years 5.92 years 5.92 years 5.88 years S.88years A-1c A-1c 7.14 years 7.14 years 7.14 years 7.14 years 7.14 years 7.14 years 7.13 years 7.13 years A-1d A-id 7.49 years 7.49 years 7.49 7.49 years 7.49 years 7.49 years 7.49 years 7.49 years A-2 A-2 6.11 years 6.11 years 6.10years 6.10 years 6.08 years 6.08 6.05 years 6.05 years B B 6.73 years 6.73 years 6.72 years 6.72 years 6.71 years 6.71 years 6.70 years 6.70 years C C 6.79 years 6.79 years September September 3,2010 to 3, 2010 to 6.78 years 1ptember6.78years S September 3,2015 3, 2015 September September 4,2007to 4. 2007 to September September 3,2015 3,2015 6.78 years 6.78 years 6.87 years 6.87 years D D 6.45 years 6.45 years 6.47 years 6.47 years 6.59 years 6.59 years ears years 7.127.12 7.12 years Rate Stress The table set forth below entitled "ClasS A-1, A-2, B, C and 0DNote Constant Default Rate Stress The table set forth below entitled "Class A-1, A-2, B, C and Note Constant Default Notes under Tests" shows the Constant Default Rate ("CDR") and Cumulative Defaults for each Class of Notes under ("CDR') and Cumulative Defaults for each Class of Tests" shows the Constant Default Rate In column one three stress scenarios, assuming aa80% loss severity on defaulted Collateral Assets. In column one three stress scenarios, assuming 80% loss severity on defaulted Collateral Assets. September 2008 Payment Date that ("First Dollar of Loss"), CDR represents the CDR starting on the September 2008 Paymeflt Date that ("First Dollar of Loss"), CDR represents the CDR starting on the Class of Notes. Cumulative Defaults would result in the first dollar of prinCipal loss to the respective Class. of Notes. Cumulative Defaults would result in the first dollar of principal loss to the respective balance of the Collateral Assets as represent the sum of such defaults divided by the aggregate principal balance of the Collateral Assets as represent the sum of such defaults divided by the aggregate principalthe CDR starting on the September of the Closing Date. In column two ("Flat Return'), CDR represents the CDR starting on the September CDR represents of the Closing Date. In column two ("Flat Return'), 111 111 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825481 GS MBS-E-021825481 Footnote Exhibits - Page 5571 margin in 2008 Payment Date that would result in a yield equivalent to a zero discount margin over three-month UBOR A-1a A-1b A-1d A-2 LIBOR for the Class A-la Notes, Class A-lb Notes, Class A-1c Notes, Class A-Id Notes, Class A-2 such represent D C Notes, Class B Notes, Class C Notes and Class 0 Notes. Cumulative Defaults represent the sum of such Date. In defaults divided by the aggregate principal balance of the Collateral Assets as of the Closing Date. In CDR represents (0% return)"), CDR starting the ("Retum column three C'Retum of Investment, (0% retu m)") , the CDR represents the CDR starting on the return in A-1a September 2008 Payment Date that would result in an approximate 0.0% retum for the Class A-la Notes, Class C Notes B A-1b A-1d Class A-lb Notes, Class A-1c Notes, Class A-ld Notes, Class A-2 Notes, Class B Notes, Class C Notes the aggregate D Cumulative and Class 0 Notes. Cumulative Defaults represent the sum of such defaults divided by the aggregate principal balance of the Collateral Assets as of the Closing Date. ' A-1. B. C Class A-1. A-2. B. C and D Notes Constant Default Rate Stress Tests 0 First Dollar of Loss Constant Annual Default Default Rate at 80% Loss Severity Class A-la* ClassA-1a* Class A-1b ClassA-1b ClassA-1c Class A-1c Class A-1d ClassA-2 Class A-2 B Class B Class C C D Class 0 Flat Retum -_ Retum of Investment Return (0% retum) (0% return) CDR NA 24.4% 18.8% 18.8% 14.6% . 14.6% 5.9% 3.5% 2.3% 2.3% 0.9% 0.9% Cumulative Defaults 70.199% 60.597% 51.387% 25.085% 15.700% 10.600% 4.281% 4.281% NA CDR CDR NA 24.8% 19.2% 19.2% 15.1% 15.1% 6.5% 6.5% 3.9% 2.6% 1.7% 1.7% Cumulative Defaults NA 70.785% 61.377% 52.587% 27.271% 27.271% 17.338% 11.901% 11.901% 7.941% 7.941% CDR NA 28.4% '21.2% 21.2% 16.6% 16.6% 9.7% 5.0% 2.9% 1.9% 1.9% Cumulative .Defaults NA NA 75.541% 75.541% 65.050% 56.013% 37.934% 21.689% 13.185% 13.185% 8.836% Class A-1a Notes *Under o Under the given default and modeling assumptions, the ClassA-1a Notes do not take a loss. and modeling toss. of Yield. The yield to maturity of the Notes of each Class will also be affected by the rate of Yield. well as redemption repayment of the Collateral Assets, as well as by the redemption of the Notes in an Auction, an Optional in an Auction, Redemption or Tax Redemption (and upon the Redemption Price then payable). The Issuer is not is not payments required to repay the Notes on any date prior to their Stated Maturity. The receipt of principal payments on the Notes at a rate slower than the rate anticipated by investors purchasing the Notes at a discount will a result in an actual yield that is lower than anticipated by such investors. in is affected by the rate delinquencies and defaults maturity The yield to maturity of the Notes may also be affected by the rate of delinquencies and defaults on and liquidations of the Collateral Assets, to the extent not absorbed by the Income Notes; sales of Collateral Assets; and/or purchases of Collateral Assets having different scheduled payments and Priority of payment characteristics and the effect of the Coverage Tests on payments under the Priority of Payments. The yield to investors in the Notes will also be adversely affected to the extent that the Issuers issuers in incur certain expenses that are not absorbed by the Income Notes. THE COLLATERAL MANAGER COLLATERAL MANAGER The information appearing in this section (other than the information contained under the in not independently Manager "General') subheading "General") has been prepared by the Collateral Manager and has not been independently verified by the Initial Purchaser or either of the Issuers. Neither the Initial Purchaser nor the Issuers assume any responsibility for the accuracy, completeness or applicability of such information. General Certain management, administrative and advisory functions with respect to the Collateral Assets will be performed by Greywolf Capital Management LP, a Delaware limited partnership ("Greywolf"), as a partnership ("Greywolf'), as Management a Collateral Management Agreement Manager the Collateral Manager under a CollaJ~ral_ ManagelJ'le,nt Agreem~nt between the Issuer and Greywolf Greywolf "Collateral Management Agreement"). dated as of the Closing Date (the "Collateral Management Agreement"). Pursuant to the terms of the (i) Collateral Management Agreement, the Collateral Manager will (i) monitor the Collateral Assets and Management 112 112 Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825482 MBS-E-021825482 Footnote Exhibits - Page 5572 disposition of provide certain information with respect the Collateral Assets to the Trustee, (ii) direct the provide certain information with respect toto the CollateralAssets to the Trustee, (ii) direct the disposition of theCollateral Assets under the limited circumstances described herein, (iii) direct the reinvestment of the Collateral Assets under the limited circumstances described herein, (iii) direct the reinvestment of the the proceeds therefrom in Eligible Investments, (iv) monitor the Cashflow Swap Agreement anddetermine proceeds therefrom in Eligible Investments, (iv) monitor the Cashflow Swap Agreement and determine whether and when the Issuer should exercise any rights available under any Cashflow Swap Agreement, whether and when the Issuer should exercise any rights available under any Cashflow Swap Agreement, of and (v) direct the reinvestment of Default Swap Collateral with the consentof the Synthetic Security and (v) direct the reinvestment of Default Swap Collateral with the consent withthe Synthetic Security the requirements set Counterparty. The Collateral Manager will perform its duties in accordance withthe requirements set The Collateral Manager will perform its duties in accordance Counterparty. forth in the Indenture and in accordance with the provisions of the Collateral Management Agreement. forth in the Indenture and in accordance with the provisions of the Collateral Management Agreement. The Collateral Manager is also subject to certain other conflicts of interest. See "Risk Factors-Other The Collateral Manager is also subject to certain other conflicts of interest. See "Risk Factors-Other Considerations-Certain Conflicts of Interesf' and "Risk Factors-Other Considerations-The Collateral Considerations-Certain Conflicts of Interest" and "Risk Factors-Other Considerations-The Collateral Manager." Manager." Greywolf Capital Management LP Greywolf Capital Management LP Greywolf is an SEC- registered investment adviser and currently manages over $2,000,000,000 Greywolf is an SEC- registered investment adviser and currently manages over $2,000,000,000 in capital. Greywolf was founded in 2003 by a team of former employees of Goldman Sachs fixed income capital. Greywolf was founded in 2003 by a team of former employees of Goldman Sachs fixed income in trading division and now has 29 investment professionals with extensive experience in distressed, high trading division and now has 29 investment professionals with extensive experience in distressed, high yield and structured product investing. A copy of the Collateral Manager's Form ADVis being delivered to yield and structured product investing. Acopy of the Collateral Managers Form ADV is being delivered to investors in connection with the delivery of this offering circular as Appendix B hereto. investors in connection with the delivery of this offering circular as Appendix B hereto. Key Personnel Key Personnel Set forth below is information regarding the background, principal responsibilities and other Set forth below is information regarding the background, principal responsibilities and other affiliations of certain of the principal officers and other employees of the Collateral Manager, including affiliations of certain of the principal officers and other employees of the Collateral Manager, including those personnel who will be primarily responsible for managing the Collateral Assets and for performing those personnel who will be primarily responsible for managing the Collateral Assets and for performing the advisory and administrative functions related Although these individuals are currently the advisory and administrative functions related thereto. Although these individuals are currently employed by the Collateral Manager and hold the offices indicated below with the Collateral Manager, by the Collateral Manager and hold the offices indicated below with the Collateral Manager, employed In addition, such persons such persons will not be engaged full time in the management of such persons will not be engaged full time inthe management of the Collateral. Inaddition, such persons term of the Collateral Management may not necessarily continue to be so employed during the entire term of the Collateral Management not necessarily continue to be so employed during the may Agreement or may not continue to perform Collateral Manager under the Collateral Agreement or may not continue to perform services for the Collateral Manager under the Collateral Management Agreement. Agreement. Management Collateral Management Team Collateral Management Team 2005 as a Partner and is Gregory Mount, Partner. Mr. in Gregory Mount, Partner. Mr. Mount joined Greywolf in September 2005 as a Partner and is the co-portfolio manager of. Timberwolf responsible for structured product investments. Mr. Mount will be the co-portfolio manager of Timberwolf for structured product investments. responsible at Goldman Sachs for 9 years from I, Ltd. with Joe Marconi. Prior to joining Greywolf, Mr. Mount worked at Goldman Sachs for 9 years from 1,Ltd. with Joe Marconi. Prior to joining Greywolf, Goldman's CDO business In 1996 which he retired as a Partner of the firm in 2005. Mr. Mount founded Goldman's COO business In 1996 Mount in 2005. which he retired as a Partner of the and structured products, including co-head and later held numerous senior positions in credit derivatives and structured products, including co-head senior positions in and later held numerous RMBS, ABS and CDO businesses and of the Structured Products Group, which consisted of the CMBS, RMBS, ABS and COO businesses and the of the Structured Products Group, which synthetic CDOs. Mr. Mount also head of Portfolio Credit Derivatives which encompassed cash and synthetic COOs. Mr. Mount also cash head of Portfolio Credit Derivatives initiated Goldman's proprietary COO investment activity in 2003 and was the primary decision-maker for in 2003 and was the primary decision-maker for initiated Goldman's proprietary CDO that portfolio at its inception. Mr. Mount received a B.S. in Electrical Engineering from M.I.T. in 1987, and in Electrical Engineering from M.I.T. in 1987, and that portfolio at its inception. Mr. Mount received a B.S. an M.BA, with high honors, from The University of Chicago Graduate School of Business in 1992. an M.B.A., with high honors, from The University of Chicago Graduate School of Business in 1992. for Joe Marconi, Vice President. Mr. Marconi joined Greywolf in April 2006 and is responsible for Joe Marconi, Vice President. Mr. Marconi joined Greywolf in April 2006 and is responsible Mr. structured product investments. Mr. Marconi will be the co-portfolio manager of Timberwolf I, Ltd. with Mr. Mr. Marconi will be the co-portfolio manager of Timbetwolf 1,Ltd. with structured product investments. Mount. Prior to joining Greywolf, Mr. Marconi was a Managing Director in the Structured Products Group Mount. Prior to joining Greywolf, Mr. Marconi was a Managing Director in the Structured Products Group at Goldman Sachs where he was co-head of ABS Finance and a member of the Mortgage Capital at Goldman Sachs where he was co-head of ABS Finance and a member of the Mortgage Capital ABS and Committee (which is responsible for approving capital commitments across the CMBS, RMBS, ABS and Committee (which is responsible for approving capital commitments across the CMBS, RMBS, in 2003. COO businesses). Mr. Marconi joined Goldman Sachs in 1993 and became a Managing Director in 2003. Sachs in 1993 and became a Managing Director CDO businesses). Mr. Marconi joined Goldman Swaine & Prior to joining Goldman Sachs, from 1984 to 1993, Mr. Marconi was an attorney withCravath, Swaine & Prior to joining Goldman Sachs, from 1984 to 1993, Mr. Marconi was an attomey with Cravath, cum laude, from summa cum laude, from Moore in New York and London. Mr. Marconi received a B.A. in Economics, summa Moore in New York and London. Mr. Marconi received a B.A. in Economics, from Columbia College in 1983 and was elected to Phi Beta Kappa. Mr. Marconi also received aaJ.D. from Columbia College in 1983 and was elected to Phi Beta Kappa. Mr. Marconi also received J.D. Columbia Law School in 1984 and was aa Harlan Fiske Stone Scholar each of his three years. in 1984 and was Harlan Fiske Stone Scholar each of his three years. Columbia Law School Jonathan Savitz, Partner. Mr,Savitz co-founded Greywolf in February 2003 and is the Firm's Jonathan Savitz, Partner. Mr. Savitz co-founded Greywolf in February 2003 and is the Firm's Chief Executive Officer and the Funds' Chief Investment Officer. Prior to co-founding Greywolf, Mr. Chief Executive Officer and the Funds' Chief Investment Officer. Prior to co-founding Greywolf, Mr. firm in 2002. Savitz worked at Goldman Sachs for over 15 years from which he retired as aa Partnerof the firm in 2002. Savitz worked at Goldman Sachs for over 15 years from which he retired as Partner of the 113 113 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825483 GS MBS-E-021825483 Footnote Exhibits - Page 5573 From 1998 2002, Mr. Savitz led Goldman's global distressed trading, sales and research effort and was From 1998 -- 2002, Mr. Savitz led Goldman's global distressed trading, sales and research effort and was a primary decision maker and risk manager in Goldman's proprietary investing activities across the fixed a primary decision maker and risk manager in Goldman's proprietary investing activities across the fixed income markets. From 1995 1998, Mr. Savitz managed the high yield trading desk and prior thereto held income markets. From 1995 -- 1998, Mr. Savitz managed the high yield trading desk and prior thereto held positions in distressed proprietary investing and corporate bond trading. Mr. Savitz joined Goldman in positions in distressed proprietary investing and corporate bond trading. Mr. Savitz joined Goldman in 1987 after graduating with a BA, with honors, from The Johns Hopkins University. 1987 after graduating with a B.A., with honors, from The Johns Hopkins University. James Gillespie, Partner. Mr. Gillespie is a co-founder of Greywolf and is a Portfolio Manager of James Gillespie, Partner. Mr. Gillespie is a co-founder of Greywolf and is a Portfolio Manager of the Special Situations Funds. Prior to founding Greywolf, Mr. Gillespie worked at Goldman Sachs for six the Special Situations Funds. Prior to founding Greywolf, Mr. Gillespie worked at Goldman Sachs for six years. Mr. Gillespie was head of Distressed Bond Investing where he ran Goldman's proprietary years. Mr. Gillespie was head of Distressed Bond Investing where he ran Goldman's proprietary distressed bond portfolio on the trading desk. Prior thereto, Mr. Gillespie was director of distressed bond distressed bond portfolio on the trading desk. Prior thereto, Mr. Gillespie was director of distressed bond research after having been a distressed analyst for Goldman's bank loan and bond desks. Mr. Gillespie research after having been a distressed analyst for Goldman's bank loan and bond desks. Mr. Gillespie has significant experience in analyzing, valuing and investing distressed securities as well as managing has significant experience in analyzing, valuing and investing in distressed securities as well as managing a large portfolio of distressed investments. He also has experience actively participating in the workout a large portfolio of distressed investments. He also has experience actively participating in the workout process as both a committee member and large Prior to Goldman, Mr. Gillespie worked at process as both a committee member and large creditor. Prior to Goldman, Mr. Gillespie worked at Salomon Brothers in high yield markets. Mr. Gillespie received Bachelor of Commerce degree, Salomon Brothers in high yield capital markets. Mr. Gillespie received a Bachelor of Commerce degree, with honors, from the University of British Columbia in 1995 and a Leslie Wong Fellow. Mr. Gillespie is with honors, from the University of British Columbia in 1995 and is a Leslie Wong Fellow. Mr. Gillespie is a CFA charterholder. a CFA charterholder. Robert Partner. Mr. Miller a co-founder of Greywolf and a Portfolio Manager for the Robert Miller, Partner. Mr. Miller is a co-founder of Greywolf and a Portfolio Manager for the Greywolf High Yield Funds. Prior to founding Greywolf, Mr. Miller worked at Goldman Sachs for 10 years Miller worked Goldman Sachs for 10 years Greywolf High Yield Funds. Prior to In New and London from 1998 - 2000. After retiring and Goldman's Yield trading and ran Goldman's high yield trading desks in New York and London from 1998 - 2000. After retiring the firm for almost two on electronic bond from Goldman, Mr. Miller was retained from Goldman, Mr. Miller was retained by the firm for almost two years as a consultant on electronic bond trading Prior to heading high Miller was high yield and corporate trading platforms. Prior to heading the high yield trading desk, Mr. Miller was a high yield and corporate bond trader Goldman credit PNC During bond trader for Goldman and prior thereto was a credit analyst for PNC Bank. During his career, Mr. Miller has traded and major industry proprietary in straight debt, Miller has traded and analyzed most major industry sectors and held proprietary positions in straight debt, common and preferred and credit derivatives. Mr. Miller common and preferred stock, futures, convertibles, trust preferred, and credit derivatives. Mr. Miller in Franklin and a'n M.BA, with received a B.A. magna received a BA magna cum laude from Franklin and Marshall College in 1983 and an M.B.A., with in UNC-Chapel honors, from UNC-Chapel Hill in 1989. Manager and a Cevdet Samikoglu, Partner. Mr. Samikoglu is a co-founder of Greywolf and a Portfolio Manager Partner. is Cevdet Samikoglu at Goldman Sachs for Special of the Special Situations Funds. Prior to founding Greywolf, Mr. Samikoglu worked at Goldman Sachs for Special portfolio managers in Investing Group, a ten where ten years where he was one of three portfolio managers in the Special Situations Investing Group, a to Goldman Sachs' proprietary internal hedge fund. Prior to assuming his portfolio management role in his portfolio management role in Goldman investing Goldman including director of 2000, Mr. Samikoglu held numerous positions in distressed investing at Goldman including director of numerous in Samikoglu 2000, in 1992 as a corporate finance research in both the US and Europe. Mr. Samikoglu joined Goldman in 1992 as a corporate finance in research in 1998 after returning a credit generalist before moving to the distressed investing business as a credit analyst in 1998 after returning generalist in all layers levered capital from business school. Mr. Samikoglu has extensive experience investing in all layers of levered capital from business actively in steering and creditors' structures both on the long and short side and, at times, participating actively in steering and creditors' structures both in 1992 and an M.B.A. committees. Mr. Samikoglu received a BA cum laude from Hamilton College in 1992 and an M.B.A. a B.A. cum committees. Mr. . from Harvard Business School in 1997. Harvard Business School in from a Portfolio Manager of the High of William Troy, Partner. Mr. Troy is a co-founder of Greywolf and a Portfolio Manager of the High Troy, Partner. Mr. Troy is a Prior to founding Greywolf, risk Yield Funds, as well has having responsibility for firmwide risk management. Prior to founding Greywolf, for has Funds, Yield Yield business, which he joined following the merger Mr. Troy was the key manager for JP Morgan's High Yield business, which he joined following the merger manager JP Morgan's the Mr. Troy Troy was a member of the Senior Trader's of Smith Barney with Salomon Brothers. At JP Morgan, Mr. Troy was a member of the Senior Trader's Salomon Brothers. At JP Morgan, of Smith Barney and the Credit Committee. Prior to JP Committee, the Underwriting Committee, the Risk Committee and the Credit Committee. Prior to JP Risk Underwriting Committee, Committee, to co-head the High Yield a Managing Morgan, Mr. Troy joined Smith Barney in 1996 as a Managing Director to co-head the High Yield Smith Barney in 1996 Morgan, Mr. Troy business, overseeing sales, trading, research and syndicate. Prior to Smith Barney, Mr. Troy joined overseeing sales, trading, research and syndicate. Prior to Smith Barney, Mr. Troy joined business, Goldman Sa.chs in 1986 as a senior corporate bond trader where he was responsible for risk taking Goldman Sachs in 1986 as a senior corporate bond trader where he was responsible for risk taking activities with a further mandate to expand the business and develop new trading personnel. He was activities with a further mandate to expand the business and develop new trading personnel. He was later asked to join the High Yield department in 1991 as the senior trader. Prior to Goldman Sachs, Mr. later asked to join the High Yield department in 1991 as the senior trader. Prior to Goldman Sachs, Mr. Troy joined Salomon Brothers in 1978 as a manager for the international business in cashiering Troy joined Salomon Brothers in 1978 as a manager for the international business in cashiering operations and subsequently as a trader on the corporate bond trading desk. Mr. Troy began his 37-year operations and subsequently as a trader on the corporate bond trading desk. Mr. Troy began his 37-year Wall Street career in 1969 at Dean Witter. Wall Street career in 1969 at Dean Witter. 114 114 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825484 GS MBS-E-021825484 Footnote Exhibits - Page 5574 Conflicts of Interest Conflicts of Interest Various potential and actual conflicts of interest may arise from the overall advisory, investment Various potential and actual conflicts of interest may arise from the overall advisory, investment and other activities of the Collateral Manager, affiliates and their respective clients and employees.The and other activities of the Collateral Manager, affiliates and their respective clients and employees.ofThe following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list all following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. . such conflicts. The Collateral Manager and/or its affiliates have ongoing relationships with, render service to, The Collateral Manager and/or its affiliates have ongoing relationships with, render service to, finance and engage in transactions with, and may own debt or equity securities issued by issuers of issuers of finance and engage in transactions with, and may own debt or equity securities issued by behalf of certain of the Collateral Assets. The Collateral Manager and its affiliates may invest on certain of the Collateral Assets. The Collateral Manager and its affiliates may invest on behalf of themselves and other clients in securities that are senior or subordinated to, or have interests different themselves and other clients in securities that are senior or subordinated to, or have interests different from or adverse to, the Collateral Assets. The interests of such parties may be different than or adverse or adverse from or adverse to, the Collateral Assets. The Interests of such parties may be different than information to the interest of the Holders of the Securities. In addition, such persons may possess information to the interest of the Holders of the Securities. In addition, such persons may possess responsible relating to the Collateral Assets that is not known to the individuals at the Collateral Manager relating to the Collateral Assets that is not known to the individuals at the Collateral Manager responsible for monitoring the Collateral Assets and performing the other obligations under the Collateral for monitoring the Collateral Assets and performing the other obligations under the Collateral Management Agreement. Such persons will not be required (and may not be permitted) to share such Management Agreement. Such persons will not be required (and may not be permitted) to share such information or pass it along to the Issuer, the Coilateral Manager or any holder of any Security. Neither information or pass it along to the Issuer, the Collateral Manager or any holder of any Security. Neither the Collateral Manager nor any of such persons will have liability to the Issuer or any Holder of any the Collateral Manager nor any of such persons will have liability to the Issuer or any Holder of any Security for failure to disclose such inforniation or for taking, or failing to take, any action based upon Security for failure to disclose such information or for taking, or failing to take, any action based upon such information. such information. In addition, the Collateral Manager and/or of its affiliates may engage in any other business In addition, the Collateral Manager and/or any of its affiliates may engage in any other business and furnish investment management and advisory services to others which may include, without furnish investment management and to others which may include, without and investing in, lending being affiliated with or have other limitation, serving as consultant or servicer for, investing in, lending to, being affiliated with or have other serving as conSUltant limitation, ongoing relationships with, other entities organized collateralized debt by ongoing relationships with, other entities organized to issue collateralized debt obligations secured by vehicles that a.cquire similar to the Collateral Assets, other assets similar to the Collateral Assets, and other trusts and pooled investment vehicles that acquire assets interests in, provide financing issued issuers that would be suitable interests in, provide financing to, or otherwise deal with securities issued by issuers that would be suitable Issuer, the investments for the Issuer. In the course monitoring Collateral investments for the Issuer. In the course of monitoring the Collateral Assets held by the Issuer, the Collateral Manager may consider its relationships with other clients (including entities whose securities (or whose (or Manager may consider its Collateral In providing services to other those of its affiliates) are pledged those of its affiliates) are pledged to secure the Notes) and its affiliates. In providing services to other that would compete with or clients, the Collateral Manager and its affiliates may recommend activities that would compete with or clients, the Collateral Manager be free, in its sole discretion, otherwise adversely affect the Issuer. In addition, the Collateral Manager will be free, in its sole discretion, affect the Issuer. In Collateral Manager otherwise adversely of itself or for others, that may be the to make recommendations to others, or effect transactions on behalf of itself or for others, that may be the to make recommendations to and the Collateral Manager may furnish Issuer, the Collateral Manager may fumish same as or different from those effected on behalf of the Issuer, behalf same as or different from those similar to those followed by the Issuer and advisory services to others who may have investment policies similar to those followed by the Issuer and may advisory services to others who type as, the Collateral Assets. Under the who may own securities of the same class, or which are the same type as, the Collateral Assets. Under who may own securities of the same class, Manager will be permitted to take the terms of the Collateral Management Agreement, the Collateral Manager will be permitted to take the the terms of the Collateral Management Agreement, whatever action is in the Collateral Manager's best interest regardless of the impact on the Collateral action is in the Collateral Manager's best interest regardless of the impact on the Collateral whatever sell Assets. In addition, under certain circumstances the Collateral Manager may direct the Issuer to sell Assets. In addition, under certain circumstances the Collateral Manager may direct the Issuer to certain Collateral Assets. Such sales of Collateral Assets may result in losses by the Issuer, which losses of Collateral Assets may result in losses by the Issuer, which losses certain Collateral Assets. Such of may result in the reduction or withdrawal of the rating of any or all of the Securities by any of the Rating may result in the reduction or withdrawal of the rating of any or all of the Securities by any notthe Rating take into Agencies. In determining whether to exercise such right, the. Collateral Manager need not take into Agencies. In determining whether to exercise such right, the. Collateral Manager need account the interests of the Issuers, the Noteholders, the Income Noteholders or any other party. of the Issuers, the Noteholders, the Income Noteholders or any other party. account the interests The Collateral Manager and/or its affiliates may at certain times be simultaneously seeking to The Collateral Manager and/or its affiliates may at certain times be simultaneously seeking to other purchase or dispose of investments for their respective accounts or for another entity, including other purchase or dispose of investments for their respective accounts or for another entity, includingIssuer. collateralized debt obligation vehicles, at the same time as it is disposing of investments for the Issuer. as it is disposing of investments for the collateralized debt obligation vehicles, at the same time Accordingly, conflicts may arise regarding the allocation of sale opportunities. Accordingly, conflicts may arise regarding the allocation of sale opportunities. The Collateral Manager may aggregate sales of securities placed with respect to the Collateral The Collateral Manager may aggregate sales of securities placed with respect to the Collateral Assets with similar sales being made simultaneously for other clients or other accounts managed by the Assets with similar sales being made simultaneously for other clients or other accounts managed by the Collateral Manager or with accounts of the affiliates of the Collateral Manager, if in the Collateral Collateral Manager or with accounts of the affiliates of the Collateral Manager, if in the Collateral benefit to Manager's reasonable business judgment such aggregation will result in an overall economic benefit to Manager's reasonable business judgment such aggregation will result in an overall economic and other the Issuer, taking into consideration the advantageous selling price, brokerage commission and other into consideration the advantageous selling price, brokerage commission the Issuer, taking Collateral expenses. However, no provision of the Collateral Management Agreement requires the Collateral expenses. However, no provision of the Collateral Management Agreement requires the Manager or its affiliates to execute orders as part of concurrent authorizations or to aggregate sales. as part of concurrent authorizations or to aggregate sales. Manager or its affiliates to execute orders 115 115 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825485 GS MBS-E-021825485 Footnote Exhibits - Page 5575 Nevertheless, the Collateral Manager may, in the allocation of business, take into consideration research Nevertheless, the Collateral Manager may, in the allocation of business, take into consideration research and other brokerage services fumished to the Collateral Manager or its affiliates by brokers and dealers. and other brokerage services furnished to the Collateral Manager or its affiliates by brokers and dealers. Such services may be used by the Collateral Manager in connection with the Collateral Manager's other Such services may be used by the Collateral Manager in connection with the Collateral Manager's other advisory services or investment operations. advisory services or investment operations. No provision in the Collateral Management Agreement prevents the Collateral Manager or any of No provision in the Collateral Management Agreement prevents the Collateral Manager or any of its affiliates from rendering services of any kind to the issuer of any Collateral Assets and its affiliates, the its affiliates from rendering services of any kind to the issuer of any Collateral Assets and its affiliates, the Trustee, the Holders of the Securities, the Cashflow Swap Counterparty or any other entity. Without Trustee, the Holders of the Securities, the Cashflow Swap Counterparty or any other entity. Without prejudice to the generality of the foregoing, the Collateral Manager and its affiliates, directors, officers, prejudice to the generality of the foregoing, the Collateral Manager and its affiliates, directors, officers, employees and agents may, among other things: (a) serve as general partner, adviser, sponsor or employees and agents may, among other things: (a) serve as general partner, adviser, sponsor or manager of partnerships or companies organized to issue collateralized bond or loan obligations secured manager of partnerships or companies organized to issue collateralized bond or loan obligations secured by assets similar to the Collateral Assets, directors (whether supervisory or managing), partners, officers, by assets similar to the Collateral Assets, directors (whether supervisory or managing), partners, officers, fees for employees, agents, nominees or signatories for an issuer of any Collateral Assets; (b) receive fees for employees, agents, nominees or signatories for an issuer of any Collateral Assets; (b) receive provide services rendered to the issuer of any Collateral Assets or any affiliate thereof- (c)be retained to provide rendered to the issuer of any Collateral Assets or any affiliate thereot, (c) be retained to services services unrelated to the Collateral Management Agreement to the Issuer or its Affiliates and be paid and be paid services unrelated to the Collateral Management Agreement to the Issuer or its Affiliatesany Collateral therefor; (d) a secured or unsecured creditor of, or hold an equity interest in, any issuer of therefor; (d)a secured or unsecured creditor of, or hold an equity interest in, any issuer of any Collateral Assets; (e) serve as a member of any "creditors' board" or "creditors' committee" with respect to any Assets; (e) serve as a member of any "creditors' board" or "creditors' committee" with respect to any Collateral Assets which has become or may become a Defaulted Obligation or with respect to any Collateral Assets which has become or may become a Defaulted Obligation or with respect to any commercial mortgage loan securing any Collateral Assets or the respective borrower for any such commercial mortgage loan securing any Collateral Assets or the respective borrower for any such commercial mortgage loan; (f) own or make loans to any borrower or affiliate of any borrower on any of commercial mortgage loan; (f)own or make loans to any borrower or affiliate of any borrower on any of in the commercial mortgage loans securing the Collateral Assets; (g) invest, or have already invested, in the commercial mortgage loans securing the Collateral Assets; (g)invest, or have already invested, or obligations and/or other securities that are identical to or senior to, or have interests different from or and/or other securities that are identical to or senior to, or have interests different from obligations adverse to, the Collateral Assets; (h) make investments on their own behalf without offering such adverse to, the Collateral Assets; (h) make investments on their own behalf without offering such investment opportunities to before engaging in any Issuer or informing the Issuer of any investment opportunities to the Issuer or informing the Issuer of any investments before engaging in any investment for themselves; (i) recommend or effect direct trades between the Issuer and the Collateral investment for themselves; (i) recommend or effect direct trades between the Issuer and the Collateral Manager or a Collateral Manager or which the Collateral Manager or an Manager or a Collateral Manager Affiliate or funds or accounts for which the Collateral Manager or an or to applicable legal Affiliate serve as Collateral Affiliate serve as Collateral Manager, acting as principal or agent, subject to applicable legal have ongoing appropriate Collateral ongoing requirements; (j) invest in obligations that would requirements; 0) invest in obligations that would be appropriate as Collateral and obligations are with, companies whose relationships with, render in relationships with, render services to or engage in transaction with, companies whose obligations are of included in the Collateral and may equity issuers of and other obligors of included in the Collateral and may own equity or debt securities by issuers of and other obligorsthe the Collateral Manager and/or Collateral Assets; and (k) enter into agency cross-transactions where the Collateral Manager and/or the Assets; and (k) Collateral other party to the transaction, to the Collateral Manage Affiliates acts as broker for the Issuer and for the other party to the transaction, to the Collateral Manage Affiliates acts broker Management Agreement, the extent permitted under applicable law. Under the terms of the Collateral Management Agreement, the extent permitted under applicable Manager's best interest Collateral Manager will be permitted to take whatever action is in the Collateral Manager's best interest action is in the Collateral Manager will be permitted to regardless of the impact on the Collateral Assets. Assets. regardless of the impact on Collateral Manager Members of the board of directors of the Issuer who are not affiliated with the Collateral Manager Issuer who Members of the board of directors of or their delegates or other authorized representatives of the Issuer will have the responsibility for Issuer will have the responsibility for representatives of or their delegates or other authorized or its affiliates involving approving any transactions between the Issuer and the Collateral Manager or its affiliates involving approving any transactions between the Issuer and the Collateral significant conflicts of interest (including principal trades). More particularly, directors unaffiliated with the principal trades). More particularly, directors unaffiliated with the significant conflicts of interest (including any Collateral Manager or any delegate designated by such directors will be responsible for approving any Collateral Manager or any delegate designated by such directors will be responsible for approvingAct. to Section 206(3) of the Advisers principal transactions for which Issuer consent is required pursuant to Section 206(3) of the Advisers Act. principal transactions for which Issuer consent is required pursuant In addition, with the prior authorization of the Issuer, which has been given and can be revoked at In addition, with the prior authorization of the Issuer, which has been given and can be revoked at where the any time, the Collateral Manager and/or its affiliates may enter into agency cross-transactions where the any time, the Collateral Manager and/or its affiliates may enter into agency cross-transactions Collateral Manager and/or its affiliates acts as broker for the Issuer and for the other party to the its affiliates acts as broker for the Issuer and for the other party to the Collateral Manager and/or transaction,' to the extent permitted under applicable law, in which case the Collateral Manager or any transaction, to the extent permitted under applicable law, in which case the Collateral Manager or any such affiliate will receive commissions from, and have a potentially conflicting division of loyalties and such affiliate will receive commissions from, and have a potentially conflicting division of loyalties and responsibilities regarding, both parties to the transaction. responsibilities regarding, both parties to the transaction. On the Closing Date it is expected that the Collateral Manager or one or more clients or affiliates On the Closing Date it is expected that the Collateral Manager or one or more clients or affiliates of the Collateral Manager will purchase approximately 50% of the aggregate notional amount of the Collateral Manager will purchase approximately 50% of the aggregate notional amount of the of the Income Notes, 100% of the Aggregate Outstanding Amount of the Class D Notes and may purchase Income Notes, 100% of the Aggregate Outstanding Amount of the Class D Notes and mayorpurchase more of Notes and/or Income Notes on or after the Closing Date. The Collateral Manager and/or one or more of Notes and/or Income Notes on or after the Closing Date. The Collateral Manager and/or one Securities to time additional timeto time additional Securities its affiliates or employees, or funds managed by Greywolf may own from time its affiliates or employees, or funds managed by Greywolf may own from hold of one or more types. There can be no assurance that any of the foregoing persons will continue to hold of one or more types. There can be no assurance that any of the foregoing persons will continue to 116 116 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825486 GS MBS-E-021825486 Footnote Exhibits - Page 5576 any or all of such Securities.As a a Holder of Income Notes or any other Securities, such persons may any other Securities, such persons may Securities. As Holder of Income Notes any or all of suchadverse to the other Holders of Securities.orForso long asasGreywolf isis the Collateral Greywolf the Collateral have interests For so long Holders of have interests adverse to the other by Greywolf Securities. totohold any Income Notes, any Collateral Manager andany funds managed any funds managed by Greywolfcontinue continue hold any Income Notes, any Collateral Manager and Fees otherwise payable to the Collateral Manager hereunder shall be paid by the Issuer in Issuer in management payable to the Collateral Manager hereunder shall be paid by the management Fees otherwise to such funds managed by Greywolf (on a pro rata basis among such funds), the following order: (i) first, such funds managed by Greywolf (on a pro rata basis among such funds), the following order: (i) first, to .in an amount equal tothe product of (x) such Collateral Management Fees and (y) aa fractionthe and (y) fraction the equal to the product of (x) such Collateral Management Fees managed by in an amount which is the notional amount of the Income Notes held by such funds managed byGreywolf numerator of Greywolf by such funds of which is notional numeratordenominatorthe which is amount of the Income Notes held all the Income Notes and (ii) second, of and the which is the aggregate notional amount denominator ofto Greywolf.theaggregate notional amount ofof all the Income Notes and (ii) second, and the the remainder, any, to the remainder, ifif any, Greywolf. all Greywolf or any of its clients, affiliates Qr subsidiaries will be permitted to exercise voting rights Greywolf or any of its clients, affiliates or subsidiaries will be permitted to exercise all voting rights with respect to any Securitieswhich they may acquire (o er than with respect to aavote regarding the which they may acquire (other than with respect to vote regarding the with respect to any Securities or the termination or assignment of the Collateral Management removal of the Collateral Manager or the termnination or assignment of the Collateral Management removal of the Collateral Managerpersons may be differentfrom or adverse to the interests of the other Agreement). The interestsof such persons may be different from or adverse to the interests of the other of such The Agreement).Notes.interests holders of holders of Notes. THE COLLATERAL MANAGEMENT AGREEMENT THE COLLATERAL MANAGEMENT AGREEMENT General General . The Collateral Manager will perform certain investment management and administrative functions The Collateral Manager will perform certain investment management and administrative functions with resp.ect to the Issuer and Collateral Assets on behalf of the Issuer in accordance with the applicable with respect to the Issuer and Collateral Assets on behalf of the Issuer in accordance with the applicable provisions of the Indenture and the Collateral Management Agreement. and the Collateral Management Agreement. provisions of the Indenture of and care. consistent with the The Collateral Manager agrees to exercise that degree of skill and care consistent with the agrees to The Collateral Managerattention no exercise that degree the skill practices and procedures and attention no less than that which the Collateral Manager exercises with less than that which Collateral Manager exercises with procedures and practices to comparable assets that it manages for clients in substantially similar transactions in respect and substantially similar transactions in for clients comparable assets procedures and which respect to with its practices andthat it manages which is consistent with those followed by reasonable accordance those followed by reasonable and procedures and accordance with its practices of the nature and character of and prudent institutional managers of national standing relating to assets of the nature and character of Institutional managers of national standing relating prudent and Collateral Assets. the Assets. the Collateral officers, stockholders or employees Neither the Collateral Manager nor its partners, directors, officers, stockholders or employees Neither the Collateral Manager nor its partners, the Trustee, the Holders of.the (collectively, the "Collateral Manager Affiliates") will be liable to the Issuer, the Trustee, the Holders ofthe the (collectively, the "Collateral Manager Affiliates!') will be a result the actions taken by or recommended Securities, or any other person for any loss incurred as a result of the actions taken by or recommended as Securities, or any other person for any loss incurred Indenture, except by by the Collateral Manager under the Collateral Management Agreement or the Indenture, except by Management Agreement or by the Collateral Manager under the Collateralfaith, willful misconduct, gross negligence or reckless reason of acts or omissions constituting bad faith, willful misconduct, gross negligence or reckless reason of acts or omissions constituting bad standard of liability, the Collateral disregard, of its obligations thereunder. Subject to the above mentioned standard of liability, the Collateral of obligations and each of their respective mentioned shareholders, members, officers, disregard,anditsits affiliates, thereunder. Subject to the above partners, shareholders, members, officers, Manager partners, Manager and its affiliates, and each of their respectiveattorneys will be entitled to indemnification by directors, managers, employees, agents, acCountants and attorneys will be entitled to indemnification by and managers, employees, agents, accountants or other expenses, relating to the issuance of the directors, the Issuer for any losses or liabilities, including legal or other expenses, relating to the issuance of the the Issuer for any losses or liabilities, including legal Securities, the transactions contemplated by the Indenture or the performance of the Collateral Manager's performance of the Collateral Managers Securities, the transactions contemplated by the Indenture or the obligations under the Collateral Management Agreement Management Agreement. obligations under the Collateral under the Collateral Management The Collateral Manager may assign its rights or responsibilities under the Collateral Management The Collateral Manager may assign-its rights or responsibilities Condition, and (ii) the Collateral Agreement provided that (i) such aSSignment satisfies the Rating Agency Condition, and (ii) the Collateral satisfies the Rating Agency Agreement provided that (i) such assignment Manager obtains the consent of the Issuer as directed by aaMajority of the Controlling Class and aa Majority of the Controlling Class and Manager obtains the consent of the Issuer as directed by for Majority~in-Interest of Income Notes (unless such assignment would be deemed as "assignment" for such assignment would be deemed as "assignment" The of Income Majority-in-nterest 205(a)(2) ofNotes (unlessAct, in which case such consent shall not be required). The shall not be required). the Advisers purposes of Section 205(a)(2) of theAdvisers Act, inwhich case such consent purposes of Section any or all of the duties (other Collateral Manager may delegate to an agent selected with reasonable care any or <;III of the duties (other may delegate to an agent selected with reasonable care Manager under the Collateral Collateral Manager than its asset selection or trade execution duties) assigned to the Collateral Manager under the Collateral duties) assigned to the Collateral than its asset selection or trade execution Management Agreement, provided that no delegation by the Collateral Manager of any of its duties under the Collateral Manager of any of its duties under Management Agreement, provided that no delegation byCollateral Manager of any of its duties under the the Collateral Management Agreement shall relieve the Collateral Manager of any of its duties under the the the Collateral Management Agreement shall relieve Collateral Management Agreement nor relieve the Collateral Manager of any liability with respect to the Manager of any liability with respect to the Collateral Management Agreement nor relieve the Collateral performance ofof such duties. such duties. performance 117 117 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825487 GS MBS-E-021825487 Footnote Exhibits - Page 5577 The Collateral Management Agreement may not be amended or modified (other than an The Collateral Management Agreement may not be amended or modified (other than an amendment or modification of the type that may be made to the Indenture without the consent of the amendment or modification of the type that may be made to the Indenture without the consent of the Holders of the Notes) without satisfaction of the Rating Agency Condition and the prior written consent of Holders of the Notes) without satisfaction of the Rating Agency Condition and the prior written consent of the Noteholders and any Cashflow Swap Counterparty, the consent of such parties would be required the Noteholders and any Cashflow Swap Counterparty, ififthe consent of such parties would be required were such an amendment made pursuant to the Indenture. were such an amendment made pursuant to the Indenture. The Collateral Manager may be removed for cause by the Holders of at least 66-2/3% of the The Collateral Manager may be removed for cause by the Holders of at least 66-2/3% of the ControllingClass or a Special-Majority-in-Interest of Income Noteholders (as such term is defined in the Controlling Class or a Special-Majority-in-Interest of Income Noteholders (as such term is defined in the Collateral Management Agreement) upon 20 calendar days' prior written notice; provided, however, that Collateral Management Agreement) upon 20 calendar days' prior written notice; provided, however, that any such vote will exclude any Securities held by the Collateral Manager, any affiliate of the Collateral any such vote will exclude any Securities held by the Collateral Manager, any affiliate of the Collateral Manager or any Securities over which the Collateral Manager or any of its affiliates has discretionary Manager or any Securities over which the Collateral Manager or any of its affiliates has discretionary voting authority (the "Collateral Manager Securities"). For purposes of the Collateral Management voting authority (the "Collateral Manager Securities"). For purposes of the Collateral Management Agreement, "cause" will mean (i) willful violation by the Collateral Manager of any provision of the Agreement, "cause" will mean (i) willful violation by the Collateral Manager of any provision of the Collateral Management Agreement or the Indenture applicable to it, (ii) certain events of bankruptcy or Collateral Management Agreement or the Indenture applicable to it, (ii) certain events of bankruptcy or insolvency? in respect of the Collateral Manager, (iii) the occurrence and continuation of an Event of insolvency in respect of the Collateral Manager, (iii) the occurrence and continuation of an Event of Default under the Indenture which directly results from any breach by the Collateral Manager of its duties Default under the Indenture which directly results from any breach by the Collateral Manager of its duties under the Indenture or the Collateral Management Agreement, (iv) the occurrence of an act by the under the Indenture or the Collateral Management Agreement, (iv) the occurrence of an act by the Collateral Manager which constitutes fraud or criminal activity in the performance of its obligations under Collateral Manager which constitutes fraud or criminal activity in the performance of its obligations under the Collateral Management Agreement or the indictment of the Collateral Manager or any of its officers or the Collateral Management Agreement or the indictment of the Collateral Manager or any of its officers or directors for a criminal offense materially related to its business of providing investment advisory services directors for a criminal offense materially related to its business of providing investment advisory services by the and (v) the failure of any representation, warranty, certification or statement made or delivered by the and (v) the failure of any representation, warranty, certification or statement made or delivered correct Collateral Manager in or pursuant to Collateral Management Agreement or the Indenture to be Collateral Manager in or pursuant to the Collateral Management Agreement or the Indenture to be correct when made if such failure (a) has material adverse effect on either of the Issuers, the Noteholders or when made ifsuch failure (a) has a material adverse effect on either of the Issuers, the Noteholders or th~ Holders of the Income (b) if be cured, is not cured within 60 the Holders of the Income Notes and (b)if such failure can be cured, such failure is not cured within 60 notice from the Trustee of days after the Collateral Manager acquires knowledge of or days after the Collateral Manager acquires actual knowledge of or receives notice from the Trustee of such failure. such failure. Issuer, the Trustee, the The Collateral Manager written The Collateral Manager may resign upon 60 days' written notice to the Issuer, the Trustee, the shorter notice as is acceptable to the Cashflow Swap Counterparty Cashflow Swap Counterparty and the Rating Agencies or such shorter notice as is acceptable to the Manager shall have the right to Issuer, the Trustee and the Rating Agencies; provided that the Collateral Manager shall have the right to Issuer, the Trustee and the in applicable laws or regulations which resign immediately upon the effectiveness of any material change in applicable laws or regulations which resign immediately upon the effectiveness duties under the Collateral Management renders the performance by the Collateral Manag~r of its duties under the Collateral Management Manager renders the performance regulations. The Collateral Management Agreement or the Indenture to be a violation of such laws or regulations. The Collateral Management a or the Indenture Agreement Agreement will terminate automatically in the? Income Notes are redeemed or Agreement will terminate automatically in the event the Notes and the. Income Notes are redeemed or the Collateral Manager in violation of the cancelled in their entirety, or in the event of its assignment by the Collateral Manager in violation of the assignment in cancelled in their entirety, Collateral Management Agreement or if it is determined in good faith that the Issuer or the Co-Issuer or in good faith that the Issuer or the Co-Issuer or Collateral Management Agreement if it is under the Investment Company Act, and the the pool of Collateral Assets has become required to register under the Investment Company Act, and the the pool of Collateral Assets has become Issuer so notifies the Collateral Manager. so notifies the Collateral Manager. Issuer No removal, termination or resignation of the Collateral Manager or termination of the Collateral of the Collateral Manager or termination of the Collateral No removal, termination or is appointed by the Management Agreement will be effective unless (~ a successor Collateral Manager is appointed by the Management Agreement will be effective unless (i) a successor Collateral Issuer ?and agrees in writing to assume all of the Collateral Manager's duties and obligations pursuant to to assume all of the Collateral Manager's duties and obligations pursuant to Issuer-and agrees in writing the Collateral Management Agreement, (ii) the successor Collateral Manager is not objected to by a the Collateral Management Agreement, (ii) the successor Collateral Manager is not objected to by a Special-Majority-in-Interest of Income Noteholders (as such term is? defined in the Collateral Management Special-Majority-in-Interest of Income Noteholders (as such term is defined in the Collateral Management Agreement) or a Majority of the Controlling Class (including, except with respect to a termination for Agreement) or a Majority of the Controlling Class (including, except with respect to a termination for cause of the Collateral Manager, any Collateral Manager Securities) within 30 days after notice and (iii) cause of the Collateral Manager, any Collateral Manager Securities) within 30 days after notice and (iii) the Rating Agency Condition has been satisfied with respect to the appointment of such successor the Rating Agency Condition has been satisfied with respect to the appointment of such successor Collateral Manager. Such successor Collateral Manager must, in addition, meet certain qualifications Collateral Manager. Such successor Collateral Manager must, in addition, meet certain qualifications specified in the Collateral Management Agreement (the "Replacement Manager Conditions''). specified in the Collateral Management Agreement (the "Replacement Manager Conditions'. In the event that the Collateral Manager has been removed, terminated or resigned and a In the event that the Collateral Manager has been remioved, terminated or resigned and a successor Collateral Manager meeting the Replacement Manager Conditions has not been appointed on successor Collateral Manager meeting the Replacement Manager Conditions has not been appointed on or prior to (i) in the case of removal of the Collateral Manager ''for cause," the date that is 60 days? or prior to (i) in the case of removal of the Collateral Manager "for cause," the date that is 60 days followingc the? -date of- notice -of removal delivered in accordance with the Collateral Mal'!ager:ne_nt following- the date of notice -of removal delivered in accordance with the Collateral Management Agreement and (ii) in the case of any other removal or resignation of the Collateral Manager, the date of Agreement and (ii) in the case of any other removal or resignation of the Collateral Manager, the date of removal or resignation specified in the relevant notice, the resigning or removed Collateral Manager shall removal or resignation specified in the relevant notice, the resigning or removed Collateral Manager shall 118 118 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825488 GS MBS-E-021825488 Footnote Exhibits - Page 5578 manager be entitled appoint successor Collateral Manager and shall so appoint replacement manager be entitled totoappoint a asuccessor Collateral Manager and shall so appoint a areplacementsuccessor that such satisfying the Replacement Manager Conditions within 60 days thereafter, provided that such successor Replacement Manager Conditions within 60 days thereafter, provided satisfying the (as such Collateral Manager not objected to by Majority-in-Interest of Income Noteholders (as such term in Collateral Manager isis not objected toby aa Majority-in-Interest of Income Noteholders Securities)termain defined in theCollateral Management Agreement) (excluding any Collateral Manager Securities)or a Collateral Management Agreement) (excluding any Collateral Manager or defined in the Majority of the Controlling Class (excluding any Collateral Manager Securities) within15 days after such Class (excluding any Collateral Manager Securities) within 15 days after such Majority of the Controlling appointment. In lieuthereof, or ifthe successor Collateral Manager appointed by the resigning or thereof, the successor Collateral Manager appointed by the resigning or appointment. In lieuManager isor if approved,the resigning or removed Collateral Manager may petition removedCollateral Manager is not approved, the resigning or removed Collateral Manager may petition Collateral not removed appointment of replacement manager satisfying the any court of competent jurisdiction for the appointment of a replacement manager satisfying the any court of competent jurisdiction for the such appointmentashall not require the consent of, nor be successorCollateral Manager Conditions, but such appointment shall not require the consent of, nor be Collateral Manager Conditions,but successor subject to the disapproval of, theIssuer or any Noteholder or Income Noteholder. Upon the appointment to the disapproval of, the Issuer or any Noteholder or Income Noteholder. Upon the appointment subjectsuccessor Collateral Manager satisfyingthe Replacement Manager Conditions and the written of aa successor Collateral Manager satisfying the Replacement Manager Conditions and the written of acceptance of such appointment by the successor Collateral Manager,all authority and power of the authority and power of the acceptance of such appointment by the successor Collateral Manager, beallautomatically vested in the Collateral Manager under the Collateral Management Agreement will be automatically vested in the Collateral Manager under the Collateral Management Agreement will Collateral Manager from the successor Collateral Manager. No compensation payable to a successor successor Collateral Manager. No compensation payable to a successor Collateral Manager from the Manager the prior written Collateral Assets shall be greater than that paid to the Collateral Manager without (i) the prior written Collateral Assets shall be greater than that paid to the Collateralsuch term iswithout (nin the Collateral of (a) a Majority-in-Interest of Income Noteholders (as defined consent of (a) a Majority-in-Interest of income Noteholders (as such term is defined in the Collateral consent Management Agreement) and (b) in the case of any increase or any Collateral Management Fee, the Agreement) and (b) of the case (each increase or any Collateral ManagementFee, the Management consent of a Majority in the Notesof anyvoting as a separate Class) and (ii) the satisfaction prior written consent of a Majority of the Notes (each voting as a separate Class) and (ii) the satisfaction prior written Agency Condition. of the Rating of the Rating Agency Condition. There is no limitation or restriction on the Collateral Manager or any Collateral Manager Affiliate There is no limitation or restriction on the Collateral Manager or any Collateral Manager Affiliate with regard to acting as collateral manager (or in a similar role) to other parties or persons. This and other with regard to acting as collateral manager (or in a similar role) to other parties or persons. This and other future activities of the Collateral Manager and/or the Collateral Manager Affiliates may give rise to Affiliates may give rise to future activities of the Collateral Manager and/or the Collateral Manager Manager Affiliates currently additional conflicts of interest. The Collateral Manager and the Collateral Manager Affiliates currently conflicts of interest. The Collateral Manager and the Collateral additional or be affiliated with, other entities serve, and will continue to serve, as Collateral Manager for, invest in or be affiliated with, other entities serve, and will continue to serve, as Collateral Manager for, invest in loans and bonds. organized to issue collateralized debt obligations secured by high yield loans and bonds. collateralized debt obligations secured by high yield organized to issue on the Closing Date 100% of the initial Funds managed by Greywolf will commit Funds managed by Greywolf will commit to purchase on the Closing Date 100% of the initial and approximately 50% of the initial notional Aggregate Outstanding Amount of the Class 0 Amount of the and approximately 50% of the initial notional Aggregate Outstanding Notes and may Class D Notes Securities after the Closing Date. In addition, amount of the Income Notes and may purchase other other after Date. In addition, purchase of the Income more of its affiliates or employees, or funds managed amount Greywolf and/or one or or employees, or funds managed by Greywolf may own from Greywolf and/or one or more of its affiliates of the be . time to time additional Securities of one or more types. There can be no assurance that any of the assurance types. time to time additional Securities of one or moreof such There can a Holder of the Class 0 Notes foregoing persons will continue to hold any or all of such Securities. As a Holder of the Class D Notes any or all foregoing persons will continue to hold interests adverse to the other and the Income Notes or any other Securities, such persons may have interests adverse to the other and the Income Notes or any other Securities, such persons Holders of Securities. Holders of Securities. under the Collateral The Collateral Manager may only assign its rights or responsibilities under the Collateral The Collateral Manager may only assign its rights or responsibilities Agreement. Management Agreement. Management Agreement in accordance with the terms of the Collateral Management Collateral Management Agreement in accordance with the terms of the Compensation Compensation Collateral Management As compensation for the performance of its obligations under the Collateral Management As compensation for the performance of its obligations under the Agreement, the Collateral Manager will be entitled to receive a fee in accordance with the Priority of a fee in accordance with the Priority of Agreement, the Collateral Manager will be entitled to receive per annum (the "Collateral Management Payments, payable In arrears on each Payment Date, of 0.04% per annum (the "Collateral Management Payments, payable in arrears on each Payment Date, of 0.04% Fee") times the Aggregate Principal Amount, measured as of the beginning of the Due Period preceding as of the beginning of the Due Period preceding Fee") times the Aggregate Principal Amount, measuredPayment Date in accordance with the Priority of such Payment Date. IfIfamounts distributable on any Payment Date in accordance with the Priority of any amounts distributable on such Payment Date. full, then the shortfall will be deferred Payments are insufficient to pay the Collateral Management Fee in full, then the shortfall will be deferred are insufficient to pay the Collateral Management Fee inare available therefor according to the Payments payable on subsequent Payment Dates on which funds are available therefor according to the and will be payable on subsequent Payment Dates on which funds and will be be payable in the same order of Priority of Payments. Any interest due on the amounts so deferred will be payable in the same order of Priority of Payments. Any interest due on the amounts so deferred will equal to LIBOR. rateequal to USOR. priority as the Collateral Management Fee and will accrue interest at aa Management Fee and will accrue interest at rate priority as the Collateral consisting of The Collateral Management Fee will be calculated on the basis of aa 360day year consisting of The Collateral Management Fee will be calculated on the basis of 360 day yearare subject to Manager on Payment Date twelve 30-day months. All fees payable to the Collateral Manager on a a PaymentDate are subject to twelve 30-day months. All fees payable to the Collateral payment only inin accordance with the Priority of Payments. only accordance with the Priority of Payments. payment '";.-:---~ --- 119 119 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825489 GS MBS-E-021825489 Footnote Exhibits - Page 5579 In its sole discretion, the Collateral Manager may on any Payment Date, other than the Final In its sole discretion, the Collateral Manager may on any Payment Date, other than the Final Payment Date, elect to defer its receipt of all or any portion of the Collateral Management Fee payable to Payment Date, elect to defer its receipt of all or any portion of the Collateral Management Fee payable to it (the aggregate of amounts so deferred on such Payment Date being the "Current Deferred it (the aggregate of amounts so deferred on such Payment Date being the "Current Deferred Management Fee'1 by providing written notice to the Trustee of such election at least five Business Days Management Fee') by providing written notice to the Trustee of such election at least five Business Days prior to such Payment Date. After such Payment Date, the Current Deferred Management Fee will prior to such Payment Date. After such Payment Date, the Current Deferred Management Fee will accrue interest with respect to each Interest Accrual Period at a rate equal to LlBOR, compounded accrue interest with respect to each Interest Accrual Period at a rate equal to LIBOR, compounded monthly and calculated on the basis of a year of 360 days and the actual number of days elapsed and be monthly and calculated on the basis of a year of 360 days and the actual number of days elapsed and be added to the cumulative amount of the Current Deferred Management Fees from prior Payment Dates, if added to the cumulative amount of the Current Deferred Management Fees from prior Payment Dates, if any aggregate amount of such Current Deferred Management Fees being the "Cumulative Deferred any (the aggregate amount of such Current Deferred Management Fees being the "Cumulative Deferred Management Fee") and will be payable on subsequent Payment Dates on which funds are available Management Fee") and will be payable on subsequent Payment Dates on which funds are available therefor according to the Priority of Payments. The Collateral Manager may elect to receive payment of therefor according to the Priority of Payments. The Collateral Manager may elect to receive payment of all or any portion of the Cumulative Deferred Management Fee on any Payment Date to the extent of all or any portion of the Cumulative Deferred Management Fee on any Payment Date to the extent of in accordance with Priority Payments to the Trustee of such funds available in accordance with the Priority of Payments by providing notice to the Trustee of such before Business Days preceding such Payment election and the amount of such fees to be paid election and the amount of such fees to be paid on or before five Business Days preceding such Payment Date. Date. For long as Greywolf the Collateral Manager any managed Greywolf continue For so long as Greywolf is the Collateral Manager and any funds managed by Greywolf continue hold any Income any Collateral Management Fees to Collateral Manager to hold any Income Notes, any Collateral Management Fees otherwise payable to the Collateral Manager hereunder shall paid the Issuer following (i) to such managed by Greywolf hereunder shall be paid by the Issuer in the following order: (i) first, to such funds managed by Greywolf of (x) such Collateral (on pro rata among funds), in an amount equal the (on a pro rata basis among such funds), in an amount equal to the product of (x) such Collateral amount the Income Notes Management Fees and (y) a fraction numerator of which is Management Fees and (y)a fraction the numerator of which is the notional amount of the Income Notes aggregate notional amount held by such managed Greywolf denominator which held by such funds managed by Greywolf and the denominator of which is the aggregate notional amount of Income (ii) the if to of all the Income Notes and (ii)second, the remainder, if any, to Greywolf. THE ISSUERS THE ISSUERS General number 5, The Issuer was incorporated on March 5, 2007 in the Cayman Islands with the registered number in Limited, P.O. Box 1093 is Maples 183317. The registered office of the Issuer is at the offices of Maples Finance Limited, P.O. Box 1093 183317. Cayman Islands. The GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. The sets out the Memorandum Issuer has no substantial prior operating history. The Issuer's Memorandum of Association sets out the the business to be out by the objects of the Issuer, which are unrestricted and therefore include the business to be carried out by the Issuer in connection with the Securities. in of Delaware incorporated 7, The Co-Issuer was incorporated on March 7, 2007 under the laws of the State of Delaware with is at Donald J. Puglisi, Puglisi & the registered number 4312941. The registered office of the Co-Issuer is at Donald J. Puglisi, Puglisi & 4312941. registered Co-Issuer has no prior 19711. Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711. The Co-Issuer has no prior the purposes of the Cosets operating history. Article 3 .of the Co-Issuer's Certificate of Incorporation sets out the purposes of the CoCo-Issuers 3.of history. the issuance of Co-Issuer in connection Issuer, which include the business to be carried out by the Co-Issuer in connection with the issuance of the Notes. . the Notes. Trustee, the Fiscal Agent, the The Notes are obligations only of the Issuers and not of the Trustee, the Fiscal Agent, the Issuers obligations Collateral Manager, the Initial Purchaser, the Issuer Administrator, the Collateral Manager, the Holders of Administrator, the Collateral Manager, the Holders of Manager, the Income Notes, the Agents, the Share Trustee or any directors, managers or officers of the Issuers or managers officers of the Issuers or or Share the Income Notes, the Agents, any of their respective affiliates. their respective ordinary shares, U.S.$1.00 par of The authorized share capital of the Issuer consists of 50,000 ordinary shares, U.S.$1.00 par Issuer share The value per share (the "Issuer Ordinary Shares"). 250 of the Issuer Ordinary Shares have been issued and of the Issuer Ordinary Shares have been issued and Ordinary Shares"). share (the per will be held by the Share Trustee under the terms of a charitable trust. All of the outstanding common the terms of a charitable trust. All of the outstanding common Share Trustee held by will are outstanding, no equity of the Co-Issuer will be held by the Issuer. For so long as any of the Notes are outstanding, no be held by the Issuer. For so equity of the beneficial interest in the ordinary shares of the Issuer or of the common equity of the Co-Issuer shall be beneficial interest in the ordinary shares the Issuer of the common equity of the Co-Issuer shall be registered to a U.S. Person. U.S. registered to a . - Person. . 120 120 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825490 GS MBS-E-02182S490 Footnote Exhibits - Page 5580 Capitalization of the Issuer Capitalization of the Issuer The initial proposed capitalization of the Issuer as of the Closing Date after giving effect to the The initial proposed capitalization of the Issuer as of the Closing Date after giving effect to the issuance of the Securities and the Issuer Ordinary Shares and entry into the Cashflow Swap Agreement issuance of the Securities and the Issuer Ordinary Shares and entry into the Cashflow Swap Agreement before deducting expenses of the offering of the Securities is as set forth below. before deducting expenses of the offering of the Securities isas set forth below. Amount Amount Class S-1 Notes Class S-1 Notes Class S-2 Notes Class S-2 Notes Class A-1 a Notes Class A-I a Notes ClassA-1b Notes Class A-1b Notes Class A-1c Notes Class A-1c Notes Class A-1d Notes Class A-1d Notes Class A-2 Notes Class A-2 Notes Class Notes Class B Notes Class C Notes Class C Notes Class D Notes Class D Notes Income Notes Income Notes Total Debt Total Debt Issuer Ordinary Shares Issuer Ordinary Shares Equity Total Equity $9,000,000 $9,000,000 $8,300,000 $8,300,000 $100,000,000 $100,000,000 $200,000,000 $200,000,000 $100,000,000 $100,000,000 $100,000,000 $100,000,000 $305,000,000 $305,000,000 $107,000,000 $107,000,000 $36,000,000 $36,000,000 $30,000,000 $30,000,000 $22,000,000 $22,000,000 $1,017,300,000 $1,017,300,000 250 250 $250 $250 $1,017,300,250 $1,017,300,250 Total Capitalization Capitalization of the Co-Issuer Capitalization of the Co-Issuer common of U.S.$10, will have no The Co-Issuer will be capitalized only to the extent of its common equity of U.S.$10, will have no Co-Issuer to assets other than its equity capital and will have no debt other than as Co-Issuer of the Notes (other than other no other of the Notes (other than assets Class D Notes) as than Class D the Class D Notes). The Co-Issuer has agreed to co-issue the Notes (other than the Class 0 Notes) as remuneration for so acting. Because accommodation Co-Issuer is an accommodation to the Issuer, and the Co-Issuer is receiving no remuneration for so acting. Because any assets, Holders of Securities will not be the is the Co-Issuer has no assets, and is not permitted to have any assets, Holders of Securities will not be Holders of Notes must rely on the able to exercise their rights against any assets of the Co-Issuer. Holders 'of Notes must rely on the able respective Notes, in Collateral held by the Issuer and pledged to the Trustee for payment on their respective Notes, in Collateral held accordance with the Priority of Payments. accordance Flow of funds Flow of funds of the offering of the The approximate flow of funds of the Issuer from the gross proceeds of the offering of the of Securities on the Closing Date is as set forth below: is Date Securities on Gross Proceeds? Gross Proceeds* Class S-1 Notes Class S-1 Notes Class S-2 Notes Class S-2 Class A-1a Notes Class A-I a Class A-1b Notes Class A-lb Notes Class A-1c Notes Class A-1c Notes Class A-1d Notes Class A-Id Notes Class A-2 Notes Class A-2 Notes Class B Notes Class B Notes Class C Notes Class C Notes Class 0 Notes Class D Notes Income Notes Income Notes Total: Total: $9,000,000 $9,000,000 $8,300,000 $8,300,000 $99,450,000 $99,450,000 $200,000,000 $200,000,000 $99,710,000 $99,710,000 $99,700,000 $99,700,000 $303,445,000 $303,445,000 $103,587,000 $103,587,000 $34,254,000 $34,254,000 $27,723,000 $27,723,000 $22,000,000 $22,000,000 $1,007,169,000 $1,007,169,000 121 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825491 GS MBS-E-021825491 Footnote Exhibits - Page 5581 Expenses? Expenses* Third Party Expenses Expense Reserve Account Total: Collateral Assets $1,850,000 $200,000 $2,050,000 $2,050,000 Net Proceeds Principal Balance of Collateral Assets Clean Price of cash Collateral Assets and DefauH Default Swap Collateral Purchase Accrued Interest on cash Collateral Assets and Default Swap Collateral Investments in Cash and Eligible Investments deposited in Default Swap Collateral Account First Period Interest Reserve *Figures ?Figures are approximate. Business $1,005,119,000 $1,000,000,000 $1,000,000,000 $910,810,000 $610,000? $610,000 $88,878,000 $4,821,000 The Issuers will not undertake any business other than the issuance of the Notes and, in the case in of the !ssuer, the issuance of the Income Notes, the acquisition and management of the Collateral and, in Issuer, management in each case, other related transactions. Neither of the Issuers will have any subsidiaries. the Issuer The Issuer Administrator will act as the administrator of the Issuer. The office of the Issuer Administrator will serve as the general business office of the Issuer. Through this office and pursuant to Administrator to the terms of an agreement to be dated March 16,2007 by and between the Issuer Administrator and the 16, 2007 Issuer (the "Administration Agreement"), the Issuer Administrator will perform various administrative Agreement"), Administrator public, and shareholders functions on behalf of the Issuer, including communications with sharehoiders and the general public, and Administration the provision of certain clerical, administrative and other services until termination of the Administration Agreement. In Agreement. In consideration of the foregoing, the Issuer Administrator will receive various fees and other charges payable by the Issuer at rates agreed upon from time to time plus expenses. The directors of the Issuer listed below are also officers and/or employees of the Issuer Administrator and may be contacted at the address of the Issuer Administrator. The activities of the Issuer Administrator under the Administration Agreement will be subject to Agreement to Agreement by the overview of the Issuer's Board of Directors. The Administration Agreement may be terminated by either the Issuer or the Issuer Administrator upon 3 months' written notice (or, upon the occurrence of 3 .' certain events, 14 days' written notice). . notice). The Issuer Administrator's principal office is: Maples Finance Limited, P.O. Box 1093 GT, issuer Administrator's Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands, Cayman Islands. Directors Directors Maples The Directors of the Issuer are: Guy Major and Carrie Bunton, each having an address at Maples Finance Limited, P.O. Box 1093 GT, Queensgate House, South Church Street, George Town, Grand George Cayman, Cayman Islands. The director of the Co-Issuer is Donald Puglisi who may be contacted at the address of the Cois Issuer. 122 122 Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825492 MBS-E-021825492 Footnote Exhibits - Page 5582 INCOME TAX CONSIDERATIONS INCOME TAX CONSIDERATIONS United States Tax Considerations United States Tax Considerations The following is a summary of certain of the United States federal income tax consequences of The following is a summary of certain of the United States federal income tax consequences of an investment in the Notes and the Income Notes by purchasers that acquire their Notes or Income Notes an investment in the Notes and the Income Notes by purchasers that acquire their Notes or Income Notes in the initial offering. The discussion and the opinions referenced below are based upon laws, in the initial offering. The discussion and the opinions referenced below are based upon laws, regulations, rulings, and decisions in effect and available on the date hereof, all of which are subject to regulations, rulings, and decisions in effect and available on the date hereof, all of which are subject to change, possibly with retroactive effect. Prospective investors should note that no rulings have been or change, possibly with retroactive effect. Prospective investors should note that no rulings have been or are expected to be sought from the United States Internal Revenue Service (the "IRS'1 with respect to are expected to be sought from the United States Internal Revenue Service (the "IRS') with respect to can any of the United States federal income tax consequences discussed below, and no assurance can be any of the United States federal income tax consequences discussed below, and no assurance with be all given that the IRS will not take contrary positions. Further, the following summary does not deal given that the IRS will not take contrary positions. Further, the following summary does not deal with all United States federal income tax consequences applicable to any given investor, nor does it address the United States federal income tax consequences applicable to any given investor, nor does it address the United States federal income tax considerations applicable to categories 9f investors subject to special United States federal income tax considerations applicable to categories of investors subject to special taxing rules (regardless of whether or not such persons constitute U.S. Holders), such as certain United taxing rules (regardless of whether or not such persons constitute U.S. Holders), such as certain United States expatriates, banks, real estate investment trusts, regulated investment companies, insurance States expatriates, banks, real estate investment trusts, regulated investment companies, insurance companies, tax-exempt organizations, dealers or traders in securities or currencies, partnerships, natural companies, tax-exempt organizations, dealers or traders in securities or currencies, partnerships, natural persons, cash method taxpayers, S corporations, estates and trusts, investors that hold their Notes or persons, cash method taxpayers, S corporations, estates and trusts, investors that hold their Notes or Income Notes as part of a hedge, straddle or an integrated or conversion transaction, or investors whose Income Notes as part of a hedge, straddle or an integrated or conversion transaction, or investors whose "functional currency" not the U.S. Furthermore, does not address alternative minimum tax "functional currency" is not the U.S. dollar. Furthermore, it does not address alternative minimum tax on who hold interests in either a U.S. Holder or a consequences, or the indirect consequences, or the indirect effects on persons who hold equity interests in either a U.S. Holder or a Non-U.S. Holder (as these terms are defined below). addition, summary is generally limited to Non-U.S. Holder (as these terms are defined below). In addition, this summary is generally limited to the Closing Date (and, the case of Notes, acquire investors that acquire their Notes or Income Notes investors that acquire their Notes or Income Notes on the Closing Date (and, in the case of Notes, acquire as their Notes for the issue price applicable such and who hold their Notes or Income Notes as their Notes for the issue price applicable to such Notes) and who will hold their Notes or Income Notes tax "capital assets" within the meaning of Section 1221 of the Code. Investors should consult their own tax assets" within the meaning 1221 the should consult their own "capital advisors to determine the United States state, other of the purchase, advisors to determine the United States federal, state, local, and other tax consequences of the purchase, ownership, and disposition of the Notes and the Income Notes. and disposition ownership, a Note or Income Note that is an As used herein, "U.S. Holder" a As used herein, "U.S. Holder" means a beneficial owner of a Note or Income Note that is an income tax purposes, a individual citizen or resident of individual citizen or resident of the United States for United States federal income tax purposes, a corporation or other entity taxable as a corporation created or organized in or under the laws of the United in or under the laws of the United corporation or other entity taxable a income of which is subject to States or any state thereof (including the District of Columbia), an estate the income of which is subject to Columbia), States or any state thereof (including a United States federal income taxation regardless of its source or a trust where a court within the United where a court within the United United States federal income taxation of the trust and one or more United States is able to exercise primary supervision over the administration of the trust and one or more United States is able to exercise primary all substantial decisions of the trust States persons (as defined in the Code) have the authority to control all su~stantial decisions of the trust have States persons (as defined in the (or a trust that has made a valid election under U.S. Treasury Regulations to be treated as a domestic Treasury Regulations to be treated as a domestic (or a trust that has made a valid beneficial owner) of a Note or Income Note that trust). "Non-U.S. Holder" generally means any owner (or beneficial owner) of a Note or Income Note that trust). "Non-U.S. Holder" generally partnership holds Notes or Income Notes, the tax is not a U.S. Holder (other than a partnership). If a partnership holds Notes or Income Notes, the tax If a a is not a U.S. Holder (other status of the partner and upon the activities of the treatment of a partner will generally depend upon the status of the partner and upon the activities of the upon treatment of a partner will generally partnership. Partnerships and partners of partnerships holding Notes or Income Notes should consult partnership. Partnerships and partners partnerships holding Notes or Income Notes should consult their own tax advisors regarding the tax consequences of an investment in the Notes or Income Notes their own tax advisors regarding the tax consequences of an investment in the Notes or Income Notes (including their status as U.S. Holders or Non-U.S. Holders). (including their status as U.S. Holders Non-U.S. Holders). Tax Treatment of Issuer Tax Treatment of Issuer Upon the issuance of the Notes, Orrick, Herrington & Sutcliffe LLP, special U.S. tax counsel to Upon the issuance of the Notes, Orrick, Herrington & Sutcliffe LLP, special U.S. tax counsel to the Issuer, will deliver an opinion generally to the effect that under current law, and assuming compliance the Issuer, will deliver an opinion generally to the effect that under current law, and assuming compliance with the Indenture (and certain other documents) and based on certain factual representations made by with the Indenture (and certain other documents) and based on certain factual representations made by the Issuer, although the matter is not free from doubt, the Issuer's permitted activities will not result in the the Issuer, although the matter is not free from doubt, the Issuers permitted activities will not result in the Issuer being engaged in the conduct of a trade or business in the United States. Accordingly, the Issuer Issuer being engaged in the conduct of a trade or business in the United States. Accordingly, the Issuer does not expect to be subject to net income taxation in the United States. Prospective investors should does not expect to be subject to net income taxation in the United States. Prospective investors should be aware that opinions of counsel are not binding on the IRS and the IRS might seek to treat the Issuer . be aware that opinions of counsel are not binding on the IRS and the IRS might seek to treat the Issuer as engaged in a United States trade or business, in which event the Issuer would be subject, inter alia, to as engaged in a United States trade or business, in which event the Issuer would be subject, inter alia, to aa35% tax on such of its income as was effectively connected to the U.S. trade or business as well as a 35% tax on such of its income as was effectively connected to the U.S. trade or business as well as a 30% "branch profrts" tax when such income is viewed as having been repatriated to the Cayman Islands 30% "branch profits" tax when such income is viewed as having been repatriated to the Cayman Islands (thereby materially adversely effecting the Issuer's ability to make payments on the Securities). (thereby materially adversely effecting the Issuer's ability to make payments on the Securities). 123 123 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825493 GS MBS-E-021825493 Footnote Exhibits - Page 5583 The opinion of special U.S. tax counsel is subject to several considerations. For example, the The opinion of special U.S. tax counsel is subject to several considerations. For example, the United States Treasury Department and the IRS recently announced that they are considering taxpayer United States Treasury Department and the IRS recently announced that they are considering taxpayer requests for specific guidance on, among other things, whether a foreign person may be treated as requests for specific guidance on, among other things, whether a foreign person may be treated as engaged in a trade or business in the United States by virtue of entering into credit default swaps. No engaged in a trade or business in the United States by virtue of entering into credit default swaps. No guidance has been issued to date. If any future guidance concludes that foreign persons entering into guidance has been issued to date. If any future guidance concludes that foreign persons entering into certain credit default swaps will be treated as engaged in a trade or business in the United States, such certain credit defauH swaps will be treated as engaged in a trade or business in the United States, such guidance would adversely impact the Issuers ability to pay principal and interest on the Notes. guidance would adversely impact the Issuer's ability to pay principal and interest on the Notes. Additionally, itshould be noted that gain or loss on a disposition by a foreign person of a United States Additionally, it should be noted that gain or loss on a disposition by a foreign person of a United States real property interest may be subject to United States federal income tax as if foreign person were real property interest may be subject to United States federal income tax as if the foreign person were engaged in a United States trade or business (even ifthe foreign person is not, in fact, engaged). The engaged in a United States trade or business (even if the foreign person is not, in fact, so engaged). The determination of whether an asset constitutes a United States real property interest is made periodically determination of whether an asset constitutes a United States real property interest is made periodically and, therefore, it is possible that an asset that was not a United States real property interest at the time it and, therefore, it is possible that an asset that was not a United States real property interest at the time it was acquired by the Issuer could, thereafter, was acquired by the Issuer COUld, thereafter, become a United States real property interest. Similarly, if a United real property interest. Similarly, if the Issuer accepted a new security in exchange for an existing security or if the Issuer accepted a new security in exchange for an existing security or if the terms of an existing terms of existing security were modified, the new or modified security were modified, the new or modified security might cause the Issuer to become engaged in a might Issuer engaged in a United States or business for United United States trade or business for United States federal income tax purposes. tax purposes. It is not expected that the Issuer derive It is not expected that the Issuer will derive material amounts of any other items of income that amounts of of income that will be subject to United States withholding taxes. will be subject to United States withholding taxes. Notwithstanding the foregoing, any commitment fee, the any commitment fee, facility fee and similar fee that the Issuer eams may facility fee and similar fee that the Issuer eams may be subject to a 30% withholding tax. Additionally, if a 30% tax. if the Issuer is a CFC the Issuer is a CFC (defined below), the Issuer would incur United States withholding tax on interest United received from a related United States person. received from a related United States person. The Issuer will not make any independent investigation of independent investigation of the circumstances surrounding the individual the circumstances surrounding the individual assets comprising the Collateral Assets and, thus, there can be no assurance that payments of interest on be no assurance that payments of interest on and gain from the sale or disposition of the Collateral Assets will in all cases be received free Assets will in all cases be received free of withholding tax. The Issuer will not be required The Issuer will. not be required to pay additional amounts to any Holder of Income Notes or any Class of Notes if taxes or related amounts are Class of Notes if taxes or related amounts are withheld from payments on the Income Notes or Notes or or from payments on any Collateral Asset. However, withholding on the Collateral Assets could result in the Asset. from payments on any in the Securities being redeemed by Issuer. Securities being redeemed by the Issuer. See "-Tax Redemption." . Tax Treatment of U.S. Tax Treatment of U.S. Holders of Notes The Issuer has agreed and, by its acceptance of a Note, each Holder of a Note will be deemed to by The Issuer to a a have agreed, to treat its Notes as debt of the Issuer for United States federal income tax purposes of have agreed, to treat its Notes ISsuer income (although this shall not prevent a U.S. Holder from making a QEF election, as defined below, on a aEF (although this shall not prevent U.S. Holder a protective basis or from making protective filings under Section 6038, 6038B or 6046 of the Code). Upon of protective basis or from protective under or the issuance of the Notes, Orrick, Herrington &Sutcliffe LLP will deliver an opinion generally to the effect the issuance of the Notes, Orrick, Herrington effect that, assuming compliance with the Indenture (and certain other documents) and based on certain factual Indenture that, assuming compliance certain documents) and representations made by the Issuer, the Class S Notes, Class A Notes, Class B Notes and Class C Notes representations made by S Notes, Class Class C B will, and the Class D Notes should, be characterized as debt for United States federal income tax characterized United tax will, and the Class 0 Notes purposes. Prospective investors should be aware that opinions of counsel are not binding on the IRS, and and purposes. Prospective investors aware there can be no assurance that the IRS will not seek to characterize any Class of Notes as other than of other than there can be no assurance that IRS not to characterize indebtedness. Except as provided under "-Alternative Characterization of the Notes" below, the balance Characterization of the balance indebtedness. Except provided under of this discussion assumes that the Notes will be characterized as debt of the Issuer for United States of this discussion assumes that the Notes debt the Issuer United States federal income tax purposes. federal income tax Each U.S. Holder will include interest on the Notes in income in accordance with its regular the Notes in income in accordance with its regular Each U.S. Holder will interest method of accounting for United States federal income tax purposes unless the Notes are viewed as United States federal income purposes the Notes are viewed as method of accounting having being issued with original issue discount ("OlD') in which case, generally, each U.S. Holder would U.S. Holder would having being issued with original issue discount ("010'1 in which case, be required to accrue interest on the Note on an accrual basis under a constant yield methodology, based be required to accrue interest the Note on an accrual basis under constant methodology, based on the original yield to maturity of the Note. Because interest on the Class C Notes and Class D Notes on the original yield to maturity of the Note. Because interest on the Class C Notes and Class 0 Notes may be deferred without giving rise to an Event of Default,. all interest (including interest on accrued but may be deferred without giving rise to an Event of Default, all interest (including interest on accrued but unpaid interest) will be treated as OID unless the likelihood of deferral is remote. The Issuer has not unpaid interest) will be treated as 010 unless the likelihood of deferral is remote. The Issuer has not determined whether the likelihood of interest being deferred is remote for this purpose and, hence, will determined whether the likelihood of interest being deferred is remote for this purpose and, will treat the interest on the Class C Notes and Class D Notes as OlD. Additionally, the Issuer will treat any treat the interest on the Class C Notes and Class 0 Notes as 010. Additionally, the Issuer will treat any 124 124 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825494 GS MBS-E-021825494 Footnote Exhibits - Page 5584 Class of Notes as having been issued with OlD if (A) such Class is issued at a discount equal to or in Class of Notes as having been issued with OlD if (A)such Class is issued at a discount equal to or in excess of the product of 0.25% of the stated redemption price at maturity of such Class and the excess of the product of 0.25% of the stated redemption price at maturity of such Class and the anticipated weighted average life of such Class or (8) the issue price of such Class exceeds the principal anticipated weighted average life of such Class or (B)the issue price of such Class exceeds the principal amount thereof by more than the lesser of (i) 15% or (ii) 0.015 multiplied by the anticipated weighted amount thereof by more than the lesser of (i) 15% or (ii) 0.015 multiplied by the anticipated weighted average life of the Class. Any accrued but unpaid OlD included in income by a U.S. Holder will increase average life of the Class. Any accrued but unpaid OlD included in income by a U.S. Holder will increase the U.S. Holder's basis in its Note and thereby reduce the amount of gain or increase the amount of loss the U.S. Holder's basis in its Note and thereby reduce the amount of gain or increase the amount of loss recognized by the U.S. Holder on a subsequent sale or other disposition of the Note. recognized by the U.S. Holder on a subsequent sale or other disposition of the Note. Any OlD on the Notes will likely be accruable under the special rules set forth in Section Any OlD on the Notes will likely be accruable under the special rules set forth in Section the 1272(a)(6) of the Code (which apply to debt instruments that may be accelerated by reason of the 1272(a)(6) of the Code (which apply to debt instruments that may be accelerated by reason of not prepayment of other debt obligations securing such debt instruments). If Section 1272(a)(6) does prepayment of other debt obligations securing such debt instruments). If Section 1272(a)(6) does not apply, the Notes might be treated as "contingent payment debt instruments" ("CPDls") within the meaning apply, the Notes might be treated as "contingent payment debt instruments" ("CPDis") within the meaning of Treasury Regulation Section 1.1275-4. If any such Class of Notes were considered CPDls, among of Treasury Regulation Section 1.12754. If any such Class of Notes were considered CPDis, among other consequences, gain on the sale of such Notes that might otherwise be capital gain would be other consequences, gain on the sale of such Notes that might otherwise be capital gain would be ordinary incom?e. Prospective investors should consult their own tax advisors regarding the potential ordinary income. Prospective investors should consult their own tax advisors regarding the potential application of Section 1272(a)(6) of the Code to the Notes and the rules governing CPDls. application of Section 1272(a)(6) of the Code to the Notes and the rules governing CPDis. In general, a U.S. Holder of a Note will have a tax basis in such Note equal to the cost of such In general, a U.S. Holder of a Note will have a tax basis in such Note equal to the cost of such Note increased by any OID and any market discount that the U.S. Holder has elected to include Inincome increase.d by any OlD and any market discount that the U.S. Holder has elected to include in income Note on a current basis and reduced by any amortized premium and payments of principal and OlD. Upon a on a current basis and reduced by any amortized premium and payments of principal and OlD. Upon a sale, exchange or other disposition of such a Note, a U.S. Holder will generally recognize gain or loss sale, exchange or other disposition of such a Note, a U.S. Holder will generally recognize gain or loss on the sale, exchange other disposition (less any equal to the difference between amount equal to the difference between the amount realized on the sale, exchange or other disposition (less any accrued and unpaid interest, which would be taxable as such) and the U.S. Holder's tax basis in such accrued and unpaid interest, which would be taxable as such) and the U.S. Holder's tax basis in such Note (as reduced by any accrued unpaid Such gain generally will be long term Note (as reduced by any accrued and unpaid interest). Such gain or loss generally will be long term capital gain or loss (other accrued discount U.S. Holder not elected to include such capital gain or loss (other than accrued market discount if the U.S. Holder has not elected to include such assuming that U.S. Holder held the Note for more than one discount in income on a current discount in income on a current basis) assuming that the U.S. Holder has held the Note for more than one certain U.S. Holders are individuals may be entitled year at the time of disposition. year at the time of disposition. In certain circumstances, U.S. Holders that are individuals may be entitled of U.S. Holders to offset to preferential treatment for net term to preferential treatment for net long term capital gains; however, the ability of U.S. Holders to offset capital losses against ordinary income is limited. losses against ordinary income . capital opinion, Altemative Characterization Alternative Characterization of the Notes. Notwithstanding special U.S. tax counsel's opinion, U.S. Holders should recognize that there is some uncertainty regarding the appropriate classification of recognize that is appropriate classification of U.S. Holders should may contend that the Class D the instruments such as the Notes. It is possible, for example, that the IRS may contend that the Class D Notes. It is instruments such as interests (or as part-debt, partNotes and possibly other Classes of Notes should be treated as equity interests (or as part-debt, partNotes and possibly other Classes in materially adverse tax consequences to equity) in the Issuer. Such a recharacterization might result in materially adverse tax consequences to equity) in the Issuer. Such a advisability of making "QEF U.S. Holders. As a result, U.S. Holders of Notes may wish to consider the advisability of making "QEF U.S. Holders. As a result, U.S. election" provided in Section 1295 olthe Code on a "protective" basis (although this election may not be a "protective" basis (although this election may not be of the election" provided in Section QEF elections for debt that may respected since the current QEF regulations do not authorize protective QEF elections for debt that may respected since the current QEF might necessitate those U.S. be recharacterized as equity). Additionally, any such characterization might necessitate those U.S. such be recharacterized as equity). Additionally, information returns with the IRS with Holders of a Class of Notes that is characterized as equity to file information retums with the IRS with of a Class of Notes that is characterized as equity to Holders penalties for failure to do so). For respect to their acquisition of the Notes (and be subject to significant penalties for failure to do so). For respect to their acquisition of the Notes (and be subject to the consequences that would apply if any Class of Notes were characterized as equity for United States ifany Class Notes were characterized as equity for United States would the consequences that federal income tax purposes, see below under""-- Tax Treatment of U.S. Holders of Income Notes." federal income tax purposes, see below under Tax Treatment U.S. Holders of Income Notes." Tax Treatment of U.S. Holders of Income Notes Tax Treatment of U.S. Holders of Income Notes The Income Notes, although in the form of debt, will likely be characterized as equity for U.S. The Income Notes, although in the form of debt, will likely be characterized as equity for U.S. federal income tax purposes. Additionally, the Issuer has agreed, and, by its acceptance of an Income. federal income tax purposes. Additionally, the Issuer has agreed, and, by its acceptance of an Income Note, each Holder of an Income Note will be deemed to have agreed, to treat the Income Notes as equity Note, each Holder of an Income Note will be deemed to have agreed, to treat the Income Notes as equity for U.S. federal income tax purposes. For purposes of this discussion, it is assumed that the Income? for U.S. federal income tax purposes. For purposes of this discussion, it is assumed that the Income Notes will be so characterized. It is noted, however, that in the event that the Income? Notes were Notes will be so characterized. It is noted, however, that in the event that the Income Notes were characterized as debt for United States federal income tax purposes, they would constitute contingent characterized as debt for United States federal income tax purposes, they would constitute contingent payment debt instruments; among the consequences that would result from an application of the rules payment debt instruments; among the consequences that would result from an application of the rules applicable to contingent payment debt instruments of the Income Notes is that gain on the sale of the applicable to contingent payment debt instruments of the Income Notes is that gain on the sale of the Income Notes that might otherwise be capital gain would constitute ordinary income. Income Notes that might otherwise be capital gain would constitute ordinary income. 125 125 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825495 GS MBS-E-021825495 Footnote Exhibits - Page 5585 Subject to the rules discussed below relating to "passive foreign investment companies" below ?passive foreign C'PFICs") and "controlled foreign corporation" ("CFCs'1, on Income Notes should treated ("PFICs") and "controlled foreign corporation" ("CFCs'), payments on the Income Notes should be treated or extent as dividends to the extent of the current or accumulated earnings and profits of the Issuer. Payments be income ordinary characterized as dividends would be taxable at regular marginal income tax rates applicable to ordinary in and benefit income, and would not be entitled to the benefit of the dividends received deduction or any reduction in and Issuer's may in tax rates that may be available for certain dividends. Distributions in excess of the Issuers earnings and would profits would be non-taxable to the extent of, and would be applied against and reduce, the U.S. Holders in as Income in adjusted tax basis in the Income Notes and, to the extent in excess of such basis, would be taxable as gain from the sale or exchange of property. preceding significantly in The tax consequences discussed in the preceding paragraph are likely to be significantly PFIC CFC U.S. a modified as a result of the application of the PFIC and CFC rules discussed below. Thus, U.S. Holders of Income owning in in CFC in the the Income Notes will be viewed as owning stock in a PFIC and, possibly, in a CFC (depending, in the U.S. Holders)~ the percentage is latter latter instance, on the percentage of voting equity that is acquired and held by certain U.S. Holders). If CFCs would generally PFICs, in applicable, the rules pertaining to CFCs would generally override those pertaining to PFICs, although in of certain circumstances both set of rules could apply simultaneously. Under the PFIC rules, U.S. Holders of the Income Notes (other than U.S. Holders that make a Holders Income taxation timely "QEF election", as described below) will be subject to special rules relating to the taxation of "excess distributions" - with excess distributions being defined to include certain distributions made by a made PFIC on its stock as well as gain recognized on a disposition of PFIC stock. For this purpose, a U.S. PFIC U.S. Income Holder that uses its Income Notes as security for an obligation will be treated as having made a PFIC "excess disposition of PFIC stock. In general, Section 1291 of the Code provides that the amount of any "excess In U.S. Holder's period distribution" will be allocated to each day of the U.S. Holder's holding period for its PFIC stock. The for the current in U.S. Holders amount allocated to the current year will be included in the U.S. Holder's gross income for the current current year as ordinary income. With respect to amounts allocated to prior years, the tax imposed for the current respect to is amount," year will be increased by the "deferred tax amount, which is an amount calculated with respect to each in effect prior year by multiplying the amount allocated to such year by the highest rate of tax in effect for such year, together with an interest charge as though the amounts of tax were overdue. with II Income Notes may wish In U.S. In order to avoid the application of the PFIC rules, U.S. Holders of Income Notes may wish to In in consider making the QEF election provided in Section 1295 of the Code. In lieu of the PFIC rules will, in very general QEF a Income U.S. discussed above, a U.S. Holder of Income Notes that makes a valid QEF election will, in very general terms, be required to include its pro rata share of the Issuers ordinary income and net capital gains; Issuer's gains, long-term in unreduced by any prior year losses, in income for each taxable year (as ordinary income and long-term the same as is capital gain, respectively) and to pay tax thereon, even if the amount of that income is not the same as or gain the Issuer If the dividends paid on the Income Notes during the year. If the Issuer later distributes the income or gain distributed will on which the U.S. Holder has already paid taxes under the QEF rules, the amounts so distributed will not U.S. QEF as in A U.S. in again be subject to tax in the hands of the U.S. Holder. A U.S. Holder's tax basis in any Income Notes as U.S. included in such U.S. to which a QEF election has been validly made will be increased by the amount included in such U.S. a nontaxable distributions Holder's income as a result of the QEF election and decreased by the amount of nontaxable distributions QEF an Income Note, a received by the U.S. Holder. On the disposition (including redemption or retirement) of an Income Note, a or loss equal to the difference, if U.S. Holder making the QEF election generally will recognize capital gain or loss equal to the difference, if In in Income any, between the amount realized upon such disposition and its adjusted tax basis in the Income Note. In filing a U.S. general, a protective QEF election should be made on or before the due date for .filing a U.S. Holder's a In its federal income tax retum for the first taxable year for which the U.S. Holder has held its Income Notes. In return by the Issuer. is this regard, a QEF election is effective only if certain required information is made available by the Issuer. is a QEF of a Class of Income Notes Upon request, the Issuer will provide any U.S. Holder of Income Notes and any U.S. Holder of a Class of Issuer request, income tax Notes that may reasonably be characterized as equity in the Issuer for United States federal income tax in make the QEF election. Nonetheless, U.S. purposes with the information necessary for such U.S. Holder to make the QEF election. Nonetheless, there can be no assurance that such information will always be available. . available. The Issuer may be treated as holding securities issued by non-U.S. corporations that are Issuer as characterized as equity in one or more PFICs for United States federal income tax purposes, such as United more in holding an interest would COO Securities. In that event, U.S. Holders of the Income Notes would be treated as holding an interest In event, CDO to in these indirectly-owned PFICs. Because the U.S. Holder - and not the Issuer - would be required to Holder - and in make any QEF election with respect any such indirectly-owned PFIC, and because PFIC information with 126 Goldman Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825496 MBS-E-021825496 Footnote Exhibits - Page 5586 statements necessary for any such election may not be made available by the PFIC, there can be no statements necessary for any such election may not be made available by the PFIC, there can be no U.S. Holder would be able to make QEF election with respect toany particular any particular assurance that assurance that aaU.S. Holder would be able to make aaQEF election with respect to with respect to indirectly-heldPFIC. If the U.S. Holder of any Income Notes has not made aa QEFelection with respect to PFIC. If the U.S. Holder of any Income Notes has not made QEF election indirectly-held an indirectly-owned PFIC, the U.S. Holder would be subject to the consequences describedabove with an indirectly-owned PFIC, the U.S. Holder would be subject to the consequences described above with respectto the excess distributions of such PFIC (including gain indirectly realized with respect to such gain indirectly realized with respect to such respect to the excess distributions of such PFIC (including respect to the sale by the U.S. Holder of its PFICon the sale of the Issuer's interest in the PFIC and with respect to the sale by the U.S. Holder of its on the sale of the Issuer's interest in the PFIC and with PFIC Income Notes). Altematively, the U.S. Holder ~as made a QEF election with respect to the indirectlyIncome Notes). Alternatively, ififthe U.S. Holder has made a QEF election with respect to the indirectlyownedPFIC, the U.S. Holder would be required to include in income its share of the indirectly-owned owned PFIC, the U.S. Holder would be required to include in income its share of the indirectly-owned PFIC's ordinary eamings and net capital gain. PFIC's ordinary earnings and net capital gain. U.S. tax law also contains special provisions relating to CFCs. A foreign corporation isa CFC if U.S. tax law also contains special provisions relating to CFCs. A foreign corporation is a CFC if "U.S. Shareholders" in the aggregate own, directly or indirectly, more than 50% of the voting power or Shareholders" in the aggregate own, directly or indirectly, more than 50% of the voting power or "U.S. value of the stock of such corporation. For this purpose, a United States person that owns, directly or owns, directly or value of the stock of such corporation. For this purpose, a United States person thatShareholder" with indirectly, ten percent or more of the voting stock of a CFC is considered a "U.S. indirectly, ten percent or more of the voting stock of a CFC is considered a "U.S. Shareholder" with respect to the CFC. If any U.S. Holder of Income Notes were properly viewedas a U.S. Shareholder of Shareholder of respect to the CFC. If any U.S. Holder of Income Notes were properly viewed as a U.S.income tax (at the Issuer under the CFC rules, the U.S. Holder would be subject each year to U.S. income tax (at Issuer under the CFC rules, the U.S. Holder would be subject each year to U.S. the the Issuer is ordinary income rates) on its pro rata share of the income of the Issuer (assuming that the Issuer is ordinary income rates) on its pro rata share of the income of the Issuer (assuming that of the end of properly classified as a CFC for the year and that the U.S. Holder holds its Income Notes as of the end of classified as a CFC for the year and that the U.S. Holder holds its Income Notes as properly .the year), regardless of the amount of cash distributions received by the U.S. Holder with respect to its the year), regardless of the amount of cash distributions received by the U.S. Holder with respect to its Income Notes during the year. Earnings subject to tax to a U.S. Holder under the CFC rules would the CFC would Income Notes during the year. Earnings subject to tax to a U.S. Holder under Issuer is arules and a CFC generally not be taxed again when distributed to the U.S. Holder. Inaddition, if the Issuer is a CFC and a not be taxed again when distributed to the U.S. Holder. In addition, if the generally is a U.S. Shareholder with respect to the Issuer, all or a portion of the income that otherwise . U.S. Holder U.S. Holder is a U.S. Shareholder with respect to the Issuer, all or a portion of the income that othelWise would be characterized as capital gain upon a sale of U.S. Holder's Income Notes may be classified as would be characterized as capital gain upon a sale of U.S. Holder's Income Notes may be classified as ordinary income. ordinary income. Prospective investors should be aware that in computing Issuer'S earnings for purposes of the Prospective investors should be aware that in computing the Issuer's earnings for purposes of the be in computing the CFC rules, losses on dispositions of securities in bearer form may not be allowed, while in computing the rules, losses on dispositions of securities in bearer form may CFC PFIC rules, losses on dispositions of Issuer's ordinary earnings and Issuer's ordinary earnings and net capital gains for purposes of the PFIC rules, losses on dispositions of gain may be ordinary rather than securities in bearer form may not be allowed and any gain on such securities may be ordinary rather than securities in bearer form may not be in event of Notes not fully capital. Further, prospective investors should be aware that in the event that any of the Notes is not fully investors should be aware capital. Further, prospective income for United States paid upon maturity, the Issuer may recognize paid upon maturity, the Issuer may recognize cancellation of indebtedness income for United States loss (due to tax character differences character differences federal income tax purposes, federal income tax purposes, without any corresponding offsetting loss (due to tax of any Class of Notes U.S. Holders or othelWise). In such a case, U.S. Holders of the Income Notes (and U.S. Holders of any Class of Notes In such a case, U.S. Holders Income or otherwise). also have phantom income as a treated as equity for United States federal income tax purposes) may also have phantom income as a treated as equity for United States federal rules discussed above), as to and CFC rules discussed above), as to the' result of such recognition by the Issuer (pursuant to the QEF result of such recognition by the Issuer which an offsetting loss may not be available to the U.S. Holders. to the U.S. which an offsetting loss may not be Tax Treatment of Non-U.S. Holders Tax Treatment of Non-U.S. Holders A Non-U.S. Holder of Notes or Income Notes that has no connection with the United States A Non-U.S. Holder of Notes or Income Notes that has no connection with the United States of the Notes or generally should not be subject to United States withholding tax on payments in respect of the Notes or generally should not be subject to United States withholding tax on payments in respect Income Notes, and also should not be subject to United States federal income tax on any gains Income Notes, and also should not be subject to United States federal income tax on any gains Notes, provided that recognized in connection with the sale or other disposition of the Notes or Income Notes, provided that recognized in connection with the sale or other disposition of the Notes or Income beneficial owner of the Non U.S. Holder makes certain tax representations regarding the identity of the beneficial owner of certain tax representations regarding the identity of the the Non U.S. Holder makes sale or other the Notes or Income Notes (and, with respect to any gain recognized in connection with the sale or other the Notes or Income Notes (and, with respect to any gain recognized in connection with theis not present disposition of the Notes or Income Notes by a non resident alien individual, such individual is not present a non resident alien individual, such individual disposition of the Notes or Income Notes by and certain in the United States for 183 days or more in the taxable year of the sale or other disposition and certain in the United States for 183 days or more in the taxable year of the sale or other disposition . other conditions are met). other conditions are met). Information Reporting Requirements Information Reporting Requirements the Notes or Information reporting to the IRS may be required with respect to payments on the Notes or Information reporting to the IRS may be required with respect to payments on Holders other Notes to IncomeNotes to Holders other Income Notes and with respect to proceeds from the sale of the Notes and Income Income Notes and with respect to proceeds from the sale of the Notes and than corporations and certain other exempt recipients.. A "backup" withholding tax may also apply to than corporations and certain other exempt recipients.. A "backup" withholding tax may also apply to those payments ififaaHolder fails to provide certain identifying information (such as the Holder's taxpayer Holder fails to provide certain identifying information (such as the Holder's taxpayer those payments Backup identification number or an attestation to the status of the Holder as aaNon-U.S. Holder). number or an attestation to the status of the Holder as Non-U.S. Holder). Backup identification 127 127 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825497 GS MBS-E-021825497 Footnote Exhibits - Page 5587 withholding is not an additional tax and may be refunded (or credited against the Holder's United States withholding is not an additional tax and may be refunded (or credited against the Holder's United States federal income tax liability, any) provided that certain required information is fumished to the IRS in a federal income tax liability, ififany) provided that certain required information is furnished to the IRS in a timely manner. timely manner. Prospective investors should consult with their own tax advisors regarding whether they are Prospective investors should consult with their own tax advisors regarding whether they are required to file an IRS Form 8886 in respect of this transaction (relating to certain "reportable required to file an IRS Form 8886 in respect of this transaction (relating to certain "reportable transactions'l Thus, for example, a U.S. Holder were to sell its Notes or Income Notes at a loss, it is transactions"). Thus, for example, ififa U.S. Holder were to sell its Notes or Income Notes at a loss, itis possible that this loss could constitute a reportable transaction and need to be reported on Form 8886 As possible that this loss could constitute a reportable transaction and need to be reported on Form 8886 As another example, a transaction may be reportable if it is offered under conditions of confidentiality. In this another example, a transaction may be reportable ifitis offered under conditions of confidentiality. In this regard, each Holder and beneficial holder of a Note and Income Note (and each of their respective regard, each Holder and beneficial holder of a Note and Income Note (and each of their respective employees, representatives or other agents) is hereby advised that it is permitted to disclose to any and employees, representatives or other agents) is hereby advised that it is permitted to disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions described all persons, without limitation of any kind, the tax treatment and tax structure of the transactions described herein (including the ownership and disposition of the Notes or Income Notes) except where herein (including the ownership and disposition of the Notes or Income Notes) except where confidentiality is reasonably necessary to comply with the securities laws of any applicable jurisdiction. confidentiality is reasonably necessary to comply with the securities laws of any applicable jurisdiction. Significant penalties apply for failure to file Form 8886 when required, and U.S. Holders are therefore Significant penalties apply for failure to file Form 8886 when required, and U.S. Holders are therefore urged to consult their own tax advisors. urged to consult their own tax advisors. U.S. Holders of Income Notes and of any Class of Notes classified as equity for United States U.S. Holders of Income Notes and of any Class of Notes classified as equity for United States federal income tax purposes may be required to file Forms with the IRS under the applicable reporting federal income tax purposes may be required to file Forms with the IRS under the applicable reporting provisions of the Code. For example, such U.S. Holders may be required, under Sections 6038, 60388 provisions of the Code. For example, such U.S. Holders may be required, under Sections 6038, 6038B and/or 6046 of the Code, to supply the IRS with certain information regarding the U.S. Holder, other U.S.. and/or 6046 of the Code, to supply the IRS with certain information regarding the U.S. Holder, other U.S or 10% of the total combined . Holders and the Issuer if (i)such person owns at least 10% of the total value or 10% of the total combined Holders and the Issuer if (i) such person owns at least 10% of the total stock to vote (ii) the when aggregated with certain voting power of all classes voting power of all classes of stock entitled to vote or (ii) the acquisition, when aggregated with certain $100,000. Upon other acquisitions that may be treated as related under other acquisitions that may be treated as related under applicable regulations, exceeds $100,000. Upon Income of. Class of Notes that may request, the Issuer will provide U.S. Holders request, the Issuer will provide U.S. Holders of Income Notes and of any Class of Notes that may for United income tax purposes with information reasonably be recharacterized reasonably be recharacterized as equity for United States federal income tax purposes with information about the Issuer and its shareholders that the Issuer possesses and that may be needed to complete any Issuer and needed to complete any about the Issuer and its shareholders that U.S. Holder when required to do so, the U.S. Form that is so required. In the event a U.S. Holder fails to file a form when required to do so, the U.S. that is so required. In Form Holder could be subject to substantial tax penalties. Holder could be subject Circular 230 Circular 230 (Circular 230), the Under 31 C.F.R. part 10, the regulations goveming practice before the IRS (Circular 230), the Under 31 C.F.R. part 10, the regulations governing practice that: Issuer and its tax advisors are (or may be) required to inform prospective investors that: Issuer and its tax advisors are (or i. i. of counsel referred to herein, is Any advice contained herein, including any opinions of counsel referred to herein, is Any advice contained not intended or written to be used, and cannot be used by any taxpayer, for the and cannot be used by any taxpayer, for the be not intended or written purpose of avoiding penalties that may be imposed on the taxpayer, the taxpayer be purpose of avoiding penalties Any such advice is written to support the promotion or marketing of the Securities support the promotion or marketing of the Securities Any such advice is and the transactions described herein (or in such opinion or other advice); and and the transactions described herein (or in such opinion or other advice); and Each taxpayer should seek advice based on the taxpayer's particular circumstances Each taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor. from an independent tax advisor. ii. ii. iii. iii. Cayman Islands Tax Considerations Cayman Islands Tax Considerations The following discussion of certain Cayman Islands income tax consequences of an investment in The following discussion of certain Cayman Islands income tax consequences of an investment in the Notes is based on the advice of Maples and Calder as to Cayman Islands law. The discussion is a the Notes is based on the advice of Maples and Calder as to Cayman Islands law. The discussion is a general summary of present law, which is subject to prospective and retroactive change. It assumes that general summary of present law, which is subject to prospective and retroactive change. It assumes that the Issuer will conduct its affairs in accordance with assumptions made by, and representations made to, the Issuer will conduct its affairs in accordance with assumptions made by, and representations made to, counsel. It is not intended as tax advice, does not consider any investor's particular circumstances, and counsel. It is not intended as tax advice, does not consider any investor's particular circumstances, and does not consider tax consequences other than those arising under Cayman Islands law. does not consider tax consequences other than those arising under Cayman Islands law. 128 128 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825498 GS MBS-E-021825498 Footnote Exhibits - Page 5588 Under existing Cayman Islands laws: Under existing Cayman Islands laws: (i) payments of principal and interest in respect of the Notes will not be subject to taxation in payments of principal and interest in respect of the Notes will not be subject to taxation in (i) theCayman Islands and no withholding will be required on such payments to any Holder of a Note and Cayman Islands and no withholding will be required on such payments to any Holder of a Note and the gains derived from the sale of Notes will not be subject to Cayman Islands income orcorporation tax. gains derived from the sale of Notes will not be subject to Cayman Islands income or corporation tax. The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax; and inheritance tax or gift tax; and (iij the Holder of any Note (or the legal personal representative of such Holder) whose Note the Holder of any Note (or the legal personal representative of such Holder) whose Note (ii) is brought into the Cayman Islands may in certain circumstances be liable to pay stamp duty imposed brought into the Cayman Islands may in certain circumstances be liable to pay stamp duty imposed is under the laws of the Cayman Islands in respect of such Note. In addition, an instrument transferring title under the laws of the Cayman Islands in respect of such Note. In addition, an instrument transferring title to a Note, if bought or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty to a Note, if bought or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty. .. The Issuer has been incorporated under the laws of the Cayman Islands as an exempted The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company and, as such, has applied for and obtained an undertaking from the Governor In Cabinet of the company and, as such, has applied for and obtained an undertaking from the Governor In Cabinet of .the Cayman Islands in the following form: Cayman Islands in the following form: THE TAX CONCESSIONS LAW THE TAX CONCESSIONS LAW (1999 REVISION) (1999 REVISION) UNDERTAKING AS TO TAX CONCESSIONS UNDERTAKING AS TO TAX CONCESSIONS In accordance with Section of the Tax Concessions Law (1999 Revision) the Governor in In accordance with Section 6 of the Tax Concessions Law (1999 Revision) the Governor in Cabinet undertakes with Timberwolf 1,Ltd. (the "Company"): (the "Company''): Cabinet undertakes with Timberwolf I, (a) that no law which is hereafter enacted in the any tax to be levied on that no law which is hereafter enacted in the Islands imposing any tax to be levied on (a) profits, income, gains or appreciations shall the Company or operations; and profits, income, gains or appreciations shall apply to the Company or its operations; and (b) in addition, that no tax to or appreciations or which is in addition, that no tax to be levied on profits, income, gains or appreciations or which is (b) payable in the nature of estate duty or inheritance tax shall be payable the nature of estate duty or in of (i) on or in respect of the shares, Company; on or in respect of the shares, debentures or other obligations of the Company; (i) or or in part of any relevant payment as defined (ii) by way of the withholding in whole or in part of any relevant payment as defined in by way (ii) in Section 6(3) of the Tax Concessions Law (1999 Revision). in Section 6(3) the Tax of the undertaking. These concessions shall be for a period of twenty years from the date of the undertaking. These concessions shall be a period twenty ERISA CONSIDERATIONS ERISA CONSIDERATIONS The United States Employee Retirement Income Security Act of 1974, as amended ("ERISAj, The United States Employee Retirement Income Security Act 1974, as amended ("ERISA'I, 3(3) of ERISA) subject imposes certain requirements on "employee benefit plans" (as defined in Section 3(3) of ERISA) subject (as defined in imposes certain requirements on "employee benefit to Title II of ERISA, including entities such as collective investment funds and separate accounts whose to Title of ERISA, including entities such as collective investment funds and separate accounts whose underlying assets include the assets of such plans (collectively, "ERISA Plans'1. and on those persons underlying assets include the assets of such plans (collectively, "ERISA Plans', and on those persons who are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are subject to ERISA's who are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are subject to ERISA's. general fiduciary requirements, including the requirement of investment prudence and diversification and general fiduciary requirements, including the requirement of investment prudence and diversification and the requirement that an ERISA Plan's investments be made in accordance with the documents governing the requirement that an ERISA Plan's investments be made in accordance with the documents governing such ERISA Plan. The prudence of a particular investment must be determined by the responsible such ERISA Plan. The prudence of a particular investment must be determined by the responsible of the fiduciary of an ERISA Plan by taking into account the ERISA Plan's particular circumstances and all of the fiduciary of an ERISA Plan by taking into account the ERISA Plan's particular circumstances and allabove facts and circumstances of the investment including, but not limited to, the matters discussed above of the investment including, but not limited to, the matters discussed facts and circumstances under "Risk Factors" and the fact that in the future ?there may be no market in whi~h such fiduciary will be under "Risk Factors" and the fact that in the future there may be no market in which such fiduciary will be able to sell or otherwise dispose of the Securities. able to sell or otherwise dispose of the Securities. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those plans that are not subject to ERISA but which are subject to assets of an ERISA Plan (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts (together with ERISA Plans, "Plans',}) Section 4975 of the Code, such as individual retirement accounts (together with ERISA Plans, "Plans") and certain persons (referred to as "parties in interest" under ERISA or "disqualified persons" under the and certain persons (referred to as "parties in interest" under ERISA or "disqualified persons" under the 129 129 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825499 GS MBS-E-021825499 Footnote Exhibits - Page 5589 Code (collectively, "Parties in Interest">> having certain relationships to such Plans, unless a statutory, Code (collectively, "Parties in Interest")) having certain relationships to such Plans, unless a statutory, regulatory or administrative exemption is applicable to the transaction. A Party in Interest who engages in regulatory or administrative exemption is applicable to the transaction. A Party in Interest who engages in a non-exempt prohibited transaction may be subject to excise taxes and other penalties and liabilities a non-exempt prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and Section 4975 of the Code. under ERISA and Section 4975 of the Code. The United States Department of Labor ("DOL") has promulgated a regulation, 29 C.F.R. Section The United States Department of Labor ("DOL") has promulgated a regulation, 29 C.F.R. Section 2510.3-101, describing what constitutes the assets of a Plan ("Plan Assets') with respect to the Plan's 2510.3-101, describing what constitutes the assets of a Plan C'Plan Assets'') with respect to the Plan's investment in an entity for purposes of applying ERISA and Section 4975 of the Code. Section 3(42) of investment in an entity for purposes of applying ERISA and Section 4975 of the Code. Section 3(42) of ERISA also describes what constitutes Plan Assets. Section 3(42) of ERISA and 29 C.F.R. Section ERISA also describes what constitutes Plan Assets. Section 3(42) of ERISA and 29 C.F.R. Section 2510.3-101 are collectively the "Plan Asset Regulation." Under the Plan Asset Regulation, if a Plan 2510.3-101 are collectively the "Plan Asset Regulation." Under the Plan Asset Regulation, if a Plan invests in an "equity interest" of an entity that is neither a "publicly offered security" nor a security issued invests in an "equity interest" of an entity that is neither a "publicly offered security" nor a security issued by an investment company registered under the Investment Company Act, the Plan's assets include both by an investment company registered under the Investment Company Act, the Plan's assets include both the equity interest and an undivided interest in each of the entity's underlying assets, unless it is the equity interest and an undivided interest in each of the entity's underlying assets, unless it is established that the entity is an "operating company" or that equity participation in the entity by Benefit established that the entity is an "operating company" or that equity participation in the entity by Benefit Plan Investors not "significant." Section 3(42) of ERISA modified 29 C.F.R. Section 2510.3-101 to Plan Investors is not "significant." Section 3(42) of ERISA modified 29 C.F.R. Section 2510.3-101 to exclude plans not subject to Title of ERISA or Section 4975 of the Code from the Benefit Plan Investor exclude plans not subject to Title I of ERISA or Section 4975 of the Code from the Benefit Plan Investor definition. definition. Prohibited transactions may arise under Section 406 of ERISA or Section 4975 of the Code if Prohibited transactions may arise under Section 406 of ERISA or Section 4975 of the Code if are acquired? with Plan Assets with to the Initial Purchaser, the Securities are acquired with Plan Assets with respect to which the Issuer, the Initial Purchaser, the Collateral Manager or Certain exemptions from the Collateral Manager or any of their respective affiliates, is a Party in Interest. Certain exemptions from the prohibited transaction provisions of Section ERISA and Section 4975 of the Code may be prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be .applicable, however, including a statutory exemption under Section 408(b)(17) of ERISA for transactions however, including a statutory exemption under Section 408(b)(17) ERISA for transactions applicable, are in reason of their (or invoMng "adequate consideration" persons involving "adequate consideration" with persons who are Parties in Interest solely by reason of their (or whom is a fiduciary with their affiliate's) status as a to the their affiliate's) status as a service provider to the Plan involved and none of whom is a fiduciary with In a respect to the Plan Assets involved (or an affiliate of such a fiduciary). In addition, an administrative an administrative respect in on the decision to acquire exemption exemption may be available depending in part on the type of Plan fiduciary making the decision to acquire a Security and under is among these exemptions a Security and the circumstances under which such decision is made. Included among these exemptions regarding transactions effected by are: DOL Prohibited Transaction Class Exemption ("PTCE") 96-23, regarding transactions effected by Transaction are: "in-house managers"; PTCE by insurance company general certain "in-house asset managers"; PTCE 95-60, regarding investments by insurance company general accounts; PTCE regarding investment PTCE 90-1, regarding. accounts; PTCE 91-38, regarding investments by bank collective investment funds; PTCE 90-1, regarding investments by insurance company pooled separate accounts; and PTCE 84-14, regarding transactions PTCE regarding transactions investments no assurance that any managers." by independent effected by independent "qualified professional asset managers." There can be no assurance that any transaction involving the class or other exemption will be available with respect to any particular transaction involving the all possible prohibited transactions. Securities, or that, if available; the exemption would cover all possible prohibited transactions. if available, Securities, not necessarily subject to the plans, Governmental plans and certain church and other plans, while not necessarily subject to the provisions of Section 4975 of the Code, may or fiduciary responsibility proviSions of ERISA or the provisions of Section 4975 of the Code, may responsibility provisions federal laws that are substantially similar to the foregoing nevertheless be subject to state or other federal laws that are substantially similar to the foregoing plans should consult with their counsel before provisions of ERISA and the Code. Fiduciaries of any such plans should consult with their counsel before Fiduciaries provisions of ERISA purchasing any Securities. Securities. purchasing assets of its general account in the Securities should Any insurance company proposing to invest assets of its general account in the Securities should company proposing to Any be subject to the requirements of ERISA in light of consider the extent to which such investment would be subject to the requirements of ERISA in light of investment extent which consider Life Insurance Co. v. Harris Trust and the U.S. Supreme Court's decision in John Hancock Mutual Life Insurance Co. v. Harris Trust and decision in John Hancock the U.S. Supreme Savings Bank, 510 U.S. 86 (1993), and the enactment of Section 401(c) of ERISA. In particular, such an enactment of Section 401(c) of ERISA. In particular, such an (1993), and Savings Bank, 510 exemptive relief granted by the DOL insurance company should consider the retroactive and prospective exemptive relief granted by the DOL insurance company should consider the retroactive and in PTCE 95-60 and the regulations issued for transactions involving insurance company general accounts in PTCE 95-60 and the regulations issued company general for transactions involving insurance by the DOL, 29 C.F.R. Section 2550.401c-1 (January 5, 2000). Certain additional information regarding by the DOL, 29 C.F.R. Section 2550.401c-1 (January 5, 2000). Certain additional information regarding general accounts is set forth below. general accounts isset forth below. Any Plan fiduciary or other person who proposes to use Plan Assets to purchase any Securities Any Plan fiduciary or other person who proposes to use Plan Assets to purchase any Securities should consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited should transaction provisions of ERISA and Section 4975 of the Code to such an investment, and to confirm that transaction provisions of ERISA and Section 4975 of the Code to such an investment, and to confirm that such investment will not constitute or result in a non-exempt prohibited transaCtion or any other violation such investment will not constitute or result in a non-exempt prohibited transaction or any other violation of an applicable requirement of ERISA. of an applicable requirement of ERISA. 130 130 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825500 GS MBS-E-021825500 Footnote Exhibits - Page 5590 The sale of any Security to Plan, or to person using Plan Assets to effect its purchase of any The sale of any Security to aaPlan, or to aaperson using Plan Assets to effect its purchase of any Security,is in no respect a representation by the Issuers, the Initial Purchaser or the Collateral Manager Security, is in no respeCt a representation by the Issuers, the Initial Purchaser or the Collateral Manager that such an investment meets all relevant legal requirements with respect to investments by Plans that such an investment meets all relevant legal requirements with respect to investments by Plans generally or any particular Plan, or that such an investment is appropriate for Plans generally or any generally or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan. particular Plan. Class S Notes, Class A Notes, Class B Notes and Class C Notes Class S Notes, Class A Notes, Class B Notes and Class C Notes . For purposes of the Plan Asset Regulation, an equity interest includes any interest in an entity For purposes of the Plan Asset Regulation, an equity interest includes any interest in an entity other than an instrument that is treated as indebtedness under applicable local law and which has no than an instrument that is treated as indebtedness under applicable local law and which has no other under substantial equity features. Because th~ Notes (a) are expected to be treated as indebtedness under substantial equity features. Because the Notes (a) are expected to be treated as indebtedness not be local law and for federal tax purposes (see "Income Tax Considerations" herein), and (b)should not be law and for federal tax purposes (see "Income Tax Considerations" herein), and (b) should local deemed to have any "substantial equity features," purchases of the Notes with Plan Assets should not be deemed to have any "substantial equity features," purchases of the Notes with Plan Assets should not be to be Plan treated as equity investments and, therefore, the Collateral Assets should not be deemed to be Plan treated as equity investments and, therefore, the Collateral Assets should not be deemed features of of the investing Plans. Those conclusions are based, in part, upon the traditional debt Assets of the investing Plans. Those conclusions are based, in part, upon the traditional debt features of Assets the Notes, including the reasonable expectation of purchasers of the Notes that the Notes will be repaid the Notes, including the reasonable expectation of purchasers of the Notes that the Notes will be repaid when due, as well as the absence of conversion rights, warrants and other typical equity features. equity features. when due, as well as the absence of conversion rights, warrants and other typical the Plan Asset However, if the Notes were nevertheless treated as equity interests for purposes of However, if the Notes were nevertheless treated as equity interests for purposes of the Plan Asset Regulation and if the assets of the Issuer were deemed to constitute Plan Assets of an investing Plan, (Q Regulation and if the assets of the Issuer were deemed to constitute Plan Assets of an investing Plan, (i) transactions involving the assets of the Issuer could be subject to the fiduciary responsibility and transactions involving the. assets of the Issuer could be subject to the fiduciary responsibility and (ii) the assets of the Issuer prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets of the Issuer prohibited transaction provisions of ERISA and Section 4975 of the Code,the fiduciary causing the Plan could be subject to ERISA's reporting and disclosure requirements, and (iii) the fiduciary causing the Plan be subject to ERISA's disclosure requirements, and (iii) could to make an investment in the Notes could be deemed have delegated its responsibility to manage Plan to make an investment in the Notes could be deemed to have delegated its responsibility to manage Plan Assets. Assets. Class A Note, Note or Class C Note, the purchaser By its purchase of any Class S By its purchase of any Class S Note, Class A Note, Class B Note or Class C Note, the purchaser . thereof will be deemed to have represented and warranted either that (i) it is not and will not be a Plan or will be deemed to represented and warranted either that (i) it is not and will not be a Plan or thereof an entity whose underlying assets include Plan investment entity; or an entity whose underlying assets include Plan Assets by reason of any Plan's investment in the entity; or (ii) its purchase and holding of a Class S Note, A B C Note are eligible are (ii) its purchase and holding of a Class S Note, Class A Note, Class B Note or Class C Note90-1, eligible for the exemptive relief available under 91-38, 408(b)(17) ERISA or PTCE 84-14, for the exemptive relief available under any of Section 408(b)(17) of ERISA or PTCE 84-14, 90-1, 91-38, 95-60, 96-23 or a similar exemption. 96-23 or a similar exemption. 95-60, Class D Notes and Income Notes Class 0 Notes and Income Notes Equity participation in an entity by Benefit Plan Investors is '.'significanf' under the Plan Asset Investors is ''significant" under the Plan Asset Equity participation in an entity by Benefit by Regulation (see above) if 25% or more of the value of any class of equity interest in the entity is held by? if 25% or more of the value of any class equity interest in the entity is held the Regulation (see above) by Benefit Plan Investors is "significant," Benefit Plan Investors. If equity participation in the Issuer by Benefit Plan Investors is "significant," the Benefit Plan Investors. If equity participation in assets of assets of the Issuer could be deemed to be Plan Assets of Plans investing in the equity. If the assets of assets of the Issuer could be deemed to be Plan Assets Plans investing in the equity. Ifthe involving the the Issuer were deemed to constitute Plan Assets of an investing Plan, (i) transactions involving the the Issuer were deemed to constitute Plan Assets of an investing Plan, (i) transactions provisions of assets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction provisions of assets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction ERISA and Section 4975 of the Code, (iQ the assets of the Issuer could be subject to ERISA's reporting ERISA and Section 4975 of the Code, (ii) the assets of the Issuer could be subject to ERISA's reporting the and disclosure reqUirements, and (iii) the fiduciary causing the Plan to make an equity investment in the and disclosure requirements, and (iii) the fiduciary causing the Plan to make an equity investment in Issuer could be deemed to have delegated its responsibility to manage Plan Assets. The term "Benefit to have delegated its responsibility to manage Plan Assets. The term "Benefit Issuer could be deemed Plan Investor" includes (i) an employee benefit plan (as defined in Section 3(3) of ERISA) that is subject Plan Investor" includes (i) an employee benefit plan (as defined in Section 3(3) of ERISA) that is subject to the provisions otTitle IIof ERISA,(ii) a plan described in and subject to Section 4975(e)(1) of the Code to the provisions of Title of ERISA, (ii) a plan described in and subject to Section 4975(e)(1) of the Code investment and (iii) any entity whose underlying assets include Plan Assets by reason of any such plan's investment and (iii) any entity whose underlying assets include Plan Assets by reason of any such plan's (i) to identify the maximum percentage of its in the entity. An entity described in (iiQ above will be asked (i) to identify the maximum percentage of its in the entity. An entity described in (iii) above will be asked assets that may be or become Plan Assets and (ii) without limiting the remedies that may be available, in assets that may be or become Plan Assets and (ii)without limiting the remedies that may be available, in and dispose of the event the maximum percentage is thereafter exceeded, to agree to notify the Issuer, and dispose of the event the maximum percentage is thereafter exceeded, to agree to notify the Issuer, exceeded. For Income Notes as instructed by the Issuer, before the specified maximum percentage is exceeded. For the specified maximum percentage is Income Notes as instructed by the Issuer, before by purposes of making the 25% determination, the value of any equity interests in the Issuer held by aa purposes of making the 25% determination, the value of any equity interests in the Issuer held to the person (other than aaBenefit Plan Investor) who has discretionary authority or control with respect to the (other than Benefit Plan Investor) who has discretionary authority or control with respect person . asse~s of the Issuer, any person who provides investment advice for aa fee (direct or indirect) with respect assets of the Issuer, any person who provides investment advice for fee (direct or indirect) with respect to such assets, or any affiliate of such aaperson (any of the foregoing, aa"Controlling Person"), are to such assets, or any affiliate of such person (any of the foregoing, "Controlling Persoin"), are disregarded. Under the Plan Asset Regulation, an "affiliate" of aaperson includes any person, directly or disregarded. Under the Plan Asset Regulation, an "affiliate" of person includes any person, directly or 131 131 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825501 GS MBS-E-021825501 Footnote Exhibits - Page 5591 indirectly through one or more intennediaries, controlling, controlled by or under common control with the indirectly through one or more intermediaries, controlling, controlled by or under common control with the person, and "control" with respect to a person, other than an individual, means the power to exercise a person, and "control" with respect to a person, other than an individual, means the power to exercise a controlling influence over the management or policies of such person. controlling influence over the management or policies of such person. The Income Notes are not indebtedness under applicable local law and will be equity interests for The Income Notes are not indebtedness under applicable local law and will be equity interests for purposes of applying ERISA and Section 4975 of the Code. The Class D Notes may also be treated as purposes of applying ERISA and Section 4975 of the Code. The Class D Notes may also be treated as equity interests for purposes of applying ERISA and Section 4975 of the Code. Accordingly, purchases equity interests for purposes of applying ERISA and Section 4975 of the Code. Accordingly, purchases and transfers of Income Notes will be limited, so that less than 25% of the value of each of the Class D and transfers of Income Notes will be limited, so that less than 25% of the value of each of the Class D Notes and Income Notes will be held by Benefit Plan Investors, by requiring each purchaser or transferee Notes and Income Notes will be held by Benefit Plan Investors, by requiring each purchaser or transferee of a Class D Note and an Income Note to make certain representations and agree to additional transfer of a Class D Note and an Income Note to make certain representations and agree to additional transfer restrictions described under "Notice to Investors." Benefit Plan Investors and Controlling Persons will not restrictions described under "Notice to Investors." Benefit Plan Investors and Controlling Persons will not be pennitted to purchase Regulation S Income Notes or Regulation S Class D Notes. No purchase of a be permitted to purchase Regulation S Income Notes or Regulation S Class D Notes. No purchase of a Class D Note or an Income Note (other than Regulation S Income Note and a Regulation S Class D Class D Note or an Income Note (other than a Regulation S Income Note and a Regulation S Class D Note) by, or proposed transfer to, a person that has represented that it is Benefit Plan Investor or a Note) by, or proposed transfer to, a person that has represented that it is a Benefit Plan Investor or a be pennitted to the extent that such purchase or transfer would result in persons' Controlling Person Controlling Person will be permitted to the extent that such purchase or transfer would result in persons that have represented that they are Benefrt Plan Investors owning 25% or more of any of the outstanding that have represented that they are Benefit Plan Investors owning 25% or more of any of the outstanding Class D Notes Income Notes immediately after such purchase proposed transfer (determined in Class D Notes and Income Notes immediately after such purchase or proposed transfer (determined in accordance with Asset Regulation and the Indenture the Fiscal Agency Agreement), based' accordance with the Plan Asset Regulation and the Indenture and the Fiscal Agency Agreement), based' upon the representations made by investors. addition, the Initial the Collateral Manager upon the representations made by investors. In addition, the Initial Purchaser, the Collateral Manager their acquire any Class D Notes Trustee agree neither and the Trustee agree that neither they nor any of their respective affiliates will acquire any Class D Notes or Income would not, as determined by Trustee, result in persons that or Income Notes unless such acquisition would not, as determined by the Trustee, result in persons that have acquired D' Notes or Income Notes represented that they Benefit Plan Investors have acquired Class D Notes or Income Notes and represented that they are Benefit Plan Investors owning 25% or more outstanding D Notes Notes immediately after such owning 25% or more of the outstanding Class D Notes or Income Notes immediately after such acquisition by the Initial Purchaser, the Collateral Manager or D Notes or Income acquisition by the Initial Purchaser, the Collateral Manager or the Trustee. Class D Notes or Income as Collateral the Trustee, any of their Notes held as principal by the Initial Purchaser, the Collateral Manager, the Trustee, any of their Controlling Persons will be respective affiliates and persons that have represented that they are Controlling Persons will be persons respective outstanding determining compliance with the 25% disregarded and will not be treated as outstanding for purposes of determining compliance with the 25% Controlling Benefrt Investor. Any Benefit Plan limitation to the extent that such a Controlling Person is not a Benefit Plan Investor. Any Benefit Plan Regulation S Income Notes or Investor that Income D Investor that acquires Class D Notes or Income Notes (other than Regulation S Income Notes or and holding of that D Regulation S Class D Notes) will be required to represent and agree that the acquisition and holding of the Class D Notes or Income Notes (other than Regulation S Income Notes or Regulation S Class D S Income Notes or Regulation S Class D the Class D Notes under or Section 4975 of the Code Notes) do not and will not constitute a prohibited transaction under ERISA or Section 4975 of the Code Notes) for which an exemption is not available. is for held that those funds allocated to the The U.S. Supreme Court, in John Hancock (noted above), held that those funds allocated to the in The U.S. employee benefit plan which a contract general account of an insurance company pursuant to a contract with an employee benefit plan which In the preamble to "plan vary with the investment experience of the insurance company are "plan assets." In the preamble to vary purposes of calculating the 25% threshold under that, PTCE 95-60 (also noted above), the DOL noted that, for purposes of calculating the 25% threshold under PTCE only the proportion of an insurance the significant participation test of the Plan Asset Regulation, only the proportion of an insurance Plan the significant participation represents Plan Assets should be taken company general account's equity investment in the entity that represents Plan Assets should be taken in the company is a Benefit Plan Investor. Any into account in calculating that portion of the general account that is a Benefit Plan Investor. Any into account in calculating that portion Class D Notes or Income Notes (other than insurance company using general account assets to purchase Class D Notes or Income Notes (other than insurance company using general account assets D Notes) will be asked (i) to identify the maximum Regulation S Income Notes or Regulation S Class D Notes) will be asked (i) to identify the maximum S Regulation S Income percentage of the assets of the general account that may be or become Plan Assets, (ii) whether it is a account that may be or become Plan Assets, (ii)whether it is a of the general percentage of the remedies that may be available, in the "Controlling Person" (defined above), and (iii) without limiting the remedies that may be available, in the "Controlling Person" (defined above), and (iii) to agree to notify the Issuer, and dispose of event that the maximum percentage is thereafter exceeded, to agree to notify the Issuer, and dispose of is thereafter event that the maximum percentage is Class D Notes or Income Notes as instructed by the Issuer, before the specified maximum percentage is Class D Notes or Income Notes instructed by the Issuer, before the exceeded. Insurance companies using general account assets that are Plan Assets may not purchase exceeded. Insurance companies using general account assets that are Plan Assets may not purchase Regulation S Income Notes or Regulation S Class 0 Notes. Regulation S Income Notes or Regulation S Class D Notes. . CERTAIN LEGAL INVESTMENT CONSIDERATIONS CERTAIN LEGAL INVESTMENT CONSIDERATIONS __ .___ , , ,Institutions whose investment activities are subject to legal investment laws and regl.!latlons or to Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to restrictions on investments in the Notes or the review by certain regulatory authorities may be subject to restrictions on investments in the Notes or the Income Notes. Any such institution should consult its legal advisors in detennining whether and to what Income Notes. Any such institution should consult its legal advisors in determining whether and to what 132 132 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825502 GS MBS-E-021825502 Footnote Exhibits - Page 5592 extent there may be restrictions on its ability to invest in the Notes and the Income Notes. Wrthout limiting extent there may be restrictions on its ability to invest in the Notes and the Income Notes. Without limiting . the foregoing, any financial institution that is subject to the jurisdiction of the Comptroller of Currency, the the foregoing, any financial institution that is subject to the jurisdiction of the Comptroller of Currency, the Board of Govemors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Officeof Thrift Supervision, the National Credit Union Administration, any state insurance commission, or Office of Thrift Supervision, the National Credit Union Administration, any state insurance commission, or any other federal or state agencies with similar authority should review any applicable rules, guidelines any other federal or state agencies with similar authority should review any applicable rules, guidelines and regulations prior to purchasing the Notes or the Income Notes. Depository institutions should review and regulations prior to purchasing the Notes or the Income Notes. Depository institutions should review and consider the applicability of the Federal Financial Institutions Examination Council Supervisory Policy and consider the applicability of the Federal Financial Institutions Examination Council Supervisory Policy Statement on Securities Activities, which has been adopted by the respective federal regulators. Statement on Securities Activities, which has been adopted by the respective federal regulators. None of the Issl,lers or the Initial Purchaser make any representation as to the proper None of the Issuers or the Initial Purchaser make any representation as to the proper characterization of the Notes or Income Notes for legal investment or other purposes, or as to the ability characterization of the Notes or Income Notes for legal investment or other purposes, or as to the ability of? particular investors to purchase the Notes or Income Notes for legal investment or other purposes, or of-particular investors to purchase the Notes or Income Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Notes or Income Notes under applicable as to the ability of particular investors to purchase the Notes or Income Notes under applicable investment restrictions. The Issuers understand that certain state insurance regulators, in response to a investment restrictions. The Issuers understand that certain state insurance regulators, in response to a request for guidance, may be considering the characterization (as U.S. domestic or foreign (non-U.S.>> of request for guidance, may be considering the characterization (as U.S. domestic or foreign (non-U.S.)) of certain collateralized debt obligation securities co-issued by a non-U.S. issuer and a U.S. co-issuer. certain collateralized debt obligation securities co-issued by a non-U.S. issuer and a U.S. co-issuer. There can be no assurance as to the nature of any guidance or other action that may result from such There can be no assurance as to the nature of any guidance or other action that may result from such consideration. The uncertainties described above (and any unfavorable future determinations conceming consideration. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Notes or Income Notes) may affect legal investment or financial institution regulatory characteristics of the Notes or Income Notes) may affect the liquidity of the Notes or Income Notes. Accordingly, all institutions whose activities are subject to legal the liquidity of the Notes or Income Notes. Accordingly, all institutions whose activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult their own legal advisors in determining whether and to what extent the Notes or Income should consult their own legal advisors in determining whether and to what extent the Notes or Income Notes are subject to investment, capital or other restrictions. Notes are subject to investment, capital or other restrictions. LISTING AND GENERAL INFORMATION LISTING AND GENERAL INFORMATION 1. Application may be made to some the of Application may be made to admit some or all of the Securities on a stock exchange of 1. will be sought, the Issuer's choice, if practicable. There can be no assurance that such admission will be sought, if practicable. the Issuer's choice, Articles of Association of granted or maintained. Copies of Memorandum granted or maintained. Copies of this offering circular, the Memorandum and Articles of Association of Indenture, the Collateral Management the Issuer and the organization documents of the Co-Issuer, the Indenture, the Collateral Management the organization the Issuer and Swap Agreement will be deposited with the Agreement, the Fiscal Agreement Agreement, the Fiscal Agency Agreement and the Cashflow Swap Agreement will be deposited with the the Issuer, where copies Note Paying Agents, the Listing and Paying Agent and at the registered office of the Issuer, where copies Note Paying Agents, the Listing and of the date of the Listing thereof may be obtained, free of charge, upon request within fourteen days of the date of the Listing may be obtained, free of thereof Particulars. Particulars. of the Issuer, the organizational 2. Copies of the Memorandum and Articles of Association of the Issuer, the organizational Articles Copies of the Memorandum 2. of the Issuer authorizing the documents of the Co-Issuer, the resolutions of the Board of Directors of the Issuer authorizing the of the resolutions documents of the Co-Issuer, Deed of Covenant, the Fiscal Agency issuance of the Securities, and the execution of the Indenture, the Deed of Covenant, the Fiscal Agency the Indenture, of the Securities, and the issuance Cashflow Swap Agreement and the Agreement, the Collateral Management Agreement and the Cashflow Swap Agreement and the and Agreement, the Collateral Management resolutions of the sole member of the Co-lssl!~L authorizing the issuance of the Notes, and the execution member of the Co-Issuer authorizing the issuance of the Notes, and the execution resolutions of the sole of the Indenture may be obtained free of charge upon request within thirty days of the date of this offering of the Indenture may be obtained free of charge upon request within thirty days of the date of this offering circular at the office of a Paying Agent on behalf of the Issuer. circular at the office of a Paying Agent on behalf of the Issuer. 3. Each of the Issuers represents that there has been no material adverse change in its Each of the Issuers represents that there has been no material adverse change in its 3. financial position since its date of creation. financial position since its date of creation. 4. The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to 4. publish annual reports and accounts. The Co-Issuer is not required by Delaware law, and the Co-Issuer publish annual reports and accounts. The Co-Issuer is not required by Delaware law, and the Co-Issuer to does not intend, to publish annual reports and accounts. The Indenture, however, requires the Issuer to does not intend, to publish annual reports and accounts. The Indenture, however, requires the Issuerthe deliver to the Trustee a Director's Certificate stating, as to each signatory thereof, that (a) a review of the as to each signatory thereof, that (a) a review of deliver to the Trustee a Director's Certificate stating, activities of the Issuer during the prior year and of the Issuer's performance under the Indenture has been activities of the Issuer during the prior year and of the Issuer's performance under the Indenture has been made under his supervision; and (b) to the best of his knowledge, based on such reView, the Issuer has made under his supervision; and (b)to the best of his knowledge, based on such review, the Issuer has fulfilled all of its obligations under the Indenture throughout the prior year, or, ififthere has been aa defaultin fulfilled all of its obligations under the Indenture throughout the prior year, or, there has been default in the fulfillment of any such obligation,? specifying each such default known to him and the nature and status? the fulfillment of any such obligation, specifying each such default known to him and the nature and status thereof. thereof. 133 133 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825503 GS MBS-E-021825503 Footnote Exhibits - Page 5593 5. The Issuers are not, and have not since incorporation or formation, as applicable, been, The Issuers are not, and have not since incorporation or formation, as applicable, been, 5. involved in any litigation or arbitration proceedings relating to claims in amounts which may have or have involved in any litigation or arbitration proceedings relating to claims in amounts which may have or have had a material effect on the Issuers in the context of the issue ofthe Notes nor, so far as each of the had a material effect on the Issuers in the context of the issue of the Notes nor, so far as each of the Issuers is aware, is any such litigation or arbitration involving it pending or threatened. Issuers is aware, is any such litigation or arbitration involving itpending or threatened. 6. The issuance of the Securities will be authorized by the Board of Directors of the Issuer The issuance of the Securities will be authorized by the Board of Directors of the Issuer 6. by resolutions passed on or about the Closing Date. The issuance of the Notes will be authorized by the resolutions passed on or about the Closing Date. The issuance of the Notes will be authorized by the by sole member of the Co-Issuer by action by written consent of the sole member passed on or about the sole member of the Co-Issuer by action by written consent of the sole member passed on or about the Closing Date. Since incorporation or formation, as applicable, neither the Issuer nor the Co-Issuer has Closing Date. Since incorporation or formation, as applicable, neither the Issuer nor the Co-Issuer has commenced trading or established any accounts, except as disclosed herein or accounts used to hold commenced trading or established any accounts, except as disclosed herein or accounts used to hold amounts received with respect to share capital and fees. amounts received with respect to share capital and fees. 7. The Notes sold in offshore transactions in reliance on Regulation S and represented by The Notes sold in offshore transactions in reliance on Regulation S and represented by 7. the Regulation S Global Notes have been accepted for clearance through Clearstream and Euroclear Regulation S Global Notes have been accepted for clearance through Clearstream and Euroclear the under the Common Codes indicated below. The CUSIP Numbers and International Securities under the Common Codes indicated below. The CUSIP Numbers and International Securities Identification Numbers ("ISIN") for the Notes represented by Regulation S Global Notes and Rule 144A Identification Numbers ("ISIN") for the Notes represented by Regulation S Global Notes and Rule 144A Global Notes are as indicated below: Global Notes are as indicated below: Regulation Regulation S Global Notes Global Notes Class S-1 Notes Class S-1 Notes Class S-2 Notes Class S-2 Notes Class A-1a Notes Class A-la Notes Class A-1 b Notes Class A-lb Notes Class A-1c Notes Class A-1c Notes Class A-1d Notes Class A-1 d Class A-2 Notes Class A-2 Notes Class B Notes Class B Notes Class C Notes Class C Notes Class D Notes Class D Notes 'Income Notes Income Notes CUSIP CUSIP G8878YM8 G8878YAA8 G8878YAL4 G8878YAB6 G8878YAB6 G8878YAC4 G8878YAC4 G8878YAD2 G8878YAD2 G8878YAEO G8878YAEO G8878YAF7 G8878YAF7 G8878YAG5 G8878YAG5 G8878YAH3 G8878YAK6 G8878DM4 G8878DAA4 ISIN ISIN USG8878YAA85 USG8878YM85 USG8878YAL41 USG8878YAB68 USG8878YAB68 USG8878YAC42 USG8878YAC42 USG8878YAD25 USG8878YAD25 USG8878YAEO8 USG8878YAE08 USG8878YAF72 USG8878YAF72 USG8878YAG55 USG8878YAG55 USG8878YAH39 USG8878YAH39 USG8878YAK67 USG8878YAK67 USG8878DAA49 USG8878DM49 LEGAL MATIERS MATTERS Rule 144A Rule 144A Global Notes Global Notes CUSIP CUSIP 88714PAA4 88714PM4 88714PAK2 88714PAK2 88714PAB2 88714PAB2 88714PACO 88714PACO 88714PAD8 88714PAD8 88714PAE6 88714PAE6 88714PAF3 88714PAF3 88714PAG1 88714PAG1 88714PAH9 88714PAH9 88714PAJ5 88714PAJ5 88714NAA9 88714NM9 Manager by Sidley Austin LLP, New Certain legal matters will be passed upon for the Collateral Manager by Sidley Austin LLP, New Certain legal matters York, New York. Certain matters with respect to Cayman Islands law will be passed upon for the Issuer York. Certain matters to Cayman Islands law will be passed upon for the Issuer respect York, New upon for the Issuer and Goldman, Sachs & by Maples and Calder. Certain legal matters will be passed upon for the Issuer and Goldman, Sachs & be matters by Maples and Calder. York. New Co. by Orrick, Herrington & Sutcliffe LLP, New York, New Co. by Orrick, Herrington & Sutcliffe LLP, New UNDERWRITING UNDERWRITING The Securities will be offered by Goldman, Sachs & Co. (the "Initial Purchaser'1, from time to time The Securities will be offered by Goldman, Sachs & Co. (the "Initial Purchaser'), from time to time at varying prices in negotiated transactions subject to prior sale, When, as and if issued. Subject to the at varying prices in negotiated transactions subject to prior sale, when, as and if issued. Subject to the terms and conditions set forth in the Purchase Agreement (the "Purchase Agreemenr') dated as of March terms and conditions set forth in the Purchase Agreement (the "Purchase Agreement") dated as of March 27,2007 among Goldman, Sachs & Co. and the Issuers, the Issuers have agreed to sell to Goldman, 27, 2007 among Goldman, Sachs & Co. and the Issuers, the Issuers have agreed to sell to Goldman, Sachs & Co. and Goldman, Sachs & Co. has agreed to purchase all of the Notes and the Income Notes. Sachs &Co. and Goldman, Sachs &Co. has agreed to purchase all of the Notes and the Income Notes. Under the terms and conditions of the Purchase Agreement, Goldman, Sachs & Co. is committed Under the terms and conditions of the Purchase Agreement, Goldman, Sachs & Co. is committed to take and pay for all the Securities to be offered by it, if any are taken. Furthermore, under the terms to take and pay for all the Securities to be offered by it, if any are taken. Furthermore, under the terms and conditions of the Purchase Agreement, Goldman, Sachs & Co. may be entitled to an underwriting and conditions of the Purchase Agreement, Goldman, Sachs & Co. may be entitled to an underwriting discount on the Securities purchased by it and will be entitled to the Deferred Structuring Expense on discount on the Securities purchased by it and will be entitled to the Deferred Structuring Expense on --each Payment Date in accordance with the Priority of Payments, each Payment Date in accordance with the Priority of Payments. 134 134 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825504 GS MBS-E-021825504 Footnote Exhibits - Page 5594 The Securities purchased from the Issuers by the Initial Purchaser will be offered by from time The Securities purchased from the Issuers by the Initial Purchaser will be offered by itit fromtime be determined the time of time for sale in negotiated transactions or otherwise varying prices tototime for sale in negotiated transactions or otherwise atat varyingprices totobe determined atat the time of sale plus accrued interest, if any, from the Closing Date. the Closing Date. sale plus accrued interest, ifany, from The Securities have not been and will not be registered under the Securities Act for offer or sale The Securities have not been and will not be registered under the Securities Act for offer or sale as part of their distribution and maynot be offered or sold within the United States or to, or for the account as part of their distribution and may not be offered or sold within the United States or to, or for the account Company or benefit of, U.S. Person or U.S. resident (as determined for purposes of the InvestmentCompany or benefit of, aaU.S. Person or aaU.S. resident (as determined for purposes of the Investmentregistration Act, aa "U.S. Resident") except in certain transactions exempt from, or not subject to, the registration "U.S. Residenr') except in certain transactions exempt from, or not subject to, the Act, requirements of the Securities Act. requirements of the Securities Act. The Issuers have been advised by the Initial Purchaser that (a) it proposes to resell theSecurities The Issuers have been advised by the Initial Purchaser that (a) itproposes to resell the Securities selling agent) in offshore outside the United States (in part, by Goldman, Sachs & Co., through its selling agent) in offshore outside the United States (in part, by Goldman, Sachs & Co., through itslaw and (b) it proposes to transactions in reliance on Regulation S and in accordance with applicable law and (b) it proposes to in reliance on Regulation S and in accordance with applicable transactions on Rule 144A resell the Securities in the United States only to (1) Qualified Institutional Buyers in relianceon Rule 144A resell the Securities in the United States only to (1)Qualified Institutional Buyers in reliance in the case of purchasingfor their own accounts or for the accounts of Qualified Institutional Buyers or (2) in the case of Institutional purchasing for their own accounts or for the accounts of Qualifiedworth of not Buyers or (2) less than U.S.$10 million U.S.$10 million the Income Notes only, Accredited Investors, which have a net the Income Notes only, Accredited Investors, which have a net worth of not less than discount will be of which purchasers or accounts is a Qualified Purchaser. The Initial Purchaser'S each of which purchasers or accounts is a Qualified Purchaser. The Initial Purchaser's discount will be each the same for the Regulation S Notes and the Rule 144A Notes offered hereby and for the Income Notes the same for the Regulation S Notes and the Rule 144A Notes offered hereby and for the Income Notes within each Class of Securities. within each Class of Securities. The Initial Purchaser has acknowledged and agreed that it will not offer, sell or deliver any The Initial Purchaser has acknowledged and agreed that it will not offer, sell or deliver any Regulation S Notes or Regulation S Income Notes purchased by it to, or for the account or benefit of, any by or Regulation S Notes or Regulation S Income Notes purchased the it to, or for the accountAct)benefit of, any U.S. Person or U.S. Resident (as determined for purposes of the Investment Company Act) as part of its Person or U.S. Resident (as determined for purposes of Investment Company as part of its U.S. distribution at any time and that it will send to each distributor, dealer or person receiving a selling or person receiving a distribution at any time and that it will send to each distributor, dealer or Regulation S Income selling Notes concession, fee or other remuneration which it sells Regulation S Notes S Notes concession, fee or other remuneration to which it sells Regulation S Notes or RegulationandIncome of the prohibition on offers and sales of the by it a confirmation or other notice forth the sales purchased by it a confirmation or other notice setting forth the prohibition on offers purchased S Notes or Regulation S Income the United or to, or for the account or Regulation Regulation S Notes or Regulation S Income Notes within the United States or to, or for the account or benefit of, any U.S. Person or U.S. . benefit of, any U.S. Person or U.S. Resident. of (x) 40 With respect to the Securities initially sold Regulation With respect to the Securities initially sold pursuant to Regulation S, until the expiration of (x)40 the Purchaser, with days after the commencement of the distribution of the offering of the Notes by the Initial Purchaser, with commencement of the distribution the days after offers or sales of the Notes of the distribution of the commencement of the distribution of the respect to (y) respect to offers or sales of the Notes and (Y.) one year after the commencement Goldman, Sachs &Co., by Income Notes, with respect to offers or sales of the Income Notes purchased by Goldman, Sachs & Co., with respect to offers or sales Income Notes, participating in the offering an offer or sale of Securities within the United participating in the offering is a an offer or sale of Securities within the United States by a dealer that is notsale ismade otherwise than offer or may violate the registration requirements of the Securities Act if such offer or sale is made otherwise than Securities may violate the registration requirements of from registration under the Securities in accordance with Rule 144A or pursuant to another exemption from registration under the Securities to another in accordance with Rule 144A or Act. Act. or The Initial Purchaser has represented, warranted and agreed that: (i) it has only communicated or The Initial Purchaser has represented, warranted and agreed that: (i) it has only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or and will only communicate or cause to be communicated any invitation caused to be communicated Financial Services inducement to engage in investment activity (within the meaning of section 21 of the Financial Services inducement to engage in investment activity (within the meaning of section 21 of theof any Securities in and Markets Act 2000 ("FSMA">> received by it in connection with' the issue or sale of any Securities in by it in connection withthe issue or sale and Markets Act 2000 ('FSMA")) received has complied circumstances in which section 21(1) of the FSMA does not apply to the Issuer; and (ii) it has complied circumstances in which section 21(1) of the FSMA does not apply to the Issuer; and (ii) itit in relation to and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to FSMA with respect to anything done by and will comply with all applicable provisions of the the Securities in, from or otherwise involving the United Kingdom. See "Underwriting." the Securities in,from or otherwise involving the United Kingdom. See "Underwriting." to persons The Securities may not be offered or sold by means of any document other than to persons The Securities may not be offered or sold by means of any document other than agent, or in debentures, whether as principal or whose ordinary business is to buy or sell shares or debentures, whether as principal or agent, or in whose ordinary business is to buy or sell shares or of the Companies circumstances which do not constitute an offer to the public within the meaning of the Companies circumstances which do not constitute an offer to the public within the meaning document relating to the or document relating to the Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or the contents of Securities may be issued, whether in Hong Kong or elsewhere, which is directed at, or the contents of Securities may be issued, whether in Hong Kong or elsewhere, which is directed at, which are likely to be accessed or read by, the public in Hong Kong (except ififpermitted to do so under accessed or read by, the public in Hong Kong (except permitted to do so under which are likely to be intended to be the securities laws of Hong Kong) other than with respect to Securities which are or are intended to be the securities laws of Hong Kong) other than with respect to Securities which are or are _ disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of "professional investors" within the meaning of disposed of only to persons outside Hong Kong or only to the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder. the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder. 135 135 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825505 GS MBS-E-021825505 Footnote Exhibits - Page 5595 This Offering Circular has not been registered as prospectus Monetary Authority of This Offering Circular has not been registered as a prospectus with the Monetary Authority of Singapore. this Offering Circular and any other document or material in with the Singapore. Accordingly, this Offering Circular and any other document or material in connection with the offer or sale, or invitation subscription of the Securities may not be circulated or offer or sale, or invitation or subscription or purchase, of the Securities may not be circulated or distributed, nor may the Securities be offered or sold, or be made the of an invitation for distributed, nor may the Securities be offered or sold, or be made the subject of an invitation for whether directly or persons in Singapore other than (Q to an subscription or subscription or purchase, whether directly or indirectly, to persons in Singapore other than (i) to an Chapter 289 of Singapore (the institutional investor under 274 of the Securities and Futures institutional investor under Section 274 of the Securities and Futures Act, Chapter 289 of Singapore (the "s FA") (ii) to relevant to Section 275(1A), and in accordance with the "SFA"),, (ii)to a relevant person, or any person pursuant to Section 275(1A), and in accordance with the conditions, Section 275 of the SFA (iii) pursuant to, in accordance the conditions, specified in Section 275 of the SFA or (iii) otherwise pursuant to, and in accordance with the any other prOVision conditions of, any other applicable provision of the SFA. Where the are subscribed or under 275 by a relevant person which Where the Securities are subscribed or purchased under Section 275 by a relevant person which (a) corporation an sole which is to hold investments is: (a) a corporation (which is not an accredited investor) the sole business of which is to hold investments by one whom is an accredited the and the entire share capital of which is owned by one or more individuals, each of whom is an accredited investor; or (b) whose is to hold investor or (b)a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments beneficiary is an accredited investor. debentures and units of shares and investments and each beneficiary is an accredited investor, shares, debentures and units of shares and corporation beneficiaries' in that trust not be transferable debentures of debentures of that corporation or the beneficiaries' rights and interest in that trust shall not be transferable that trust acquired Securities under Section (1) months after that corporation for 6 months after that corporation or that trust has acquired the Securities under Section 275 except: (1) under SFA person pursuant to an institutional investor under Section 274 of the SFA or to a relevant person, or any person pursuant of in (2) where in to Section 275(1A), and in accordance with the conditions, specified in Section 275 of the SFA; (2)where (3) no is the transfer; no consideration is given for the transfer or (3) by operation of law. Securities and Exchange Law The Securities have not been and will not be registered under the Securities and Exchange Law Purchaser that it will not offer or of Japan (the Securities and Exchange Law) and the Initial Purchaser has agreed that it will not offer or of, any resident of Japan (which to, sell any Securities, directly or indirectly, in Japan or to, or for the benefit of, any resident of Japan (which in term as used herein means any person resident in Japan, including any corporation or other entity means in Japan, including any corporation or other entity in Japan or re-offering resale, directly otl:lers organized under the laws of Japan), or to others for re-offering or resale, directly or indirectly, in Japan or the to a resident of Japan, except pursuant to an exemption from the registration requirements of, and a exemption requirements other . otherwise in compliance with, the Securities and Exchange Law and any other applicable laws, in laws, regulations and ministerial guidelines of Japan. and will not make any invitation to the that it has The Initial Purchaser has agreed that it has not made and will not make any invitation to the Initial public in the Cayman Islands to purchase any of the Securities. in Cayman Goldman, Sachs & Co. may be the Buyers of Regulation S Securities sold by the selling agent of Goldman, Sachs & Co. may be S country of laws with required to pay stamp taxes and other charges in accordance with the laws and practice of the country of in purchase in addition to the purchase price. in price. that would permit a public:; offering of the No action has been or will be taken in any jurisdiction that would permit a public offering of the in any of this Offering Circular or any other material Securities, or the possession, circulation or distribution of this Offering Circular or any other material possession, where action for such purpose is required. relating to the Issuers or the Securities, in any jurisdiction where action for such purpose is required. in any or sold, directly or indirectly, and neither this Offering Accordingly, the Securities may not be offered or sold, directly or indirectly, and neither this Offering Accordingly, Securities may be material or advertisements in Circular nor any other offering material or advertisements in connection with the Securities may be nor any except under circumstances that will result or distributed or published, in or from any country or jurisdiction except under circumstances that will result in regulations of any such country or in compliance with any applicable rules and regulations of any such country or jurisdiction. rules in with no established trading market. The Issuers The Securities are a new issue of securities with no established trading market. The Issuers a Securities that it may make a market in the Securities it is offering but is have been advised by the Initial Purchaser that it may make a market in the Securities it is offering but is by the Initial have been at any time without notice. No assurance can not obligated to do so and may discontinue market making at any time without notice. No assurance can do and not market for the Securities. There can be no assurance that any be given as to the liquidity of the trading market 'for the Securities. There can be no assurance that any the the be given that it will develop, or, if a secondary market for any of the Securities will develop, or, if a secondary market does develop, that it will Securities secondary market provide the Holders of the Securities with liquidity of investment or that it will continue for the life of the Securities with liquidity of investment or that it will continue for the life of the of provide Securities. Securities. Application may be made to admit the Securities on a stock exchange of the Issuer's choice, if to admit the Securities on a stock exchange of the Issuer's choice, if Application may be practicable. There can be no assurance that such admission will be sought, granted or maintained. can be no assurance that such admission will be sought, granted or maintained. practicable. 136 136 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825506 GS MBS-E-021825506 Footnote Exhibits - Page 5596 The Issuers have agreed to indemnify the Initial Purchaser, the Collateral Manager, the Issuer The Issuers have agreed to indemnify the Initial Purchaser, the Collateral Manager, the Issuer Administrator, the Collateral Administrator and the Trustee against certain liabilities, including in the case Administrator, the Collateral Administrator and the Trustee against certain liabilities, including in the case of the Initial Purchaser, liabilities under the Securities Act, or to contribute to payments they may be of the Initial Purchaser, liabilities under the Securities Act, or to contribute to payments they may be required to make in respect thereof. In addition, the Issuers have made certain representations and required to make in respect thereof. In addition, the Issuers have made certain representations and warranties to the Initial Purchaser and have agreed to reimburse the Initial Purchaser for certain of their warranties to the Initial Purchaser and have agreed to reimburse the Initial Purchaser for certain of their expenses. expenses. The Initial Purchaser may, from time to time as principal or through one or more investment funds The Initial Purchaser may, from time to time as principal or through one or more investment funds that it manages, make investments in the equity securities of one or more of the issuers of Collateral it manages, make investments in the equity securities of one or more of the issuers of Collateral that Assets with the result that one or more of such issuers may be or may become controlled by the Initial Assets with the result that one or more of such issuers may be or may become controlled by the Initial Purchaser . Purchaser 137 137 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825507 GS MBS-E-021825507 Footnote Exhibits - Page 5597 INDEX OF DEFINED TERMS INDEX OF DEFINED TERMS ........................................................................ 6 $$ .................................................................. . .6 ABS Securities ............... ...... A-3 ABS Securities ............................................... A-3 Accounts ................................................... 61. A-1 Accounts............................................... 61, A-1 Accredited Investor .................................. 3.7.19 ......... 3, 7, 19 Accredited Investor ...... Actual Interest Amount.. ................................. A-1 Actual Interest Amount.............................. A-1 Actual Principal Amount... .............................. A-1 Actual Principal Amount.............................. A-1 Actual Rating .................................................. A-1 Actual Rating.............................................. A-1 Additional Fixed Amounts ................................ 97 . 97 Additional Fixed Amounts .............. Adjusted Net Outstanding Portfolio Collateral Adjusted Net Outstanding Portfolio Collateral Balance .......................................................A-1 A-1 Balance ................................................... Administration Agreement... ........................... 122 Administration Agreement..............................122 Administrative Expenses ............ ......... A-1 Administrative Expenses....... ;...................A-1 Agents ..........................................................4,26 4. 26 Agents .......................................................... Aggregate Amortization Amount .................... A-2 Aggregate Amortization Amount....................A-2 Aggregate Calculation Amount of Defaulted Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Obligations and Deferred Interest PIK Bonds .......................................................... A-2 Bonds.......................................................... A-2 Aggregate Moody's Recovery Value .............. A-2 Aggregate Moody's Recovery Value.............. A-2 Aggregate Outstanding Amount.. ................... A-2 Aggregate Outstanding Amount..................... A-2 Aggregate Principal Amount .......................... A-2 Aggregate Principal Amount .......................... A-2 Aggregate Reference Obligation Notional Aggregate Reference Obligation Notional Amount .......................................................... Am ount...................................................... 96 Aggregate S&P Value .................... Aggregate S&P Recovery Value.................... A-2 Applicable Percentage ................................... Applicable Percentage ................................... A-2 Applicable Recovery Rate.............................. Applicable Recovery Rate .............................. A-2 Asset-Backed Securities ................................ A-3 Asset-Backed Securities ................................ A-3 Auction .......................................................31. 66 .......... 31, 66 Auction ................... Auction Date....... .................. 31, Auction Date ............................................... 31. 66 Auction Payment Date ....................... 32,66, Auction Payment Date ....................... 32 o. 66. A-3 Benefit Plan Investor ...................................... 131 ......... ....... Benefit Plan Benefit Plan Investors ........................................ 9 ............... Benefit Plan Investors Board of Directors .......................................... A-3 Board of Directors .......................................... Business Day ...................................................64 ......... Business Day ............. Calculation Amount ........................................ A-3 ....... Calculation Amount ........... Cashflow Swap Agreement.. ....................24. 108 Cashflow Swap Agreement......................24, 108 Cashflow Swap Collateral .............................. A-3 Cashflow Swap Collateral................ A-3 Cashflow Swap Collateral Account.. ................ 96 Cashflow Swap Collateral Account..............96 Cashflow Swap Counterparty ......................... 108 Cashflow Swap Counterparty.........................108 Cashflow Swap Receipt Amount.. .................. A-3 Cashflow Swap Receipt Amount.................... A-3 Cashflow Swap Replacement Account.. ........ 107 Cashflow Swap Replacement Account..........107 Cashflow Swap Replacement Proceeds ........ 107 Cashflow Swap Replacement Proceeds........107 Cashflow Swap Shortfall Amount... ................ A-3 Cashflow Swap Shortfall Amount................... A-3 Cashflow Swap Shortfall Replacement Cashflow Swap Shortfall Replacement Amount. ....................................................... A-3 Amount......................... A-3 Cashflow Swap Tennination Receipts ........... A-3 Cashflow Swap Termination Receipts...........A-3 Cashflow Swap Tennination Receipts Cashflow Swap Termination Receipts Account ....................................................... 107 .................. 107 Account.......... cause ..............................................:................ 118 . ......... i18 cause......................... CDO Collateral .................................................47 ..................... 47 CDO Collateral CDO S Note Securities .................................. A-3 ............... A-3 CDO S Note Securities COO Securities .............................................. A-3 .................... A-3 CDO Securities... CDR ................................................................ 111 ..... ......... ................. A-3 CDR ......... CFCs .............................................................. 126 CFCs...........................126 138 ................. A-3 ............................. C lass . Class ..............................................................A-3 Class A Adjusted Overcollateralization Class A Adjusted Overcollateralization Ratio .......................... Ratio ...........................................................A-4 A-4 ...... 2, 25 Class A Notes .............................................. 2.25 Class A Notes .............. Class A/B Overcollateralization Ratio..........93 Class AlB Overcollateralization Ratio .............. 93 Class A/B Overcollateralization Test ........... 93 Class AJB Overcollateralization Test ............... 93 Class A-1 Note Payment Sequence.............. A-4 Class A-1 Note Payment Sequence .............. A-4 ..... 2. 25 Class A-1 Notes .............. Class A-1 Notes ...........................................2, 25 Class A-1 a Note Interest Amount.. .................. 63 Class A-i a Note Interest Amount................63 ..... 28 Class A-la Note Interest Rate ...... Class A-1a Note Interest Rate .........................28 Class A-1 a Note Redemption Price ............... A-4 Class A-i a Note Redemption Price............... A-4 .................. 2. 25 Class A-iaaNotes .........................................2, 25 Class A-1 Notes Class A-1b Note Interest Amount................63 Class A-1 b Note Interest Amount .................... 63 .......... 28 Class A-1 b Note Interest Rate. .........................28 Class A-1 b Note Interest Rate Class A-1 b Note Redemption Price ............... A-4 Class A-1 b Note Redemption Price............... A-4 .................. 2, 25 Class A-lb Notes .........................................2, 25 Class A-1 b Notes Class A-1 c Note Interest Amount .................... 63 Class A-1c Note Interest Amount................63 Class A-1c Note Interest Rate ..................... 28 Class A-1c Note Interest Rate ......................... 28 Class A-1c Note Redemption Price ............... A-4 Class A-1c Note Redemption Price ............... A-4 ............ 2. 25 Class A-1c Notes ......... Class A-1 c Notes .........................................2, 25 Class A-1 d Note Interest Amount.. .................. 63 Class A-id Note Interest Amount................63 .......... 28 Class A-1 d Note Interest Class A-id Note Interest Rate .......................... 28 Class A-1d Note Redemption Price............... A-4 Class A-1 d Note Redemption Price ............... A-4 A-1d Notes ......................................... 2 25 2, 2.5 Class A-id Notes .................. Class A-2 Note Interest Amount..................63 Amount ...................... 63 .......... 28 A-2 Note Rate ........................... 28 Class A-2 Note Interest Rate .. Class A-2 Note Redemption Price................. A-4 Redemption Price ................. A-4 ..... 2, 25 .............. Class A-2 Notes ........................................... 2, 25 Class B Adjusted Overcollateralization . ......................................... Ratio ........................................................... A-4 A-4 Amount.....................63 Class B Note Interest Amount ......................... 63 .......................... 28 B Class B Note Interest Rate .............................. 28 Price.................... A-4 B Class B Note Redemption Price .................... A-4 ...... 2, 25 B Notes .............. Class B Notes .............................................. 2, 25 C Class C Adjusted Overcollateralization ........ A-4 Ratio .................. ........................................................... A-4 Class C Deferred Interest .......................... 29, 62 Class C Deferred Interest..........................29, 62 Class C Note Interest Amount ......................... 63 Class C Note Interest Amount.....................63 Class C Note Interest Rate .............................. 28 Class C Note Interest Rate.......................... 28 Class C Note Redemption Price.................... A-4 Class C Note Redemption Price .................... A-4 ........... 2, 25 ......... Class C Notes Class C Notes .............................................. 2, 25 Class C Overcollateralization Ratio ................. 93 Class C Overcollateralization Ratio.............93 Class C Overcollateralization Test...............93 Class C Overcollateralization Test... ................ 93 Class D Adjusted Overcollateralization Class D Adjusted Overcollateralization A-5 Ratio ........................... Ratio ........................................................... A-5 Deferred Interest............29, 62 DDeferred Interest .......................... 29, 62 Class Class D Class D Note Interest Amount......................63 Class D Note Interest Amount ......................... 63 Class D Note Interest Rate.......................... 29 Class D Note Interest Rate .............................. 29 Class D Note Redemption Price................. A-5 Class D Note Redemption Price .................... A-5 ..... 2, 25 ............... Class D Notes Class D Notes .............................................. 2. 25 Class D Notes Amortizing Principal Class D Notes Amortizing Principal A-5 ............. Amount ........... Amount ....................................................... A-5 Class D Overcollateralization Ratio.............94 Class D Overcollateralization Ratio ................. 94 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825508 GS MBS-E-021825508 Footnote Exhibits - Page 5598 Class D OvercoIJateralization Test.. ................. 94 Class D Overcollateralization Test...............94 Class S Notes ..............................................2,25 2, 25 Class S Notes ......................................... Class S-l Note Interest Amount ...................... 63 Class S-1 Note Interest Amount .................. 63 Class S-l Note Interest Rate ........................... 28 Class S-1 Note Interest Rate ....................... 28 Class S-l Note Redemption Price ................. A-5 Class S-1 Note Redemption Price ................. A-5 Class S-l Notes ........................................... 2, 25 2, 25 Class S-1 Notes ................... Class S-l Notes Amortizing Principal Class S-1 Notes Amortizing Principal Amount. ....................................................... A-5 Am ount................................................... A-5 Class S-2 Note Interest Amount ...................... 63 Class S-2 Note Interest Amount .................. 63 Class S-2 Note Interest Rate ...........................28 Class S-2 Note Interest Rate ....................... 28 Class S-2. Note Redemption Price ................. A-5 Class S-2.Note Redemption Price ............. A-5 Class S-2 Notes ...........................................2, 25 2, 25 Class S-2 Notes ....................................... Class S-2 Notes Amortizing Principal Class S-2 Notes Amortizing Principal Amount......................................................... A-5 Amount........................A-5 Clearstream .....1,34 ................. Clearstream .................................................. l,34 Closing Date ................................................. 1,26 Closing Date............................................ 1, 26 CMBS .......................................................48, A-6 48, A-6 CMBS ....................................................... Code .....................................? ..............................8 .................................... C ode................. Co-lssuer .......................................................2, 24 2, 24 ..................... Co-Issuer....... Collateral ..........................................................61 ............... Collateral ............. Collateral Account ............. ..... A-5 Collateral Account .......................................... A-5 Collateral Administration Agreement ............. A-5 A-5 Collateral Administration Agreement ...... Collateral Administrator .................................. A-5 Collateral Administrator.............................. A-5 Collateral Asset ..... A-5 ............... Collateral Asset .............................................. A-5 Collateral Asset Balance ................... 90 Collateral Asset Principal Balance..............90 Collateral Assets .... .............. Collateral Assets ..........................................2, 24 Collateral Assumptions ...................... 109 Collateral Assets Assumptions ...................... 109 Collateral Management Agreement ......... 25, 112 Collateral Management Agreement.........25,112 Collateral Management Fee...........................119 Collateral Management Fee ........................... 119 Collateral Manager ........................................... 25 ........... ....... Collateral Manager. Collateral Manager Affiliates.... Affiliates .......................... 117 ...... 117 Collateral Collateral Manager Securities ........................ 118 Securities........................118 Collateral Collection Account ........................................... 95 ............ Collection Account ........... Commercial Mortgage-Backed Securities...... A-6 Commercial Mortgage-Backed Securities ...... A-6 Controlling Class ............................................ A-6 ..... .............. Controlling Controlling Person.: ....................................9, 131 .... 9,131 Controlling Person. ........... Coverage Tests ................................................69 ............ ........... Coverage CPDls .............................................................125 CPDIs....................................125 Credit Derivatives Definitions ......................... A-6 ..... Credit Derivatives Definitions ...... Credit Event ..................................................... 99 ............ 99 Credit Event .......... Credit Protection Amounts ............... ,............. A-6 Credit Protection Amounts ............................. . Credit Risk Obligation ......................................94 .................................. Credit Credit Support Annex ................ ;.................... A-6 Annex..................................... A-6 Credit Cumulative Deferred Management Fee ......... 120 Cumulative Deferred Management Fee.........120 Current Deferred Management Fee ............... 120 Current Deferred Management Fee...............120 Deed of Covenant .......................... 2, 25, 60, A-6 A-6 Deed Covenant..........................2, 25, Default Swap CollateraL ............................... A-6 Default Swap Collateral.................................. A-6 Default Swap Collateral Account ..................... 96 ................. 96 Default Swap Collateral Defaulted Cashflow Swap Termination Defaulted Cashflow Swap Termination Payments .. ,................................................. A-6 A-6 Payments ....................... Defaulted Interest ............................................. 62 Defaulted Interest......... ................... 62 Defaulted Obligation ....................................... A-6 Defaulted Obligation....................................... A-6 Defaulted SynthetiC Security Termination Defaulted Synthetic Security Termination Payments .............................. :..................... A-7 ............... A-7 Payments ........... Deferred Interest PIK Bond ............................ A-7 Deferred Interest PIK Bond............................ A-7 Deferred Structuring Expense ........................ A-7 Deferred Structuring Expense........................ A-7 139 .... ...................... 35 Definitive Note ..................................................35 Definitive Note ........ . Definitive Notes ........................................82, A-7 Definitive Notes .................. 82, A-7 Deliverable Obligation.................................... A-7 Deliverable Obligation .... : ............................... A-7 Delivery Date ................................................. Delivery Date .................................................A-7 A-7 Determination Date .......................................... Determination Date.......................................6969 Distressed Ratings Downgrade ................... 99 Distressed Ratings Downgrade ....................... 99 Distribution Compliance Period ..... ~ ............... A-7 Distribution Compliance Period ..................... A-7 ............................ 130 DO L ................ DOL. ...............................................................130 Double B Calculation Amount.. ...................... A-8 Double B Calculation Amount..................... A-8 Double B Rated Asset ................................ Double B Rated Asset ................................... A-8 A-8 DTC...............3.......:..................................334 DTC ....... ;................... 3, 34 Due Period........................61 Due Period .................. :........... :........................ 61 Effective Date ................................................. A-8 Effective Date.............................................. A-8 Eligible Bidders ........................................... Eligible Bidders .............................................. A-8 A-8 Eligible Depositary ..................................... Eligible Depositary ......................................... A-8 A-8 Eligible Guarantee .................................... Eligible Guarantee ......................................... A-8 A-8 Eligible Investment..................................... A-8 Investment. ........................................ A-8 Eligible Replacement ..................................... A-9 Eligible Replacement ..................................... A-9 ER ISA ........................................................ ERISA ........................................................8,129 8, 129? ERISA Plans .................................. 129 ERISA Plans .................................................. 129 Euroclear ...................................... ,............... 1, 34 Euroclear............................ 1 34 Euroclear Clearance System....................... 85 Euroclear Clearance System ........................... 85 ...... 85 Euroclear Operator ............. Euroclear Operator .......................................... 85 ....... 75 .............. Event of Default ............................................... 75 Excepted Property ....................................... Excepted ........................................... 75 75 Act ................................................... 20 Exchange Act.............................................. 20 Amount.. .......................................... A-9 Exercise Amount............................................ A-9 Expected Amount.. .......... ;.................... A-9 Expected Fixed Amount................................. A-9 Expected Interest Amount ............................. A-9 Expected Interest Amount ............................. A-9 Expected Principal Amount............................ A-9 Amount.. .......................... A-9 Expected Principal Window ................... 11 0, 111 ................... 110,111 Life .................. 110 Expected Weighted Average life .................. 110 .......................... 96 Expense Reserve Account .............................. 96 Interest.......................... 100, A-1 0 Failure to Pay Interest.. ........................ 100, A-l0 Principal................................ 99 Failure to Pay Principal. ................................... 99 .......... A-1 0 Date ....... Final Amortization Date ............................... A-l 0 ........ A-10 .............. Final Payment Date ..................................... A-l0 Fiscal Agency Agreement........................2,2, 26 Agreement.. .......................... 26 Agent..............................................2, 26 Fiscal Agent ................................................. 2, 26 Amount......................97 Fixed Amount ................................................... 97 Rate.................................................... A-10 Fixed Rate .................................................... A-l0 Fixed Rate Payer Calculation Period ........... A-l0 Fixed Rate Payer Calculation Period........... A-10 Date ............. A-1 0 Fixed Fixed Rate Payer Payment Date ................. A-l0 ........ A-10 Event ....... Floating Amount Event ................................ A-l0 Floating Payment........................ A-10 Amount Payment ........................... A-l0 Floating Floating Amount Floating Amounts..................................... A-1 0 Floating Amounts ......................................... A-l 0 ........... 36 Floating Period ............... ;................................. 36 Floating Period........... Floating Rate Payer Payment Date ............. A-l 0 Floating Rate Payer Payment Date......... A-1 0 FSM A ..................... .................... 5,135 FSMA .......................................................... 5, 135 ....................... 34 Global Notes .................................................... 34 Global Notes ...................... 25,112 Greywolf. Greywolf ................................................... 25, 112 .......... 102 GS Group.............. GS Group ....................................................... 102 ................. 106 GSI .................... GSI ................................................................. 106 A-i 0 Holder .............................. Holder .......................... ;............................... A-l0 Implied Rating....................A-10 Implied Rating .............................................. A-l0 ........ A-11 Implied Writedown Amount.... Implied Write down Amount.. ........................ A-ll Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825509 GS MBS-E-021825509 Footnote Exhibits - Page 5599 Income Note Certificate ............................... .4, 35 Income Note Certificate............................4, 35 Income Note Payment Account ....................... 66 Income Note Payment Account ................... 66 Income Note Registrar .................................A-11 A-11 Income Note Registrar .............. Income Notes .... 2, 25 ................ Income Notes ...............................................2, 25 Income Notes Purchase and Transfer Letter ..... Income Notes Purchase and Transfer Letter.....88. Income Notes Redemption Price ..................... 66 Income Notes Redemption Price ................. 66 Indenture ......o...............................................2, 25 ......... 2, 25 Indenture .............. indirect participants ............ ...... 85 indirect participants ..........................................85 Initial Purchaser ........... ....... 1, 134 Initial Purchaser :........................................1,134 Interest Accrual Period ...............................29, 62 ...... 29, 62 Interest Accrual Period...... Interest Calculations..................................... 64 Calculations ......................................... 64 Interest Interest Proceeds ......................................... A-11 ........... A-ll Interest Proceeds .......... Interest Shortfall ........................................... A-11 Interest Shortfall....................................... A-i 1 Interest Shortfall Amount... ........................... A-ll Interest Shortfall Amount.......................... A-11 A-11 Interest Shortfall Cap ................................... A-11 Interest Shortfall Cap ................................ Interest Shortfall Cap Amount... ................... A-l1 Interest Shortfall Cap Amount................... A-11 Interest Shortfall Payment Amount .............. A-ll Interest Shortfall Payment Amount .......... A-11 Interest Shortfall Reimbursement ................ A-11 Interest Shortfall Reimbursement ............ A-11 Interest Shortfall Reimbursement Interest Shortfall Reimbursement Payment. ................................................... A-11 Paym ent................................................. A-11 Interest Shortfall Reimbursement Interest Shortfall Reimbursement Payment Amount ......................................A-11 ........... A-11 Payment Amount ......... Interest Shortfall Account .............. A-l1 Interest Shortfall Reserve Account .......... A-11 Investment Act... ................................ Investment Company Act.............................. 1 . IRS ................................. 123 ...................................................... ;.......... 123 ISOA .................................................................46 ISDA.................................46 ISIN .................................. ........ 134 ISIN ................................................................ 134 Issue ............................................................. A-11 ....A-11 Issue.......................... Issuer............................................................2, 24 .......................... 2. Issuer................ Issuer Administrator .........................................24 .......... ........ Issuer Ordinary Shares ............................ 24, 120 Shares............................24, 120 Issuer Issuers ..........................................................2, 24 ...... 2. 24 Issuers....................... UBOR .................................................o............. 63 ................. LIBOR............... UBOR Determination Date .............................. 63 63 ......................... LIBOR Determination Liquidation Proceeds................................. A-12 Proceeds .................................... A-12 Listing and Paying Agent............................. 81 Agent ., ............................... 81 Majority ......................................................... A-12 Majority......................... A-12 Mandatory Redemption .................................... 33 ......... ....... Market Value ................................................ A-12 ....... A-12 .............. Master Agreement........................................96 Agreement.. .......................................... 96 Master Confirmation ......................................... 96 Confirmation..................................... Minimum Bid Amount ................................... A-12 Minimum Bid Amount................................ A-12 Moody's .............................................................. 1 1 M oody's .......................................................... Moody's Rating ............................................ A-13 A-13 ....................................... Moody's "Idealized" Cumulative Expected "Idealized' Cumulative loss Rate .................................................. A-13 Loss Rate...................... A-13 Moody's First Rating Trigger Rating Moody's ReqUirements '" ......................................... A-12 Requirements...................... A-1 2 Moody's First Trigger Required Ratings ....... A-13 Trigger Required Ratings....... A-13 Moody's Moody's Recovery Rate ............................... A-13 Rate ............................... A-13 Moody's Moody's Second Rating Trigger Rating Trigger Moody's Requirements ........................................... A-13 A-13 Requirements ....................................... Moody's Second Trigger Required Moody's Second Trigger Required Ratings ...................................................... A-13 Ratings............................... A-13 Net Outstanding Portfolio Collateral Net Outstanding Portfolio Collateral Balance ..................................................... A-13 ....... A-13 Balance .................. ............... 123 Non-U.S. Holder.......... Non-U.S. Holder.............................................123 ................ 25 Note Agents ............... Note Agents .....................................................25 Note Calculation Agent. ............................. 25, 63 Note Calculation Agent..............................25, 63 Note Interest Amounts..................................63 Note Interest Amounts ..................................... 63 .................. 29 Note Interest Rates Note Interest Rates .......................................... 29 ....... 25 Note Paying Agent........ Note Paying Agent.. .........................................25 ....... 26 Note Paying Agents ......... , Note Paying Agents..................................... 26 .................. 25 Note Registrar ..................................................25 Note Registrar.... .................. 25 Note Transfer Agent Note Transfer Agent ........................................25 .......................... A-10 Noteholder ................................................... A-2 Noteholder .... ....................... 2, 25 Notes ... ~ .......................................................2,25 Notes ............. ........ 32, 67 Optional Redemption .................................32, 67 Optional Redemption ........ Optional. Redemption Liquidation .......... 32, 67 Optional. Redemption by Liquidation..........32, 67 Optional Redemption by Refinancing ........ 32, 67 Optional Redemption Refinancing ........ 32, 67 Redemption Date .............................. 32 Optional Redemption Date .......................... 32 Principal Amount.. ................... A-13 Outstanding Principal Amount.................. A-1 3 Ratios ......................... A-14 Overcollateralization Ratios...................... A-1 4 participants ....................................................... 83 participants................................................... 83 ............ 130 Parties in Interest ........................................... 130 Parties in Interest .............. ...................... 26 Paying Agents .................................................. 26 .......... 95 Payment Account.......... Payment Account.. ........................................... 95 ..... 2, 28, A-14 Payment Date .................................... 2, 28, A-i4 Payment Date .............. ...... 33, 105 Payment Report .......................................33,105 Payment Report........... ............... A-14 Requirement Payment Requirement ................................. A-i 4 PICs................................ 126 PFICs ............................................................. 126 Physical Settlement Amount.................. 98, A-14 Physical Settlement Amount... ............... 98, A-14 Physical Settlement Date ............................. A-14 Physical Settlement Date...........................A- 4 .... A-14 .................... PK Bond....................................................... A-14 PIK Bond Plan Asset Regulation..................130 Plan Asset Regulation ................................... 130 . ............... 8, 130 Amo............ Plan Assets ................................................ 8, 130 Plan Assets 129 ical Plans .............................................................. 129 Plans ........ .Sette ............................. Principal Balance ......................................... A-14 Principal Balance................... A-14 Principal Note Paying Agent ............................ 25 Principal Note Paying Agent...................25 Principal Proceeds ....................................... A-14 Principal. Proceeds ....................... A-i 4 Principal Shortfall Amount ........................... A-1 Principal Shortfall Amount........................... A?15 Principal Shortfall Reimbursement ........... A-1i Principal Shortfall Reimbursement .............. A-15 Principal Shortfall Reimbursement Principal Shortfall Reimbursement Reimburn........................... A-15 Payment Payment. ................................................... A-15 Shortfall Reimbursement Principal Shortfall Reimbursement Principal A-15 Amount ................. Payment Amount.. .................................... A-15 Payments..................................... 70 Priority of Payments ......................................... 70 ............. 15 ................. Proceeds .......................................................... 15 ........................... 130 PTC E ................ PTCE ............................................................. 130 ................ 134 Purchase Purchase Agreement ..................................... 134 ......... 3,7,19 Institutional Qualified Institutional Buyer ..................... 3, 7, 19 .............. 3,8,19 Purchaser Qualified Purchaser ................................. 3, 8, 19 ...... A-16 Quarterly Asset Amount..... Quarterly Asset Amount... ........... :................ A-16 ............... Rating Agencies ................................................. 1 Rating Agencies......... ............. A-16 Agency Condition Rating Agency Condition ............................. A-16 .................. A-16 Date Redemption Date ......................................... A-16 ....... A-16 ...... Redemption Price ........................................ A-16 .................... 63 Reference Banks Reference Banks ............................................. 63 Reference Date....................90 . - Reference Date ................................................ 90 Reference Entity.......................A-1 6 Reference Entity .......................................... A-16 Reference Obligation..................... A-i 6 Reference Obligation ................................... A-16 140 ..... 124 010 .................................................................124 OID.................. Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825510 GS MBS-E-021825510 Footnote Exhibits - Page 5600 Reference Obligation Calculation Period ..... A-16 Reference Obligation Calculation Period.....A-1 6 Reference Obligation Coupon ...................... A-16 Reference Obligation Coupon..................A-16 Reference Obligation Notional Amount... ..... A-16 Reference Obligation Notional Amount........ A-1 6 Reference Obligation Payment Date ........... A-16 Reference Obligation Payment Date ........... A-1 6 Reference Obligation Principal Reference Obligation Principal Amortization Amount. ................................A-16 ........ A-16 Amortization Amount......... Reference Obligation Principal Payment ..... A-1'6 Reference Obligation Principal Payment.....A-1'6 Reference Obligor ............. ..... A-16 Reference Obligor ........................................A-16 Reference Price .............. Price ................ :..........................A-16 ........... A-16 Reference Refinancing Proceeds ................................ 32. 67 ....... 32, 67 Refinancing Proceeds ........ Registered .................................................... A-17 Registered................................................ A-17 Regulation S ....................................................... l Regulation S...................................... ..... 1 Regulation S Class 0 Notes............................. 1 Regulation S Class D Notes.........................10 0 Regulation S Income Notes ............................. 19 Regulation S Income Notes ......................... 19 Regulation S Notes ...................................... 8. 19 Regulation S Notes ...................................... 8,19 Regulation S Securities ................................ 19 Regulation S Securities.............................3,3. 19 Relevant Amount.. ........................................ A-17 Relevant Amount..................................... A-17 Relief Act ..........................................................51 ......................... 51 Relief Act.......... Replacement Cashflow Swap Agreement ..... 107 Cashflow Swap Agreement ..... 107 Replacement Replacement Manager Conditions ................. 118 Replacement Manager Conditions.................118 Reserved Matters ............................................. 78 Reserved Matters......................................... 78 Residential Mortgage-Backed Securities .., .. A-17 Residential Mortgage-Backed Securities.....A-17 RMBS :....................................................50, A-17 . ................... 50. A-17 RM BS ................. RSA421-B ..................................... .........................................................4 RSA 421 -B Rule 144A........................................................... Rule 144A.............................33 Rule 144A Global Notes ............................... 3. 34 ........ 3 34 Rule 144A Global Notes..... Rule 144A Notes ................................................ 7 ............... Rule 144A Notes ............. S&P .................................................................... 1 ........... S&P........................... S&P Rating.............................................. A-17 S&P Rating ................................................... A-17 S&P Recovery ..................................... A-17 S&P Recovery Rate ..................................... A-17 Sale Proceeds .............................................. A-17 .... A-17 ................ Sale Proceeds Scheduled Payment Date ........................... Scheduled Payment Date ................................36 Scheduled Termination Date ...................... Scheduled Termination Date .,......................... 97 SEC ............................. ;.................................... 55 SEC.................................55 Secured Obligations ......................................... 33 Secured Obligations..................................... Secured Parties ..........................................33. 61 33, 61 Secured Parties ................... Securities .................................................. 1. 2. 26 ..... 1, 2, Securities................. Securities Act ..................................................... 1 ........ 1 ............... Securities Act Securities Intermediary ................................ 2. 25 2, 25 Securities Intermediary .............. SFA ....................................... ;........................ 136 .... ................ 136 SFA ..................... ........... 24 Share Trustee ........... Share Trustee .................................................. 24 Single B Calculation Amount ................... A-17 Single B Calculation Amount ....................... A-17 Single B Rated Asset................................... A-17 Single B Rated Asset.. ................................. A-17 Stated Maturity.....................................30, 64, 65 Stated Maturity ..................................... 30. 64. 65 Statistical Loss Amount .............. Statistical Loss Amount ...............................A-17 A-17 Supra Majority ............................................... A-17 SupraM ajority............................................... A-17 Synthetic Security ........................................A-17 A-17 Synthetic Security .................................... Synthetic Security Collateral........................96 Synthetic Security Collateral ............................ 96 Synthetic Security Collateral Account.. ............ 96 Synthetic Security Collateral Account..........96 Synthetic Security Counterparty .................. A-18 Synthetic Security Counterparty .............. A-18 SynthetiC Security Termination Payment.. ... A-18 Synthetic Security Termination Payment..... A-1 8 Tax Event .....................................................A-1 8 A-18 Tax Event................................................ Tax Redemption ..................... :...................31, 66 Tax Redemption ..... . ... .................. 31. 66 Tax Redemption Date .................................. Tax Redemption Date ......................................66 66 Temporary Regulation S Global Note..........34 Temporary Regulation S Global Note .............. 34 Terms and Conditions............................2,2. 26, 60 Terms and Conditions ............................ 26. 60 Total Redemption Amount ..................... 66. A-18 Total Redemption Amount..................... 66, A-18 Transaction Documents....................26 Transaction Documents ................................... 26 Transaction-Specific Cash Flow Model ........... 89 Transaction-Specific Cash Flow Model...........89 Transfer Agents ........................................... Transfer Agents ...............................................26 26 Transfer Date ................................................ Transfer Date ...................................................95 95 Trea?sury ..................... : ........................... 60. A-l'8 Treasury................................................. 60, A-18 Triple C Calculation Amount..................... A-1 8 Triple C Calculation Amount. ....................... A-18 CRated AsseL .................................. A-18 Triple C Rated Asset................................ A-18 Trustee ......................................................... 2. 25 Trustee..................................................... 2, 25 U.S. Dollars ........................................................ 6 U.S. Dollars.........................6 ....................... 123 U.S. Holder U.S. Holder ....................................................123 .......... 34 U.S. Person ...................................................... 34 U.S. Person.............. ................. 135 Resident..... U.S. Resident. ................................................ 135 U.S. Shareholder ........................................... 127 127 U.S. Shareholder................... USA PATRIOT AcL ......................................... 60 USA PATRIOT Act....................... 60 99 ........................... Writedown...... Writedown ........................................................ 99 ................... Amount. Writedown Amount.. ..................................... A-38 Writedown A-18 Wrtedown Reimbursement........................A-1 8 Writedown Reimbursement ......................... A-18 Writedown Reimbursement Amount...........AWritedown Reimbursement Amount.. .......... A-18 Writedown Reimbursement Payment Writedown Reimbursement Payment ......... A-1 8 Amount ............... ..................................................... A-18 Reserve Amount..................... A-18 Writedown Reserve Amount. ....................... A-18 U.S.$ .................................... :.............................. 6 141 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825511 GS MBS-E-021825511 Footnote Exhibits - Page 5601 [THIS PAGE INTENTIONALLY LEFT BLANK] INTENTIONALLY [THIS BLANK] Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825512 GS MBS-E-021825512 Footnote Exhibits - Page 5602 APPENDIX A . APPENDIX A Certain Definitions Certain Definitions "Accounts" means collectively, the Collection Account, the Payment Account, the Expense "Accounts" means collectively, the Collection Account, the Payment Account, the Expense .Reserve Account, the Cashflow Swap Termination Receipts Account, the Cashflow Swap Replacement Reserve Account, the Cashflow Swap Termination Receipts Account, the Cashflow Swap Replacement Account, the Cashflow Swap Collateral Account, the Default Swap Collateral Account, the Synthetic Account, the Cashflow Swap Collateral Account, the Default Swap Collateral Account, the Synthetic Security Collateral Account and the Collateral Account. . Security Collateral Account and the Collateral Account. "Actual Interest Amount" means with respect to any Reference Obligation Payment Date, "Actual Interest Amount' means with respect to any Reference Obligation Payment Date, payment by or on behalf of the Reference Entity of an amount in respect of interest due under the payment by or on behalf of the Reference Entity of an amount in respect of interest due under the Reference Obligation (including, without limitation, any deferred interest or defaulted interest relating to Reference Obligation (including, without limitation, any deferred interest or defaulted interest relating to the Synthetic Security but excluding payments in respect of prepayment penalties, yield maintenance the Synthetic Security but excluding payments in respect of prepayment penalties, yield maintenance provisions or principal, except that the Actual Interest Amount shall include any payment of principal provisions or principal, except that the Actual Interest Amount shall include any payment of principal representing capitalized interest) to the holder(s) of the Reference Obligation in respeCt of the Reference representing capitalized interest) to the holder(s) of the Reference Obligation in respect of the Reference Obligation. Obligation. "Actual Principal Amount" means, with respect to the Final Amortization Date or the legal final "Actual Principal Amount" means, with respect to the Final Amortization Date or the legal final maturity date of any Reference Obligation, the amount paid on such day by or on behalf of the Reference maturity date of any Reference Obligation, the amount paid on such day by or on behalf of the Reference Entity in respect of principal (excluding any capitalized interest) to the holder(s) of the Reference Entity in respect of principal (excluding any capitalized interest) to the holder(s) of the Reference Obligation in respect of the Reference . Obligation in respect of the Reference Obligation. "Actual Rating" means to any Collateral Asset or Eligible Investment, the actual "Actual Rating" means with respect to any Collateral Asset or Eligible Investment, the actual expressly monitored outstanding public rating assigned by a Rating Agency without reference to any other monitored outstanding public rating by Agency without reference to any other expressly rating by another Rating addresses the full scope of the payment rating by another Rating Agency, and which rating by its terms addresses the full scope of the payment promise of the obligot on such Collateral Asset Eligible after any promise of the obligor on such Collateral Asset or Eligible Investment, after taking into account any applicable guarantee or insurance If rating trom Agency, any "credit applicable guarantee or insurance policy or Ifno such rating is available from a Rating Agency, any "credit (i) the estimate" or "shadow rating" assigned estimate" or "shadow rating" assigned by such Rating Agency. For purposes of this definition, (i) the Investment placed on watch for rating of "Aaa" assigned by Moody's to a Collateral Asset or an Eligible Investment placed on watch for Collateral rating of "Aaa" assigned by one downgraded possible downgrade by Moody's will be deemed to have been downgraded by Moody's by one possible downgrade by Moody's will be deemed subcategory and any other rating assigned by Moody's to a Collateral Asset or an Eligible Investment aSSigned Moody's or an Eligible Investment and any subcategory been downgraded by placed on watch for possible downgrade by Moody's will be deemed to have been downgraded by downgrade placed on watch for to a Collateral Asset or an Eligible by Moody's by two subcategories, (ii) the rating assigned by S&P to a Collateral Asset or an Eligible (ii) Moody's by two subcategories, deemed have been downgraded by Investment placed on watch for possible downgrade by S&P will be deemed to have been downgraded by downgrade Investment placed a Collateral Asset or Eligible S&P by one subcategory, and (iii) the rating assigned by Moody's or S&P to a Collateral Asset or Eligible subcategory, and S&P by one Agency will be deemed to have been Investment placed on watch for possible upgrade by such Rating Agency will be deemed to have been Investment placed on watch . upgraded by such Rating Agency by one subcategory. upgraded by such Rating Agency any Determination Date, the "Adjusted Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, the means, Collateral "Adjusted Net Outstanding Net Outstanding Portfolio Collateral Balance reduced by the excess, if any, of (i) the product of (a) the any, of (i) the product of (a) the Net Outstanding Portfolio Collateral Balance reduced Statistical Loss Amount and (b) the lesser of 1 and a fraction the numerator of which is lesser of 1 and a fraction the numerator of which is Statistical Loss Amount and (b) U.S.$1,OOO,OOO,OOO and the denominator of which is the Net Outstanding Portfolio Collateral Balance as Net Outstanding Portfolio Collateral Balance as U.S.$1,000,000,000 and the denominator of which is of such Determination Date over (ii) the product of (a) U.S.$ 3,750,000 and (b) the lesser of 1 and a product of (a) U.S.$ 3,750,000 and (b)the lesser of 1 and a (ii) of such Determination Date over fraction the numerator of which? is the Net Outstanding Portfolio Collateral Balance as of such fraction the numerator of which is the Net Outstanding Portfolio Collateral Balance as of such Determination Date and the denominator of which is U.S.$ 1,000,000,000. denominator of which is U.S.$ 1,000,000,000. Determination Date and "Administrative Expenses" means amounts (including indemnities) due or accrued with respect to "Administrative Expenses" means amounts (including indemnities) due or accrued with respect to any Payment Date and payable by the Issuer and/or the Co-Issuer to (i) the Trustee pursuant to the any Payment Date and payable by the Issuer and/or the Co-Issuer to (i)the Trustee pursuant to the Indenture or any co-trustee appointed pursuant to the Indenture, the Collateral Administrator pursuant to Indenture or any co-trustee appointed pursuant to the Indenture, the Collateral Administrator pursuant to the Collateral Administration Agreement and the Fiscal Agent pursuant to the Fiscal Agency Agreement; the Collateral Administration Agreement and the Fiscal Agent pursuant to the Fiscal Agency Agreement; (ii) the Issuer Administrator pursuant to the Administration Agreement; (iii) the independent accountants, (ii)the Issuer Administrator pursuant to the Administration Agreement; (iii) the independent accountants, agents (including the Note Agents under the Indenture and the Income Note Registrar) and counsel of the agents (including the Note Agents under the Indenture and the Income Note Registrar) and counsel of the Issuer for fees and expenses (including amounts payable in connection with the preparation of tax forms Issuer for fees and expenses (including amounts payable in connection with the preparation of tax forms on behalf of the Issuers); (iv) the Collateral Manager pursuant to the Collateral Management Agreement on behalf of the Issuers); (iv) the Collateral Manager pursuant to the Collateral Management Agreement (other than the Collateral Management Fee); (v) the Rating Agencies for fees and expenses in connection (other than the Collateral Management Fee); (v)the Rating Agencies for fees and expenses in connection with any rating or credit estimate (including the fees payable to the Rating Agencies for the monitoring of with any rating or credit estimate (including the fees payable to the Rating Agencies for the monitoring of A-1 A-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825513 GS MBS-E-021825513 Footnote Exhibits - Page 5603 any rating or credit estimate) of the Notes, including fees and expenses, any, due or accruedin any rating or credit estimate) of the Notes, including fees and expenses, ififany, due or accrued in connection withany rating of the Collateral Assets; (vi) any other person in respect of any govemmental any rating of the Collateral Assets; (vi) any other person in respect of any governmental connection with Issuer fee, charge or tax in relation to the Issuer or the Co-Issuer; (viQ to the liquidator(s) of theIssuer for the fee, charge or tax in relation to the Issuer or the Co-Issuer, (vii) to the liquidator(s) of the(viii) any for the stock fees and expenses of liquidating the Issuer following the redemption of all of the Notes; fees and expenses of liquidating the Issuer following the redemption of all of the Notes; (viii) anystock exchange listing any Securities at the request of the Issuer; and (ix) any other person in respect of any exchange listing any Securities at the request of the Issuer, and (ix)any other person in respect of any other fees or expenses (including indemnities and 'fees relating to the provision of the Issuer'S registered other fees or expenses (including indemnities and fees relating to the provision of the Issuers registered not office) permitted under the Transaction Documents; provided that Administrative Expenses shall not office) permitted under the Transaction Documents; provided that Administrative Expenses shall the include.(a)any amounts due or accrued with respect to the actions taken on or in connection with the (a) any amounts due or accrued with respect to the actions taken on or in connection with include Closing Date, (b) amounts payable in respect of the Notes and the Income Notes, (c) amounts payable Closing Date, (b)amounts payable in respect of the Notes and the Income Notes, (c)amounts payable under any Cashflow Swap Agreement and (d) any Collateral Management Fee payable pursuant to the under any Cashflow Swap Agreement and (d)any Collateral Management Fee payable pursuant to the Collateral Management Agreement Collateral Management Agreement "Aggregate Amortization Amount" means, with respect to any Determination Date, the excess, "Aggregate Amortization Amount" means, with respect to any Determination Date, the excess, ifif any, of (i) the par amount of Default Swap Collateral and Eligible Investments and cash from principal of (i) the par amount of Default Swap Collateral and Eligible Investments and cash from principal any, payments received thereon, on deposit in the Default Swap Collateral Account over (ii) the sum of (a) the payments received thereon, on deposit in the Default Swap Collateral Account over (ii)the sum of (a)the Reference Obligation Notional Amount and (b) the par value of any Deliverable Obligations. Reference Obligation Notional Amount and (b)the par value of any Deliverable Obligations. "Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Bonds" "Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Bonds" means the least of (a) the Aggregate Moody's Recovery Value of all Defaulted Obligations and Deferred the least of (a) the Aggregate Moody's Recovery Value of all Defaulted Obligations and Deferred means Interest PIK Bonds, (b) the Aggregate S&P Recovery Value of all Defaulted Obligations and Deferred Interest PIK Bonds, (b)the Aggregate S&P Recovery Value of all Defaulted Obligations and Deferred Interest PIK Bonds, and (c) the aggregate of the Market Values of all Defaulted Obligations and Deferred Interest PIK Bonds, and (c)the aggregate of the Market Values of all Defaulted Obligations and Deferred Interest PIK Bonds. Interest PIK Bonds. "Aggregate Moody's Recovery Value" means, with respect to Defaulted Obligations and Deferred "Aggregate Moody's Recovery Value" means, with respect to Defaulted Obligations and Deferred Interest PIK Bonds, the aggregate of (a)the Moody's Recovery Rate for each such asset multiplied by each such asset multiplied by Interest PIK Bonds, the aggregate of (a) the Moody's Recovery Rate asset. (b) the Principal Balance of (b)the Principal Balance of such asset. "Aggregate Outstanding Amount" means, with to the Notes Income Notes, the "Aggregate Outstanding Amount" means, with respect to any of the Notes or Income Notes, the or Notes date of determination. aggregate principal amount of such Notes or Income Notes at the date of determination. principal amount of such aggregate Principal Balances of all Collateral "Aggregate Principal Amount" aggregate "Aggregate Principal Amount" means the aggregate of the Principal Balances of all Collateral and the amount of any cash which Assets and Eligible Investments purchased with Principal Proceeds and the amount of any cash which Assets and Eligible Investments purchased constitutes Principal Proceeds. Proceeds. constitutes Principal to each Defaulted Obligation "Aggregate S&P Recovery Value" means the sum of, with respect to each Defaulted Obligation "Aggregate S&P Recovery Market Value for such Defaulted Obligation and each Deferred Interest PIK Bond of the lesser of (a) the Market Value for such Defaulted Obligation (a) and each Deferred Interest PIK Bond Recovery Rate for such Collateral Asset or Deferred Interest PIK Bond, as applicable, and (b) the S&P Recovery Rate for such Collateral Asset (b)the or Deferred Interest PIK Bond, as multiplied by the Principal Balance of such Collateral Asset. . multiplied by the Principal Balance of such Collateral "A" "Applicable Percentage" means, on any day, a percentage equal to A divided by B, where "A" "Applicable Percentage" means, on any day, a percentage equal to A divided by B, where the means the product of the Initial Face Amount (as such term is defined in the Master Confirmation) and the (as such term is defined in the Master Confirmation) and Initial Face means the product of the Initial Factor (as such term is defined in the Master Confirmation) as decreased on each Delivery Date by Initial Factor (as such term is defined in the Master Confirmation) as decreased on each Delivery Date by to the an amount equal to (a) the outstanding principal balance of Delivered Obligations delivered to the Issuer an amount equal to (a) the outstanding principal balance of Delivered Obligations delivereddefined Issuer in the (as adjusted by the Relevant Amount, if any) divided by the Current Factor (as such term is defined in the Amount, if any) divided by the Current Factor (as such term is (as adjusted by the Relevant Master Confirmation) on such day multiplied by (b) the Initial Factor (as such term is defined in the Master Initial Factor (as such term isdefined in the Master Master Confirmation) on such day multiplied by (b)the Confirmation) and where "B" means the product of the Original Principal Amount (as such term is defined Confirmation) and where "B" means the product of the Original Principal Amount (as such term is defined such term is in the Master Agreement) of the related Reference Obligation and the Initial Factor (as such term is in the Master Agreement) of the related Reference Obligation and the Initial Factor (as of any further defined in the Master Confirmation); (a) as increased by the outstanding principal balance of any further increased by the outstanding principal balance defined in the Master Confirmation); (a)as as the issues by the Reference Entity that are fungible with and form part of the same legal series as the issues by the Reference Entity that are fungible with and form part of the same legal series all of the outstanding or all of the outstanding Reference Obligation; and (b) as decreased by any cancellations of some or Reference Obligation; and (b) as decreased by any cancellations of some principal amount of the related Reference Obligation resulting from purchases of the Reference Obligation principal amount of the related Reference Obligation resulting from purchases of the Reference Obligation . by or on behalf of the Reference Entity. by or on behalf of the Reference Entity. "Applicable Recovery Rate" means, with respect to any Collateral Asset on any Determination "Applicable Recovery Rate" means, with respect to any Collateral Asset on any Determination Date, the lesser of the Moody's Recovery Rate and the S&P Recovery Rate. Date, the lesser of the Moody's Recovery Rate and the S&P Recovery Rate. A-2 A-2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825514 GS MBS-E-02182SS14 Footnote Exhibits - Page 5604 "Asset-Backed Securities" or "ASS Securities" means any obligation that is a security that is "Asset-Backed Securities" or "ABS Securities" means any obligation that is a security that is primarily serviced by the cash flows of a discrete pool of receivables or other financial assets, either fixed primarily serviced by the cash flows of a discrete pool of receivables or other financial assets, either fixed or revoMng and that,. by its terms, converts to cash within a finite time period. or revoMng and that, by its terms, converts to cash within a finite time period. "Auction Payment Date" means the Auction Date on which the Notes and Income Notes are "Auction Payment Date" means the Auction Date on which the Notes and Income Notes are redeemed in whole in connection with a successful Auction. redeemed in whole in connection with a successful Auction. "Board of Directors" means, with respect to the Issuer or the Co-Issuer, the directors of the Issuer "Board of Directors" means, with respect to the Issuer or the Co-Issuer, the directors of the Issuer or the Co-Issuer, as applicable, duly appointed by the shareholders or the directors of the Issuer or the the Co-Issuer, as applicable, duly appointed by the shareholders or the directors of the Issuer or the or Co-Issuer, as applicable. Co-Issuer, as applicable. "Calculation Amount" means, (I) with respect to any Defaulted Obligation or Deferred Interest PIK "Calculation Amount" means, (1)with respect to any Defaulted Obligation or Deferred Interest PIK Bond not related to a Synthetic Security, the lesser of (a) the Market Value of such Defaulted Obligation Bond not related to a Synthetic Security, the lesser of (a) the Market Value of such Defaulted Obligation or Deferred Interest PIK Bond or (b) the Applicable Recovery Rate multiplied by the Principal Balance of or Deferred Interest PIK Bond or (b)the Applicable Recovery Rate multiplied by the Principal Balance of such Defaulted Obligation or Deferred'interest PIK Bond and (II) with respect to any Defaulted Obligation such Defaulted Obligation or Deferred Interest PIK Bond and (II)with respect to any Defaulted Obligation or Deferred Interest PIK Bond related to a Synthetic Security, the lesser of (a) the lesser of (x) the Market or Deferred Interest PIK Bond related to a Synthetic Security, the lesser of (a)the lesser of (x)the Market Reference Obligation and (y) the Market Value of the Synthetic Security and (b) the Value of the Value of the related Reference Obligation and (y)the Market Value of the Synthetic Security and (b)the Defaulted Obligation or Deferred Applicable Recovery Rate multiplied by Principal Balance of Applicable Recovery Rate multiplied by the Principal Balance of such Defaulted Obligation or Deferred of determining the Calculation Amount, the Principal Balance of a Interest PIK Bond. For Interest PIK Bond. For purposes of determining the Calculation Amount, the Principal Balance of a Defaulted Obligation be deemed to be outstanding amount and the Principal Balance of Defaulted Obligation shall be deemed to be its outstanding principal amount and the Principal Balance of a Deferred Interest PIK Bond deemed to be outstanding principal amount without regard to a Deferred Interest PIK Bond shall be deemed to be its outstanding principal amount without regard to any deferred any deferred or capitalized interest. "Cashflow Swap Collateral" means, or other delivered and/or "Cashflow Swap Collateral" means, any cash, securities or other collateral delivered and/or the Issuer, including, without pledged by the Cashflow Swap Counterparty to or for the benefit of the Issuer, including, without pledged by the Cashflow Swap Counterparty to payment or made by Cashflow Swap Counterparty limitation, any upfront payment of cash or delivery of securities made by the Cashflow Swap Counterparty Cashflow Swap to satisfy or the to satisfy or secure its payment obligations pursuant to the terms of the related Cashflow Swap Agreement. "Cashflow Cashflow Swap Agreement and any Amount" "Cashflow Swap Receipt Amount" means, with respect to the Cashflow Swap Agreement and any Payment Date, any Cashflow Swap Agreement receipts, including any other amounts so payable in Date, Agreement other so payable in Cashfiow Payment termination respect of a termination of any Cashflow Swap Agreement. the amount by which the costs of "Cashflow Swap Shortfall Replacement Amount" means the amount by which the costs of Replacement "Cashflow Agreement exceed the funds available therefor in the a entering into a Replacement Cashflow Swap Agreement exceed the funds available therefor in the Cashflow Swap Termination Receipts Account. Cashflow forth in the Cashflow Swap Agreement. "Cashflow Swap Shortfall Amount" has the meaning set forth in the Cashflow Swap Agreement. "Cashflow payable by a Cashflow Swap any "Cashflow Swap Termination Receipts" means any amount payabl~ by a Cashflow Swap Counterparty to the Issuer upon termination of a Cashflow Swap Agreement. a Cashflow Issuer Counterparty (including, without limitation, any "COO Securities" means the collateralized debt obligations (including, without limitation, any collateralized "CDO Securities" means synthetic collateralized debt obligations) at any time on deposit in the Collateral Account that are not any time on deposit in the Collateral Account that are not debt synthetic issuer is required to make "gross up" payments subject to withholding or similar taxes unless the relevant issuer is required to make "gross up" payments unless the subject to withholding or similar that cover the full amount of any such taxes. taxes. that cover the full amount that, pursuant to the terms of the related "COO S Note Securities" means COO Securities that, pursuant to the terms of the related "CDO S Note Securities" means CDO underlying instruments, are senior to all other securities issued in the related transaction and are entitled are senior to all other securities issued in the related transaction and are entitled underlying instruments, to principal payments in accordance with a fixed payment schedule, which prinCipal payments are paid by to principal payments in accordance with a fixed payment schedule, which principal payments are paid by applying, first, interest proceeds available, and second, principal proceeds available. applying, first, interest proceeds available, and second, principal proceeds available. "Class" means each class of Notes having the same Stated Maturity and same alphabetical (but "Class" means each class of Notes having the same Stated Maturity and same alphabetical (but not necessarily numerical) designation of any of "8-1", "S-2", "S", "A-1a", "A-1bn , "A-1c", A-1d", "A-1", "A", not necessarily numerical) designation of any of "S-1", "S-2", "S", "A-la", "A-1b", "A-1c", A-Id", "A-1","A", ' "B", "cn or "0" as a single class, and the Income Notes as a single class. as or "B", "C" "D" a single class, and the Income Notes as a single class. A-3 A-3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825515 GS MBS-E-021825515 Footnote Exhibits - Page 5605 "Class A Adjusted Overcollateralization Ratio" means, with respect any Determination Date, "Class A Adjusted Overcollateralization Ratio" means, with respect totoany Determination Date, theAdjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the the Adjusted Net Outstanding Portfolio Collateral Balance will not include PrincipalProceeds held as cash Proceeds held as Adjusted Net Outstanding Portfolio Collateral Balance will not include PrincipalClass A-1 Notes and cash and Eligible Investments) divided by the Aggregate Outstanding Amount of the A-1 Notes andthe and Eligible Investments) divided by the Aggregate Outstanding Amount of the Class Payment Date the ClassA-2 Notes, after giving effect to payments to be made on the succeeding Payment Date in A-2 Notes, after giving effect to payments to be made on the succeeding in Class accordance with the Priority of Payments. accordance with the Priority of Payments. "Class A-1 Note Payment Sequence" shall mean the application of funds in respect of the Class "Class A-1 Note Payment Sequence" shall mean the application of funds in respect of the Class A-1 Notes, first, to the payment of principal in respect of the Class A-ia Notes until the Aggregate Notes, first, to the payment of principal in respect of the Class A-1a Notes until the Aggregate A-1 Outstanding Amount thereof is paid in full, second, to the payment of principal in respect of theClass AOutstanding Amount thereof is paid in full, second, to the payment of principal in respect of the Class A1b Notes until the Aggregate Outstanding Amount thereof is paid in full, third, to the payment of principal lb Notes until the Aggregate Outstanding Amount thereof is paid in full, third, to the payment of principal in respect of the Class A-1c Notes until the Aggregate Outstanding Amount thereof is paid in full and, in respect of the Class A-1c Notes until the Aggregate Outstanding Amount thereof is paid in full and, fourth, to the payment of principal in respect of the Class A-1d Notes until the Aggregate Outstanding fourth, to the payment of principal in respect of the Class A-id Notes until the Aggregate Outstanding Amountthereof is paid in full. Amount thereof is paid in full. "Class A-1a Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the of the "Class A-la Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount interest Class A-1a Notes plus (ii) aeerued and unpaid interest thereon (including Defaulted Interest and Class A-la Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, any) to but excluding the Redemption Date. on Defaulted Interest, ififany) to but excluding the Redemption Date. "Class A-1b Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the of the "Class A-lb Note Redemption Price" shall equal (i) the Aggregate Outstanding Amountinterest Class A-1b Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and Class A-ib Notes plus (ii)accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) to but excluding the Redemption Date. on Defaulted Interest, if any) to but excluding the Redemption Date. "Class A-1c Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the "Class A-ic Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the Class A-1c Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest A-1c Notes plus (iQ accrued and unpaid interest thereon (including Defaulted Interest and interest Class on Defaulted Interest, if any) to but excluding the Redemption Date. on Defaulted Interest, if any) to but excluding the Redemption Date. "Class A-1d Note Redemption Price" shall (i) the Aggregate Outstanding Amount of the of the "Class A-1d Note Redemption Price" shall equal (i) the Aggregate Outstanding Amountinterest Class A-1d Notes plus (ii) accrued interest Defaulted Interest and Class A-1d Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest Redemption on Defaulted Interest, if any) to on Defaulted Interest, if any) to but excluding the Redemption Date. Aggregate Outstanding Amount of the "Class A-2 Note Redemption (i) "Class A-2 Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the (including Defaulted Interest arid interest on Class A-2 Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Class A-2 Notes plus (ii) accrued and Defaulted Interest, if any) to but Redemption . Defaulted Interest, if any) to but excluding the Redemption Date. respect to any Determination Date, "Class B Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, "Class B Adjusted Overcollateralization the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the purposes of such calculation, the the Adjusted Net Outstanding Portfolio Collateral Principal Proceeds held as cash Adjusted Net Outstanding Portfolio Collateral Balance will not include Principal Proceeds held as cash Balance Adjusted Net Outstanding Portfolio Collateral Outstanding Amount of the Class A Notes and Eligible Investments) divided by the sum of the Aggregate Outstanding Amount of the Class A Notes sum of the and Eligible Investments) divided by and the Class B Notes, after giving effect to payments, as applicable to be made on the succeeding be made on the succeeding as and the Class B Notes, after giving effect to payments, Payment Date in accordance with the Priority of Payments. with the Priority of Payments. Payment Date in accordance "Class B Note Redemption Price" shall equal (Q the Aggregate Outstanding Amount of the Class "Class B Note Redemption Price" shall equal (i)the Aggregate Outstanding Amount of the Class B Notes, plus (ii) accrued interest thereon (including Defaulted Interest and interest on Defaulted Interest, B Notes, plus (ii)accrued interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) to, but excluding, the Redemption Date. if any) to, but excluding, the Redemption Date. "Class C Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, "Class C Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation,cash Adjusted Net Outstanding Portfolio Collateral Balance will not include Principal Proceeds held as cash Collateral Balance will not include Principal Proceeds held as Adjusted Net Outstanding Portfolio and Eligible Investments) divided by the sum of the Aggregate Outstanding Amount of the Class A Notes, and Eligible Investments) divided by the sum of the Aggregate Outstanding Amount of the Class A Notes, to the Class B Notes and the Class C Notes, including Class C Deferred Interest, after giving effect to the Class B Notes and the Class C Notes, including Class C Deferred Interest, after giving effect payments, as applicable, to be made on the succeeding Payment Date in accordance with the Priority of on the succeeding Payment Date in accordance with the Priority of payments, as applicable, to be made Payments. Payments. "Class C Note Redemption Price" shall equal the sum of (i) Aggregate Outstanding Amount of the "Class C Note Redemption Price" shall equal the sum of (i)Aggregate Outstanding Amount of the Class C Notes (including any Class C Deferred Interest) plus (ii) accrued interest thereon (including any Class C Notes (including any Class C Deferred Interest) plus (ii) accrued interest thereon (including any Date. Defaulted Interest and any interest on Defaulted Interest, ifif any)to but excluding the Redemption Date. Defaulted Interest and any interest on Defaulted Interest, any) to but excluding the Redemption A-4 A-4 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825516 GS MBS-E-021825516 .I Footnote Exhibits - Page 5606 "Class 0 Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, "Class D Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the the Adjusted Net Outstanding Portfolio Collateral Balance (for the purposes of such calculation, the Adjusted Net Outstanding Portfolio Collateral Balance will not include Principal Proceeds held as cash Adjusted Net Outstanding Portfolio Collateral Balance will not include Principal Proceeds held Aas cash and Eligible Investments) divided by the sum of the Aggregate Outstanding Amount of the Class Notes, and Eligible Investments) divided by the sum of the Aggregate Outstanding Amount of the Class ANotes, the Class B Notes, the Class C Notes and the Class 0 Notes, including Class C Deferred Interest and the Class B Notes, the Class C Notes and the Class D Notes, including Class C Deferred Interest and Class 0 Deferred Interest, after giving effect to payments, as applicable, to be made on the succeeding Class D Deferred Interest, after giving effect to payments, as applicable, to be made on the succeeding Payment Date in accordance with the Priority of Payments. Payment Date in accordance with the Priority of Payments. "Class 0 Note Redemption Price" shall equal the sum of (Q the Aggregate Outstanding Amount of "Class D Note Redemption Price" shall equal the sum of (i) the Aggregate Outstanding Amount of the Class 0 Notes (including any Class 0 Deferred Interest) plus (iQ accrued interest thereon (including the Class D Notes (including any Class D Deferred Interest) plus (ii) accrued interest thereon (including any Defaulted Interest and any interest on Defaulted Interest, any) to but excluding the Redemption any Defaulted Interest and any interest on Defaulted Interest, ifif any) to but excluding the Redemption Date. Date. "Class 0 Notes Amortizing Principal Amounf' means an amount equal to the lesser of (a) with "Class D Notes Amortizing Principal Amount" means an amount equal to the lesser of (a) with respect to the first Payment Date U.S. $200,000, and with respect to any other Payment Date up to and and respect to the first Payment Date U.S. $200,000, and with respect to any other Payment Date up to the including the Payment Date in March 2014, U.S.$100,000 and (b) the remaining prinCipal balance of including the Payment Date in March 2014, U.S.$100,000 and (b)the remaining principal balance of the Class 0 Notes (including any Deferred Interest and any Defaulted Interest and interest thereon). Class D Notes (including any Deferred Interest and any Defaulted Interest and interest thereon). "Class S-1 Note Redemption Price" shall equal (Q the Aggregate Outstanding Amount of the "Class S-1 Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the S-1 Notes, plus (ii) accrued interest thereon (including Defaulted Interest and interest on Defaulted Class S-1 Notes, plus (ii) accrued interest thereon (including Defaulted Interest and interest on Defaulted Class Interest, if any) to, but excluding, the Redemption Date. Interest, if any) to, but excluding, the Redemption Date. "Class S-1 Notes Amortizing Principal Amounf' means, with respect to any Payment Date "Class S-1 Notes Amortizing Principal Amount" means, with respect to any Payment Date (a) U.S.$ 562,500.00, plus the commencing with the Payment Date in December 2007, the lesser of (a) U.S.$ 562,500.00, plus the the lesser commencing with the Payment Date in December Amounts that were prior .aggregate amount of any Class S-1 Notes Amortizing Principal Amounts that were due on any prior aggregate amount of any Class S-1 Notes Amortizing interest at the Class S-1 the Class S-1 Payment Date and not paid on one or more Payment Dates, plus Payment Date and not paid on one or more prior Payment Dates, plus accrued interest atthe Aggregate Note Interest Rate on any such the Date and (b) Note Interest Rate on any such unpaid amount from the prior Payment Date and (b) the Aggregate . Outstanding Amount of the Outstanding Amount of the Class S-1 Notes. (i) "Class S-2 Note Redemption Outstanding Amount of the "Class S-2 Note Redemption Price" shall equal (i) the Aggregate Outstanding Amount of the Interest and interest on Defaulted Class S-2 Notes, plus (ii) accrued interest thereon (including Defaulted Interest and interest on Defaulted Class S-2 Notes, plus (ii) accrued interest Interest, if any) to, but excluding, the Redemption Date. Interest, if any) to, but excluding, the "Class S-2 Notes Amortizing Principal Amounf' means, with respect to any Payment Date Amount" means, with respect to any Payment Date "Class S-2 Notes Amortizing the lesser of (a) U.S.$ 518,750.00, plus the commencing with the Payment Date in December 2007, the lesser of (a) U.S.$ 518,750.00, plus the with the Payment Date in December commencing that were due on any prior aggregate amount of any Class S-2 Notes Amortizing Principal Amounts that were due on .any prior aggregate amount of any Class S-2 Notes Payment Date and not paid on one or more prior Payment Dates, plus accrued interest at the Class S-2 Dates, plus accrued interest at the Class S-2 more prior Payment Date and not paid on one or Note Interest Rate on any such unpaid amount from the prior Payment Date and (b) the Aggregate the prior Payment Date and (b) the Aggregate Note Interest Rate on any such unpaid amount Outstanding Amount of the Class S-2 Notes. Notes. Outstanding Amount of the Class S-2 "Collateral Account" means a segregated non-interest bearing trust account, including all sub"Collateral Account" means a segregated non-interest bearing trust account, including all subaccounts thereof, held in the name of the Trustee into which Collateral will be deposited from time to time. accounts thereof, held in the name of the Trustee into which Collateral will be deposited from time to time. as "Collateral Administration Agreement" means the Collateral Administration Agreement, dated as "Collateral Administration Agreement" means the Collateral Administration Agreement, dated the of the Closing Date, among the Issuer, the Collateral Administrator and the Collateral Manager, as the the Issuer, the Collateral Administrator and the Collateral Manager, as of the Closing Date, among same may be amended, supplemented or otherwise modified from time to time in accordance with its same may be amended, supplemented or otherwise modified from time to time in accordance with its terms. terms. "Collateral Administrator" means The Bank of New York, or any successor Collateral "Collateral Administrator" means The Bank of New York, or any successor Collateral Administrator under the Collateral Administration Agreement. Administrator under the Collateral Administration Agreement. "Collateral Asset" means a Synthetic Security, a COO Security, a Deliverable Obligation or an "Collateral Asset" means a Synthetic Security, a CDO Security, a Deliverable Obligation or an item of Default Swap Collateral that has been released from the lien of the Synthetic Security item of Default Swap Collateral that has been released from the lien of the Synthetic Security Counterparty and credited to the Collateral Account as described herein. Counterparty and credited to the Collateral Account as described herein. A-5 A-5 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825517 GS MBS-E-021825517 Footnote Exhibits - Page 5607 "Commercial Mortgage-Backed Securities" or "CMBS" means securities backed by obligations "Commercial Mortgage-Backed Securities" or "CMBS" means securities backed by obligations participation that are principally secured mortgages on real (including certificates (including certificates of participation in obligations) that are principally secured by mortgages on real property or interests therein multifamily or commercial regional malls, other retail property or interests therein having a multifamily or commercial use, such as regional malls, other retail space, buildings, industrial or warehouse properties, hotels, nursing homes and senior living space, office buildings, industrial or warehouse properties, hotels, nursing homes and senior living centers. centers. "Controlling Class" will be the S-1 and the A-1 Notes for "Controlling Class" will be the Class S-1 Notes and the Class A-1 Notes for so long as any Class S-1 Notes are if S-1 Notes are outstanding bu~ A-1 S-1 Notes and Class A-1 Notes are outstanding; if no Class S-1 Notes are outstanding but Class A-1 are the Class Notes; no S-1 Notes or Class A-1 Notes are Notes are outstanding, then the Class A-1 Notes; if no Class S-1 Notes or Class A-1 Notes are outstanding, then the Class Notes and Class Notes, so as S-2 and outstanding, then the Class S-2 Notes and the Class A-2 Notes, for so long as any Class S-2 Notes and Class S-2 are outstanding are A-2 Notes outstanding; Class A-2 Notes are outstanding; if no Class S-2 Notes are outstanding but Class A-2 Notes are or A are the outstanding, then the Class A-2 Notes; if no Class S Notes or Class A Notes are outstanding, then the the as B Notes are outstanding; if Glass B Notes, Class B Notes, so long as any Class B Notes are outstanding; if no Class S Notes, Class A Notes or Class B Notes are outstanding, then the Class C Notes, so long as any Class C Notes are outstanding, B the C Notes, as Class if Class S Notes, Class A B Notes Notes outstanding, Class and ifno Class S Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, then the Class o long 0 D Notes, so long any Class D Notes are outstanding. "Credit Definitions" 2003 ISDA Derivatives "Credit Derivatives Definitions" means the 2003 ISDA Credit Derivatives Definitions "Credit Protection Amounts" Settlement Writedown "Credit Protection Amounts" means Physical Settlement Amounts, Writedown Amounts, Principal Interest Shortfall Shortfall Amounts, Interest Shortfall Amounts and Synthetic Security Termination Payments (which, for by Issuer Swap Payments) the avoidance of doubt, will not include Defaulted Swap Termination Payments) payable by the Issuer to Synthetic the Synthetic Security Counterparty. the Issuer "Credit Support'Annex" entered "Credit Support Annex" means the ISDA Credit Support Annex entered into by the Issuer and the Cashflow Swap Counterparty on the Closing Date. Counterparty Closing Issuer on about , "Deed of Covenant" means the deed of covenant executed by the Issuer on or about the Closing "Deed Covenant" Date constituting the Income Notes. Account in "Default "Default Swap Collateral" means the securities on deposit in the Default Swap Collateral Account which satisfy the Default Swap Collateral Eligibility Criteria. termination "Defaulted'Cashflow to "Defaulted Cashflow Swap Termination Payments" means any termination payment required to Cashflow Agreement in be made by the Issuer to the Cashflow Swap Counterparty pursuant to a Cashflow Swap Agreement in Swap which such the event of a termination of a Cashflow Swap Agreement in respect of which such Cashflow Swap in a Cashflow a (as defined in is Counterparty is the sole Defaulting Party or the sole Affected Party (as defined in the Cashflow Swap Event" (as defined in the Cashflow Swap Agreement), other than with respect to "Illegality" or "Tax Event" (as defined in the Cashflow SWap Agreement). CDO Security with respect to which: "Defaulted Obligation" means any Reference Obligation or COO Security with respect to which: without (i) the issuer thereof has defaulted in the payment of principal or interest without payment in the issuer thereof (i) not constitute a regard to any applicable grace period or waiver; provided that a Collateral Asset will not constitute waiver, Manager certifies in writing to the a Defaulted Obligation under this clause (Q if (a) the Collateral Manager certifies in writing to the clause (i) if (a) a Defaulted to non-credit and default is Trustee, in its reasonable business judgment, that such payment default is due to non-credit and in for more than five Business Days not non-fraud related reasons and such default does not continue for more than five Business Days related (ii) such payment default has been (or, if earlier, until the next succeeding Determination Date) or (iQ such payment default has been (or, if earlier, scheduled to have been paid; provided, cured by the payment of all amounts that were originally scheduled to have been paid; provided, payment by is in default with any further, however, that, notwithstanding the foregoing, any Collateral Asset that is in default with further, however, not be a or principal as a Determination of respect to the payment of interest or principal as of a Determination Date shall not be a Defaulted respect and principal within due Obligation if such default is cured through the payment of all past due interest and principal within the payment of all is cured if Manager shall determine the three Business Days after such Determination Date (and the Collateral Manager shall determine Date Business Day prior to the whether a default has occurred and is continuing on or prior to the second Business Day prior to has occurred and is continuing a be treated a Defaulted Obligation ifthe the Payment Date) or such Collateral Asset shall not be treated as a Defaulted Obligation if the shall the Payment Date) or such Collateral Collateral Manager believes the default on such Collateral Asset will be cured as of the next Collateral Manager believes the default on such Collateral Asset will be cured as of the next or Rating of "CC" or lower, "D" does not have an Determination Date, such Collateral Asset does not have an S&P Rating of "CC" or lower, "D" or Collateral Determination Date, "SO" and the Rating Agency Condition has been satisfied relative to such treatment; Condition has been satisfied relative such treatment; "SD" A-6 A?6 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825518 GS MBS-E-021825518 Footnote Exhibits - Page 5608 (ii) (ii) the principal amount of such Collateral Asset has been written down; the principal amount of such Collateral Asset has been written down; (iiQ any bankruptcy, insolvency or receivership proceeding has been initiated in any bankruptcy, insolvency or receivership proceeding has been initiated in (iii) connection with the issuer of such Collateral Asset and is unstayed and undismissed; provided, connection with the issuer of such Collateral Asset and is unstayed and undismissed; provided, will that, such proceeding is an involuntary proceeding, the condition of this clause (iii)will not be that, ififsuch proceeding is an involuntary proceeding, the condition of this clause (iii)(II) an notbe satisfied until the earliest of the following: (I)the issuer consents to such proceeding, order satisfied until the earliest of the following: (1) theissuer consents to such proceeding, (11) anorder for relief under the United States Bankruptcy Code, or any similar order under a proceeding not for relief under the United States Bankruptcy Code, or any similar order under a proceeding not taking place under the United States Bankruptcy Code, has been entered, and (III) such taking place under the United States Bankruptcy Code, has been entered, and (III) such proceeding remains unstayed and undismissed for 60 days; proceeding remains unstayed and undismissed for 60 days; (iv) such Collateral Asset has an S&P Rating of ncc" or lower, "0"or "SO" or, if S&P such Collateral Asset has an S&P Rating of "CC" or lower, "D"or"SD" or, ifS&P (iv) withdraws its rating and the S&P Rating at the time of withdrawal is "ccc" or below or such withdraws its rating and the S&P Rating at the time of withdrawal is "CCC" or below or such Collateral Asset has a Moody's Hating of "c"or lower or "Ca"; Collateral Asset has a Moody's .Rating of "C"orlower or "Ca"; (v) in the case of a Synthetic Security, the related Synthetic Security Counterparty is in the case of a Synthetic Security, the related Synthetic Security Counterparty is (v) in default pursuant to the terms of such Synthetic Security; or in default pursuant to the terms of such Synthetic Security; or (vi) the Collateral Manager believes that such Collateral. Asset will default on or the Collateral Manager believes that such Collateral Asset will default on or (vi) before the next Determination Date. the next Determination Date. before "Defaulted Synthetic Security Termination Payments" means any termination payment required to "Defaulted Synthetic Security Termination Payments" means any termination payment required to be made by the Issuer to the Synthetic Security Counterparty pursuant to a Synthetic Security in the made by the Issuer to the Synthetic Security Counterparty pursuant to a Synthetic Security in the be event of a termination of a Synthetic Security respect of such Security Counterparty is event of a termination of a Synthetic Security in respect of which such Synthetic Security Counterparty is the sale Defaulting Party or the sole Affected Party (as in the Security), other than with the sole Defaulting Party or the sole Affected Party (as defined in the Synthetic Security), other than with Security). respect to "1I1egality" or ''Tax Event" (as defined in respect to "Illegality" or "Tax Event" (as defined in the Synthetic Security). "Deferred Interest PIK Bond" Bond (1) has an Actual Rating of. "Baa3" or above "Deferred Interest PIK Bond" means a PIK Bond that (1)has an Actual Rating of "Baa3" or above has deferred interest in an amount by Moody's and makes payments less frequently than monthly and has deferred interest in an amount Moody's and makes payments less monthly by equal to the amount of interest that would accrue over the shorter of two payment periods or one year, or shorter payment or one year, or equal to the amount of interest that would accrue over (2) has an Actual Rating of "Baa3" or above by Moody's and makes payments on a monthly basis and has an Actual Rating of "Baa3" or makes payments on a monthly basis and Moody's (2) over the shorter of (i) has deferred interest in an amount equal to the amount of interest that would accrue over the shorter of (i) has deferred interest in an amount any two consecutive deferrals of one year and (ii) the longer of (A) the number of months between any two consecutive deferrals of year and (ii) the longer of (A) the one of "Bal" or below by Moody's and makes ,interest and (B) six months or (3) has an Actual Rating of "Ba1" or below by Moody's and makes interest and (B) six months or (3) in an amount equal to the amount of payments less frequently than monthly and has deferred interest in an amount equal to the amount of than monthly payments less frequently period or six months, or (4) has an Actual interest that would accrue over the shorter of one payment period or six months, or (4) has an Actual shorter would accrue over interest that on a monthly basis and has deferred interest Rating of "Ba1" or below by Moody's and makes payments on a monthly basis and has deferred interest makes Rating of "Bal" or below by Moody's accrue over three months,; provided that such in an amount equal to the amount of interest that would accrue over three months,; provided that such amount of interest in an amount equal to the and all PIK Bond would no longer be a Deferred Interest PIK Bond once payment of interest has resumed and all PIK Bond would no longer be a Deferred Interest PIK Bond once payment of interest has resumed capitalized or deferred interest has been paid in full in accordance with the underlying documents. been paid in full in accordance with the underlying documents. capitalized or deferred interest has , "Deferred Structuring Expense" means a fee payable to the Initial Purchaser in accordance with "Deferred Structuring Expense" means a fee payable to the Initial Purchaser in accordance with the the Priority of Payments, payable in arrears on each Payment Date, of 0.04% per annum times the the Priority of Payments, payable in arrears on each Payment Date, of 0.04% per annum times Aggregate Principal Amount, measured as of the beginning of the Due Period preceding such Payment of the Due Period preceding such Payment Aggregate Principal Amount, measured as of the beginning Date. The Deferred Structuring Expense will be ~Iculated on the basis of a 360 day year consisting of Date. The Deferred Structuring Expense will be palculated on the basis of a 360 day year consisting of twelve 30-day months. twelve 30-day months. "Definitive Notes" means Notes or Income Notes issued in definitive" fully registered form, "Definitive Notes" means Notes or Income Notes issued in definitive, fully registered form, registered in the name of the owner thereof. registered in the name of the owner thereof. "Deliverable Obligation" means an obligation which, pursuant to the terms of the Synthetic "Deliverable Obligation" means an obligation which, pursuant to the terms of the Synthetic Security, may be delivered to the Issuer as a result of a Credit Event. Security, may be delivered to the Issuer as a result of a Credit Event. "Delivery Date" means the date on which a Deliverable Obligation is delivered to the Issuer "Delivery Date" means the date on which a Deliverable Obligation is delivered to the Issuer pursuant to the Synthetic Security, pursuant to the Synthetic Security. "Distribution Compliance Period" means, with respect to the Notes, the period that ends 40 days "Distribution Compliance Period" means, with respect to the Notes, the period that ends 40 days after the later of (i) the commencement of the offering of the Notes and (iQ the Closing Date. after the later of (i)the commencement of the offering of the Notes and (ii)the Closing Date. A-7 A-7 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825519 GS MBS-E-021825519 Footnote Exhibits - Page 5609 "Double 8 Calculation Amount" means the sum of the products of (i) the Principal 8alance of "Double B Calculation Amount" means the sum of the products of (i) the Principal Balance of eachDouble B Rated Asset and (ii)90%. Double 8 Rated Asset and (i~ 90%. each "Double 8 Rated Asset" means any Collateral Asset that is not a Single 8 Rated Asset or Triple C "Double B Rated Asset" means any Collateral Asset that is not a Single B Rated Asset or Triple C Rated Asset with an Actual Rating from S&P less than "888-" or with an Actual Rating from Moody's less Rated Asset with an Actual Rating from S&P less than "BBB-" or with an Actual Rating from Moody's less than "8aa3". than "Baa3". "Effective Date" means March 27. 2007. "Effective Date" means March 27, 2007. "Eligible 8idders" are (~ any institutions, which may include affiliates of the Initial Purchaser, the "Eligible Bidders" are (i) any institutions, which may include affiliates of the Initial Purchaser, the Collateral Manager and Holders of the Notes and the Income Notes, whose short-term unsecured debt Collateral Manager and Holders of the Notes and the Income Notes, whose short-term unsecured debt obligations have a rating of at least "P-1" by Moody's or "A-1+" by S&P and (ii) the Collateral Manager. obligations have a rating of at least "P-1" by Moody's or "A-1+" by S&P and (ii)the Collateral Manager. "Eligible Depositary" shall be a financial institution organized under the laws of the United States "Eligible Depositary" shall be a financial institution organized under the laws of the United States or any state thereof, authorized to accept deposits, having a combined capital and surplus of at least or any state thereof, authorized to accept deposits, having a combined capital and surplus of at least U.S.$200,000,OOO, and having (or if its obligations are guaranteed by its parent company, its parent U.S.$200,000,000, and having (or if its obligations are guaranteed by its parent company, its parent having), a long term debt rating of at least "8aa1" by Moody's (and if rated "8aa1", such rating is not on having), a long term debt rating of at least "Baal" by Moody's (and if rated "Baal", such rating is not on watch for downgrade) and "888+" by S&P and a short term debt rating of "P-1" by Moody's (and not on watch for downgrade) and "BBB+" by S&P and a short term debt rating of "P-1" by Moody's (and not on watch for downgrade) and at least "A-1" S&P. watch for downgrade) and at least "A-1" by S&P. "Eligible Guarantee" means an unconditional and irrevocable guarantee that is provided by a "Eligible Guarantee" means an unconditional and irrevocable guarantee that is provided by a guarantor as principal debtor rather than surety and is directly enforceable by the Issuer, where either (A) is directly enforceable by the where either (A) guarantor as principal debtor rather than surety a law firm has given confirming that none the guarantor's payments to Issuer under a law firm has given a legal opinion confirming that none of the guarantor's payments to Issuer under such guarantee be subject to withholding or (B) guarantee that, in the event that such guarantee will be subject to withholding for tax or (B) such guarantee provides that, in the event that Issuer are withholding guarantor is required any of such guarantor's payments any of such guarantor's payments to Issuer are subject to withholding for Tax, such guarantor is required to pay such additional amount as is necessary to ensure that the net amount actually received by Issuer pay such additional amount as is necessary ensure that amount actually received by Issuer to have received has no such Issuer (free and clear of any (free and clear of any withholding tax) will equal the full amount Issuer would have received has no such withholding been required. required. withholding been "Eligible Investment" means any U.S. Dollar-denominated investment that, at the time it is Dollar-denominated investment that, at the time it is "Eligible Investment" delivered to the Trustee, is one or more of the following obligations or securities (including security is more security? delivered of, and Registered. obligations fully (i) with entitlements with respect thereto): (i) direct Registered obligations of, and Registered. obligations fully the United States the obligations of guaranteed by, the guaranteed by, the United States or any agency or instrumentality of the United States the obligations of States; (ii) demand and time deposits which are expressly backed by the full faith and credit of the United States; (ii) demand and time deposits which are expressly any depository institution or trust in, certificates of deposit of. or banker's acceptances issued by, any depository institution or trust in, certificates of deposit of, thereof, which depository institution or trust company incorporated in the United States or any state thereof, which depository institution or trust United company incorporated in state authorities, with a maturity not in company is subject to supervision and examination by federal or state authorities, with a maturity not in examination company is subject least "AA-", as applicable, a excess of 183 days; and with a credit rating by S&P of at least "A-1+" or at least "AA-" , as applicable, a "A-I+" at rating a excess of 183 days; and "Aa3" (and if rated "Aa3", not on watch for credit rating by Moody's of at least "P-1" or at least "Aa3" (and if rated "Aa3" , not on watch for at least "P-1" credit rating by Moody's downgrade), as applicable, in the case of a maturity in excess of 30 days, or a credit rating by S&P cif at case of a maturity in excess 30 days, or a credit rating by S&P of at downgrade), as applicable, in least "A-1" and a credit rating by Moody's of at least "P-1" (and not on watch for downgrade) in the case at least "P-I" (and not on watch for downgrade) in the case by and a credit least "A-I" with respect to (a) any security described in of a maturity of less than 30 days; (iii) repurchase obligations with respect to (a) any security described in (iii) repurchase 30 of a maturity of less or instrumentality of the clause (i) above or (b) any other security issued or guaranteed by an agency or instrumentality of the or guaranteed by security clause (i) above or (b)any United States, entered into with a depository institution or trust company described in clause (ii) above or with a depository institution or trust company described in clause (ii)above or United States, entered into entered into with a corporation whose long-term senior unsecured rating is at least "A1" (and if rated "A1", entered into with a corporation whose long-term senior unsecured rating is at least "Al"(and if rated "Al", not on watch for downgrade) by Moody's and "A+" by S&P and whose short-term credit rating is "P-1" not on watch for downgrade) by Moody's and "A+" by S&P and whose short-term credit rating is "P-1" (and not on watch for downgrade) by Moody's and "A-1" by S&P at the time of such investment. with a (and not on watch for downgrade) by Moody's and "A-I" by S&P at the time of such investment, with a term not in excess of 91 days; (iv) Registered debt securities bearing interest or sold at a discount issued term not in excess of 91 days; (iv) Registered debt securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States or any state thereof that have a credit by any corporation incorporated under the laws of the United States or any state thereof that have a credit rating of at least "Aa3" (and if rated "Aa3", not on watch for downgrade) or "P-1" (and not on watch for rating of at least "Aa3" (and if rated "Aa3", not on watch for downgrade) or "P-i" (and not on watch for downgrade) by Moody's and "A+" or "A-1" by S&P; (v) commercial paper or other short-term obligations of downgrade) by Moody's and "A+" or "A-i"by S&P; (v)commercial paper or other short-term obligations of a corporation, partnership, limited liability company or trust, or any branch or agency thereof located in the a corporation, partnership, limited liability company or trust, or any branch or agency thereof located in the United States or any of its territories, such commercial paper or other short-term obligations having a United States or any of its territories, such commercial paper or other short-term obligations having a credit rating of "P-1" (and not on watch for downgrade) by Moody's and "A-1" by S&P, and that are credit rating of "P-1" (and not on watch for downgrade) by Moody's and "A-i" by S&P, and that are Registered and either are interest bearing or are sold at a discount from the face amount thereof and Registered and either are interest bearing or are sold at a discount from the face amount thereof and A-8 A-8 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825520 GS MBS-E-02182SS20 Footnote Exhibits - Page 5610 have maturity of not more than 91 days from their date issuance; and (vI)offshore money market money market have aa maturity of not more than 91days from their date ofof issuance; and(vi) offshore "AAAm-G" by funds which have a credit rating of not less than ~'AaalMR1+" by Moody's and "AAAm" or "AAAm-G" by have a credit rating of not less than "Aaa/MRI+" by Moody's and "AAAm" or shall be an funds which (vi) S&P, provided however, that each rating in clauses (iii) through above by Moody's or S&P shall be an S&P, provided however, that each rating in clauses (iii) through (vi) above by Moody's or S&Pshort-term Actual Rating and provided further, that any such investment purchased on the basis of S&P's short-term that any such investment purchased on the basis of S&P's Actual Rating and provided further, and may not, rating "A-I" shall mature no later than 30 days after the date of purchase andmay not, other than rating ofof "A-1"shall mature no later than 30 days after the date of purchase New York is theother than Trustee ovemightinvestments from The Bank of New York (so long as The Bank of New York is theTrustee investments from The Bank of New York (so long as The Bank of ovemight underthe Indenture), exceed 20% of the Aggregate Outstanding Amount of the Notes rated by S&P. the Indenture), exceed 20% of the Aggregate Outstanding Amount of the Notes rated by S&P. under Eligible Investments shallnot include any RMBS, CMBS, any inverse floater, any security subject to not include any RMBS, CMBS, any inverse floater, any security subject to Eligible Investments shall by the Issuer, any securitysubject to an offer, any interest only security, any tax owned withholdingtax ifif ownedby the Issuer, any security subject to an offer, any interest only security, any withholding or commercial paper), any security with price in excess principal only security (other than treasury billsor commercial paper), any security with aaprice in excess security principal onlypar or any(other than treasury bills of which is dependenton substantial non-credit related risk of 100%of par or any security the repayment of which is dependent on substantial non-credit related risk of security the repayment of 100% as determined by the Collateral Manager or any security the acquisition (including the manner of as determined by the Collateral Manager or any security the acquisition (including the manner of acquisition), ownership or disposition of which would cause theIssuer to be treated as engaged in a trade Issuer to be treated as engaged in a trade acquisition), ownership or disposition of which would cause the income tax purposes. Each such Eligible or businesswithin the United States for United States federal income tax purposes. Each such Eligible within the United States for United States federal or business Investment shall mature no later than the second Business Day immediatelypreceding the Payment Date Investment shall mature no later than the second Business Day immediately preceding the Payment Date next following the Due Period in which the date of investment occurs, unless such Eligible Investment is next following the Due Period in which the date of investment occurs, unless such Eligible Investment is issued by the institution acting as Securities Intermediary, in which event such Eligible Investment may issued by the institution acting as Securities Intermediary, in which event such Eligible Investment may mature on the Business Day preceding such Payment Date. Eligible Investments may include those those mature on the Business Day preceding such Payment Date. Eligible Investments may includeor the investmentswith respect to which the Securities Intermediary, the Trustee, the Collateral Manager or the with respect to which the Securities Intermediary, the Trustee, the Collateral Manager investments Initial Purchaser or an affiliate of the Trustee, the Collateral Manager or the Initial Purchaser provides Initial Purchaser or an affiliate of the Trustee, the Collateral Manager orthe Initial Purchaser provides services. As used in this definition, ratings may not include ratings with an "r", "p", "q", "pr' or 't' services. As used in this definition, ratings may not include ratings with an "(', "p", "q", "pr'. or "f' subscript. subscript. Ratings or "Eligible Replacement" means an entity (I) (A) with the Moody's First Trigger Required Ratings or "Eligible Replacement" means an entity (1)(A)with the Moody's First Trigger Requiredan Eligible (8) whose present and future obligations owing to Issuer are guaranteed pursuant to an Eligible future obligations owing to Issuer are guaranteed pursuant to (B) whose present and a guarantor Moody's First Trigger Required Ratings, subject to Guarantee provided by Guarantee provided by a guarantor with the Moody's First Trigger Required Ratings, subject to satisfaction of the Rating Agency Condition and (II) that is either a Qualified Purchaser or a person that is satisfaction of the Rating Agency Condition and (II)that is either a Qualified Purchaser or a person that is not a "U.S. Person" as defined in Regulation S under the Securities Act of 1933. Act of 1933. not a "U.S. Person" as defined in Regulation S under the in connection with a Credit Event in "Exercise Amounf' means the "Exercise Amount" means the amount determined in connection with a Credit Event in accordance with the related Synthetic Security. accordance with the related Synthetic Security. "Expected Fixed Amount" has the meaning set forth in the Master Confirmation. in the Master Confirmation. "Expected Fixed Amount" has the meaning set Payment Date, the "Expected Interest Amount" means with respect to any Reference Obligation Payment Date, the "Expected Interest Amount" means with respect related Reference Obligation Calculation Penod Reference amount of current interest that would accrue during the related Reference Obligation Calculation Period the amount of current interest that would accrue balance of the Reference Obligation calculated using the Reference Obligation Coupon on a principal balance of the Reference Obligation calculated using the Reference Obligation Coupon on a principal equal to the outstanding principal amount taking into account any reductions due to a principal deficiency reductions due to a principal deficiency account any equal to the outstanding principal amount taking into in the underlying instruments) that are attributable to balance or realized loss amount (however described in the underlying instruments) that are attributable to balance or realized loss amount (however described Obligation Payment Date the Reference Obligation, and that will be payable on the related Reference Obligation Payment Date the Reference Obligation, and that will be payable on the related Reference assuming for this purpose that sufficient funds are available therefor in accordance with. the underlying available therefor in accordance with the underlying assuming for this purpose that sufficient funds are instruments, calculated in accordance with the related Synthetic Security. instruments, calculated in accordance with the related Synthetic Security. Amortization Date or the legal final "Expected Principal Amount" means, with respect to the Final Amortization Date or the legal final "Expected Principal Amount" means, with respect to the Final to (i) the Outstanding Principal maturity date of the related Reference Obligation, an amount equal to (i) the Outstanding Principal an amount equal maturity date of the related Reference Obligation, assuming for Amount of the Reference Obligation payable on such day (excluding capitalized interest) assuming for Amount of the Reference Obligation payable on such day (excluding capitalized interest)be determined this purpose that sufficient funds are available for such payment, where such amount shall be determined payment, where such amount shall this purpose that sufficient funds are available for such "Aggregate Implied of (A). in accordance with the underlying instruments, minus (ii) the sum of (A). the "Aggregate Implied in accordance with the underlying instruments, minus (ii) the sum Security) the any) and (B) the net (if Writedown Amount" (as such term is defined in the related Synthetic Security) (if any) and (B) the net (as such term is defined in the related Synthetic Writedown Amount" aggregate principal deficiency balance or realized loss amounts (however described in the underlying described in the underlying aggregate principal deficiency balance or realized loss amounts (however instruments) that are attributable to the Reference Obligation. For purposes hereof, the Expected to the Reference Obligation. For purposes hereof, the Expected instruments) that are attributable Principal Amount shall be determined without regard to the effect of any provisions (however described) of any provisions (however described) Principal Amount shall be determined without regard to the effect payments or distributions of funds in of the underlying instruments that permit the limitation of due payments or distributions of funds in the limitation of due of the underlying instruments that permit for the extinguishing or reduction accordance with the terms of such Reference Obligation or that provide for the extinguishing or reduction accordance with the terms of such Reference Obligation or that provide of such payments or distributions. of such payments or distributions. A-9 A-9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825521 GS MBS-E-021825521 Footnote Exhibits - Page 5611 of an Synthetic Pay respect "Failure to Pay Interest" means, with respect to any Synthetic Security, the occurrence of an of Shortfall Amounts (calculated a cumulative basis) in Interest Shortfall Amount or Interest Shortfall Amounts (calculated on a cumulative basis) in excess of the Interest Amount relevant relevant Payment Requirement. "Final Amortization Date" means the first to occur of (i) the date on which the Reference (i) Obligation Notional Amount is reduced to zero (ii) date on Obligation Notional Amount is reduced to zero and (ii) the date on which the assets securing the Reference Obligation are due in respect of Reference Obligation or designated to fund amounts due in respect of the Reference Obligation are proceeds thereof are disposed of in liquidated, distributed or liquidated, distributed or otherwise disposed of in full and the proceeds thereof are distributed or otherwise otherwise disposed of in full. in "Final Payment Date" means a Payment Date with respect to an Optional Redemption by by a. with respect to Liquidation, a Payment Date in connection with the Liquidation, a Payment Date in connection with the Stated Maturity (other than with respect to the Class S S to an Event of Notes), Redemption, an or Notes), Tax Redemption, an Auction or redemption due to an Event of Default resulting in acceleration of in the Notes and liquidation of the Collateral in full. the Notes and liquidation the in full. in a "Fixed Rate" means the relevant fixed rate (expressed on a per annum basis) set forth in the in Confirmation. Master Confirmation, subject to adjustment in accordance with the Master Confirmation. forth in the Credit Calculation "Fixed "Fixed Rate Payer Calculation Period" has the meaning set forth in the Credit Derivatives Definitions. Business Days after a Payer Payment Date" each "Fixed "Fixed Rate Payer Payment Date" means each day falling five Business Days after a Reference Rate Payer Payment Date shall fall on Date; provided, Obligation Payment Date; provided, however, that the final Fixed Rate Payer Payment Date shall fall on Date set forth in Master Confirmation). the fifth Business Day following the Effective Maturity Date (as set forth in the Master Confirmation). the Day the to the any Synthetic Security, an amount of "Floating Amounts" "Floating Amounts" means with respect to any Synthetic Security, an amount equal to the sum of (c) the Principal relevant Amount any), (b) (a) the relevant Writedown Amount (if any), (b) the relevant Principal Shortfall Amount (if any), (c) the (a) Amount relevant Interest Shortfall Payment Amount (if any) and (d) the relevant Physical Settlement Amount (if Payment Amount any) and (d)the relevant Physical Settlement any). occurrence of a Synthetic "Floating Amount Event" means with respect to any Synthetic Security, the occurrence of a Amount (as each such Pay Principal or an Interest is in the related a Failure Writedown, a Failure to Pay Principal or an Interest Shortfall (as each such term is defined in the related respect Reference Synthetic Security) with respect to the Reference Obligation thereunder. "Floating "Floating Amount Payment" means payment of a Floating Amount. Payment" means payment of a Floating Amount. "Floating Rate Payer Payment Date" means, in relation to a Floating Amount Event, the first a Floating in "Floating Business Days (or, in of Floating Amount Date at least Rate Payer Fixed Rate Payer Payment Date falling at least two Business Days (or, in the case of a Floating Amount Maturity Date (as on the Event that occurs on the Legal Final Maturity Date (as set forth in the Master Confirmation) or the Final in Confirmation) to the Business Day) after delivery of a notice Amortization Date, the fifth Business Day) after delivery of a notice by the Calculation Agent to the parties Date, related the Synthetic Security Counterparty that or a notice by Goldman Sachs Intemational to the Synthetic Security Counterparty that the related a notice by Goldman Sachs Intemational Floating Amount is due and showing in reasonable detail how such Floating Amount was determined; Amount is in Amount a provided, however, that in the case of a Floating Amount Event that occurs on the Legal Final Maturity however, in fifth Business Day must be given on or prior to the Amortization such Date or the Final Amortization Date, such notice must be given on or prior to the fifth Business Day following the Legal Final Maturity Date or the Final Amortization Date, as applicable. Amortization is in "Noteholder" "Holder" or "Noteholder" means, with respect to any Note the person in whose name such Note is determinations registered, or, for purposes of voting, the granting of consents and other similar determinations under the with respect to a beneficial owner Indenture, respect to any Notes in Indenture, with respect to any Notes in global form, a beneficial owner thereof and, with respect to any in of Income Note, the person in whose name such Income Note is registered in the income note register of in is the Issuer. . . "Implied a a "Implied Rating" means, in the case of a rating on a Collateral Asset, a rating that is determined in a is by reference to any publicly available, fully monitored rating by another rating agency that, by its terms, reference publicly available, fully monitored rating by rating agency that, by its terms, addresses the full scope of the payment promise of the obligor. As used in this definition, ratings may not in include ratings with a "p", "pi", "q", "r" or "t" subscript or any other qualifiers. with a "pi", "q", "r" or ''1'' subscript or other A-10 A-10 Confidential Treatment Requested by Goldman Sachs Treatment GS MBS-E-02182SS22 MBS-E-021825522 Footnote Exhibits - Page 5612 "Implied Writedown Amounf' means (a) the Underlying Instruments relating to the Reference "Implied Writedown Amount" means (a) ififthe Underlying Instruments relating to the Reference Obligation do not provide for writedowns, applied losses, principal deficiencies or realized losses as Obligation do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in clause 0) of the definition of "Writedown" above in respect of the Reference Obligation, on described in clause (i) of the definition of 'Writedown" above in respect of the Reference Obligation, on anyReference Obligation Payment Date, an amount determined by the Synthetic Security Counterparty any Reference Obligation Payment Date, an amount determined by the Synthetic Security Counterparty in its capacity as calculation agent and equal to the excess, if any, of the Implied Writedown Amount for in its capacity as calculation agent and equal to the excess, ifany, of the Implied Writedown Amount for the interest accrual period relating to the current Reference Obligation Payment Date over the Implied the interest accrual period relating to the current Reference Obligation Payment Date over the Implied Writedown Amount for the immediately preceding interest accrual period and (b) in any other case, zero. Writedown Amount for the immediately preceding interest accrual period and (b)in any other case, zero. Notes Notes. . "Income Note Registrar" means The Bank of New York, as income note registrar for the Income "Income Note Registrar' means The Bank of New York, as income note registrar for the Income ."Interest Proceeds" means, in respect of any Payment Date, all investment income received on "Interest Proceeds" means, in respect of any Payment Date, all investment income received on the Collateral Assets and Eligible Investments that are on deposit in the Collateral Account and the Fixed the Collateral Assets and Eligible Investments that are on deposit in the Collateral Account and the Fixed Amounts received from the Synthetic Security Counterparty under the Synthetic Securities in the related Amounts received from the Synthetic Security Counterparty under the Synthetic Securities in the related Due Period. Due Period. "Interest Shortfall" means with respect to any Reference Obligation Payment Date and any "Interest Shortfall" means with respect to any Reference Obligation Payment Date and any Reference Obligation, either (a)the nonpayment of an Expected Interest Amount or (b)the payment of an Reference Obligation, either (a) the nonpayment of an Expected Interest Amount or (b) the payment of an Actual Interest Amount that is less than the Expected Interest Amount, as described in the related Actual Interest Amount that is less than the Expected Interest Amount, as described in the related Synthetic Security. Synthetic Security. "Interest Shortfall Amounf' means with respect to any Reference Obligation Payment Date, an "Interest Shortfall Amount" means with respect to any Reference Obligation Payment Date, an amount equal to the greater of: (a)zero; and (b)the amount equal to the product of: (i)(A) the Expected amount equal to the greater ot (a) zero; and (b) the amount equal to the product of: (i) (A) the Expected Interest Amount; minus (B) the Interest Amount; and (ii) the Interest Amount; minus (B)the Actual Interest Amount; and (ii)the Applicable Percentage. Interest as set forth in the related "Interest Shortfall Cap" means the "Interest Shortfall Cap" means the cap, if any, on Interest Shortfalls as set forth in the related Master Confirmation. Confirmation. Master "Interest Shortfall means amount Interest Shortfall Cap as set forth in the "Interest Shortfall Cap Amount" means the amount of any Interest Shortfall Cap as set forth in the related Master Confirmation.. Master Confirmation related an Interest Shortfall, the relevant "Interest Shortfall Payment in "Interest Shortfall Payment Amount" means in respect of an Interest Shortfall, the relevant Interest Cap is applicable and the. Interest Shortfall Amount; provided, however, that if the Interest Shortfall Cap is applicable and the. if Interest Shortfall Amount; provided, Interest Shortfall Payment Interest Shortfall Amount exceeds the Interest Shortfall Cap Amount, the Interest Shortfall Payment Amount,. Interest Shortfall Amount exceeds the Cap Amount. Amount in respect of such Interes.t Shortfall shall be the Interest Shortfall Cap Amount. Interest in respect of such Interest Amount Reference Obligation Payment ?"Interest Shortfall Reimbursement" means with respect to any Reference Obligation Paymeht "Interest Shortfall Reimbursement" Date, the payment by or on behalf of the Reference Entity of an Actual Interest Amount in respect of the Entity of an Actual Interest Amount in respect of the Date, the payment by or on behalf Reference Obligation that is greater than the Expected Interest Amount. Interest Amount. Reference Obligation that is greater "Interest Shortfall Reimbursement Payment" means with respect to any Reference Obligation "Interest Shortfall Reimbursement Payment" means with respect to any Reference Obligation Payment Date, the product of (a) the amount of any Interest Shortfall Reimbursement on such day and (b) Payment Date, the product of (a)the amount of any Interest Shortfall Reimbursement on such day and (b) the Applicable Percentage. the Applicable Percentage. "Interest Shortfall Reimbursement Payment Amount" means (a) if Interest Shortfall Cap is not "Interest Shortfall Reimbursement Payment Amount" means (a) if Interest Shortfall Cap is not applicable, the relevant Interest Shortfall Reimbursement Amount, and (b) if Interest Shortfall Cap is applicable, the relevant Interest Shortfall Reimbursement Amount, and (b) if Interest Shortfall Cap is applicable, the amount determined pursuant to the related Synthetic Security; provided, in either case, applicable, the amount determined pursuant to the related Synthetic Security; provided, in either case, that the aggregate of all Interest Shortfall Reimbursement Payment Amounts (determined for this purpose that the aggregate of all Interest Shortfall Reimbursement Payment Amounts (determined for this purpose on the basis that "Interest Shortfall Compounding" is not applicable) at any time shall not exceed the on the basis that "Interest Shortfall Compounding" is not applicable) at any time shall not exceed the aggregate of Interest Shortfall Payment Amounts paid by the Issuer in respect of Interest Shortfalls aggregate of Interest Shortfall Payment Amounts paid by the Issuer in respect of Interest Shortfalls occurring prior to the date of payment of any such Additional Fixed Amount. occurring prior to the date of payment of any such Additional Fixed Amount. "Interest Shortfall Reserve Amounf' has the meaning set forth in the Master Confirmation. "Interest Shortfall Reserve Amount" has the meaning set forth in the Master Confirmation. "Issue" of aaCollateral Asset means any such Collateral Asset issued by the same issuer, having "Issue" of Collateral Asset means any such Collateral Asset issued by the same issuer, having the same terms and conditions (as to, among other things, coupon, maturity, security and subordination) the same terms and conditions (as to, among other things, coupon, maturity, security and subordination) and otherwise being fungible with one another. and otherwise being fungible with one another. A?11 A-11 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825523 GS MBS-E-021825523 Footnote Exhibits - Page 5613 "Liquidation Proceeds" means, without duplication, (i) all Sale Proceeds from Collateral Assets (i) and Default Swap Collateral sold in connection with such redemption minus any termination payments such redemption any termination and Default Swap Collateral sold in (other than Defaulted Synthetic Security Termination Payments) due to the Synthetic Security Security Termination (other than Defaulted Counterparty or payments due to any assignee of a Synthetic Security from the Default Swap Collateral to assignee a Synthetic Security from Counterparty Account in connection the Account in connection with the termination or assignment of the 'Synthetic Securities, (ii) the aggregate (ii) Synthetic amount received by the Issuer net of any amount required to be paid by the Issuer on or prior to the by the net of any amount to be paid or prior Business Day immediately preceding. the relevant Payment Date from the termination of any Cashflow Day immediately preceding.the Payment Date termination Cashflow Swap Agreement in connection with such redemption, and (iii) cash and Eligible Investments on deposit Agreement in in the Accounts, to the extent available therefor, including any amounts designated by the Collateral including designated by Collateral in the Accounts, to the extent available Manager as retained for reinvestment in Eligible Investments (and also including any payments received for reinvestment in Eligible Investments including Manager as under any Cashflow Swap Agreement on or prior to the day preceding the Payment Date, but only to the extent that such payments are required to be paid as a result of an Optional Redemption by Liquidation or such payments are required to be paid as a result or Tax Redemption of Notes), in Tax Redemption of Notes), in each case as determined by the Collateral Manager. "Majority" means (a) with any Class Notes, the of "Majority" means (a) with respect to any Class or Classes of Notes, the Holders of more than 50% of the Aggregate Outstanding Amount of such Class or Classes of Notes and (b) with respect to the Aggregate of such Class or and (b)with respect to the Income Notes, the principal Income Notes, the Holders of more than 50% of the notional principal amount of Income Notes. more 50% "Market Value" "Market Value" means, with respect to the Collateral Assets and/or Eligible Investments, (i) the (i) average of three bona fide bids for such Collateral Asset or Eligible Investment obtained by the Collateral Investment by the average of three bona fide bids for Manager such from any nationally Manager at such time from any three nationally recognized dealers, which dealers are independent from one another and from the Collateral Manager, or (ii) if the Collateral Manager is unable to obtain three and from Manager, (ii) the Manager such the of two fide bids such bids, the lesser of two bona fide bids for such Collateral Asset or Eligible- Investment obtained by the Eligible-Investment Collateral Manager at such time from any two nationally recognized dealers acceptable to the Collateral from any recognized acceptable to Manager Manager, dealers are independent from one from Manager, which dealers are independent from one another and from the Collateral Manager, or (iii) in the in event to obtain such the price on such to the event the Collateral Manager is unable to obtain two such bids, the price on such date provided to the Manager is Collateral Manager by an independent pricing Collateral Manager by an independent pricing service reasonably selected by the Collateral Manager, or or (iv) in event Collateral Manager in (iv) in the event the Collateral Manager cannot in good faith determine the market value of such Collateral Asset or Eligible Investment using commercially reasonable efforts to apply the methods specified in or Eligible Investment commercially apply the methods in clauses (i) (iii) above, as determined in clauses (i) through (iii) above, as determined in good faith by the Collateral Manager using commercially reasonable efforts to apply its reasonable business judgment. If the method of determining Market Value business judgment. If method is based solely on Managers determination, Market Value not is based solely on the Collateral Manager's determination, such Market Value shall not exceed the S&P S&P Recovery Rate, multiplied RecoveryRate, multiplied by the Principal Balance of the Collateral Asset and/or Eligible Investment, and shall be considered zero after 30 days or until such time the obtains a for shall be considered zero after 30 days or until such time as the Collateral Manager obtains a bid for such Collateral or investment. For purposes of (II)(a)(y) of the Calculation Collateral Asset or Eligible investment. For purposes of clause (lI)(a)(y) of the definition of Calculation Amount, "Market Value" means the sum of (i) the notional amount of any such Synthetic Security and (ii) "Market means the sum (i) (ii) the "Market Value" represents a payment or up-front payment in a the "Market Value" (which represents a trading termination payment or up-front payment in respect of a termination or assignment of such Security and amount, if by in termination or assignment of such Synthetic Security and which amount, if payable by the Issuer in respect of such termination or assignment, will be a negative number) of such Synthetic Security of such a otherwise determined pursuant to this otherwise determined pursuant to this definition of Market Value. "Minimum Bid Amount" is an amount equal to the sum of (a) the Redemption Price with respect to "Minimum is (a) the Auction Payment Date, (b) the Auction Payment Date, (b) any amount payable by the Issuer to the Cashflow Swap Counterparty Cashflow Counterparty upon I,lpon termination of the Cashflow Swap Agreement less any amounts payable by the Cashflow Swap . by the Cashflowi Swap Counterparty to the Issuer upon termination of the Counterparty to the Issuer upon the termination of the Cashflow Swap Agreement, (c) unpaid Defaulted Synthetic Termination. Synthetic Security Termination. Payments, (d) accrued and unpaid Collateral Management Fees, (e) Management (e) (d) accrued unpaid Deferred Structuring accrued and unpaid Deferred Structuring Expenses and (f) 101% of all unpaid expenses of the Issuer, (f) 101% less amounts on deposit in the Accounts which are redeem Notes pay amounts less amounts on deposit in the Accounts which are available to redeem the Notes or pay amounts provided in clauses (b) through (e) above would not include amounts in Default provided in clauses (b) through (e) above which would not include amounts on deposit in the Default Swap Collateral due to the Synthetic Security Counterparty or any a Swap Collateral Account due to the Synthetic Security Counterparty or any assignee of a Synthetic Security including termination payments (other than Defaulted Synthetic Security Termination Payments). Defaulted Synthetic Security Termination Security including termination payments (other "Moody's First Rating Trigger Requirements" shall apply so long as no relevant entity has the apply long as relevant has "Moody's First Rating Trigger Requirements" Moody's First Trigger Required ratings. Moody's A-12 A-12 Confidential Treatment Requested by Goldman Sachs GS MBS-E-02182SS24 MBS-E-021825524 Footnote Exhibits - Page 5614 "Moody's First Trigger Required Ratings" shall apply to an entity if such entity has a long-term, "Moody's First Trigger Required Ratings" shall apply to an entity if such entity has a long-term, unsecured and unsubordinated debt or counterparty obligation rating of "Aa3" (and not on watch for unsecured and unsubordinated debt or counterparty obligation rating of "Aa3" {and not on watch for downgrade} or above by Moody's. downgrade) or above by Moody's. "Moody's "Idealized" Cumulative Expected Loss Rate" as defined in Schedule G to the Indenture. "Moody's "Idealized" Cumulative Expected Loss Rate" as defined in Schedule G to the Indenture. "Moody's Rating" means the rating determined in accordance with the methodology described in "Moody's Rating" means the rating determined in accordance with the methodology described in the Indenture. Indenture. the "Moody's Recovery Rate" means, with respect to a Collateral Asset {or in the case of a Synthetic "Moody's Recovery Rate" means, with respect to a Collateral Asset (or in the case of a Synthetic Security, the related Reference Obligation}, an amount equal to the percentage for such Collateral Asset Security, the related Reference Obligation), an amount equal to the percentage for such Collateral Asset set forth in the recovery rate assumptions for Moody's attached as Part of Schedule 0 to the Indenture; set forth in the recovery rate assumptions for Moody's attached as Part II of Schedule D to the Indenture; provided, however, that (A)Defaulted Obligations which exceed 2.5% of the Aggregate Principal Amount provided, however, that (A) Defaulted Obligations which exceed 2.5% of the Aggregate Principal Amount and have been defaulted for more than one year will be deemed to have a Moody's Recovery Rate of 0%, and have been defaulted for more than one year will be deemed to have a Moody's Recovery Rate of 0%, {B} Defaulted Obligations which exceed 1.00% of the Aggregate Principal Amount and have been (B) Defaulted Obligations which exceed 1.00% of the Aggregate Principal Amount and have been defaulted for more than 2 years shall be deemed to have a Moody's Recovery Rate of 0%; and (C) defaulted for more than 2 years shall be deemed to have a Moody's Recovery Rate of 0%; and (C) Defaulted Obligations which have been defaulted for more than 3 years shall be deemed to have a Defaulted Obligations which have been defaulted for more than 3 years shall be deemed to have a Moody's Recovery Rate of 0%. Moody's Recovery Rate of 0%. "Moody's Second Rating Trigger Requirements" means a requirement that shall apply so long as "Moody's Second Rating Trigger Requirements" means a requirement that shall apply so long as no Relevant Entity has the Moody's Second Trigger Required Ratings. Relevant Entity has the Moody's Second Trigger Required Ratings. no "Moody's Second Trigger Required means an entity shall have the Moody's Second "Moody's Second Trigger Required Ratings" means an entity shall have the Moody's Second Trigger Required Ratings such entity has a long-term, unsecured and unsubordinated debt or Trigger Required Ratings if such an entity has a long-term, unsecured and unsubordinated debt or counterparty obligation rating of "A2" (and not on watch downgrade) or above Moody's; the counterparty obligation rating of "A2" (and not on watch for downgrade) or above by Moody's; the "Moody's Second Trigger Requirements" shall apply so long as no Relevant Entity has the "Moody's Second Rating Trigger Requirements" shall apply so long as no Relevant Entity has the Moody's Second Trigger Moody's Second Trigger Required Ratings. "Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, an amount "Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, an amount equal to (i) the Determination Date of all Collateral Assets, plus (ii) equal to (i) the aggregate Principal Balance on such Determination Date of all Collateral Assets, plus (ii) held as cash and Eligible Investments the aggregate Principal Balance of all Principal Proceeds held as cash and Eligible Investments Principal Balance the aggregate Principal Balance on such date of purchased with Principal Proceeds, minus? (iii) the aggregate Principal Balance on such date of with Principal Proceeds, minus purchased Interest PlK Bonds, (B) determination of all Collateral Assets that are (A)Defaulted Obligations, (B) Deferred Interest PIK Bonds, (A) Defaulted determination of all Collateral Assets (C) Double B Rated Assets, (D) Single B Rated Assets and (E) Triple C Rated Assets, plus {iv} the Assets, (D) (E) Triple C Rated Assets, plus (iv) the B (C) Double B Rated Deferred Interest PIK Bonds, the Double B Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Bonds, the Double B Aggregate Calculation Amount Calculation Amount, the? Single B Calculation Amount and the Triple C Calculation Amount, minus (v) C Calculation Amount, minus (v) Calculation Amount, the Single B Calculation than a Defaulted Obligation, 25% of the projected Principal Balance of each Collateral Asset other than a Defaulted Obligation, of the projected Principal Balance 25% Deferred Interest PIK Bond, Double B Rated Asset, Single B Rated Asset or Triple C Rated Asset that is Double B Rated Asset, Single B Rated Asset or Triple C Rated Asset that is Deferred Interest PIK expected to be paid after the Stated Maturity of the Class B Notes. Class B Notes. Maturity of expected to be paid after the "Outstanding Principal Amount" means, as of any date of determination with respect to the of any date of determination with respect to the "Outstanding Principal Amount" Reference Obligation, the outstanding principal balance of the Reference Obligation as of such date, Reference Obligation, the outstanding principal balance of the Reference Obligation as of such date, which shall take into account: which shall take into account {i} (i) all payments of principal; all payments of principal; (ii) all writedowns or applied losses {however described in the underlying instruments (as set all writedowns or applied losses (however described in the underlying instruments (as set (ii) forth in the Master Confirmation>> resulting in a reduction in the outstanding principal balance of the forth in the Master Confirmation)) resulting in a reduction in the outstanding principal balance of the Reference Obligation (other than as a result of a scheduled or unscheduled payment of principal); Reference Obligation (other than as a result of a scheduled or unscheduled payment of principal); {iii} forgiveness of any amount by the holders of the Reference Obligation pursuant to an forgiveness of any amount by the holders of the Reference Obligation pursuant to an (iii) amendment to the underlying instruments resulting in a reduction in the outstanding principal balance of amendment to the underlying instruments resulting in a reduction in the outstanding principal balance of the Reference Obligation; the Reference Obligation; (iv) any payments reducing the amount of any reductions described in (ii) and (iii) of this (iv) any payments reducing the amount of any reductions described in (ii) and (iii) of this definition; and definition; and A-133 A-1 Corifidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825525 GS MBS-E-021825525 Footnote Exhibits - Page 5615 (v) any increase in the outstanding principal balance of the Reference Obligation that reflects any increase in the outstanding principal balance of the Reference Obligation that reflects (v) a reversal of any prior reductions described in (ii) and (iii) of this definition. a reversal of any prior reductions described in (ii)and (iii) of this definition. For the avoidance of doubt, the Outstanding Principal Amount shall not include any portion of the For the avoidance of doubt, the Outstanding Principal Amount shall not include any portion of the outstanding principal balance of the Reference Obligation that is attributable to the deferral or or outstanding principal balance of the Reference Obligation that is attributable to the deferral the capitalization of interest .during the Term (as set forth in the Credit Derivatives Definitions) of capitalization of interest .during the Term (as set forth in the Credit Derivatives Definitions) of the Component Transaction (as set forth in the Master Confirmation). Component Transaction (as set forth in the Master Confirmation). "Overcollateralization Ratios" means the Class NB Overcollateralization Ratio, the Class A "Overcollateralization Ratios" means the Class A/B Overcollateralization Ratio, the Class A Adjusted Overcollateralization Ratio, the Class B Adjusted Overcollateralization Ratio, the Class C C Adjusted Overcollateralization Ratio, the ClassB Adjusted Overcollateralization Ratio, the Class D Overcollateralization Ratio, the Class C Adjusted Overcollateralization Ratio, the Class Overcollateralization Ratio, the Class C Adjusted Overcollateralization Ratio, the Class D Overcollateralization Ratio and the Class 0 Adjusted Overcollateralization Ratio. Overcollateralization Ratio and the Class D Adjusted Overcollateralization Ratio. "Payment Date" means the third day of every March, June, September and December, or if any "Payment Date" means the third day of every March, June, September and December, or if any such date is not a Business Day, the immediately following Business Day, commencing on September 4, date is not a Business Day, the immediately following Business Day, commencing on September 4, such 2007. 2007. "Payment Requiremenf' means the amount specified as such, in U.S. Dollars, in the related "Payment Requirement" means the amount specified as such, in U.S. Dollars, in the related MasterConfirmation. Master Confirmation. "Physical Settlement Amount" means, following the occurrence of a Credit Event with respect to a "Physical Settlement Amount" means, following the occurrence of a Credit Event with respect to a Reference Obligation, an amount paid by the Issuer to the Synthetic Security Counterparty, calculated in by Issuer to the Security Counterparty, calculated in Reference Obligation, an amount accordance with the related Synthetic Security and paid the Physical Settlement Date, in accordance with the related Synthetic Security and paid on the related Physical Settlement Date, in exchange for the delivery of a Reference Obligation as Deliverable Synthetic Security exchange for the delivery of a Reference Obligation as a Deliverable Obligation by the Synthetic Security Counterparty to the Issuer. Counterparty to the Issuer. in the Master Confirmation. "Physical Settlement Date" meaning "Physical Settlement Date" has the meaning set forth inthe Master Confirmation. deferral of interest does not constitute an "PIK Bond" means a Collateral "PIK Bond" means a Collateral Asset on which the deferral of interest does not constitute an (while any other senior debt of default pursuant event of default pursuant to the terms of the related underlying instruments (while any other senior debt event instruments). obligation is outstanding if so provided by the related indenture or other underlying instruments). obligation is outstanding if so provided Asset or Eligible Investment, as of any "Principal Balance" means, with respect to any Collateral Asset or Eligible Investment, as of any "Principal Balance" means, such Collateral Asset or Eligible Investment; date of determination, the outstanding principal amount of such Collateral Asset or Eligible Investment; date of determination, the outstanding Asset received upon subject to the following exceptions: (i) the Principal Balance of a Collateral Asset received upon a subject to the following exceptions: (i)the Principal Balance Collateral Asset shall be deemed to be the acceptance of an offer to exchange a Collateral Asset for such Collateral Asset shall be deemed to be the acceptance of an offer to exchange a Collateral least of (a)the Moody's Recovery Rate and percentage of the outstanding principal amount equal to the least of (a) the Moody's Recovery Rate and to percentage of the outstanding principal amount time as Proceeds are first received when (b) the S&P Recovery Rate for such Collateral Asset until such time as Proceeds are first received when (b)the S&P Recovery Rate for such Collateral Asset due with respect to such Collateral Asset; (ii) the Principal Balance of each Defaulted Obligation shall be Asset; (ii)the Principal Balance of each Defaulted Obligation shall be due with respect to such Collateral deemed to be zero, except (A) for purposes of the calculation of the Coverage Tests, in which case, the deemed to be zero, except (A)for purposes of the calculation the Coverage Tests, in which case, the amount Principal Balance of Defaulted Obligations shall equal their respective outstanding principal amount Principal Balance of Defaulted Obligations shall equal their respective outstanding principal and the (unless otherwise indicated in such tests), (B) for purposes of calculating any trustee fees and the in such tests), (B)for purposes of calculating any trustee fees (unless otherwise indicated Collateral Management Fee, the Principal Balance of each Defaulted Obligation shall equal the Collateral Management Fee, the Principal Balance of each Defaulted Obligation shall equal the Calculation Amount for such Defaulted Obligations and (C) as otherwise expressly indicated; (iii) the Calculation Amount for such Defaulted Obligations and (C)as otherwise expressly indicated; (iii) the Principal Balance of any cash shall be the amount of such cash; (iv) the Principal Balance of any Principal Balance of any cash shall be the amount of such cash; (iv) the Principal Balance of any Collateral Assets and any Eligible Investments in which the Trustee does not have a perfected security Collateral Assets and any Eligible Investments in which the Trustee does not have a perfected security equity . interest sh~1I be deemed to be zero; (v) the Principal Balance of any Collateral Asset that is an equity interest shall be deemed to be zero; (v) the Principal Balance of any Collateral Asset that is an be the security shall be deemed to be zero; (vi) the Principal Balance of a Synthetic Security shall be the security shall be deemed to be zero; (vi) the Principal Balance of a Synthetic Security shall Reference Obligation Notional Amount of such Synthetic Security minus any Implied Writedown Amounts; Reference Obligation Notional Amount of such Synthetic Security minus any Implied Writedown Amounts; and (vii) the Principal Balance of any Default Swap Collateral shall be deemed to be zero?as long as the and (vii) the Principal Balance of any Default Swap Collateral shall be deemed to be zero-as long as the related Synthetic Security is outstanding. related Synthetic Security is outstanding. "Princip~J Proceeds" means, with respect to any Due Period, the sum (without duplication) of: (i) "Principal Proceeds" means, with respect to any Due Period, the sum (without duplication) of: (i) all payments of principal on the Collateral Assets and Eligible Investments received in cash by the Issuer all payments of principal on the Collateral Assets and Eligible Investments received in cash by the Issuer during such Due Period (including, without duplication, principal payments received on any Default Swap during such Due Period (including, without duplication, principal payments received on any Default Swap Collateral released from the lien of the Synthetic Security Counterparty), prepayments or mandatory Collateral released from the lien of the Synthetic Security Counterparty), prepayments or mandatory A-144 A-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825526 GS MBS-E-021825526 Footnote Exhibits - Page 5616 fund or payments in respect of redemptions, exchange offers, tender offers sinking fund payments, or payments in respect of optional redemptions, exchange offers, tender offers Proceeds other than Principal (other than payments of principal of Eligible Investments acquired (other than payments of principal of Eligible Investments acquired with Proceeds other than Principal par amount of such Defaulted Proceeds) and recoveries and interest on Defaulted up Proceeds) and recoveries and interest on Defaulted Obligations up to the par amount of such Defaulted Obligation; (iO any termination payments received from Synthetic Security Counterparty; (iii) any Obligation; (ii) any termination payments received from a Synthetic Security Counterparty; (iii) any Additional Fixed Amounts (other than Interest Shortfall Reimbursement Payment Amounts in respect of Additional Fixed Amounts (other than Interest Shortfall Reimbursement Payment Amounts in respect of Interest Shortfall Payments Fixed Payments) received from Synthetic Security Interest Shortfall Payments satisfied by offsetting Fixed Payments) received from a Synthetic Security Counterparty; Proceeds by Issuer such Due Period (excluding accrued Counterparty; (iv) Sale Proceeds received by the Issuer during such Due Period (excluding accrued disposed Collateral Assets Eligible Investments); (v) amendment, waiver, late interest on sold interest on sold or disposed Collateral Assets or Eligible Investments); (v) all amendment, waiver, late payment restructuring and and collected during the related Due Period in payment fees, restructuring and other fees and commissions collected during the related Due Period in Defaulted Obligations up to par amount; proceeds resulting from the termination, respect of Defaulted Obligations up to the par amount; (vi) any proceeds resulting from the termination, liquidation of Agreement to extent such proceeds exqeed the replacement and liquidation of any Cashflow Swap Agreement to the extent such proceeds exceed the of entering into Cashflow Agreement received during the. period commencing cost of entering into a replacement Cashflow Swap Agreement received during the. period commencing on the day after the first Payment Date following the commencement of such Due Period (or the Closing day the Payment Date following commencement ClOSing in oHhe Due Period) ending the follo':Ning the Date, in the case of the first Due Period) and ending on and including the first Payment Date following the of in by during Due Period that end of such Due Period; (vii) all payments received in cash by the Issuer during such Due Period that represent prepayment redemption premiums but not in the purchase premium paid represent call, prepayment or redemption premiums but not in excess of the purchase premium paid ProceedS that Principal Proceeds thereon and (viii) any Proceeds other than Interest Proceeds; provided, however, that Principal Proceeds Income Note Payment any shall interest or any shall not include any accrued interest or any funds from the Income Note Payment Account and any Excepted Property. a Pay an amount equal to Shortfall Amount" means, in "Principal Shortfall Amount" means, in respect of a Failure to Pay Principal, an amount equal to Principal Amount (A) greater of: (i) (ii) product the greater of (i) zero; and (ii) the amount equal to the product of: (A) the Expected Principal Amount Percentage; minvs the Actual Principal Amount; (8) the Applicable Percentage; and (C) the Reference Price. For (C) the Reference Price. For (B) minuis Principal Shortfall Amount would be greater than purposes of clause (1) of the preceding sentence, if the Principal Shortfall Amount would be greater than (1) of such Failure to Pay immediately prior to the Reference Obligation Notional Amount immediately prior to the occurrence of such Failure to Pay equal the Reference Obligation Principal, then the Principal Shortfall Amount shall be deemed to be equal to the Reference Obligation Shortfall Amount deemed Notional Amount Notional Amount at such time. payment by or on behalf "Principal Shortfall Reimbursemenf' means, with respect to any day, the payment by or on behalf Shortfall Reimbursement" in or toward the satisfaction Reference in of the Reference Entity of an amount in respect of the Reference Obligation in or toward the satisfaction or more prior occurrences of a Failure to Pay of any deferral of or failure to pay principal arising from one or more prior occurrences of a Failure to Pay Principal. with respect to any day, the product of (i) "Principal Shortfall Reimbursement Payment" means, with respect to any day, the product of (i) Reimbursement the amount of any Principal Shortfall Reimbursement on such day, (ii) the Applicable Percentage and (iii) Reimbursement on such day, (ii)the Applicable Percentage and (iii) the Reference Price. Reference Amount" means, as of any date of determination, "Principal Shortfall Reimbursement Payment Amount" means, as of any date of determination, Reimbursement Reimbursement Amounts in respect of all Principal Shortfall the sum of the Principal Shortfall Reimbursement Amounts in respect of all Principal Shortfall Reference Obligation Calculation Period relating to such date, Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such date, Reimbursement Payment Amounts at any time shall provided that the aggregate of all PrinCipal Shortfall Reimbursement Payment Amounts at any time shall Principal that not exceed the aggregate of all Floating Amounts paid by the Issuer in respect of occurrences of Failure paid by the Issuer in respect of occurrences of Failure Floating to Pay Principal prior to such date. to Period, without duplication, (i) all amounts received "Proceeds" means, with respect to any Due Period, without duplication, (i) all amounts received means, received on any related by the Trustee with respect to the Collateral Assets (excluding principal payments received on any related Collateral Assets (excluding principal Default Swap Collateral on deposit in the Default Swap Collateral Account unless otherwise provided in Default Swap Collateral Account unless otherwise provided in in Collateral on Default the Indenture but including all investment income on Default Swap Collateral), (iO all amounts received as Indenture but including investment income on Default Swap Collateral), (ii) all amounts received as amendment, waiver, late payment fees and commissions collected during the Due Period on Collateral commissions collected during the Due Period on Collateral payment amendment, with respect to Eligible Investments in the Accounts, (iv) any amounts to Assets, (iii) all amounts received with respect to Eligible Investments in the Accounts, (iv) any amounts to (iii) all be released or withdrawn on the related Payment Date from the Expense Reserve Account and (v) all related Payment Date from the Expense Reserve Account and (v)all on be released amounts received under any Cashflow Swap Agreement relating to the Due Period, including Principal amounts received under any Cashflow Swap Agreement relating to the Due Period, including Principal Proceeds. Proceeds. A-15 A-15 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825527 GS MBS-E-02182SS27 Footnote Exhibits - Page 5617 "Quarterly Asset Amount" means, with respect to any Payment Date, the Aggregate Principal "Quarterly Asset Amount" means, with respect to any Payment Date, the Aggregate Principal Amounton the first day of the related Due Period. Amount on the first day of the related Due Period. "Rating Agency Condition" means, with respect to any action taken or to be taken under the "Rating Agency Condition" means, with respect to any action taken or to be taken under the TransactionDocuments, a condition that is satisfied when each Rating Agency has confirmed in writing to Transaction Documents, a condition that is satisfied when each Rating Agency has confirmed in writing to the Issuer and the Collateral Manager that such action will not result in the immediate withdrawal, the Issuer and the Collateral Manager that such action will not result in the immediate withdrawal, reduction or other adverse action with respect to any then-current rating of any Class of Notes or the reduction or other adverse action with respect to any then-current rating of any Class of Notes or the Income Notes. Income Notes. "Redemption Date" means any Tax Redemption Date or Optional Redemption Date. "Redemption Date" means any Tax Redemption Date or Optional Redemption Date. "Redemption Price" is the Class S-1 Note Redemption Price, the Class S-2 Note Redemption "Redemption Price" is the Class S-1 Note Redemption Price, the Class S-2 Note Redemption Price, the Class A-1a Note Redemption Price, the Class A-1b Note Redemption Price, the Class A-1c Price, the Class A-la Note Redemption Price, the Class A-lb Note Redemption Price, the Class A-Ic Note Redemption Price, the Class A-1d Note Redemption Price, the Class A-2 Note Redemption Price, Note Redemption Price, the Class A-Id Note Redemption Price, the Class A-2 Note Redemption Price, the Class B Note Redemption Price, the Class C Note Redemption Price and the Class D Note the Class B Note Redemption Price, the Class C Note Redemption Price and the Class 0 Note Redemption Price, as applicable. Redemption Price, as applicable. "Reference Entity" means the issuer of, or the obligor on, a Reference Obligation. "Reference Entity" means the issuer of, or the obligor on, a Reference Obligation. "Reference Obligation" means a COO Security referenced under the Synthetic Security. "Reference Obligation" means a CDO Security referenced under the Synthetic Security. "Reference Obligation Calculation Period" means, with respect to each Reference Obligation "Reference Obligation Calculation Period" means, with respect to each Reference Obligation Payment Date, a period corresponding to the interest accrual period relating to such Reference Obligation Payment Date, a period corresponding to the interest accrual period relating to such Reference Obligation the Master Payment Date pursuant to its "Underlying Instruments", as defined in accordance with the Master Payment Date pursuant to its "Underlying Instruments", as defined in accordance withwill begin on first Reference Calculation Period Confirmation. For the avoidance of doubt, the first Reference Obligation Calculation Period will begin on For the avoidance of Confirmation. the Reference Obligation Payment Date on prior to the Closing Date. the Reference Obligation Payment Date falling on or immediately prior to the Closing Date. "Reference Obligation Coupon" rate applied in relation to each "Reference Obligation Coupon" means the periodic interest rate applied in relation to each Reference Obligation Calculation Period on the related Reference Obligation Payment Date, as related Payment Date, as Reference Obligation Calculation Period instruments as at the Closing Date, without determined in accordance with the terms of the underlying instruments as at the Closing Date, without determined in accordance with the regard to any subsequent amendment. regard to any subsequent amendment. to each SynthetiC Security, the "Reference Obligation Notional Amount" the "Reference Obligation Notional Amount" means, with respect to each Synthetic Security,such or increased pursuant to the terms of notional amount specified therein, which will be reduced or increased pursuant to the terms of such amount specified notional Synthetic Security. Synthetic Security. scheduled distribution date for a Reference "Reference Obligation Payment Date" means (i) each scheduled distribution date for a Reference "Reference Obligation Payment Date" means (i) Obligation occurring on or after the Closing Date and -on or prior to such Reference Obligation's "Legal and on prior such Reference Obligation's "Legal on or after the Closing Obligation occurring Underlying Final Maturity Date" (as set forth in the Synthetic Security), determined in accordance with the Underlying Final Maturity Date" (as set forth in the Synthetic Security), determined in accordance with the forth in the Instruments and (ii) any day after such Reference Obligation's "Effective Maturity Date" (as set forth in the any day after such Reference Obligation's "Effective Maturity Date" (as set Instruments and (ii) Reference Obligation. Master Confirmation) on which a payment is made in respect of such Reference Obligation. Master Confirmation) on which a payment is made in respect of "Reference Obligation Principal Amortization Amounf' means, with respect to any Reference "Reference Obligation Principal Amortization Amount' means, with respect to any Reference Reference Obligation Obligation Payment Date, an amount equal to the product of (i) the amount of any Reference Obligation Obligation Payment Date, an amount equal to the product of (i)the amount of any Principal Payment on such date and (ii) the Applicable Percentage. Payment on such date and (ii)the Applicable Percentage. Principal "Reference Obligation Principal Paymenr' means: with respect to any Reference Obligation "Reference Obligation Principal Payment' means, with respect to any Reference Obligation Obligation in Payment Date, the occurrence of a payment of an amount to the holders of the Reference Obligation in Payment Date, the occurrence of a payment of an amount to the holders of the Reference other than a respect of principal (scheduled or unscheduled) in respect of the Reference Obligation other than a or unscheduled) in respect of the Reference Obligation respect of principal (scheduled payment in respect of principal representing capitalized interest, excluding, for the avoidance of doubt, payment in respect of principal representing capitalized interest, excluding, for the avoidance of doubt, any Writedown Reimbursement or Interest Shortfall Reimbursement. any Writedown Reimbursement or Interest Shortfall Reimbursement. "Reference Obligor" means the obligor on a Reference Obligation. "Reference Obligor" means the obligor on a Reference Obligation. "Reference Price" means the reference price (expressed as aa percentage) specified in the related "Reference Price" means the reference price (expressed as percentage) specified in the related Synthetic Security. Security. Synthetic A-16 A-16 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-0211825528 GS MBS-E-021825528 Footnote Exhibits - Page 5618 "Registered" means, with respect any debt obligation or debt security, a debt obligation or debt "Registered" means, with respect toto any debt obligation or debt security, a debt obligation or debt security that is issuedafter July 18, 1984, and that is in registered form within the meaning of Section security that is issued after July 18, 1984, and that is in registered form within the meaning of Section 881 (c)(2)(B)(Q of the Code and the Treasury regulations promulgated thereunder. (c)(2)(B)(i) of the Code and the Treasury regulations promulgated thereunder. 881 "Relevant Amounf' means with respect to the related Reference Obligation, servicer report "Relevant Amount" means with respect to the related Reference Obligation, ififaaservicer report that describes a Reference Obligation Principal Payment, Writedown or Writedown Reimbursement (other Principal Payment, Writedown or Writedown Reimbursement (other that describes a Reference Obligation than Writedown Reimbursement within paragraph (i) of "WritedownReimbursemenf'),in each case that in each case that than aaWritedown Reimbursement within paragraph (i)of "Writedown Reimbursement'), such Reference balance of has the effect of decreasing or increasing the interest accruing principalbalance of such Reference has the effect of decreasing or increasing the interest accruing principal delivered to holders of such Obligation as of a dateprior to aDelivery Date but such servicer report is delivered to holders of such prior to Delivery Date but such servicer report is Obligation as of a date or to theacalculation agentunder the related Synthetic Security on or after the Reference Obligation Reference Obligation or to the calculation agent under the related Synthetic Security on or after the related Delivery Date, an amount equal to the product of (i) the sum of any suchReference Obligation related Delivery Date, an amount equal to the product of (i) the sum of any such Reference Obligation positive Principal Payment (expressed as positive amount), Writedown (expressed as a positive amount) or Principal Payment (expressed as a positive amount), Writedown (expressed as a Referenceamount) or WritedownReimbursement (expressed as a negative amount), as applicable; (ii) the ReferencePrice; (iii) Price; (iii) Writedown Reimbursement (expressed as a negative amount), as applicable; (ii) the theApplicable Percentage immediately prior to such Delivery Date; and (iv)the Exercise Percentage (as Applicable Percentage immediately prior to such Delivery Date; and (iv) the Exercise Percentage (as the defined in such Master Confirmation). defined in such Master Confirmation). a "Residential Mortgage-Backed Securities" or "RMBS" means securities that representinterests in "Residential Mortgage-Backed Securities" or "RMBS" means securities that represent interests in pools of residential mortgage loans secured by 1 to 4 family residentialmortgage loans. pools of residential mortgage loans secured by 1 to 4 family residential mortgage loans. "S&P Rating" means the rating determined in accordance with the methodology described in the "S&P Rating" means the rating determined in accordance with the methodology described in the Indenture. Indenture. "S&P Recovery Rate" means, with respect to a Collateral Asset (or in the case of a Synthetic "S&P Recovery Rate" means, with respect to a Collateral Asset (or in the case of a Synthetic Security, the related Reference Obligation) on any Determination Date, an amount equal to the Date, an Security, the related Reference Obligation) on any Determination Rate Matrix amount equal to IIthe percentage for such Collateral Asset set forth in the S&P Recovery Rate Matrix attached as Part II of attached as Part of for such Collateral Asset set forth in the S&P Recovery percentage0 to the Indenture in (x) the Schedule D to the Indenture in (x) the applicable table set forth therein and (y) the row in such table table set forth therein and (y) the row in such table Schedule procedures prescribed by S&P for such prescribed by S&P for opposite the S&P Rating (determined in accordance opposite the S&P Rating (determined in accordance with procedures of a Defaulted Obligation,such Issuer or, in the Collateral Asset on the date of its purchase by the Issuer or, in the case of a Defaulted Obligation, the Asset on the date of its purchase Collateral S&P Rating immediately prior to default). Rating immediately prior to default). S&P (including accrued interest) from the "Sale Proceeds" means all amounts representing Proceeds (including accrued interest) from the "Sale Proceeds" means all received during such Due Period, of any Collateral Asset sale or other disposition of any Collateral Asset or Eligible Investment received during such Due Period, sale or other disposition Manager or the Trustee? in connection with of any reasonable amounts expended net of any reasonable amounts expended by the Collateral Manager or the Trustee in connection with net such sale or other disposition. such sale or other disposition. Balance of each "Single 8 Calculation Amount" means the sum of the products of (i) the Principal Balance of each B Calculation Amount" means the sum the products of (i)the Principal "Single Asset and (ii) 70%. Single B Rated Asset and (ii)70%. Single B Rated a Triple C Rated Asset, with an "Single 8 Rated Asset" means any Collateral Asset, that is not a Triple C Rated Asset, with an "Single B Rated Asset" means any Collateral Asset, that is not 2 or with an Actual Rating from Moody's less than "Ba3". Actual Rating from S&P less than "B8-"' or with an Actual Rating from Moody's less than "Ba3". Actual Rating from S&P less than "BB sum of, for each Collateral "Statistical Loss Amount" means, as of any Determination Date, the sum of, for each Collateral "Statistical Loss Amount" means, as of any Determination Date, the the Moody's Expected Loss and (ii) Assetand (ii) the Moody's Expected Loss Asset, the product of (Q the Principal Balance of such Collateral Asset Asset, the product of (i) the Principal Balance of such Collateral For purposes of the calculation of the Rate as set forth in the Indenture for such Collateral Asset For purposes of the calculation of the Rate as set forth in the Indenture for such Collateral Asset. B Rated Assets, Deferred Statistical Loss Amount on any Determination Date with respect to Single B Rated Assets, Deferred Statistical Loss Amount on any Determination Date with respect to Single Interest PIK Bonds, "Double B Rated Assets, Triple C Rated Assets, Defaulted Obligations? and the C Rated Assets, Defaulted Obligations and the Interest PIK Bonds, Double B Rated Assets, Triple December 2047 Payment principal amount of any Collateral Assets expected to be paid in full after the December 2047 Payment to principal amount of any Collateral Assets expectedbe be paid in full after the Date "related to such Date, the principal amount thereof expected to be paid after the Payment Date related to such paid after the Payment amount thereof expected to Date, the principal Determination Date shall be excluded. Determination Date shall be excluded. "Supra Majority" means (a) with respect to any Class of Notes, the Holders of more than 66-2/3% Notes, the Holders of more than 66-2/3% "SupraMajority" means (a)with respect to any Class of and(b) with respect to the Income Notes, of the Aggregate Outstanding Amount of such Class of Notes and (b)with respect to the Income Notes, of the Aggregate Outstanding Amount of such Class of Notes Income Notes. more than 66-213% of the aggregate outstanding notional principal amount of the Income Notes. . more than 66-2/3% of the aggregate outstanding notional principal amount of the into by the Issuer and Goldman "Synthetic Security" means the credit default swaps entered into by the Issuer and Goldman "Synthetic Security" means the credit default swaps entered Sachs lntemational on March 21, 2007, effective as of the Closing Date, evidenced by an ISDA Master 21, 2007, effective as of the Closing Date, evidenced by an ISDA Master Sachs Intemational on March .Agreement (Multicurrency Cross Border) and the Master Confirmation. Agreement (Multicurrency Cross Border) and the Master Confirmation. A-17 7 A-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825529 GS MBS-E-021825529 Footnote Exhibits - Page 5619 "Synthetic Security Counterparty" means Goldman Sachs Intemational and, if Goldman Sachs "Synthetic Security Counterparty" means Goldman Sachs Intemational and, if Goldman Sachs Intemationalis no longer the Synthetic Security Counterparty, any entity required to make payments on a International is no longer the Synthetic Security Counterparty, any entity required to make payments on a Synthetic Security pursuant to the terms of such Synthetic Security or any guarantee thereof. Synthetic Security pursuant to the terms of such Synthetic Security or any guarantee thereof. "Synthetic Security Termination Payment" means any terminatiol! or assignment payment "Synthetic Security Termination Payment" means any termination or assignment payment requiredto be paid by the Issuer in the event of a termination or assignment of the Synthetic Securities. required to be paid by the Issuer in the event of a termination or assignment of the Synthetic Securities. "Tax Event" means (i) the adoption of, or a change in, any tax statute (including the Code), treaty, "Tax Event" means (i)the adoption of, or a change in, any tax statute (including the Code), treaty, regulation (whether temporary or final), rule, ruling, practice, procedure or judicial decision or decision or regulation (whether temporary or final), rule, ruling, practice, procedure or judicial of 3%of the interpretationwhich results or will result in withholding tax payments representing in excess of 3% of the which results or will result in withholding tax payments representing in excess interpretation aggregate interest due and payable on the Collateral Assets during the Due Period in 't'hich such event aggregate interest due and payable on the Collateral Assets during the Due Period in which such event occurs as a result of the imposition of U.S. or other withholding tax with respect to which the obligors are occurs as a result of the imposition of U.S. or other withholding tax with respect to which the obligors are not required to make gross-up payments that cover the full amount of such withholding taxes on an afternot required to make gross-up payments that cover the full amount of such withholding taxes on an aftertax basis or (ii) the adoption of, or change in, any tax statute (including the Code), treaty, regulation tax basis or (ii)the adoption of, or change in, any tax statute (including the Code), treaty, regulation (whether temporary or final), rule, ruling, practice, procedure or judicial decision or interpretation which which (whether temporary or final), rule, ruling, practice, procedure or judicial decision or interpretationthe net results or will result in taxation of the Issuer's net income in an amount equal to 3% or more of results or will result in taxation of the Issuer's net income in an amount equal to 3% or more of the net income of the Issuer during any Due Period in which such event occurs. income of the Issuer during any Due Period in which such event occurs. "Total Redemption Amount" means the sum of all amounts due as of the Redemption Date 'Total Redemption Amount" means the sum of all amounts due as of the Redemption Date pursuant to clauses (i) through (ix) of the Priority of Payments for Final Payment Dates. pursuant to clauses (i)through (ix)of the Priority of Payments for Final Payment Dates. ''Treasury'' means United States Department of the Treasury. 'Treasury" means the United States Department of the Treasury. (i) the Principal Balance of each "Triple C Calculation Amount" means sum of the products "Triple C Calculation Amount" means the sum of the products of (i) the Principal Balance of each Triple C Rated Asset and (ii)50%. C Rated Asset and (ii) 50%. Triple ''Triple CRated Assef' means Collateral Asset than a Defaulted Obligation) with an 'Triple C Rated Asset" means any Collateral Asset (other than a Defaulted Obligation) with an "B-" with from Moody's of less than "B3". Actual Rating from S&P of less than "B-" or with an Actual Rating from Moody's of less than "B3". Actual Rating from S&P of less 'Writedown Amount" means, of (i) the amount of any 'Writedown Amount" means, with respect to any day, the product of (i) the amount of any Writedown on such day, (Ii) the Applicable Percentage and (iii) the Reference Price. Price. Percentage and Writedown on such day, (ii)the of: (i)a payment by 'Writedown Reimbursement" means, with respect to any day, the occurrence of: (i) a payment by the 'Writedown Reimbursement" means, Obligation in reduction of of or on behalf of the Reference Entity of an amount in respect of the Reference Obligation in reduction of in or on behalf of the Reference Entity Reference Entity of the outstanding any prior Writedowns; (ii)(A) an increase any prior Writedowns; (ii)(A) an increase by or on behalf of the Reference Entity of the outstanding Writedowns; or (B) a principal amount of the Reference Obligation to reflect the reversal of any prior Writedowns; or (B) a the Reference Obligation to reflect principal amount of loss amounts (however described in the decrease in the principal deficiency balance or realized loss amounts (however described in the decrease in the principal deficiency underlying instruments) attributable to the Reference Obligation; or (iii) if "Implied Write down" (as defined Reference Obligation; or (iii) if "Implied Writedown" (as defined underlying instruments) attributable the underlying instruments do not provide for in the related Synthetic Security) is applicable and the underlying instruments do not provide for Synthetic Security) is applicable in the related writedowns, applied losses, principal deficiencies or realized losses as described in (ii) above to occur in or realized losses as described in (ii) above to occur in writedowns, applied losses, principal respect of the Reference Obligation, an "Implied Writedown Reimbursement Amounf' (as defined in the respect of the Reference Obligation, an "Implied Writedown Reimbursement Amount" (as defined in the related Synthetic Security) being determined in respect of the Reference Obligation by the calculation related Synthetic Security) being determined in respect of the Reference Obligation by the calculation . agent thereunder. agent thereunder. 'Writedown Reimbursement Amount" means, with respect to any day, an amount equal to the "Writedown Reimbursement Amount" means, with respect to any day, an amount equal to the product of: (i) the sum of all Writedown Reimbursements on that day; (ii) the Applicable Percentage; and product of (i)the sum of all Writedown Reimbursements on that day; (ii) the Applicable Percentage; and (iii) the Reference Price. (iii) the Reference Price. "Writedown Reimbursement Payment Amount" means, with respect to any date of determination, "Writedown Reimbursement Payment Amount" means, with respect to any date of determination, the sum of the Writedown Reimbursement Amounts in respect of all Writedown Reimbursements (if any) the sum of the Writedown Reimbursement Amounts in respect of all Writedown Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such date; provided that the made during the Reference Obligation Calculation Period relating to such date; provided that the aggregate of all Writedown Reimbursement Payment Amounts at any time shall not exceed the aggregate aggregate of all Writedown Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by the Issuer in respect of Writedowns occurring prior to such date. of all Floating Amounts paid by the Issuer in respect of Writedowns occurring prior to such date. "Writedown Reserve Amount" has the meaning set forth in the Master Confirmation. "Writedown Reserve Amount" has the meaning set forth in the Master Confirmation. A-18 A-18 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825530 GS MBS-E-021825530 () o Footnote Exhibits - Page 5620 APPENDIX B APPENDIX B :::J ::: w ~ CD :::J 0: Collateral Asset Descriptions and Transaction Summaries Collateral Asset Descriptions and Transaction Summaries -i CD 10/4106 LIBORO1M 86565MAD9 SMSTR 2005-1A B 6565MA09 SMSTR 2005-lAB 67337WAo2 TABS 2OQ6.5A A3 67337WAD2 TABS 2006-SA A3 69053XAE6 TOPG 2005-1A B TOPG 2005-IA B 69053XAE6 92534FAOO VRGO 2006-1A A3 92534FA0 VRGO 2006-1A A3 00062NAEO ACABS 2005-2A A3 00082NAEO ACABS 2005-2A A3 26441NAo3 oUKEF 200S-1OA A3 26441NAD3 DUKEF 2006-0A A3 3622X4AH6 3622X4AH6 36866BAEO 36668BAEO 722694Ao6 722694AD8 766277Ao7 768277AD7 8S233TA06 85233TAD8 925345AE0 925345AEO 239156AD4 239156AD4 13189LAoi 13189LAD1 GSCSF 2006-2A 0 GSCSF 2006-2A D GEMST 2005-4A C GEMST 2005-4A C PINEM 2005.A C PINEM 2005-A C RIVER 2OQ5.1A C RIVER 2005-1A C STAK 2006-1A 5 STAK 2006-1A 5 VERT 2006-1AA3 VERT 2005-1AA3 oVSQ 200S-SA C OVSQ 2005-SA C CAMBR SA B CAMBR SA B SMSTR 2005-1A SMSTR 2005-IA TABS 2OOB-5A TABS 2006-5A TOPG 2OO5-1A TOPG 2005-1A $10,000,000 610,000.000 $20,000,000 $20,000.000 $15.000,000 S15.000,000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 $10.000,000 512,000.000 SIO.000.000 $12,000,000 5400.000.000 S400.000,000 CD :::J ...... 3 1.40% 1.35% 1.35% 1.45% 1.45% 1.35% 1.35% 12/120046 12/2045 121612045 CDO CDO COO A2 A3 A3 A2 A2 A3 A3 A2 A3 A3 A2 A2 A3 A3 A A- A ;u ..0 10120105 synthetic 10120105 synthellc spread spread 10/06 10/5106 1/18/06 1/16106 UBOR01M UBOR01M synthetic synthetic spread spread A- AAA A A A- A- CD C CD $20,000,000 560.000,000 51,500,000.000 $20.000,000 S60.000,000 51.500.000.000 515.000.000 $26,000,000 515.000,000 $26.000,000 5500.000,000 5500.000,000 101812046 CDO 101812046 COO 111012045 CDO 1/1012045 COO A A CD C- ~ AA- - A- '< O'" VRGO 2006-1A VRGO 2006-IA ACABS 2005-2A ACABS 2005-2A OUKEF 2006-1OA DUKEF 2006-10A GSCSF 2006-2A GSCSF 2006-2A GEMST 2005-4A GEMST 2005-4A PINEM 200s.A PINEM 2005-A RIVER 2OQ5.1A RIVER 2005-1A STAK 2006,IA STAK 2006-1A VERT 2006-1A VERT 2006-1A oVSQ 2005-5A DVSQ 2005-5A . CAMBR SA CAMBR SA $15.000.000 115.000.000 $20.000.000 520,000.000 520.000,000 $20.000,000 520,000,000 520.000.000 520,000.000 120.000.000 520,000,000 $20,000,000 51S.OOO.OOO 1.0000 1.0000 0.9120 0.9120 1,0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 $15.000.000 $15,000,00 516,240.508 518.240.508 $20,000.000 $20,000.000 520.000.000 520,000.000 . 120.000,000 $20,000.000 $20,000.000 S20,000,000 515,000.000 S15,000,000 $20.000.000 $20,000,000 $20,000,000 320.000,000 $15.000,000 $15.000.000 515.000.000 115.000.000 $60,000,000 52,095,000,000 S60.000,000 $2,095.000,000 522,500,000 $22.500,000 $450,000.000 $450,000,000 en w o ::T en 3 w :::J o 0:: G) 578,000,000 51.200.000,000 $78.000,000 $1.200,000.000 $22,500,000 $22.500,000 $21,000.000 $21,000.000 $12.000,000 $12,000,000 55,250.000 $5,250,000 $11,500.000 $11,500,000 $31,000,000 $31.000.000 540.000.000 $40.000.000 $19.000,000 $19.000,000 S504,OOO,OOO $504.000,000 $600,000,000 1600.000.000 5401,000,000 5401.000,000 S3OO,OOO,OOO 1300,00.000 $500,000,000 $600.000,000 $775,000,000 $775,000,000 $2,016,000,000 12.018.000.000 $502,250,000 $502,250,000 $15.000.000 520,000,000 120.000.000 520,000,000 S20.000.000 515,000.000 $15.000.000 $15,000.000 115,000.000 10131106 synthetic 10131/06 synthelic spread spread synthetic 8/30/05 8/30/05 synlh8Uc spread spread synthetic 4/12/06 41121\l6 synlhetic spread spread synthetic 5/3106 5131106 synlhetic spread spread synthetic 1/20/06 1120/06 synlh.llc spread spread synthetic 11/8/05 1118105 synlhellc spread spread synthetic 1/1905 1/19105 syn1hetic spread spread synthetic 7127/06 7127106 synlhetic spread spread synthetic 4/25106 synlhellc 4125/06 spread spread synthetic 9130/05 9130105 synthetic spread spread synthetic 12120/05 synlhetic 12120105 spread spread 1.40% 1.42% 1.41% 1.55% 1.33% 1.47% 1.40% 1.60% 11/2046 1119/2046 12612044 121612044 4/912046 41912046 6/8/2045 618/2045 2/12/2041 211212041 11/16/2045 11/1612045 2/6/2040 21612040 8110/20465 6/1012046 2/9/2046. 2/912046 10/6/2040 10/812040 12A/2045 121612045 CDO COO COo COO CDO COO CDO COO COo COO CDO COO CDO COO CO COO CDO COO CDO COO COO COO A2 A3 A2 A2 A2 A2 A2 A3 A A A- A- A A AA A A- A A A - A2 A2 A2 A2 A A A A A A A A A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 AS A3 A A A A A A2 A2 A2 A2 A A A A A A - A A A A A A A A A 1.41% 1.46% 1.43% A A A A AA- A - A2 A3 A- - 12777CAE9 12777CAE9 CRNMZ 2006-2A C CRNMZ2006-2AC CRNMZ 2006-2A CRNMZ2006-2A 53,000,000 $3,000.000 1.0000 1.0000 53,000,000 13,000,000 $33.750,000 $33.750.000 5773,375.000 1773.375.000 11/9106 LIBORO3M 1119/06 LIBOR03M 1.35% 1.35% 2/13/2047 211312047 CDO COO A2 A2 AS A2 A A A A A - en s: OJ en m o N ...... I I G) 076451A03 BlHV 2005-1 A C 078451A3 BLHV2005-1AC 347199AC5 FloRB 200S-1AA3L 347199ACS FTDRB2005-1AA3L 46426RAE9 ICM 2005-2A C 2005-2A C 46426RAE9 ICM BLHV 2005-1 A BLMV2005-1A FToRB 2005-1A FTDRB 2005-1A ICM 2oo5-2A 2005-2A ICM 515.000,000 $15.000,000 515,000.000 115.000.000 $15,000,000 $15.000,000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 $15,000,000 526,250,000 115.000,000 126,250.000 515,000,000 $15.000.000 $22.000,000 $22.000,000 $750.000,000 750.000.000 $484.500,UOOO $484.500.U000 $403,000,000 1403.000,000 6/23/05 6123105 814/05 614105 7127/05 7127105 515.000,000 $11,000,000 511,000.000 115.000.000 synthetic synlheHc spread spread synthetic synlhetic spread spread synthetic synlh.llc spread spread synthetic synlhellc spread spread 1.50% 1.50% 1.55% 1.55% 1.68% 1.86% 6/812045 . 6/612045 9112/2040 9/1212040 816/2040 8/812040 CDO COO CDO COO CO. COO. A2 A2 A2 A2 A2 AS A2 AS A2 A A A A A A - A A A - A2 A2 A A A A - (X) 83743LAJO SCF SA C 83743LAJO SCF BAC SCFSA SCFSA 51S,OOO,OOO $15.000,000 0.9855 0.9855 514,782.894 512,000,000 512,000,000 $14.782.894 5506.500,000 5506.500,000 1/25/06 1125106 1.71% 1.71% 10/6/2043 101612043 CDO COO A2 A A A A PrtncIpal Finance Anance 7.1 GE Asset Management 7.1 Incorporated GEAssel Menagem.nl Incotporaled 6.8 Trlcada CDO T~cadla COO 6.8 Management ManagemenL LLC LLC 7.5 Metropolitan 7.5 West Asset Metropolitan WeslAssel Management LIC. ManagemenL LLC, Vertical 6.8 Capital. LLC 6.8 Vertical Capttal, LLC .6 ACA Management 9.6 ACA Elington 6.5 Management 6.8 Capital EIUngIOn Capital Management, Menagemanl 5.3 GSCP (NJ). L.P. 5.3 GSCP (NJ). L.P. 5.3 HBK Investmsents 5.3 HBK Investmen\s 4.1 Smith Breeden 4.1 Associates Smilh Breeden Associates meerfie nd 6.0 Capital 6.0 Management Deerfield Capital Management 8.0 TCW Asset management 8.0 Company TCW Assel management 6.4 Vertical Company Capital. LLC 6.4 Vertical TCW Asset 7.9 Captlal, LLC Management 7.9 TcwAsael company Managemenl 7.6 Cambridge Company Place 7.6 Cambrtdge Investmtent Place Managemenlt Investmenl LP Managemen~ Calm 6.9 lLP Financial 6.9 Celm Products FInancial Limited Producls NIBC 6.3 UmlledCredit Management 6.3 NIBC Credll Inc, Menagemanl Vanderbilt 6.5 Inc. Capital 6.5 Vanderbift LLC Advisors, lactrus 6.2 Cepilsl Advisors, LLC Capital 6.2 Isonus Management. Cap"al U-C ManagemenL 6.0 TCW Aaset LlC Management 6.0 TOO Assel Company Management W ...... N 0'1 0'1 Company 8-1 0o () Footnote Exhibits - Page 5621 0 ::::J ::!! 0. (I) ::::J w' --i 002561ADO ABAC 2006-HOlA 59.000.000 59,000.000 1.0000 1.0000 $9,000,000 $9,000.000 $9,000,000 $9,000.000 $900,000,000 11/30108 LIBOR01M LIBOROIM s5900.000.000 1113006 ..- w CD ..- CD 3 (I) oo256IAEB ABAC 2006?HG1A 0 ABAC 2006?HGIA 002561AE8 ABAC 2006-HG1A D ABAC 2006-HG1A . 69054BAE3 TOPG 20Q6..2A B TOPG 2006-2A B TOPG 2006?2A TOPG 2006-2A CRNMZ 2006-2A CRNMZ 2006-2A 2.20% 2.20% 11/2812046 COO 1112612048 COO A3 A3 A3 A3 A. A? A A A. A. ::::J CD (I) ..... :::0 ..0 CD C (I) 89054BAE3 $10,000,000 $10.000.000 517,000.000 517.000.000 1.0000 1.0000 1.0000 1.0000 S10,Ooo.000 510.000.000 517,000,000 517.000,000 545.000,000 $45.000,000 533,750,000 $33,750,000 51,015,000,000 $1.015,000,000 5773,375,000 $773.375,000 12/14/06 UBOR01M 12114106 LlBOR01M 11/9/06 11/9106 synthetic synthetic spread synthetic synthlilic spread spread synthetic synthetic spread spread synthetic spread synthetic spread synthetic synthetic spread spread synthetic spread synthetiC spread synthetic synthetic spread spread 1.45% 1.45% 1.95% 1.95% 12/1012046 1211012048 CDO COO A2 A2 A2 A2 A2 A2 A2 A2 A A 12777CAE9 CRNMZ 2008-2A C 12777CAE9 CRNMZ 20-2A C 34957YAE7 FORTS 2OQ6..2A C FORTS 2006-2A C 211312047 COO 211312047 COO A A A A A A - (I) ~ 34957YAE7 FORTS 2006-2A FORTS 2008-2A 520,000,000 $20.000.000 1.0000 1.0000 520.000,000 S20.000,000 $20,000,000 20.000,000 5S12,700,OOO $512,700,000 12/7/06 2.27% 2.27% 2/3/2042 21312042 COD COO A2 A2 A2 A2 A A A A 0. '< G) cr 46426XAE6 ICM 2006-3A C 46426XAE6 ICM2006-3A C .000B2INA02 ICM 2006-3A ICM2006-3A '$20,000,000 $20,000.000 1.0000 1.0000 520,000,000 $19,000,000 120,000,000 119,000.000 S60S,OOO.000 $605,000.000 6/108 6129106 1.81% 1.81% 7=3/2046 7/312046 COO COO A2 A2 A2 A2 A A o o :::T en en w ::::J 3 w c:: ACABS 2006?1A A3L ACABS 2006-1A .00082WAD2 ACABS 2006-1A A3LX ACABS 2006-lA 14214BAE9 CACoo :zoos.1A Cl CACoo 20os.1A CACOO2006-1A 142146AE9 CACDO2006-1AC1 362479A09 $20,000,000 $20,000.000 520,000,000 $20.000.000 520,000,000 $20,000.000 520,000,000 $20,000.000 0.9970 0.9970 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 $19,939,607 $40,000,000 119,939,607 S40.000.000 $20,000,000 $20.000,000 520,000,000 320.000,000 S20,OOO,OOO 520.000,000 $60,000,000 $60.000.000 545,000,000 45,000,000 51S,OOO'OOO $15.000.000 57S0,ooo,OOO $750,000.000 51,58S,68O,OOO 11.565.680,000 5750,000,000 5 750,000.000 $607,206,000 $607,206,000 4127106 4127106 1111/06 llMI06 10/610 10l6I08 3128/0 3128106 2.23% 2.23% 2.18% 2.1B% 2.00% 2.00% 2.40% 2.40% 611012041 COO 6/1012041 COD 11/1012046 COO 1111012046 COO 1116/2046 111612046 1/1012045 111012045 COO COD COO COO A2 A2 A2 A2 A2 A2 A2 A3 A2 A2 A2 A2 A2 A2 A3 A3 A2 A2 A2 A2 A A A A - A A A A A A A A 362479AD9 45377I1tALS 45377MAL5 S43175AJ2 GSCSF 2oo6-4AA3 GSCSF 2006-4AA3 INOE7 7A 0 INDE7 7A 0 LSTRT 200s.1A 0 TABS 2005-4A 0 GSCSF 2006-4A GSCSF 2006-4A tNDE77A INDE7 7A AA? A A A- A A AA? A. 543175AJ2 87337UA06 LSTRT 2006-1A D TABS 2005-4A 0 BFCSL 2006-1AD LSTRT 2006-1A LSTRT 2006-1A TABS 2005-4A $20,000.000 $20.000,000 1.0000 1.000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 520.000.000 120.000,000 520.000,000 $20,000,000 520.000.000 520,000.000 510,000,000 $10,000,000 $SOO.OOO,OOO $500,000.000 5402,000,000 $402.000.000 $750,000,000 $750,000,000 83/106 613108 1/26/06 1126106 10/31106 10/31106 synthatc spread synthetic spread synttmtic synthetiC spread spread spread synlhetlc spread synthetic 2.25% 2.25% 1.86% 1.86% 2.00% 2.00% 1.90% 11102046 111612046 8/30/2045 613012045 COO COO COO A2 A2 A2 A2 A2 A2 A2 A2 AZ A A 87337UAD6 08861KACO TABS 2005-4A $20,000.000 $20,000,000 520.000.000 COO COO COO A2 A2 A A A A A . BFCSL 2006-1A 0 ICM 2006-S2A A3L BFCSL 20os.1A 08861KACO 46426YACB BFCSL 2006-IA S20.000.000 520,000,000 530,000,000 120,000,0005 30,000,000 510.000,000 110,000.000 1111412046 COO 1111412046 1011212045 A A A 46426YAC8 62437XADO ICM 2006-S2A A3L ICM 2006?S2A 12/21/06 510.000.000 LISOR03M LIBOR03M ICM2006-S2A 110.000.000 560,000,000 51,004.000.000 560,000,000 51.004.000,000 12121108 1.90% 10/12/2045 COO AZ A2 AZ A2 A A A A A A - 12115105 SHERIN 200S?2A C SHERW 2OQ5..2A 82437XADO OO7022AOB SHERW 2005-2A C SHERW 2005-2A 520.000.000 520,000.000 $20.000.000 520.000.000 520.000,000 120.000.000 1.0000 1.0000 S20,OOO.000 $20,000.000 $20,000.000 $20,000.000 510,000,000 110.000.000 530.900.000 $30.900.000 5500,000.000 5500.000,000 51,545,000,000 11545,000.000 12115105 spread synlhetlc spread synthetic synthetic A A - 1.6S% 1.65% 101512045 10/5/2045 21/2041 COO COO COO A2 en I I CXJ s: en G) 007022AD8 ADROC 2005-2A C 3B521PAE4 GRAND 2005-1A C 38521PAE4 GRAND 2005-1A C B5234AAG1 STAK 20Q6..2A 5 AORDC 2005-2A C ADROC 2005-2A GRAN02005-1A GRAND2005-1A STAK2006-2A ACRDC 2005-2A S20.000.000 520,000.000 520.000,000 1.0000 1.0000 1.0000 1.0000 520,000.000 547.000.000 51,190,010,000 120.000.000 $47.000.000 $1,190,010,000 520.000.000 $27.000.000 120.000,000 $27.000.000 520,000,000 S14,OOO,OOO 120.000,000 514.000.000 $20.000,000 S22.600.000 $20.000.000 S22.800,000 520.000,000 S15,25O,OOO $20,000.000 $15,250,000 spread synthetic synthetic 12/28/105 spread 1212BICS synthetic spread spread 1111510S 11/15/05 AZ 1.75% 1.75% 1.75% 1.75% 2.15% 2.15% 1.51% 1.51% 2.20% 2.20% 2.45% 2.4S% 21612041 COO A2 A2 AZ A A A A A - A2 A2 A2 A A A 415/2046 41512046 COO COD COO COO A2 2/8107 85234AAG1 64069PAJ7 STAK 2006-2A 5 NEPTN 2006-3A 8 DGCDO 2006-2A C ADMSO 2006-1A C STAK 2005-2A 1.0000 1.0000 1.0000 1.0000 1.0000 1900.000,000 5900.000.000 5406.000,000 $406.000.000 216107 spread synthetiC spread synthetic synthetic A2 311012047 COO 311012047 31512046 A2 AZ A2 A A A A A A 319106 NEPTN 2006-3A B NEPTN2006-3A AZ 315/2046 COO AZ A2 - m o -" (>> 64069PAJ7 25454XA07 NEPTN2006-3A DGCOO 2006-2A ADMSQ 2006-1A 520.000.000 319106 spread synthetic spread spread syntheUc spread synthetic synthetic A2 6&29106 DGCOO 2006-2A C AOMSa 2006?1A C OGCoo 2006-2A $20.000,000 AZ 6M5I2049 AZ A2 A A A A A A A A A - tv 25454XAD7 00636BACB S20.000.000 $20.000.000 1.0000 1.0000 $600.000.000 $600.000,000 5507,250,000 507.250.000 6129106 6/15/2049 COO COO A2 12115/0 ADMSO 2006-1A 520,000,000 1.0000 12115/06 AZ 12 1211612051 COO 16/2051 COO A2 A2 A2 - tv eN tv 01 01 006368AC8 spread synthetic spread A Inc Management. Assel Management. Asset Steams Inc 6.8 Besr 6.B Managemnit. Baar Steams Assai Inc Management. West Asset Inc 7.2 Metropotitian Management 7.2 Melropolitlan West Assai Financial Management 6.5 calm 6.5 Products Calm Anandal Limited Products Capital eaddin Limited 5.4 A 5.4 Management Aladdin Capital LLC Management LLC cieus 6.7 Capitol B.7 Management, Ischus Capllal LLC Managemenl, Management LLC 7.0 ACA 7.0 ACA Management 7.5 StatnStreet 7.5 Advisors Stata Slreet Global L.P. Advisors 6.9 GSCP(NJ). aenbnt B.9 GSCP (NJ). L.P. 5.1 Decisration & Research 5.1 Management DeclaraUon Managemenl LLC & Rasean:h LLC PMorgan 6.2 Asset B.2 JP Morgan Management Assai Management TrIcad/ ACOO 6.7 Management. LLC B.7 Tricadla COO Managemenl. Financial Braddoct 7.6 LLC 7.B Corporation BraddOCk Finantlal Corporation scus 8. Management Capital B.O Ischus '-IC Capital Church 6.0 Management. Tavern LLC Advisors 6.0 Church Clinton 5.3 Tavern Group Inc. Advisors 5.3 CHnlon Group 7.3 TCW Asset Inc. Management Company 7.3 Tew Assel TCW Asset 7.0 Management management Company Company 7.0 Tew Asset Fund America 5.7 management Company Management. Corporation 5.7 Fund America StateStreet 6.2 Management Corporation Global Advisors 6.2 Stale Streel CredliSussO 6.5 Global Alternative Advisors Capital 6.5 CredO Suisse AltannaUve Capital 8-2 () :::J :::J :::J o CD Footnote Exhibits - Page 5622 a: iii' (b ~ spraao spread 157197ACB 15719MAC5 157197AC8 Advsrs. LLC Capllal Q) CETUS 2006-1A B CETUS 2006-2A B CETUS 2(l()6.1A B ceTUS 2006-2A B CETUS 2006-IA CETUS 2(J()6.1A 520.000.000 $20.000.000 $20,000,000 $20,000.000 520.000,000 320,000,000 $20.000.000 $20.000,000 520,000,000 S20.000.000 $20.000,000 320,000.000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 $20.000.000 $55,000,000 $1,000.000.000 $1,000,000.000 520.000.000 S5,000.000 520,000,000 5S5,OOO,OOO $20,000.000 $55.000.000 520,000,000 $20,000,000 526,000.000 $26.000,000 51.000.000.000 1.000,000,000 7120/08 7I20I08 9f27tr13 9/27/06 CD 3 15719MAC5 3622XOACS CETUS 2006-2A ceTUS 2006-2A synthetic synthetic spread spread synthetic synthetic spread spread 2,40% 2.40% 2,46% 2.46% 2.05% 2.05% 2.15% 2.15% 2.30% 2.300/0 2.45% 2.45% 10/16/2046 1011612048 12/20/2046 1212012046 7/16/2046 7/1612048 6/15/2051 611512051 2/92047 2I9J2047 11/10/2046 1111012046 COO COO CDO COO CDO COO CDO COO CDO COO CDO COO A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A2 A A A A A A A - 6.7 6.6 A 6.7 6.6 Adviso",. GSCP (NJ),LLC L.P. GSCP (NJ), L.P. GSCP (NJ). L.P. A2 A2 A ..0 CD C ::u 3622X0AC5 GSCSF 2006-1A 8 553129AD9 MKP 6A C 553129AD9 MKP 6A C 82442VAD7 B2442VAD7 GSCSF 2006?1A B GSCSF 2006-IA MKP 6A MKP 6A GSCSF 2005-1A sssa,ooo,ooo 5550.000,000 $300,750,000 $300.750.000 $500.000,000 $500.000,000 $1,500,000,000 31,500.000,000 3/31106 3I31tr13 8t/DS 8131tr13 1110107 1/10107 1013/06 10/3/06' $20,000,000 $4,000.000 $4,000,000 S20.000,000 520,000,000 516.000.000 $20,000,000 $16.000.000 520.000,000 $20.000,000 569.000,000 589.000,000 synthetic synthetic spread spread synthetic synthetic spread spread A A A A A A A A2 A2 A2 A2 A A - GSCP (NJ). L.P. GSCP 6.4 L.P. (NJ). 6.4 GSCP (NJ), L.P. MKP Capital 6.6 Management. 6.6 L.LC..Cepltal MKP Management. SHERW 2006-3A A3 PYXIS 2006-1A C PYXIS 2(l()6.1A C SHERW2006-3AA3 SHERW 206-3A PYXIS 2008-1A SHERW2005-3A synthetic synthetic spread spread A A A A Cl. CD ~ CD 74732AAD9 74732AAD9 PYXIS 2005-1A synthetic synlhetlc spread spread A2 A2 A A A A A '< 0- 37638NAD3 37636NAD3 GLCR2006-4AC GLCR 2006-4A C GLCR 2006?4A GLCR 2006-4A $10.000,000 $10.000.000 0.9936 0.9936 $9.936,30S 59.936,305 514.000.000 514,000.000 S$401250.000 401250.000 4/1210 4/12/08 synthetic synthetic spread . spread 1.90% 1.90% 10/12/2045 10/1212045 CDO COO A2 A2 A2 A2 A A A A o G) 578325AD4 578325AD4 MAYF 2006-1AA3L TRNTY 2005-1A B TOPG 2006-2A B TOPG 2006-2A B TRNTY 2005-1A B MAYF 2(J()6.1AA3L MAYF 2005-IA MAYF 2006?1A $20,000,000 S20,000,000 520.000,000 $20.000.000 510,000,000 $10,000,000 $15.000,000 315.000.000 520.000,000 520.000.000 520,000.000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 0.9926 0.9926 1.0000 1.0000 520.000.000 $20.000.000 520.000,000 $20.000.000 $10,000.000 $10,000.000 515,000.000 515,000.000 $20.000.000 $20.000,000 $19,652,320 $19,852,320 520.246.366 $20.248.366 $46,000,000 $46.000.000 58,000.000 S8.000.000 54S,OOO,OOO 345.000,000 53S,OOO,000 S35.000,000 526.000,000 $26.000,000 $16,000.000 $16.000.000 576,300.000 378.300.000 51,010.200.000 51.010.200.000 5300.000.000 3300.000.000 51.015.000.000 51.015.000,000 $2.000,000.000 32.000.000.000 $500.000.000 $500,000.00 5301,200.000 3301.200.000 5915.500,000 3915.500.000 8/22106 6122/08 4/14105 4/14/oS 12/14/06 12114/06 3/30106 3/30/06 1/12/05 1/12106 2/28006 2128106 2/25/07 2f26/07 synthetic synthetic spread spread 2.28% 2.28% 1.50% 1.500/0 1.85% 1.85% 2.60% 2.600/0 1.84% 1.84% 3.68% 3.68% 6.55% 6.55% 9/12/2046 9/1212048 3/812040 3/812040 CDO COO CDO COO A2 A2 A3 A3 A2 A3 A3 A A AA? A A A. A? A A A A - Cl. 3 Q) :::J 89643PAD2 89643PAD2 69054BAE3 TRNTY 2005-1A TOPG 2006-2A DVSQ 2006-6A TRNTY 2005-1A TOPG 2(l()6.2A synthetic synthetic spread synthetic spread synthetic spread spread synthetic spread spread synlhelic spread spread synthetic synthellc spread spread synthelic spread spread 12/1012046 CDO 1211012046 COO 9/7/2041 11/12/2045 1111212045 1/10/2041 111012041 6/12/2042 611212042 COO COO COO CDO COO CDO COO en Q) ::T 89054BAE3 AZ A2 AZ A2 A2 A2 AZ A2 AZ A2 AZ A2 A A, A A o 23910VAHS 23910VAH5 DVSO 2006-6A C DVSO:zooi;.sA C DVSO:zoos.eA synthetic synthetic en 362470ACO 362470AC0 GSCSF 2005-1A A3 GSCSF 2005-1A A3 BFCGE 2Op6-1A A3L GSCSF 2005-1A GSCSF 2005-IA BFCGE 2006-1A CAMBR 7A OS539MAD2 05539MAD2 13189BAF0 BFCGE 2006-IA A3L BFCGE 2006.1A $20,000.000 AZ A2 AZ A2 AZ A2 A A A A A A A A A A A - 13189BAF8 CAMBR 7A C CAMBR 7A C CAMBR 7A $20.248,368 $20.248.366 synthetic AZ A2 A A A LL.C .o Church 6.6 Tavern Chun;h Advisors Tavern Adviso", 6.8 ThePutnam Advisory 6,8, The Putnam Company AdviSOry Company, LLC LLC 4.8 Teein Money 4.8 TelWln Money Management Management LLC LLC 6.4 Vander7i. t 6.4 Capital Vanderbilt Capital Advisors, LLC 8.8 Centre AdvisOl1l, LLC Paific. LLC 8.8 Centre Metropolitlan 7.2 Padflc, LLC West Aaset 7.2 Management Metropolilian We.tAssa! 8.2 TCW Asset Management Management 8.2 Company TCW Asset Management 5.3 OSCP (NJ). Company 5.3 L.P. (NJ). GSCP Braddock 7.0 L.P. Financial 7.0 Corporation Braddock Financial Cambridge 7.9 Corporation Place 7.9 Cambridge Investment 6.6 Place Management. Investment LLP 12776YAD4 12776YAD4 CRNMZ 2006-1A 5 CRNMZ2006-1AS CRNMZ2006?1A CRNMZ2006-1A 515,000,000 $15,000.000 1.0000 1.0000 SIS,OOO.OOO 315.000.000 513,000,000 $13.000,000 5500,000,000 500.000,000 916/08 9I6J06 synthetic synthelic spread synthetic synthetic spread spread 5.45% 5.45% 12/912046 121912046 CDO COO AZ A2 AZ AZ A2 AZ A2 A A A A A A - A A A A 925338AD7 9253WOA7 VERT 2006?2A A3 VERT 2006-2A A3 VERT 2005-2A VERT 20M2-A 520.000,000 320.000.000 1.0000 1.0000 $20,000,000 320,000.000 526,000,000 $26,000.000 5500.000,000 3500.000,000 6120/06 6120/08 2.64% 2.64% 518/204 5I9f2046 CO COO A2 Menagement, Calm LLP Financiat 7.2' Calm Products Flnenclal Limited Products vertical 5.8 Limllad Capital, LLC 5.8 Vertical Capital, LLC 7.2 G) m ex> en U) I OJ I s: CU en CD' 01 01 Cn) VJ VJ CA) '" '" ...... o 8-3 Footnote Exhibits - Page 5623 [THIS INTENTIONALLY LEFI' BLANK] [TUS PAGE INTENTIONALLY LEFT BLANK] Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825534 GS MBS-E-021825534 Footnote Exhibits - Page 5624 ANNEX A-1 ANNEXA-1 FORM OF INCOME NOTES PURCHASE AND TRANSFER LETTER FORM OF INCOME NOTES PURCHASE AND TRANSFER LETTER The Bank of New York, London Branch The Bank of New York, London Branch One Canada Square One Canada Square LondonE14 5AL London E14 SAL United Kingdom United Kingdom fax+44 20 7964 6399 fax +44 20 7964 6399 phone +44 20 7964 7073 phone +44 20 7964 7073 Attention: Corporate Trust Administration Attention: Corporate Trust Administration Re: Re: Dear Sirs: Dear Sirs: Reference is hereby made to the Income Notes (the "Income Notes") issued by Timberwolf I, Ltd. Reference is hereby made to the Income Notes (the "Income Notes") issued by Timberwolf 1,Ltd. in the Issuer's Offering Circular dated March 23, 2007 ("Offering Circular") to be (the "Issuer"), described in the Issuer's Offering Circular dated March 23, 2007 ("Offering Circular") to be (the "Issuer"), described us. We (the "Purchaser'~ are purchasing U.S.$ [[ I aggregate notional amount purchased and held by us. We (the "Purchase) are purchasing U.S.$ held by 1aggregate notional amount and purchased Notes (the "Purchaser's Income Notes'). Terms defined or referenced in the Offering Circular of Income Notes (the "Purchaser's Income Notes'). Terms defined or referenced in the Offering Circular Income of and not otherwise defined or referenced herein shall have the meanings set forth in the Offering Circular. and not otherwise defined or referenced herein shall have the meanings set forth in the Offering Circular. The Purchaser hereby represents, warrants for the benefit of the Issuer that: The Purchaser hereby represents, warrants and covenants for the benefit of the Issuer that: (i) The Purchaser is (check one) (x) a institutional buyer (as defined in Rule 144A defined in Rule 144A (i) The Purchaser is (check one) (x) __ a qualified institutional buyer (as "Qualified Institutional under the Securities Act of 1933, as amended (the "Securities Act")) (a "Qualified Institutional the Securities Act of amended (the "Securities Act">> (a under S under the Securities Act) that is Buyer"), (y) a non-U.S. Person (as defined in Act) that is Buyer"), (y)__ a non-U.S. Person (as defined in Regulation S under the SecuritiesRule 903 or transaction complying with acquiring the Purchaser's Income Notes in an offshore transaction complying with Rule 903 or the Purchaser's Income Notes in acquiring (z)_ an "accredited investor" (as defined in Rule 904 of Regulation S of the Securities Act or (z) _ an "accredited investor" (as defined in Rule 904 of Regulation S of Investor") who has a net worth of not less the Securities Act) Rule 501 (a) under the Securities Act} (an "Accredited Investor") who has"a net worth of not less Rule 501(a) under than U.S.$10 million that is purchasing the Income Notes for its own account; (ii) The Purchaser, Income Notes for its own account; (ii)The Purchaser, than U.S.$1 0 million that is purchasing in the case of clauses (x) or (z) above, is a "qualified purchaser" for the purposes of Section is a "qualified purchaser" for the purposes of Section in the case of clauses (x) or (z) 3(c)(7} of the Investment Company Act of 1940, as amended (the "Investment Company Act") (a "Investment Company Act") (a 3(c)(7) of the Investment Company Act of 1940, as amended "Qualified Purchaser''); (iii) The Purchaser, in the caSe of clause (z) above, is not acquiring the in the case of clause (z) above, is not acquiring the "Qualified Purchaser"); (iii) The Purchaser, with the in Income Notes with a view to any resale or distribution thereof, other than in accordance with the Income Notes with a view to any resale or distribution thereof, other thanthe accordance Income Purchaser's restrictions set forth below; (iv) The Purchaser is aware that the sale of the Purchaser's Income is aware that the sale of restrictions set forth below; (iv) The Purchaser under the Notes to the Purchaser is being made in reliance on an exemption from registration under the Notes to the Purchaser is being made in reliance on an exemption from registration Fiscal Agency the Fiscal Agency Securities Act; (v) The Purchaser (unless otherwise permitted under the Securities Act; (v) The Purchaser (unless otherwise permitted under amount of not less than Agreement) is acquiring Income Notes in the aggregate notional principal amount of not less than Agreement) is acquiring Income Notes in the aggregate notional principal With respect to any " U.S.$100,OOO with integral multiples of U.S.$1 in excess thereof; (vi) With respect to any multiples of U.S.$1 in excess thereof; (vi) U.S.$100,000 with integral transfer of the transferee, the Purchaser also understands that, in conjunction with any transfer of the transferee, the Purchaser also understands that, in conjunction with any itwill not transfer purchaser's ownership of any Purchaser's Income Notes purchased hereunder, it will not transfer Income Notes purchased hereunder, Purchaser's ownership of any Purchaser's the transferee a or cause the transfer of such Purchaser's Income Notes without obtaining from the transferee a or cause the transfer of such Purchaser's Income Notes without obtaining from Transfer Letter (vii) The and Transfer Letter; (vii) The certificate substantially in the form of this Income Notes Purchase and certificate substantially in the form of this Income Notes Purchase transferees. Purchaser will provide notice of the transfer restrictions described to any subsequent transferees. Purchaser will provide notice of the transfer restrictions described to any subsequent Timberwolf I, Ltd. Timberwolf I, Ltd. Income Notes Income Notes (a) (a) (b) (b) to or exceeding The Purchaser is purchasing the Purchaser's Income Notes in an amount equal to or exceeding The Purchaser is purchasing the Purchaser's Income Notes in an amount equal is Qualified the minimum denominations thereof for its own account (or, ifif the Purchaser is aaQualified the minimum denominations thereof for its own account (or, the Purchaser respect to which Institutional Buyer, for the accoun.t of another Qualified Institutional Buyer with respect to which Institutional Buyer, for the account of another Qualified Institutional Buyer with and not for sale onlyand not for sale the Purchaser exercises sole investment discretion) for investment purposes only the Purchaser exercises sole investment discretion) for investment purposes that the in connection with any distribution thereof, but nevertheless subject to the understanding that the in connection with any distribution thereof, but nevertheless subject to the understanding A-1-1 A-1-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825535 GS MBS-E-021825535 Footnote Exhibits - Page 5625 disposition of its property shall at all times be and remain within its control (subject to the disposition of its property shall at all times be and remain within its control (subject to the restrictions set forth in the Offering Circular, the note in respect of-the Purchaser'S Income Notes restrictions set forth in the Offering Circular, the note in respect of the Purchaser's income Notes and the Fiscal Agency Agreement). and the Fiscal Agency Agreement). (c) (c) The Purchaser understands that the Purchaser's Income Notes have not been and will not be The Purchaser understands that the Purchaser's Income Notes have not been and will not be registered or qualified under the Securities Act or any applicable state securities laws or the registered or qualified under the Securities Act or any applicable state securities laws or the securities laws of any other jurisdiction and are being offered only in a transaction not involving securities laws of any other jurisdiction and are being offered only in a transaction not involving any public offering within the meaning of the Securities Act, are being offered only in a transaction any public offering within the meaning of the Securities Act, are being offered only in a transaction not involving any public offering, and may be reoffered, resold or pledged or otherwise transferred not involving any public offering, and may be reoffered, resold or pledged or otherwise transferred only in accordance with the restrictions on transfer set forth herein and in the Fiscal Agency only in accordance with the restrictions on transfer set forth herein and in the Fiscal Agency Agreement. The Purchaser understands and agrees that any purported transfer of Income Notes Agreement. The Purchaser understands and agrees that any purported transfer of Income Notes to a purchaser that does not comply with the reqUirements herein will not be permitted or to a purchaser that does not comply with the requirements herein will not be permitted or registered by the Fiscal Agent. The Purchaser further understands that the Issuer has the right to registered by the Fiscal Agent. The Purchaser further understands that the Issuer has the right to compel any beneficial owner of Income Notes that is a U.S. Person and is not (a) either a compel any beneficial owner of Income Notes that is a U.S. Person and is not (a) either a Qualified Institutional Buyer or an Accredited Investor with a net worth of U.S.$10 million or more Qualified Institutional Buyer or an Accredited Investor with a net worth of U.S.$10 million or more and (b) a Qualified Purchaser, to sell its interest in such Income or the Issuer may sell and (b)a Qualified Purchaser, to sell its interest in such Income Notes, or the Issuer may sell such Income Notes on behalf of such owner. such Income Notes on behalf of such owner. If the Purchaser or for which the PurChaser is purchasing the Purchaser's Income If the Purchaser or any account for which the Purchaser is purchasing the Purchaser's Income Notes is a U.S. Person (as defined in Regulation S under the Securities Act) the following Notes is a U.S. Person (as defined in Regulation S under the Securities Act) the following representations shall be true correct: The Purchaser (or if Purchaser is acquiring the representations shall be true and correct: The Purchaser (or if the Purchaser is acquiring the Purchaser's Income for account, each such account) is acquiring the Purchaser'S Purchaser's Income Notes for any account, each such account) is acquiring the Purchaser's Income Notes as own investment not for sale in connection with Income Notes as principal for its own account for investment and not for sale in connection with any Purchaser and each (a) was not formed for the any distribution thereof. The Purchaser and each such account: (a) was not formed for the specific purpose of investing in Income Notes when each beneficial owner of the specific purpose of investing in the Income Notes (except when each beneficial owner of the Purchaser and is Purchaser), (b) the extent the Purchaser is a Purchaser and each such account is a Qualified Purchaser), (b)to the extent the Purchaser is a 1996, private investment company formed Purchaser has received the private investment company formed before April 30, 1996, the Purchaser has received the necessary consent from its beneficial owners, (c) is not a pension, profit sharing or other (c) is pension, profit sharing or other necessary or participants, as applicable, retirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, in retirement trust fund may designate the particular investments to be made; and (d) is not a broker-dealer that owns made; and (d) is not a broker-dealer that owns may and invests on a discretionary basis less than U.S.$25,OOO,OOO in securities of unaffiliated U.S.$25,000,000 in securities of unaffiliated and invests on a discretionary neither it nor such account shall hold the issuers. Further, the Purchaser agrees: (i) that neither it nor" such account shall hold the Further, (i) issuers. Purchaser's Income and such purchaser of such Purchasers Income Notes for the benefit of any other person and such purchaser of such all purposes; and (ii) that neither itnor such account shall be the sole beneficial owner thereof for all purposes; and (Ii) that neither it nor such shall be account Income Notes or enter into any other account shall in participation account shall sell participation interests in the Purchaser's Income Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the other person shall be entitled to a beneficial interest in the arrangement pursuant Purchaser understands and agrees that any distributions on the Purchaser's Income Notes. The Purchaser understands and agrees that any Income distributions on the to a Purchaser that does not comply with the purported transfer of the Purchaser's Income Notes to a Purchaser that does not comply with the purported transfer of or registered by the Fiscal Agent or the reqUirements of this clause (d) will not be permitted or registered by the Fiscal Agent or the be (d) requirements of this Income Note Registrar, as applicable. Income Note Registrar, as In connection with the purchase of the Purchaser's Income Notes: (i) none of the Issuers, the purchase of the Purchaser's Income Notes: (i) none of the Issuers, the In connection with or the Income Note Registrar is Initial Purchaser, the Collateral Manager, the Issuer Administrator or the Income Note Registrar is Initial Purchaser, the Collateral Manager, the Issuer acting as a fiduciary or financial or investment adviser for the Purchaser; (ii) the Purchaser is not adviser for the Purchaser; (ii) the Purchaser is not acting as a fiduciary or financial or investment relying (for purposes of making any investment decision or otherwise) upon any advice, counsel relying (for purposes of making any investment decision or otherwise) upon any advice, counsel or representations (whether written or oral) of the Issuers, the Initial Purchaser, the Collateral or representations (whether written or oral) of the Issuers, the Initial Purchaser, the Collateral Manager, the Issuer Administrator or the Income Note Registrar, other than in the Offering Manager, the Issuer Administrator or the Income Note Registrar, other than in the Offering Circular and any representations expressly set forth in a written agreement with such party; (iii) Circular and any representations expressly set forth in a written agreement with such party; (iii) none of the Issuers, the Initial Purchaser, any Cashflow Swap Counterparty, the Collateral none of the Issuers, the Initial Purchaser, any Cashflow Swap Counterparty, the Collateral Manager, the Administrator or the Income Note Registrar has given to the Purchaser (directly or Manager, the Administrator or the Income Note Registrar has given to the Purchaser (directly or indirectly through any other person) any assurance, guarantee, or representation whatsoever as indirectly through any other person) any assurance, guarantee, or representation whatsoever as to the expected or projected success, profitability, return, performance, result, effect, to the expected or projected success, profitability, return, performance, result, effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) as to consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) as to an investment in the Purchaser's Income Notes; (iv) the Purchaser has consulted with its own an investment in the Purchaser's Income Notes; (iv) the Purchaser has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent itit has legal, regulatory, tax, business, investment, financial and accounting advisers to the extent has deemed necessary, and it has made its own investment decisions (including decisions regarding deemed necessary, and it has made its own investment decisions (including decisions regarding (d) (d) (e) (e) A-1-2 A-1-2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825536 GS MBS-E-021825536 Footnote Exhibits - Page 5626 the suitability of any transaction pursuant to the Indenture and the Fiscal Agency Agreement) the suitability of any transaction pursuant to the indenture and the Fiscal Agency Agreement) based upon its own judgment and upon any advice from such advisers as has deemed based upon its own judgment and upon any advice from such advisers as itit has deemed necessary and not upon any view expressed by the Issuers, the Initial Purchaser, any Cashflow necessary and not upon any view expressed by the Issuers, the Initial Purchaser, any Cashflow Swap Counterparty, the Collateral Manager, the Issuer Administrator or the Income Note Swap Counterparty, the Collateral Manager, the Issuer Administrator or the Income Note Registrar, (v) the Purchaser has evaluated the rates, prices or amounts and other terms and Registrar (v) the Purchaser has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Purchaser's Income Notes with full understanding of conditions of the purchase and sale of the Purchaser's Income Notes with aafull understanding of all of the risks thereof (economic and otherwise), and it is capable of assuming and willing to all of the risks thereof (economic and otherwise), and it is capable of assuming and willing to assume (financially and otherwise) those risks; and (vi) the Purchaser is a sophisticated investor. assume (financially and otherwise) those risks; and (vi) the Purchaser is a sophisticated investor. (f) (f) The certificates in respect of the Income Notes (other than the Regulation S Income Notes) will The certificates in respect of the Income Notes (other than the Regulation S Income Notes) will bear legend to the following effect unless the Issuer determines otherwise in compliance with bear aa legend to the following effect unless the Issuer determines otherwise in compliance with the Fiscal Agency Agreement and applicable law: the Fiscal Agency Agreement and applicable law: THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE "FISCAL AGENCY AGREEMENr,) BY AND AMONG THE ISSUER AND THE BANK OF "FISCAL AGENCY AGREEMENT") BY AND AMONG THE ISSUER AND THE BANK OF NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND TRANSFER AGENT. NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND TRANSFER AGENT. COPIES OF THE DEED OF COVENANT, THE TERMS AND CONDITIONS OF THE COPIES OF THE DEED OF COVENANT, THE TERMS AND CONDITIONS OF THE INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. FROM THE FISCAL AGENT. THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AMENDED (THE "SECURITIES THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACr') AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED ACT'),, AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY OF AMENDED "INVESTMENT STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACr'). HOLDER HEREOF, BY P.URCHASING THE INCOME NOTES COMPANY ACT'). THE HOLDER HEREOF, BY PURCHASING THE INCOME NOTES THE ISSUER THAT REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT BENEFIT REPRESENTED HEREBY, AGREES PLEDGED OR OTHERWISE SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE OFFERED, SUCH INCOME NOTES MAY PERSON THE SELLER REASONABLY TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY TRANSFERRED, DEFINED IN RULE 144A BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A QUALIFIED INSTITUTIONAL BUYER BELIEVES ACCOUNT OR UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR IS PURCHASING UNDER THE SECURITIES IN A TRANSACTION INSTITUTIONAL FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION FOR THE ACCOUNT THE SECURITIES ACT, (2) MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) MEETING THE REQUIREMENTS DEFINED IN RULE 501(a) UNDER THE TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) UNDER THE TO AN ACCREDITED INVESTOR THAN U.S.$10 SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION) OF NOT A SECURITIES IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION ACT, OR (3) . COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT, AND IN EACH CASE IN A MINIMUM DENOMINATION OF SECURITIES ACT, AND IN EACH CASE IN A MINIMUM DENOMINATION OF U.S.$100,OOO. FURTHERMORE THE PURCHASER AND EACH ACCOUNT FOR U.S.$100,000. FURTHERMORE THE PURCHASER AND EACH ACCOUNT FOR WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE (A}(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT M IS A (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7} OF THE QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,OOO,OOO IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN' A MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE A-1-3 A-1-3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825537 GS MBS-E-021825537 Footnote Exhibits - Page 5627 INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOlATION OF THE FOREGOING WILL NOT BE PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OR (A}(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE (A)(1) OR (A)(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL BE REQUIRED. TO EXECUTE AND DELIVER TO THE ISSUER INCOME NOTES WILL BE REQUIRED. TO EXECUTE AND DELIVER TO THE ISSUER AND THE FISCAL AGENT AN INCOME NOTES PURCHASE AND TRANSFER AND THE FISCAL AGENT AN INCOME NOTES PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT,STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (X) A AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS {X} A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS OF A QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501 (a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH .OF NOT LESS THAN U.S.$10 MILLION AND (Z) A QUALIFIED PURCHASER FOR THE OF NOT LESS THAN U.S.$10 MILLION AND (Z}A QUALIFIED PURCHASER FOR THE PURPOSES OF THE INVESTMENT COMPANY ACT. PURPOSES OF THE INVESTMENT COMPANY ACT. THE PURCHASER OR TRANSFEREE MUST DISCLOSE IN WRITING IN ADVANCE THE PURCHASER OR TRANSFEREE MUST DISCLOSE IN WRITING IN ADVANCE TO THE FISCAL AGENT (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT TO THE FISCAL AGENT (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE PLAN" (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AMENDED {"ERISA"}}, THAT IS RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA")), THAT IS SUBJECT TO THE PROVISIONS OF TITLE I OF ERISA, (B) A "PLAN" DESCRIBED IN TO THE PROVISIONS TITLE OF ERISA, (B) A "PLAN" DESCRIBED IN SUBJECT AND SUBJECT SECTION 4975 THE UNITED STATES INTERNAL REVENUE AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE OR AN ENTITY WHOSE ASSETS CODE OF 1986, AS AMENDED (THE "CODE"), OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY MEANING OF ERISA BY REASON OF ANY INCLUDE SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES THE ENTITY SUCH PERSONS AND ENTITIES SUCH PLAN'S INVESTMENT REFERRED TO HEREIN AS (C) DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS IN ClAUSES DESCRIBED TRANSFEREE IS A "BENEFIT PLAN INVESTORS"); (ii) IF THE PURCHASER OR TRANSFEREE IS A INVESTORS"); (ii) IF THE PURCHASER "BENEFIT HOLDING OR TRANSFER BENEFIT PLAN INVESTOR, THAT THE PURCHASE AND HOLDING OR TRANSFER PURCHASE INVESTOR, BENEFIT NOT CONSTITUTE OR NOT AND HOLDING OF INCOME NOTES DO NOT AND WILL NOT CONSTITUTE OR INCOME NOTES AND HOLDING UNDER SECTION 406. OF ERISA OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR RESULT IN A PROHIBITED TRANSACTION EXEMPTION IS NOT AVAILABLE; SECTION 4975 OF THE CODE FOR WHICH AN EXEMPTION IS NOT AVAILABLE; CODE FOR WHICH SECTION COLLATERAL MANAGER OR ANY OTHER AND (iii) WHETHER OR NOT IT IS THE COLLATERAL MANAGER OR ANY OTHER IS AND (iii) WHETHER OR INVESTOR) WHO HAS DISCRETIONARY PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY THAN A BENEFIT PERSON TO THE ASSETS OF THE ISSUER OR A AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A AUTHORITY OR CONTROL PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INVESTMENT ADVICE FOR A FEE (DIRECT OR PROVIDES PERSON INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f}(3}) OF ANY SUCH (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) OF ANY SUCH AN PERSON. IF A PURCHASER IS AN ENTITY DESCRIBED IN (i)(C) ABOVE, OR AN PERSON. IF A PURCHASER IS AN ENTITY DESCRIBED IN (i)(C) ABOVE, OR GENERAL ACCOUNT, IT WILL ITS GENERAL ACCOUNT, IT WILL INSURANCE COMPANY ACTING ON BEHALF OF ITS INSURANCE COMPANY ACTING ON BEHALF OF BE PERMITTED TO SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM BE PERMITTED TO SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM PERCENTAGE OF ITS ASSETS OR THE ASSETS IN ITS GENERAL ACCOUNT, AS PERCENTAGE OF ITS ASSETS OR THE ASSETS IN ITS GENERAL ACCOUNT, AS APPLICABLE, THAT MAY BE OR BECOME PLAN ASSETS, IN WHICH CASE IT WILL APPLICABLE, THAT MAY BE OR BECOME PLAN ASSETS, IN WHICH CASE IT WILL BE REQUIRED TO MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY BE REQUIRED TO MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY BE IN THE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER BE IN THE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER EXCEEDED. THE PURCHASER AGREES THAT, BEFORE ANY INTEREST IN AN AGREES THAT, BEFORE ANY INTEREST IN AN EXCEEDED. THE PURCHASER INCOME NOTE MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE INCOME NOTE MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE . TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE FISCAL TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE FISCAL AGENT WITH AN INCOME NOTES PURCHASE AND TRANSFER? LETTER AGENT WITH AN INCOME NOTES PURCHASE AND TRANSFER LETTER (SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY (SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT) STATING, AMONG OTHER THINGS, WHETHER THE TRANSFEREE IS AGREEMENT) STATING, AMONG OTHER THINGS, WHETHER THE TRANSFEREE IS A BENEFIT PlAN INVESTOR. NO PURCHASE OR TRANSFER OF INCOME NOTES A BENEFIT PLAN INVESTOR. NO PURCHASE OR TRANSFER OF INCOME NOTES A-1-4 A-1-4 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825538 GS MBS-E-021825538 Footnote Exhibits - Page 5628 WILL BE PERMITTED OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR WILL BE PERMITIED OR REGISTERED THE EXTENT THAT THE PURCHASE OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR BENEFIT INVESTORS OWNING OR TRANSFER WOULD RESULT THE INCOME MORE OF THE OUTSTANDING INCOME NOTES, (OTHER MORE OF THE OUTSTANDING INCOME NOTES (OTHER THAN THE INCOME NOTES OWNED BY THE COLLATERAL MANAGER, TRUSTEE AND THEIR NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE (DETERMINED ACCORDANCE WITH SECTION OF C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 THE FISCAL AGENCY AGREEMENT). SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). PAYMENTS HOLDERS THE INCOME NOTES ARE SUBORDINATE PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO AND INTEREST ON EACH PAYMENT DATE OF PRINCIPAL THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON PAYMENT ISSUERS AND THE PAYMENT OF CERTAIN OTHER NOTES THE NOTES OF THE ISSUERS .AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, THE EXTENT DESCRIBED IN THE INDENTURE. AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. TRANSFERS THIS NOTE LIMITED TRANSFERS MADE IN TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH RESTRICTIONS SET THE AGENCY ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE FISCAL AGENCY AGREEMENT. AGREEMENT. (9) (g) The certificates in respect of the Regulation S Income Notes will bear a legend to the following determines Agreement effect unless the Issuer determines otherwise in compliance with the Fiscal Agency Agreement and applicable law: . o COVENANT THE INCOME NOTES ARE CONSTITUTED BY THE DEED OF COVENANT DEED CONSTITUTED INCOME NOTES MARCH SUBJECT EXECUTED ISSUER EXECUTED BY THE ISSUER ON OR ABOUT MARCH 27, 2007 AND ARE SUBJECT TO THE TERMS AND CONDITIONS THEREOF AND CERTAIN CONDITIONS OF THE THE TERMS CONDITIONS THEREOF AND CERTAIN CONDITIONS THE (THE FISCAL AGENCY AGREEMENT, DATED MARCH FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 27, 2007 (THE ISSUER AND THE BANK OF AMONG AGENCY AGREEMENT1 "FISCAL AGENCY AGREEMENT") BY AND AMONG THE ISSUER AND THE BANK OF NEW AND INCOME NOTE TRANSFER LONDON BRANCH, NEW YORK, LONDON BRANCH, AS FISCAL AGENT AND INCOME NOTE TRANSFER CONDITIONS OF AGENT. COPIES DEED OF COVENANT, TERMS AGENT. COPIES OF THE DEED OF COVENANT, THE TERMS AND CONDITIONS OF FISCAL AGENCY AGREEMENT MAY BE OBTAINED INCOME NOTES THE INCOME NOTES AND THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER INCOME NOTES NOT BE REGISTERED UNDER AMENDED "SECURITIES THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES SECURITIES UNITED ACT'), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED BEEN REGISTERED UNDER UNITED ISSUER STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT AMENDED "INVESTMENT STATES INVESTMENT COMPANY PURCHASING THE INCOME NOTES HOLDER HEREOF, COMPANY ACT1. THE HOLDER HEREOF, BY PURCHASING THE INCOME NOTES COMPANY ACT"). ISSUER THAT BENEFIT REPRESENTED HEREBY, AGREES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT OTHERWISE OFFERED, PLEDGED SUCH INCOME NOTES MAY SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE SELLER REASONABLY A (A)(1) TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY WHOM TRANSFERRED, DEFINED IN BELIEVES IS 144A QUALIFIED INSTITUTIONAL BUYER BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A ACCOUNT OR IS PURCHASING UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR SECURITIES UNDER TRANSACTION FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION QUALIFIED INSTITUTIONAL ACCOUNT SECURITIES UNDER MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) REQUIREMENTS MEETING 501(a) UNDER DEFINED ACCREDITED INVESTOR TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501 (a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION) A NET SECURITIES SECURITIES UNDER IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES IN TRANSACTION EXEMPT OFFSHORE TRANSACTION IN ACT, OR(3} TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION OR (3) UNDER COMPLYING RULE COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE IN MINIMUM DENOMINATION OF SECURITIES ACT, AND IN EACH CASE IN A MINIMUM DENOMINATION OF IN SECURITIES ACCOUNT PURCHASER U.S.$100,OOO. FURTHERMORE THE PURCHASER AND EACH ACCOUNT FOR U.S.$100,000. FURTHERMORE CLAUSE IN A IS WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE IS A (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT (V) IS A REPRESENTS ISSUER BENEFIT QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE SECTION THE PURPOSES QUALIFIED PURCHASER FOR PURPOSE OF INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTMENT COMPANY EACH BENEFICIAL INVESTING IN THE ISSUER (EXCEPT INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY NECESSARY HAS RECEIVED PURCHASER IS A QUALIFIED PURCHASER), A-1-5 A-1-5 Confidential Treatment Requested by Goldman Sachs Sachs Requested GS MBS-E-021825539 GS MBS-E-021825539 Footnote Exhibits - Page 5629 CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30,1996, (Y) IS NOT A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,OOO,OOO IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WiTH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE PERMITTED OR REGISTERED BY THE FISCAL AGENT OR THE INCOME NOTE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE REGISTRAR. EACH TRANSFEROR OF THE INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. THE TRANSFEREE OF THIS SECURITY WILL BE DEEMED TO HAVE THE TRANSFEREE OF THIS SECURITY WILL BE DEEMED TO HAVE REPRESENTED THAT THE TRANSFEREE IS NOT A U.S. PERSON. REPRESENTED THAT THE TRANSFEREE IS NOT A U.S. PERSON. THE PURCHASER OR TRANSFEREE OF THIS INCOME NOTE IS DEEMED TO THE PURCHASER OR TRANSFEREE OF THIS INCOME NOTE IS DEEMED TO REPRESENT (i) THAT IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED REPRESENT (i) THAT IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE PROVISIONS OF TITLE OF IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE PROVISIONS OF TITLE II OF ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE CODE, OR (C) ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE CODE, OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE ANY SUCH INVESTMENT IN THE MEANING OF ERISA BY REASON MEANING OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) ENTITY ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) HEREIN "BENEFIT PLAN INVESTORS"); THROUGH (C) BEING REFERRED THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); AND (ii) THAT COLLATERAL MANAGER OTHER PERSON IS AND (ii) THAT IT IS NOT THE COLLATERAL MANAGER OR ANY OTHER PERSON INVESTOR) HAS DISCRETIONARY (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY BENEFIT (OTHER RESPECT CONTROL ASSETS OF THE ISSUER OR A AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A AUTHORITY ADVICE FOR A FEE (DIRECT OR PROVIDES INVESTMENT FEE (DIRECT OR PERSON PERSON WHO PROVIDES INVESTMENT ADVICE OR ANY "AFFILIATE" INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" ASSETS RESPECT INDIRECT) SECTION 2510.3-101(f)(3)) OF ANY SUCH (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3>> OF ANY SUCH (WITHIN THE MEANING INCOME NOTES WILL BE NO PURCHASE OR TRANSFER OF INCOME NOTES WILL BE PERSON. TRANSFER PURCHASE PERSON. EXTENT THAT THE PURCHASE OR PERMITTED OR REGISTERED TO THE EXTENT THAT THE PURCHASE OR PERMITTED OR REGISTERED TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR TRANSFER MORE OF THE OUTSTANDING INCOME NOTES (OTHER THAN THE INCOME OUTSTANDING INCOME NOTES (OTHER THAN THE INCOME TRUSTEE AND THEIR NOTES OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR NOTES OWNED BY THE COLLATERAL MANAGER, PURCHASE OR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER IMMEDIATELY AFFILIATES) (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). SECTION 2510.3-101 AND THE FISCAL AGENCY AGREEMENT). ANY TRANSFER, PLEDGE OR OTHER USE OF THIS INCOME NOTE FOR VALUE OR ANY TRANSFER, PLEDGE OR OTHER USE OF THIS INCOME NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS INCOME OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS INCOME NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC'), NEW YORK, NEW YORK, TO THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY INCOME NOTE ISSUED IS REGISTERED IN THE NAME OF PAYMENT AND ANY INCOME NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED CEDE & CO. OR SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). CO.). TRANSFERS OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS IN TRANSFERS OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS A-1-6 A-1-6 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825540 GS MBS-E-021825540 Footnote Exhibits - Page 5630 OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS MADE IN MADE IN OF THIS INCOME NOTE SHALL BE LIMITED TO TRANSFERS ACCORDANCE WITH THERESTRICTIONS SET FORTH IN THE FISCAL AGENCY ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE FISCAL AGENCY AGREEMENT. AGREEMENT. ARE SUBORDINATE TO PAYMENTS TO THE HOLDERS OF THE INCOME NOTES PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO THE PAYMENT ONEACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON THE PAYMENT ON THE NOTES OF THE ISSUERS AND THE PAYMENT OF CERTAIN OTHER THE NOTES OF THE ISSUERS AND THE PAYMENT OF CERTAIN OTHER THE INDENTURE. . AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. (h) (h) (i) i transferred or purchased With respect to Income Notes (other than Regulation Income Notes) transferred or purchased With respect to Income Notes (other than Regulation SS IncomeNotes) the representations and on orafter the Closing Date, the Purchaser understands and agrees that the representations and after the Closing Date, the Purchaser understands and agrees that on or agreements made in this paragraph(h) will be deemed made on each day from the date hereof (h) will be deemed made on each day from the date hereof agreements made in this paragraphwhich thePurchaser disposes of the Income Notes (other than throughand including the date on which the Purchaser disposes of the Income Notes (other than and including the date on through the Regulation S Income Notes). the Regulation S Income Notes). benefit plan" (as defined in Section (x) The Purchaser is _ is not _ [check one] (i)an "employeebenefit plan" (as defined in Section m [check one1 (i) an (x)The Purchaser is_ is notEmployee Retirement"employeeSecurity Act of 1974, as amended 3(3) of the United States Employee Retirement Income Security Act of 1974, as amended United States Income 3(3) of the that is subject to the provisions ofTitle II of ERISA, (ii) a "plan" described in and ("ERISA")), Title of ERISA, (ii) a "plan" described in and that is ("ERISA")), Section subject to the provisions of subject to 4975 of the United States Internal Revenue Code of 1986, as amended (the of the United States Internal Revenue Code of 1986, as amended (the Section entity subject toor (iiQ an4975 whose underlying assets include assets of any such plan (for purposes of any such plan purposes "Code"), "Code"), or (iii) an entity whose underlying assets include assets plan's investment (forthe entity in of ERISA or Section 4975 of the Code) by reason of any such plan's investment in the entity ERISA or Section 4975 of the Code) by reason of any such of and entities described clauses through (iiQ being referred to herein as (such persons and entities described in clauses (i) through (iii) being referred to herein as (such persons Investors"); and (y) if theinPurchaser(I) a Benefit Plan Investor, the Purchaser's is "Benefit Plan Investors"); and (y) if the Purchaser is a Benefit Plan Investor, the Purchaser's Plan "Benefit do not and will not constitute or result in a prohibited purchase and holding of an Income Note do not and will not constitute or result in a prohibited purchase and holding of an Income Noteor Section 4975 of the Code for which an exemption is transaction under Section 406 of ERISA or Section 4975 of the Code for which an exemption is under Section 406 of ERISA transaction not available. not available. The Purchaser is is not [check one] the Issuer or any other person (other than a other (other The Purchaser is _ _ is not ___ [check one] the Issuer or anyrespectperson assets than a Benefit Plan Investor) that has discretionary authority or control with respect to the assets of the that has discretionary authority or control with to the of the Plan Investor) Benefit a person who provides investment advice for a fee (direct or indirect) with respect to the Issuer, who provides investment advice for a fee (direct or indirect) with respect to the a Issuer, of person of C.F.R. assets the Issuer, or any "affiliate" (within the meaning of 29 C.F.R. Section 2510.3-101(f)(3)) 2510.3-101 'affiliate" (within assets of the Issuer, or any such person described in this paragraph Section referred to (f)(3>>a paragraph being referred to as a in of any such person (any such person being as person (any of any such "Controlling Person"). "Controlling Person"). in (iii) above, or an insurance company If the Purchaser is A Benefit Plan Investor described in (iiQ above, or an insurance company If the Purchaser is A Benefit Plan Investor than _% acting on behalf of its general account __ [check if true1, then (i) not more than __% not [check if true], then acting on behalf of its general account of its assets or the assets of [complete by entering a percentage1, (the "Maximum Percentage") of its assets or the assets of [complete by entering a percentage], (the "Maximum Percentage")Plan Investors for purposes of Benefit such general account, as applicable, constitutes assets of Benefit Plan Investors for purposes of such general account, as applicable, constitutes assets of ERISA, and (ii) without limiting the Section 3(42) and the "plan assets" regulations under ERISA, and (ii) without limiting the and the "plan assets" regulations under Section 3(42) remedies that may otherwise be available, the Purchaser agrees that it shall (x) immediately the Purchaser agrees that it shall (x) immediately that remedies Issuermay otherwise be available, is exceeded, and (y) dispose of al\ or a portion of its notify the Issuer if the Maximum Percentage is exceeded, and (y) dispose of all or a portion of its if the Maximum Percentage notify the discretion of the Issuer, a Income Notes as may be instructed by the Issuer (including, in the discretion of the Issuer, a Notes as may be instructed by the Issuer (including, in the Income back to the Issuer or an affiliate thereof (or other person designated by the Issuer) for designated by the Issuer) for disposition back to the Issuer or an affiliate thereof (or other person disposition by the Issuer, in any case in which the then value of the Income Notes as reasonably determined by the Issuer, in any case in which the then value of the Income Notes as reasonably determined the Issuer to make). the Purchaser cannot otherwise make a disposition itithasbeen instructed by the Issuer to make). the Purchaser cannot otherwise make a disposition has been instructed by the Fiscal Agent nor the Income Note The Purchaser understands and acknowledges that neither the Fiscal Agent nor the Income Note The Purchaser understands and acknowledges that neither Notes either to proposed initial of Income Registrar will register any purchase or transfer of Income Notes either to aaproposed initial Registrar will register any purchase or transfer that has, in either case, purchaser or to aaproposed subsequent transferee of Income Notes that has, in either case, purchaser or to proposed subsequent transferee of Income Notes after giving effect to such if,after giving effect to such represented that itit is a BenefitPlan Investor or aa ControllingPerson if, represented that is a Benefit Plan Investor or Controlling Person Plan Investors would own proposed transfer, persons that have represented that they are Benefit Plan Investors would own proposed transfer, persons that have represented that they are Benefit this determination, Income Notes 25% or more of the outstanding Income Notes. For purposes of this determination, Income Notes 25% or more of the outstanding Income Notes. For purposes of respectiveaffiliates and persons that held by the Collaterar Manager, the Trustee, any of their respective affiliates and persons that held by the Collateral Manager, the Trustee, any of their and will not be treated as have represented that they are ContrOlling Persons will be disregarded and will not be treated as have represented that they are Controlling Persons will be disregarded purchase or transferof purported outstanding. The Purchaser understands and agrees that any purported purchase or transfer?of . outstanding. The Purchaser understands and agrees that any of this the Purchaser'S Income Notes toto a Purchaser that does not comply withthe reqUirements of this Income Notes a Purchaser that does not comply with the requirements the Purchaser's registered by the Fiscal Agent or the Income Note Registrar. clause (h) will not be permitted oror registered by the Fiscal Agent or the Income Note Registrar. clause (h)will not be permitted A-1-7 A-1-7 Confide~tial Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825541 GS MBS-E-02182SS41 Footnote Exhibits - Page 5631 Q) (j) The Purchaser is not purchasing the Purchaser's Income Notes with view toward the resale, The Purchaser is not purchasing the Purchaser's Income Notes with aaview toward the resale, distribution or other disposition thereof in violation of the Securities Act. The Purchaser distribution or other disposition thereof in violation of the Securities Act. The Purchaser understands that an investment in the Purchaser's Income Notes involves certain risks, including understands that an investment in the Purchaser's Income Notes involves certain risks, including the risk of loss of its entire investment in the Purchaser's Income Notes under certain the risk of loss of its entire investment in the Purchasers Income Notes under certain circumstances. The Purchaser has had access to such financial and other information circumstances. The Purchaser has had access to such financial and other information concerning the Issuers and the Purchaser's Income Notes as it deemed necessary or appropriate concerning the Issuers and the Purchaser's Income Notes as itdeemed necessary or appropriate in order to make an informed investment decision with respect to its purchase of the Purchaser's in order to make an informed investment decision with respect to its purchase of the Purchaser's Income Notes, including an opportunity to ask questions of, and request information from, the Income Notes, including an opportunity to ask questions of, and request information from, the Issuer. Issuer. If the purchaser or beneficial owner is a Non-U.S. Holder, such purchaser or beneficial owner If the purchaser or beneficial owner is a Non-U.S. Holder, such purchaser or beneficial owner represents that (x) either (i) its purchase of the Income Note is not, directly or indirectly, an represents that (x) either (i) its purchase of the Income Note is not, directly or indirectly, .an extension of credit made by a bank pursuant to a loan agreement entered into in the ordinary extension of credit made by a bank pursuant to a loan agreement entered into in the ordinary course of its trade or business, (ii) it is a person that is eligible for benefits under an income tax course of its trade or business, (ii) it is a person that is eligible for benefits under an income tax treaty with the United States that eliminates United States federal income taxation of United treaty with the United States that eliminates United States federal income taxation of United States source interest not attributable to a permanent establishment in the United States or (iii) all States source interest not attributable to a permanent establishment in the United States or (iii) all income from the Income Note is effectively connected with a trade or business within the United income from the Income Note is effectively connected with a trade or business within the United States (as such terms are used in Section 882(a)(1) of the Code) conducted by such Holder and States (as such terms are used in Section 882(a)(1) of the Code) conducted by such Holder and (y) it is not purchasing the Income Note in order to reduce its United States federal income tax (y) it is not purchasing the Income Note in order to reduce its United States federal income tax liability or pursuant to tax avoidance plan. liability or pursuant to a tax avoidance plan. The Purchaser agrees to treat the Purchaser'S Income Notes in the Issuer for United The Purchaser agrees to treat the Purchaser's Income Notes as equity in the Issuer for United States federal, state and income purposes. States federal, state and local income tax purposes. The Purchaser acknowledges that money laundering requirements operating in the The Purchaser acknowledges that due to money laundering requirements operating in the Cayman Islands, the Issuer and the Fiscal Agent may require further identification of the Islands, the Issuer Agent may further identification of the Cayman Purchaser purchase the Fiscal Agent shall Purchaser before the purchase application can proceed. The Issuer and the Fiscal Agent shall be held harmless and loss arising from the failure to be held harmless and indemnified by the Purchaser against any loss arising from the failure to the Purchaser has not been process the application process the application if such information as has been required from the Purchaser has not been provided by the Purchaser. the Purchaser. provided by (k) (k) (I) (1) (m) (m) (n) (n) (0) (o) Cayman The Purchaser agrees to complete any other instrument of transfer as required under Cayman The Purchaser agrees law. Islands law. Islands The Purchaser is not a member of the public in the Cayman Islands. in The Purchaser is a member (p) (p) (q) (q) a banking, The purchaser agrees not to treat the Issuer as being engaged in the active conduct of a banking, in The purchaser agrees not to treat the Issuer as being financing, insurance, or other similar business for purposes of Section 954(h)(2) of the Code. similar business purposes of Section 954(h)(2) of the Code. financing, insurance, U.S. federal income tax form The purchaser agrees to timely furnish the Issuer or its agents any U.S. federal income tax form the Issuer or its The purchaser agrees to timely or certification (such as IRS Form W-8BEN (Certification of Foreign Status), Form W-8IMY as IRS Form W-8BEN (Certification of Foreign Status), Form W-81MY or certification (such (Certification of Foreign Intermediary Status), Form W-9 (Request for Taxpayer Identification (Certification of Foreign Intermediary Status), Form W-9 (Request for Taxpayer Identification Number and Certification) or Form W-SECI (Certification of Foreign Person's Claim for Exemption Number and Certification) or Form W-8ECI (Certification of Foreign Person's Claim for Exemption from Withholding on Income Effectively Connected with Conduct of a U.S. Trade or Business) or from Withholding on Income Effectively Connected with Conduct of a U.S. Trade or Business) or any successors to such IRS forms) that the Issuer or its agents may reasonably request and to any successors to such IRS forms) that the Issuer or its agents may reasonably request and to update or replace such form or certification in accordance with its terms or its subsequent update or replace such form or certification in accordance with its terms or its subsequent amendments. amendments. The purchaser agrees to timely fumish the Issuer, upon request, with such information as may The purchaser agrees to timely furnish the Issuer, upon request, with such information as may reasonably be requested by the Issuer (including but not limited to information relating to the reasonably be requested by the Issuer (including but not limited to information relating to the beneficial owner of the Note) in connection with the Issuer's fulfillment of its tax reporting, beneficial owner of the Note) in connection with the Issuer's fulfillment of its tax reporting, notification, withholding and similar obligations arising under the Code (as amended from time to notification, withholding and similar obligations arising under the Code (as amended from time to time) or the Transaction Documents. time) or the Transaction Documents. The purchaser agrees to treat the Issuer as aanon-U.S. corporation for purposes of U.S. federal The purchaser agrees to treat the Issuer as non-U.S. corporation for purposes of U.S. federal income, state and local. income and franchise tax and any other income taxes. . income, state and local income and franchise tax and any other income taxes. (r) (r) (s) (s) A-1-8 A-1-8 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825542 GS MBS-E-021825542 Footnote Exhibits - Page 5632 We acknowledge that you and other persons will rely upon our confirmation, acknowledgments, We acknowledge that you and other persons will rely upon our confirmation, acknowledgments, representations, warranties, covenants and agreements set forth herein, and we hereby irrevocably representations, warranties, covenants and agreements set forth herein, and we hereby irrevocably authorize you and such other persons to produce this letter or a copy hereof to any interested party in any authorize you and such other persons to produce this letter or a copy hereof to any interested party in any administrative or legal proceeding or official inquiry with respect to the matters covered hereby. administrative or legal proceeding or official inquiry with respect to the matters covered hereby. A-1-9 A-1-9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825543 GS MBS-E-021825543 Footnote Exhibits - Page 5633 ?THIS LETTER SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE THIS LETTER SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWSOF THE STATE OF NEW YORK. OF THE STATE OF NEW YORK. LAWS Very truly yours, Very truly yours, [ II By: By:~ _ _ _ _ _ __ Name: Name: TItle: Title: Receipt acknowledged as of date set forth above, Receipt acknowledged as of date set forth above, (Signature and Addresses) (Signature and Addresses) A-HO A-1-10 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825544 GS MBS-E-021825544 Footnote Exhibits - Page 5634 ANNEX A-2 ANNEXA-2 FORM OF CLASS NOTES PURCHASE AND TRANSFER LETTER FORM OF CLASS DD NOTES PURCHASE AND TRANSFER LETTER The Bank New York New York The Bank ofof Street, 8th Floor East 101 Barclay Street, 8th Floor 101 Barclay New York 10286 East New York, New York, New York 10286 Attention: COO Transaction Management Group Timberwolf I, ltcj. Attention: CDO Transaction Management Group - -Timberwolf 1,Ltd. Re: Re: Dear Sirs: Dear Sirs: Reference is hereby made to the Class 0 Notes (the "Class Notes") issued by Timberwolf 1, to the I, Reference is hereby made Issuer'sClass D Notes (the "Class*D0 Notes") issued by Timberwolf to ltd. (the"Issuee described in the Issuer's Offering Circular dated March 23, 2007 ("Offering Circula) to Offering Circular dated March 23, 2007 ("Offering Circular') , (the "Issuer'), described in the Ltd. purchased and held by us. We (the "Purchaser") are purchasing U.S.$L[....... }Class D Notes (the be Class 0 Notes (the and held by us. Terms "Purchaser") are purchasing U.S.$[ be purchased Class 0 Notes"). We (the defined or referenced in the Offering Circular and not otherwise "Purchaser'S Class D Notes"). Terms defined or referenced in the Offering Circular and not otherwise "Purchaser's defined or referenced herein shall have the meanings set forth in the Offering Circular. or referenced herein shall have the meanings set forth In the Offering Circular. Timberwolf I, Ltd. Timberwolf 1,Ltd. Class 0 Notes Class D Notes defined The Purchaser hereby represents, warrants and covenants forthe benefit of the Issuer that The Purchaser hereby represents, warrants and covenants for the benefit 6f the Issuer that (a) (Q The Purchaser is (check one) (x) _ a qualified institutional buyer (as defined in Rule 144A is (check one) as a qualified "Securities buyer (as defined in Rule 144A (i) Thethe Securities Act of 1933, (x) amended (theinstitutional Act")) (a "Qualified Institutional (a) under Purchaser Act of 1933, as amended (the "Securities Act">> (a "Qualified Institutional the Securities under or (y) _ a non-U.S. Person (as defined in Regulation S under the Securities Act) that is Buyer') (as defined in Regulation under the Securities Act) that is Buyer") or (y) a non-U.S. PersonNotes an offshore transaction Rule 903 or acquiring the Purchaser's Class D Notes in an offshore transaction complying with Rule 903 or in Class D acquiring the Purchaser'sof of clause (x)above, Rule 904 of Regulation S of the Securities Act; (ii) The Purchaser, in the case of clause (x) above. Purchaser, in Act (i) Rule 904 of Regulation S the Securities Investment Company Act of is a "qualified purchaser" for the purposes of Section 3(c)(7) of the Investment Company Act of is a "qualified purchaser" for the purposes of Section "Qualified Purchaser"); (iiQ The Purchaser Purchaser"); (iii) The Purchaser. 1940, as amended (the "Investment Company Acr) (a Act") (a 1940. as amended (the "Investment Company Purchaser is being made in is aware that the sale of the Purchaser's Class 0 Notes to the Purchaser is being made in Notes to is aware that the sale of the Purchaser's Class D the Securities Act; (iv) The Purchaser is reliance on an exemption from registration under the Securities Act; (iv) The Purchaser is reliance on an exemption from registration underNotes; (v)With respect to any transferee, the acquiring not less than U.S.$250,OOO of Purchased Notes; (v) With respect to any transferee, the acquiring not less than U.S.$250000 of Purchased Purchaser also understands that, in conjunction with any transfer of the Purchaser's ownership of of the Purchaser's ownership of Purchaser also understands that, in conjunction with any transfer transfer or cause the transfer of any Purchaser's Class 0 Notes purchased hereunder, it will not transfer or cause the transfer of hereunder, it will not any Purchaser's Class D Notes purchased such Purchaser's Class 0 Notes without obtaining from the transferee a certificate substantially in transferee a certificate substantially in such Purchaser's Class Notes without obtaining from theLetter; (vi) The Purchaser will provide the form of this Class 0 Notes Purchase and Transfer Letter; (vi) The Purchaser will provide and Transfer the form of this Class D Notes Purchase transferees. notice of the transfer restrictions descnbed to any subsequent transferees. notice of the transfer restrictions described to any subsequent in an amount equal to or exceeding (b) The Purchaser is purchasing the Purchaser'S Class 0D Notes in an amount equal to or exceeding The Purchaser is purchasing the Purchaser's own Notes (b) the minimum permitted amount thereof for its Class account (or, ififthe Purchaser is aaQualified (or, the Purchaser is Qualified the minimum permitted amount thereof for its own account Institutional Buyer,for the account of another Qualified Institutional Buyer with respect to which Institutional Buyer with respect to which Institutional Buyer,'for the account of another Qualifiedinvestment purposes only and not for sale the Purchaser exercises sole investment discretion) for investment purposes only and not for sale the Purchaser exercises sole investment discretion) for subject to the understanding that the in connection with any distribution thereof, but nevertheless subject to the understanding that the in connection with any distribution thereof, but nevertheless disposition of its property shall at all times be and remain within its control (subject to the be and remain within its control (subject to the disposition of its property shall at all times restrictions set forth inin the OfferingCircular and the Indenture). restrictions set forth the Offering Circular and the Indenture). (c) The Purchaser understanps that the Purchaser's Class 0 D Noteshave not been and will not be Notes have not been and will not be The Purchaser understan 'ds the the Purchasers Class applicable state securities laws or the (c) registered or qualified under that Securities Act ororany applicable state securities laws or the any registered or qualified under the Securities Act not involving, securities laws ofof any other jurisdictionand are being offered only inin a transactionnot invoMng. laws any other jurisdiction and are being offered only a transaction in a transaction securities any public offering within the meaning ofof the Securities Act, are being offered only a transaction the Securities Act, are being offered only in any public offering within the meaning pledged or otherwise transferred not involving any public offering, and may be reoffered, resold oror pledged or otherwise transferred not involving any public offering, and may be reoffered, resold - A-2-1 A-2-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825545 GS MBS-E-021825545 Footnote Exhibits - Page 5635 only in accordance with the restrictions on transfer set forth herein and in the Indenture. The only in accordance with the restrictions on transfer set forth herein and in the Indenture. The Purchaser understands and agrees that any purported transfer of Class 0 Notes to a purchaser Purchaser understands and agrees that any purported transfer of Class D Notes to a purchaser that does not comply with the requirements herein will not be permitted or registered by the Note that does not comply with the requirements herein will not be permitted or registered by the Note Transfer Agent. The Purchaser further understands that the Issuer has the right to compel any Transfer Agent. The Purchaser further understands that the Issuer has the right to compel any beneficial owner of Class 0 Notes that is a U.S. Person and is not (a) either a Qualified beneficial owner of Class D Notes that is a U.S. Person and is not (a) either a Qualified Institutional Buyer and (b) a Qualified Purchaser, to sell its interest in such Class 0 Notes, or the Institutional Buyer and (b)a Qualified Purchaser, to sell its interest in such Class D Notes, or the Issuer may sell such Class 0 Notes on behalf of such owner. Issuer may sell such Class D Notes on behalf of such owner. (d) (d) If the Purchaser or any account for which the Purchaser is purchasing the Purchaser's Class 0 Ifthe Purchaser or any account for which the Purchaser is purchasing the Purchasers Class D Notes is a U.S. Person (as defined in Regulation S under the Securities Act) the following Notes is a U.S. Person (as defined in Regulation S under the Securities Act) the following representations shall be true and correct: The Purchaser (or the Purchaser is acquiring the representations shall be true and correct: The Purchaser (or ifif the Purchaser is acquiring the Purchaser'S Class 0 Notes for any account, each such account) is acquiring the Purchaser's Purchaser's Class D Notes for any account, each such account) is acquiring the Purchasers Class 0 Notes as principal for its own account for investment and not for sale in connection with Class D Notes as principal for its own account for investment and not for sale in connection with any distribution thereof. The Purchaser and each such account: (a) was not formed for the any distribution thereof. The Purchaser and each such account: (a) was not formed for the specific purpose of investing in the Class 0 Notes (except when each beneficial owner of the specific purpose of investing in the Class D Notes (except when each beneficial owner of the Purchaser and each such account is a Qualified Purchaser), (b) to the extent the Purchaser is a Purchaser and each such account is a Qualified Purchaser), (b)to the extent the Purchaser is a private investment company formed before April 30, 1996, the Purchaser has received the private investment company formed before April 30, 1996, the Purchaser has received the necessary consent from its beneficial owners, (c) is not a profit sharing or other necessary consent from its beneficial owners, (c) is not a pension, profit sharing or other retirement trust fund or plan which the partners, beneficiaries or participants, as applicable, retirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the particular investments to be made; and (d) is not a broker-dealer that owns may designate the particular investments to be made; and (d) is not a broker-dealer that owns and invests discretionary less than U.S.$25,OOO,OOO in securities of unaffiliated and invests on a discretionary basis less than U.S.$25,000,000 in securities of unaffiliated issuers. Further, the Purchaser agrees: (i) that neither it nor such account shall hold the issuers. Further, the Purchaser agrees: (i) that neither it nor such account shall hold the Purchaser's 0 Notes for the benefit of any other person and such purchaser of such Purchaser's Class D Notes for the benefit of any other person and such purchaser of such shall be the owner for all purposes; and (ii) that neither it nor such account shall be the sole beneficial owner thereof for all purposes; and (ii) that neither it nor such in the Purchaser'S Class 0 Notes or enter into any other account shall sell participation account shall sell participation interests in the Purchasers Class D Notes or enter into any other arrangement pursuant any other person entitled to a beneficial interest in the arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Purchaser's 0 understands and agrees that any distributions on the Purchaser's Class D Notes. The Purchaser understands and agrees that any Purchaser's 0 Notes that does not comply with the purported purported transfer of the Purchaser's Class D Notes to a Purchaser that does not comply with the Transfer Agent. requirements of this clause (d)will not be permitted or registered by the Note Transfer Agent (d) requirements of In connection with the purchase of the Purchaser'S Class D Notes: (i) none of the Issuers, the 0 Notes: (0 none of the Issuers, the Purchasers In connection Initial Purchaser, the Collateral Manager or the Administrator is acting as a fiduciary or financial is acting as a fiduciary or financial Initial Purchaser, not relying (for purposes of making or investment adviser for the Purchaser: (ii) the Purchaser is not relying (for purposes of making Purchaser; (ii) or investment adviser counsel or representations (whether any investment decision or otherwise) upon any advice, counselor repres'entations (whether any investment the Collateral Manager or the Administrator written or oral) of, the Issuers, the Initial Purchaser, the Collateral Manager or the Administrator Issuers, of written or oral) expressly set forth in a written other than in the Offering Circular and any representations expressly set forth in a written other than in the the Initial Purchaser, the Cashflow Swap agreement with such party; (iii) none of the Issuers, the Initial Purchaser, the Cashflow Swap of the party; agreement with given to the Purchaser (directly or Counterparty, the Collateral Manager or the Administrator has given to the Purchaser (directly or Counterparty, the Collateral Manager guarantee, or representation whatsoever as indirectly through any other person) any assurance, guarantee, or representation whatsoever as other person) any indirectly through to the expected or projected success, profitability, return, performance, result, effect, success, profitability, return, performance, result, effect, to the expected consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) as to consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) as to an investment in the Purchaser's Class 0 Notes: (iv) the Purchaser has consulted with its own D Notes; (iv) the Purchaser has consulted with its own an investment in the Purchaser's legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has legal, regulatory, tax, business, investment, financial and accounting advisers to the extent ithas deemed necessary, and it has made its own investment decisions (including decisions regarding deemed necessary, and it has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture) based upon its own judgment and the suitability of any transaction pursuant to the Indenture) based upon its own judgment and upon any advice from such advisers as it has deemed necessary and not upon any view upon any advice from such advisers as it has deemed necessary and not upon any view expressed by the Issuers, the Initial Purchaser, the Cashflow Swap Counterparty, the Collateral expressed by the Issuers, the Initial Purchaser, the Cashflow Swap Counterparty, the Collateral Manager or the Administrator; (v) the Purchaser has evaluated the rates, prices or amounts and Manager or the Administrator; (v) the Purchaser has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Purchaser's Class 0 Notes with a full other terms and conditions of the purchase and sale of the Purchaser's Class D Notes with a full understanding of all of the risks thereof (economic and otherwise), and it is capable of assuming understanding of all of the risks thereof (economic and otherwise), and it is capable of assuming and willing to assume (financially and otherwise) those risks: and (vQ the Purchaser is a and willing to assume (financially and otherwise) those risks; and (vi) the Purchaser is a sophisticated investor. sophisticated investor. (e) (e) (f) (f) will The certificates in respect of the Class 0D Notes (other than the Regulation S Class 0 Notes) will The certificates in respect of the Class Notes (other than the Regulation S Class D Notes)with bear a legend to the following effect unless the Issuer determines otherwise in compliance with effect unless the Issuer determines otherwise in compliance bear a legend to the following the Indenture and applicable law: the Indenture and applicable law: A-2-2 A-2-2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825546 GS MBS-E-021825546 Footnote Exhibits - Page 5636 THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT,), AND THE ISSUERS HAVE NOT BEEN REGISTERED "SECURITIES ACT), AND THE ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT,). THE HOLDER HEREOF, AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUER THAT THE BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUER THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES is A QUALIFIED INSTITUTIONAL BUYER AS REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F). OF 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, PURCHASING FOR ITS OWN ACCOUNT OR BENEFICIARIES OF THE PLAN, PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF QUALIFIED INSTITUTIONAL BUYER, FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS OF RULE 144A UNDER THE TRANSACTION MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT OR (2) A NON U.S. PERSON OFFSHORE SECURITIES ACT OR (2) TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE S~CURITIES ACT AND, IN THE CASE OF REGULATION S UNDER THE SECURITIES ACT AND, IN THE CASE OF CLAUSE (1), PRINCIPAL AMOUNT OF NOT THAN U.S.$250,OOO CLAUSE (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$250,000 OR IN THE CASE OF CLAUSE PRINCIPAL AMOUNT OF NOT LESS OR IN THE CASE OF CLAUSE (2), IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$100,000, FOR THE PURCHASER FOR EACH ACCOUNT THAN U.S.$100,OOO, FOR THE PURCHASER AND FOR EACH ACCOUNT OTHER THAN IN THE FOR-WHICH IS ACTING, TO PURCHASER FOR-WHICH IT IS ACTING, TO A PURCHASER THAT, OTHER THAN IN THE PURPOSES CASE OF CLAUSE (2), (V) IS A QUALIFIED PURCHASER FOR PURPOSES IS QUALIFIED PURCHASER CLAUSE OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT THE INVESTMENT COMPANY WAS NOT SECTION 3(c)(7) ISSUER (EXCEPT FORMED THE PURPOSE OF INVESTING IN FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED THE PURCHASER IS WHEN EACH BENEFICIAL OWNER NECESSARY CONSENT FROM ITS PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS RECEIVED PURCHASER), PRIVATE PURCHASER IS BENEFICIAL OWNERS WHEN THE PLIRCHASER IS A PRIVATE OWNERS WHEN IS NOT A INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A INVESTMENT COMPANY FORMED BEFORE DISCRETIONARY INVESTS BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY OWNS DEALER UNAFFILIATED BASIS LESS THAN U.S.$25,OOO,OOO IN SECURITIES OF UNAFFILIATED U.S.$25,000,000 IN SECURITIES OTHER ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER IS NOT ISSUERS IN WHICH RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, RETIREMENT TRUST FUND APPLICABLE, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE PARTICIPANTS, BENEFICIARIES IN TRANSACTION BE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION PARTICULAR INVESTMENTS THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE EFFECTED WITHOUT LOSS OF ANY APPLICABLE MAY INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH EXEMPTION AND (B) IN ACCORDANCE WITH INVESTMENT COMPANY ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER IN VIOLATION OF THE ANY PURPORTED TRANSFER IN VIOLATION OF THE STATES. FOREGOING WILL NOT BE PERMITIED OR REGISTERED BY THE NOTE FOREGOING WILL NOT BE PERMITTED OR REGISTERED BY THE NOTE TRANSFER AGENT. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE TRANSFER AGENT. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. THE INDENTURE TO ITS TRANSFEREE. IF THE TRANSFER OF CLASS 0 NOTES IS TO BE MADE PURSUANT TO IF THE TRANSFER OF CLASS D NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF CLAUSE (A)(1) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE CLASS 0 NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE CLASS D NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE .ISSUER AND THE- NOTE TRANSFER AGENT A CLASS D NOTES THE ISSUER AND THE NOTE TRANSFER AGENT A CLASS D NOTES PURCHASE AND TRANSFER LETIER, SUBSTANTIALLY IN THE FORM PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM ATIACHED TO THE INDENTURE, STATING THAT AMONG OTHER THINGS, ATTACHED TO THE INDENTURE, STATING THAT AMONG OTHER THINGS, A-2-3 A-2-3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825547 GS MBS-E-021825547 Footnote Exhibits - Page 5637 THE TRANSFEREE IS (1) A QUALIFIED INSTITUTIONAL BUYER AS THE TRANSFEREE IS (1) A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER AND (2) A QUALIFIED PURCHASER FOR THE INSTITUTIONAL BUYER AND (2) A QUALIFIED PURCHASER FOR THE PURPOSES OF THE INVESTMENT COMPANY ACT. PURPOSES OF THE INVESTMENT COMPANY ACT. THE PURCHASER OR TRANSFEREE OF THIS NOTE MUST DISCLOSE IN THE PURCHASER OR TRANSFEREE OF THIS NOTE MUST DISCLOSE IN WRITING IN ADVANCE TO THE TRUSTEE (i) WHETHER OR NOT IT IS (A) AN WRITING IN ADVANCE TO THE TRUSTEE (I) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA">>, THAT IS SUBJECT TO THE PROVISIONS OF 1974, AS AMENDED ("ERISA")), THAT IS SUBJECT TO THE PROVISIONS OF TITLE OF ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION TITLE II OF ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE'1, OR (C) AN ENTITY WHOSE ASSETS INCLUDE AMENDED (THE "CODE"), OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS'1: (ii) IF THE PURCHASER OR TO HEREIN AS "BENEFIT PLAN INVESTORS") (ii) IF THE PURCHASER OR TRANSFEREE IS A BENEFIT PLAN INVESTOR, THAT THE PURCHASE AND TRANSFEREE IS A BENEFIT PLAN INVESTOR, THAT THE PURCHASE AND HOLDING OR TRANSFER AND HOLDING OF CLASS NOTES DO NOT AND HOLDING OR TRANSFER AND HOLDING OF CLASS D NOTES DO NOT AND A PROHIBITED TRANSACTION WILL NOT CONSTITUTE OR RESULT WILL NOT CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION OF THE CODE FOR UNDER SECTION 406 OF ERISA OR SECTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE FOR EXEMPTION NOT AVAILABLE: AND (iii) WHETHER OR NOT IT WHICH WHICH AN EXEMPTION IS NOT AVAILABLE; AND (iii) WHETHER OR NOT IT IS THE COLLATERAL MANAGER OR OTHER PERSON (OTHER THAN A IS THE COLLATERAL MANAGER OR ANY OTHER PERSON (OTHER THAN A BENEFIT INVESTOR) WHO DISCRETIONARY AUTHORITY OR BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR ISSUER OR A CONTROL WITH RESPECT TO THE ASSETS OF CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A FEE (DIRECT OR PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR PROVIDES INVESTMENT ADVICE ISSUER, OR ANY INDIRECT) WITH RESPECT TO THE ASSETS INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY MEANING 29 SECTION 2510.3-101(f)(3>> "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) DESCRIBED SUCH A PURCHASER OF ANY SUCH PERSON. IF A PURCHASER IS AN ENTITY AS DESCRIBED (i)(C) ABOVE, BEHALF OF INSURANCE COMPANY IN (i)(C) ABOVE, OR AN INSURANCE COMPANY ACTING ON BEHALF OF INDICATE, AND BE PERMITTED ITS GENERAL ACCOUNT, IT WILL BE PERMITTED TO SO INDICATE, AND GENERAL OR REQUIRED TO IDENTIFY A MAXIMUM PERCENTAGE OF ITS ASSETS OR MAXIMUM PERCENTAGE IDENTIFY REQUIRED MAY BE ACCOUNT, APPLICABLE, THE ASSETS IN ITS GENERAL ACCOUNT, AS APPLICABLE, THAT MAY BE IN ITS THE REQUIRED TO OR BECOME PLAN ASSETS, IN WHICH CASE IT WILL BE REQUIRED TO IN OR BECOME IN MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY IN THE MAKE- CERTAIN FURTHER AGREEMENTS THEREAFTER BE EVENT THAT SUCH MAXIMUM PERCENTAGE WOULD THEREAFTER BE THAT SUCH MAXIMUM PERCENTAGE EVENT INTEREST IN EXCEEDED. THE PURCHASER AGREES THAT, BEFORE ANY INTEREST IN PURCHASER AGREES THAT, BEFORE EXCEEDED. A CLASS D NOTE MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE BE OFFERED, SOLD, PLEDGED OR OTHERWISE A CLASS D THE TO TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE TRANSFEREE WILL BE TRANSFERRED, PURCHASE AND D NOTE TRANSFER AGENT WITH A CLASS D NOTES PURCHASE AND AGENT WITH A NOTE FORM ATTACHED TO THE TRANSFER LETTER (SUBSTANTIALLY IN THE FORM ATTACHED TO THE (SUBSTANTIALLY IN TRANSFER THE THINGS, INDENTURE) STATING, AMONG OTHER THINGS, WHETHER THE INDENTURE) STATING, AMONG NO PURCHASE OR TRANSFEREE IS A BENEFIT PLAN INVESTOR. A BENEFIT PLAN INVESTOR. NO PURCHASE OR TRANSFEREE IS BE PERMITTED OR REGISTERED TO TRANSFER OF CLASS D NOTES WILL BE PERMITTED OR REGISTERED TO TRANSFER OF CLASS D NOTES THE EXTENT THAT THE PURCHASE OR TRANSFER WOULD RESULT IN THE EXTENT THAT THE PURCHASE OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR MORE OF THE? BENEFIT PLAN INVESTORS OWNING 25% OR MORE OF THE OUTSTANDING CLASS D NOTES (OTHER THAN THE CLASS D NOTES OUTSTANDING CLASS D NOTES (OTHER THAN THE CLASS D NOTES OwNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR OWNED BY THE COLLATERAL MANAGER, THE TRUSTEE AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR TRANSFER (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE INDENTURE). SECTION 2510.3-101 AND THE INDENTURE). TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. A-2-4 A-2-4 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825548 GS MBS-E-021825548 , ; Footnote Exhibits - Page 5638 PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. (g) (g) The certificates in respect ofthe Regulation S Class 0 Notes will bear a legend to the following The certificates in respect of the Regulation S Class D Notes will bear a legend to the following effect unless the Issuer determines otherwise in compliance with the Indenture and applicable effect unless the Issuer determines otherwise in compliance with the Indenture and applicable law: . law: THIS NOTE HAS NOT BEEN AND WILL t-:lOT BE REGISTERED UNDER THE THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT), AND THE ISSUERS HAVE NOT BEEN REGISTERED "SECURITIES ACT), AND THE ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTM.ENT COMPANY ACT OF 1940, AS UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT'). THE HOLDER HEREOF, AMENDED (THE "INVESTMENT COMPANY ACT'). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUER THAT THE BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUER THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHER~SE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS QUALIFIED INSTITUTIONAL BUYER AS REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS NOT A DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON DISCRETIONARY BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS U.S.$25 MILLION SECURITIES ISSUERS THAT BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) (a)(1)(i)(E) OF RULE 144A OR TRUST FUNO REFERRED IN PARAGRAPH (a)(1)(i)(F) OF 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A HOLDS THE ASSETS SUCH IF INVESTMENT RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS RESPECT THE ARE MADE BY THE DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES THE PURCHASING ITS ACCOUNT OR BENEFICIARIES OF THE PLAN, PURCHASING FOR ITS OWN ACCOUNT OR FOR ACCOUNT OF QUALIFIED INSTITUTIONAL BUYER, IN A FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS RULE 144A UNDER THE TRANSACTION MEETING THE REQUIREMENTS OF RULE 144A UNDER THE OFFSHORE IN SECURITIES ACT OR (2) TO A NON U.S. PERSON IN AN OFFSHORE SECURITIES ACT RULE 904 OF TRANSACTION TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF CASE OF IN REGULATION S UNDER THE SECURITIES ACT AND, IN THE CASE OF SECURITIES REGULATION S UNDER U.S.$250,000 CLAUSE (1), IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$2S0,OOO NOT (1), IN PRINCIPAL AMOUNT CLAUSE LESS OR IN THE CASE OF CLAUSE (2), IN A PRINCIPAL AMOUNT OF NOT LESS IN IN EACH ACCOUNT THAN U.S.$100,OOO, FOR THE PURCHASER AND FOR EACH ACCOUNT PURCHASER FOR U.S.$100,000, THAN IN THE FOR WHICH IT IS ACTING, TO A PURCHASER THAT, OTHER THAN IN THE PURCHASER FOR PURPOSES CASE OF CLAUSE (2), (V) IS A QUALIFIED PURCHASER FOR PURPOSES IS QUALIFIED PURCHASER (2), CASE (W) WAS NOT OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT INVESTMENT COMPANY OF SECTION FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT OF THE PURCHASER IS A QUALIFIED WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED WHEN EACH BENEFICIAL PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS A PRIVATE BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE WHEN THE PURCHASER BENEFICIAL 30, 1996, (Y) IS NOT A INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A FORMED BEFORE INVESTMENT BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BROKER DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,OOO IN SECURITIES OF UNAFFILIATED BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION . THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL' APPL.:ICABLE SECURITIES LAWS OF THE STATES OF THE UNITED ALL' APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. EACH HOLDER HEREOF SHALL BE DEEMED TO MAKE THE STATES. EACH HOLDER HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE A-2-S A-2-5 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825549 GS MBS-E-021825549 Footnote Exhibits - Page 5639 (AS DEFINED HEREIN). ANY TRANSFER IN VIOLATION OF THE ANY TRANSFER IN VIOLATION OF THE (AS DEFINED HEREIN). FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE NULL AND FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE NULL AND VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO VOID AB INITIO AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUERS, THE NOTE TRANSFER AGENT OR ANY CONTRARY TO THE ISSUERS, THE NOTE TRANSFER AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN IN ADDITION TO THE THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE THE INDENTURE TO ITS TRANSFEREE. FOREGOING, THE ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE FOREGOING, THE ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF INTEREST IN THE NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF OF SUCH OWNER. OF SUCH OWNER. THE PURCHASER OR TRANSFEREE OF A CLASS 0 NOTE IS DEEMED TO THE PURCHASER OR TRANSFEREE OF A CLASS D NOTE IS DEEMED TO REPRESENT TO THE NOTE TRANSFER AGENT (i) THAT IT IS NOT (A) 'AN REPRESENT TO THE NOTE TRANSFER AGENT (i) THAT IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), THAT IS SUBJECT TO THE PROVISIONS OF TiTlE OF ERISA, (B) A "PLAN" THAT IS SUBJECT TO THE PROVISIONS OF TITLE II OF ERISA, (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE CODE, OR (C) AN DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE CODE, OR (C)AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT THE ENTITY OF ERISA BY REASON OF ANY SUCH PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED HEREIN AS "BENEFIT PLAN THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INvESTORS"); AND (ii) THAT NOT THE COLLATERAL MANAGER OR INVESTORS"); AND (ii) THAT IT IS NOT THE COLLATERAL MANAGER OR ANY OTHER (OTHER BENEFIT INVESTOR) WHO ANY OTHER PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORllY OR CONTROL RESPECT TO THE HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS WHO PROVIDES INVESTMENT ISSUER ASSETS OF THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT RESPECT TO THE INDIRECT) FEE (DIRECT ADVICE ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (WITHIN THE MEANING OF (WITHIN THE MEANING OF ISSUER, ASSETS NO PERSON. 29 C.F.R. SECTION 2510.3-101(f)(3)} OF ANY SUCH PERSON. NO SECTION 2510.3-101(f)(3)) 29 BE PERMITTED OR D NOTES PURCHASE OR TRANSFER OF CLASS D NOTES WILL BE PERMITTED OR TRANSFER PURCHASE TRANSFER PURCHASE REGISTERED TO THE EXTENT THAT THE PURCHASE OR TRANSFER? EXTENT REGISTERED INVESTORS OWNING 25% OR MORE WOULD RESULT IN BENEFIT PLAN INVESTORS OWNING 25% OR MORE IN BENEFIT WOULD THE CLASS D OF THE OUTSTANDING CLASS 0 NOTES (OTHER THAN THE CLASS 0 OF THE OUTSTANDING CLASS D NOTES TRUSTEE AND MANAGER, THE TRUSTEE AND NOTES OWNED BY THE COLLATERAL MANAGER, THE COLLATERAL NOTES OWNED SUCH PURCHASE OR THEIR AFFILIATES) IMMEDIATELY AFTER SUCH PURCHASE OR IMMEDIATELY THEIR SECTION 3(42) OF TRANSFER (DETERMINED IN ACCORDANCE WITH SECTION 3(42) OF TRANSFER (DETERMINED IN ACCORDANCE ERISA, 29 C.F.R. SECTION 2510.3-101 AND THE INDENTURE). AND THE INDENTURE). ERISA, 29 C.F.R. SECTION ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, BY AN AUTHORIZED UNLESS THIS IS PRESENTED NOTE UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC'1, NEW OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW REPRESENTATIVE YORK, NEW YORK, TO THE ISSUER OR THEIR AGENT FOR YORK, NEW YORK, TO THE ISSUER OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH BY AN AUTHORIZED OTHER REQUESTED AS IS ENTITY OTHER ENTllY AS IS REQUESTED BY AN AUTHORIZED. REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO OF DTC (AND ANY PAYMENT HEREON IS MADE TO REPRESENTATIVE CEDE & CO.). CEDE & CO.). TRANSFERS -OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF A-2-6 A-2-6 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825550 GS MBS-E-021825550 Footnote Exhibits - Page 5640 PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. THE FOLLOWING INFORMATION PROVIDED PURSUANT TO UNITED THE FOLLOWING INFORMATION IS PROVIDED PURSUANT TO UNITED STATES TREASURY REGULATION SECTION 1.1275-3{b). THIS NOTE HAS STATES TREASURY REGULATION SECTION 1.1275-3(b). THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT FOR UNITED STATES BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. THE HOLDER OF THIS NOTE MAY FEDERAL INCOME TAX PURPOSES. THE HOLDER OF THIS NOTE MAY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY 1275-3(b)(1){i) FROM THE ADMINISTRATOR, AT REGULATION SECTION REGULATION SECTION 1. 1275-3(b)(1)(i) FROM THE ADMINISTRATOR, AT THE FOLLOWING ADDRESS: BOX 1093 GRAND CAYMAN, THE FOLLOWING ADDRESS: P.O. BOX 1093 GT, GRAND CAYMAN, CAYMAN ISLANDS. CAYMAN ISLANDS. (h) (h) With respect Class D (other than the Regulation 0 Notes) transferred or - With respect to Class D Notes (other than the Regulation S Class D Notes) transferred or . purchased on or after the Closing Date, the Purchaser understands and agrees that the purchased on or after the Closing Date, Purchaser understands and agrees the made paragraph (h) be each day representations and agreements made in this paragraph (h)will be deemed made on each day from the date hereof through and including the date on which the Purchaser disposes of the hereof through date the Purchaser disposes of the Notes Regulation 0 Notes). Class D Notes (other than the Regulation S Class D Notes). is _ is {check one] (i) "employee plan" (as defined in Section (x) The Purchaser is _ is not _ [check one1 (i) an "employee benefit plan" (as defined in Section 1974, as amended 3(3) of United Employee Retirement Income Security 3(3) of the United States Employee Retirement Income Security Act of 1974, as amended is (ii) a "plan" described in and ("ERISA,,), ("ERISA")), that is subject to the provisions of Title I of ERISA, (ii) a "plan" described in and Section United 1986, as amended (the subject subject to Section 4975 of the United States Internal Revenue Code of 1986, as amended (the purposes plan "Code"), (iii) "Code"), or (iii) an entity whose underlying assets include assets of any such plan (for purposes of of ERISA or Section 4975 of the Code) by reason of any such plan's investment in the entity ERISA Code) by such plan's investment in the entity referred to herein as (iii) {such in (i) (such persons and entities described in clauses (Q through (iii) being referred to herein as Benefit Plan Investor, the Purchaser's is "Benefit (y) "Benefit Plan Investors"); and (y) if the Purchaser is a Benefrt Plan Investor, the Purchaser'S or result in a prohibited will D a purchase and holding of a Class 0 Note do not and will not constitute or result in a prohibited of the Code (or, in the case of an Section transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of an ERISA of the Code, any federal, state, local employee benefit plan not subject to ERISA or Section 4975 of the Code, any federal, state, local ERISA or Section 4975 of the Code) Section or foreign law that is substantially similar to Section 406 of ERISA or Section 4975 of the Code) is for which an exemption is not available. is available. a one] The Purchaser is _ _ is not ___ [check one1 the Issuer or any other person (other than a with respect to the assets of the Benefit Plan Investor) that has discretionary authority or control with respect to the assets of the Issuer, a person who provides investment advice for a fee (direct or indirect) with respect to the advice for a fee (direct or indirect) with respect to the who provides Issuer, a meaning of 29 C.F.R. Section 2510.3-101(f)(3)) assets of the Issuer, or any "affiliate" (within the meaning of 29 C.F.R. Section 2510.3-101 (f)(3>> any the in this paragraph being referred to as a of any? such person (any such person described in this paragraph being referred to as a person any "Controlling Person"). Person"). If the Purchaser is a Benefit Plan .Investor described in (iii) above, or an insurance company in (iii) above, or an insurance company Plan Investor is a If % acting on behalf of its general account _-_ (check if true), then (i) not more than _ _% [check true], then (i) not more than of its general account acting [complete by entering a percentage), (the "Maximum Percentage'1 of its assets or the assets of a percentage], (the "Maximum Percentage') of its assets or the assets of [complete such general account, as applicable, constitutes assets of Benefit Plan Investors for purposes of assets of Benefit Plan Investors for purposes of such general account, as applicable, Section 3(42) of ERISA and the "plan assets" regulations under ERISA, and (ii) without limiting the "plan assets" regulations under ERISA, and (ii) without limiting ERISA Section the remedies that may otherwise be available, the Purchaser agrees that it shall (x) immediately the remedies that may otherwise be available, the Purchaser agrees that itshall (x)immediately notify the Issuer if the Maximum Percentage is exceeded, and (y) dispose of all or a portion? of its Maximum Percentage is exceeded, and (y)dispose of all or a portion of its notify the Issuer if Class 0 Notes as may be instructed by the Issuer (including, in the discretion of the Issuer, a Class D Notes as may be instructed by the Issuer (including, in the discretion of the Issuer, a disposition back to the-Issuer or an affiliate thereof (or other person designated by the Issuer) for? disposition back to theisiher 6r affiliate thereof (or other person designated by the Issuer) for the then value of the Class D Notes as reasonably determined by the Issuer, in any case in which of the Class D Notes as reasonably determined by the Issuer, in any case in which the then the Purchaser cannot otherwise make a disposition it has been instructed by the Issuer to make). the Purchaser cannot otherwise make a disposition it has been instructed by the Issuer to make). A-2-7 A-2-7 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825551 GS MBS-E-021825551 Footnote Exhibits - Page 5641 (i) (i) will not The Purchaser understands and acknowledges that the Trustee not register any purchase or purchase The Purchaser understands and acknowledges that the Trustee will to aregister anysubsequentor transferof Class D Notes either to aaproposed initial purchaser or to aproposed subsequent proposed transfer of Class D Notes either to proposed initial purchaser oritis a Benefit Plan Investor transferee of Class D Notes that has, in either case, represented that transferee of Class D Notes that has, in either case, represented that it is a Benefit Plan Investor or Controlling Person after giving effect to such proposed transfer, personsthat have or aaControlling Person if,if, after giving effect to such proposed transfer, persons that have more of the outstanding Class represented that they are Benefit Plan Investors would own 25% or more of the outstanding Class represented that they are Benefit Plan Investors would own 25% or by the Collateral Manager, the D Notes. For purposes of this determination, Class D Notes held by the Collateral Manager, the For purposes of this determination, Class D Notes held D Notes. Trustee, any of their respective affiliates and persons that have represented that they are that they are Trustee, any of their respective affiliates and persons that have represented The Purchaser ControllingPersons will be disregarded and will not be treated as outstanding. The Purchaser Controlling Persons will be disregarded and will not be treated as outstanding. understands and agrees that any purported purchase or transfer of the Purchaser'sClass D understands and agrees that any purported purchase or transfer of the Purchaser's Class D Notes to a Purchaser that does not comply with the reqUirements of this clause(i) will not be Notes to a Purchaser that does not comply with the requirements of this clause (~ will not be permitted or registered by the Note Transfer Agent. permitted or registered by the Note Transfer Agent. The purchaser is not purchasing the Purchaser's Class D Notes with a view towardthe resale, the resale, The purchaser is not purchasing the Purchaser's Class D Notes with a view toward Purchaser distribution or other disposition thereof in violation of the Securities Act. The Purchaser or other disposition thereof in violation of the Securities Act. The distribution understands that an investment in the Purchaser's Class D Notes involves certain risks, including understands that an investment in the Purchaser's Class D Notes involves certain risks, including the risk of loss of its entire investment in the Purchaser's Class D Notes under certain the risk of loss of its entire investment in the Purchaser'S Class D Notes under certain circumstances. The Purchaser has had access to such financial and other information circumstances. The Purchaser has had access to such financial and other information concerning the Issuers and the Purchaser's Class D Notes as it deemed necessary or or concerning the Issuers and the Purchaser'S Class D Notes as it deemed necessarythe appropriate in order to make an informed investment decision with respect to its purchase of the in order to make an informed investment decision with respect to its purchase of appropriate Purchaser's Class D Notes, including an opportunity to ask questions of, and request information Purchaser's Class D Notes, including an opportunity to ask questions of, and request information from, the Issuer. from, the Issuer. If the purchaser or beneficial owner is a Non-U.S. Holder, such purchaser or beneficial owner If the purchaser or beneficial owner is a Non-U.S. Holder, such purchaser or beneficial owner represents that (x) either (i) its purchase of the Class D Note is not, directly or indirectly, an represents that (x) either (i) its purchase of the Class D Note is not, directly or indirectly, an extension of credit made by a bank pursuant to a loan agreement entered into in the ordinary extension of credit made by a bank pursuant to a loan agreement entered into in the ordinary course of its trade or (ii) is person that is eligible for benefits under an income tax course of its trade or business, (ii) it is a person that is eligible for benefits under an income tax treaty with the United States that eliminates United States federal income taxation of United treaty with the United States that eliminates United States federal income taxation of United States source interest not attributable permanent establishment in the United States or (iii) all in the United States or (iI~ all States source interest not attributable to a permanent establishment or business within the United income from the Class D Note is effectively connected with a trade or business within the United from the Class 0 is connected with a trade income such Holder and States (as such terms are used in Section 882(a)(1) of the Code) conducted by such Holder and States (as such terms are used in Section 882(a)(1) the Code) conducted by reduce its United States federal income tax (y) it is not purchasing the Class 0 Note in order to reduce its United States federal income tax it is not purchasing the in D (y) liability or pursuant a liability or pursuant to a tax avoidance plan. The Purchaser agrees to treat the Purchaser's Class D Notes as debt for U.S. federal income tax D Notes as debt for U.S. federal income tax The Purchaser agrees to treat the Purchaser's purposes. purposes. (j) (k) (k) (I) (1) (m) (m) requirements operating in the The Purchaser acknowledges that due to money laundering requirements operating in the The Purchaser acknowledges that due to money laundering Cayman Islands, the Issuer and Note Transfer Agent may require further identification of the Transfer Agent may require further identification of the Cayman Islands, the Issuer and Note Transfer Agent Purchaser before the purchase application can proceed. The Issuer and the Note Transfer Agent Purchaser before the purchase application can proceed. The Issuer and the Note from the failure shall be held harmless and indemnified by the Purchaser against any loss arising from the failure the Purchaser against any loss arising shall be held harmless and indemnified by from the Purchaser has not to process the application if such information as has been required from the Purchaser has not to process the application if such information as has been required been provided by the Purchaser. been provided by the Purchaser. under Cayman The Purchaser agrees to complete any other instrument of transfer as required under Cayman The Purchaser agrees to complete any other instrument of transfer as required Islands law. Islands law. The Purchaser is not a member of the public in the Cayman Islands. The Purchaser is not a member of the public in the Cayman Islands. (n) (n) (0) (o) We acknowledge that you and other persons will rely upon our confirmation, acknowledgments, We acknowledge that you and other persons will rely upon our confirmation, acknowledgments, and we hereby irrevocably representations, warranties, covenants and agreements set forth herein, and we hereby irrevocably representations, warranties, covenants and agreements set forth herein, to any interested party in any authorize you and such other persons to produce this letter or aa copyhereof to any interested party in any authorize you and such other persons to produce this letter or copy hereof covered hereby. . administrative or legal proceeding or official inquiry with respect to the matters covered hereby. administrative or legal proceeding or official inquiry with respect to the matters A-2-8 A-2-8 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825552 GS MBS-E-021825552 Footnote Exhibits - Page 5642 THIS LETIER SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE THIS LETTER SHALL BE GOVERNED BY, AND CONSTRUED INACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK. LAWS OF THE STATE OF NEW YORK. Very truly yours, Very truly yours, By;, By: _______________ Name: Name: TItle: Title: [ Receipt acknowledged as of date set forth above, Receipt acknowledged as of date set forth above, (Signature and Addresses) (Signature and Addresses) A-2-9 A-2-9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825553 GS MBS-E-021825553 Footnote Exhibits - Page 5643 [THIS PAGE INTENTIONALLY LEFf BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825554 GS MBS-E-021825554 Footnote Exhibits - Page 5644 ANNEX B ANNEX B PART \I OF GREYWOLF CAPITAL MANAGEMENT LP'S FORM ADV PART II OF GREYWOLF CAPITAL MANAGEMENT LP'S FORM ADV B-1-1 8-1-1 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825555 GS MBS-E-021B25555 Footnote Exhibits - Page 5645 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFf BLANK] Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825556 GS MBS-E-021B25556 - Footnote Exhibits - Page 5646 OMB APPROVAL OMB APPROVAL 3235-0049 OMB Number OMB Number 3235-0049 September30, 2005 Expires: Expires: September 30. 200s average burden Estimated average burden Estimated 9.402 hours per response: hours per response: 9.402 FORMADV FORM ADV Part II Page 1 Part 1I --Page 1 Uniform Application for Investment Adviser Registration Uniform Application for Investment Adviser Registration Name of Investment Adviser: Name of Investment Adviser: GreywolfCapitalManagement LP Greywolf Capital Management LP Address: Address: (Number and Street) (Number and Street) 4 Manhattanville Road 4 Manhattanville Road (City) (City) Purchase Purchase (State) (Stale) NY NY (Zip Code) (Zip Code) 10577 10577 1 Area Code: Area Code: (914) (9141 Telephone Number: Telephone Number: 251-8200 251-8200 This part of Form ADV gl\'es Information about the investment ad"lser and its business for the use of clients. This part of Form ADV gives Information about the Investment adviser and its business for the use of clients. The information has not been appro"ed or verified by any go"ernmental authority. The information has not been approved or verified by any governmental authority. Table of Contents Table of Contents Item Number Item Number Item Pae --.............. Advisory Services and Fees ........................................................................................... . Advisory Services and Fees....................................................-2 2 3 3 2 2 2 2 3 3 3. 3? 4 4 4 4 4 4 4 4 5 5 5 5 5 5 Types of Clients ............................................................................................................. . Types of Clients........................................... investm ents ..................................................................................................... . Types of I.nvestments ............................................................................................. ......... of Information Investment Methods of Analysis, Sources of Information and Investment Strategies .................... .. Education Business Standards ............................................................................ Education and Business Standards.....................................;... .. 4 4 5 5 6 6 .......... Education and Business Background................................................. Background ............................................................................ .. Other Business Activities .............................................................................................. .. Activities...................................... Other Financial Industry Activities or Affiliations ............................................. ,.......... . Affiliations.......................................................-. Participation or Interest in Client Transactions ............................................................. .. Transactions............................................................... Conditions for Managing Accounts ............ ;................................................................. .. for M anaging A ccounts ................................................................................ Review of Accounts .. ,.................................................................................................... . Review of Accounts......................................... Investment or Brokerage Discretion ............................................................................. .. .............................................................................. Additional Compensation .............................................................................................. . Additional Compensation ...................................... Balance Sheet ................................................................................................................. . Balance Sheet .................................................................................................................. Continuation Sheet .................................................. :...................................................... . Continuation Sheet............................................................................ Balance Sheet, if required ............................................................................................. .. Balance Sheet, if required ............................................................................................... 7 7 8 9 9 10 10 II 11 12 12 6 6 6 6 6 6 Schedule F Schedule F Schedule 0 Schedule G 13 13 14 14 9968808.11 9968808.11 (Schedules A. n, C, D. and':Enre inclUded wllb ParI]Ioflhis Form, for Ibe use of regulatory bodies, and are Dol distributed to cUenls.) (Schedules A. BC. D. and are Included with Part of this Form. for the useof regulatory bodies, and are not distributed to clients.) rOlenti.t per,on. \Tho ar. 10 respond to th. rollwloD of Inform.lion rontalned in Ihls form Potential persons who are to respond to the collection of Infornation contained In this form art nol reqillrrd 10 r"pond nnl ... the form displayooa currently validO!l1B ronlrol the form are notrequired 1s respond unless displays currenlly ,?.tid OMB control Dumbrr. number. Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825557 GS MBS-E-021825557 Footnote Exhibits - Page 5647 FORMADV FORM ADV Part Page Part IIII- - Page 22 Applicant: Applicant: GreywolrCapital Management LP Greywolf Capital Management LP SEC File Number: SEC File Number: 801-65669 801- 65669 - Date: Date: March 12,2007 March 12. 2007 1. A. Advisory Services and Fees. (check the applicable boxes) 1. A. Advisory Services and Fees. (check the applicable boxes) Applicant: Applicant: For each type of service provided, state the For each type of service provided, state the approximate % of total advisory billings from that approximate % of total advisory billings from that service. service. (See instruction below.) (See instruction below.) 181 0 0 O 100 - % (I) Provides investment supervisory services ................ _.........................................................., ...............:................._ _ 100_ _% (1) Provides investment supervisory services............................................................................ (2) Manages investment advisory accounts not involving investment supervisory services ....................................... (2) Manages investment advisory accounts not involving investment supervisory services....................................... _ _ _ _ _% ..................... _ _ _ (3) Fumishes investment advice through consultations not included in either service described above..................... .------ _ _% (3)Furnishes investment advice through consultations not included in either service described above - --.................... Issuesperiodicals about securities by subscription........................................-periodicals about securities by subscription ................................................................................................ _ _ _ _ _% (4) (4)Issues 0 O 0 O 0 O 0 El 0 El 0 El 0 El (5) Issues special reports about securities not included in any service described above ............................................. (5)Issues special reports about securities not included in any service described above ........................ _ _ _ _ _% (6) Issues, not as part of any service described above, any charts, graphs, fonnulas, or other devices which (6) -Issues, not as part of any service described above, any charts, graphs, formulas, or other devices which .............. . clients may use to evaluate securities .................................................................................................................... _ _ _ _ _% clients may use to evaluate securities................................................................. securities ....................... _ (7) On more than an occasional basis. furnishes advice to clients on matters not involving securities......................._%_ _ _ _% (7)On more than an occasional basis, furnishes advice to clients on matters not involving Provides a timing service ....................................................................................................................................... _ _ _ _ _% % (8) Provides atiming service....................................................-....-......*--.----..*--*........................................................ (8) above .................................................................. _ _ _ _ _% (9) Furnishes advice about securities in any manner (9) Furnishes advice about securities in any manner not described above ............................(Percentages should be based on applicants last fiscal year. If applicant has not completed its first fiscal year, should be based on applicant's last completed year, (Percentages provide estimates of advisory billings for that year and state that the percentages are estimates.) estimates of advisory billings for that year and state that percentages are estimates.) provide No Yes Yes No B. Does applicant call any of the services it checked above financial planning or some similar tenn? . ................ B. Does applicant call any of the services it checked above financial planning or some similar term? ......................... .. 181 ............---- .----- o C. Applicant offers investment advisory services for: (check all that apply) C. Applicant offers investment 181 0 (I) A percentage of assets under management (1)A percentage of assets under management (2) Hourly charges Hourly charges (2) (3) Fixed fees (not including subscription fees) Fixed fees (not including subscription fees) (3) o El El o El o (4) Subscription fees (4) (5) Commissions (5)Commissions (6) Other (6) o El 0 181 D. For each checked box in A above, describe on Schedule F: F: D. For each checked box in above, issued by the adviser on a or o* the services provided. including the name of nny publication or report issued by the adviser on a the services provided, including the name of any SUbscription basis or for a fee subscription basis or for afee o* applicant's basic fee schedule, how fees are charged and whether its fees are negotiable applicant's basic fee schedule, how fees are charged and whether its fees are negotiable o* when compensation is payable, and if compensation is payable before service is provided. how a when compensation is payable, and if compensation is payable before service is provided, how a client may get a refund or may tenninate an investment advisory contract before its expiration date client may get a refund or may terminate an investment advisory contract before its expiration date 2. Types of Clients -- Applicant generally provides investment advice to (check those that apply) 2. Types of Clients Applicant generally provides investment advice to (check those that apply) o O A. Individuals Individuals A. B. Banks or thrift institutions B.Banks or thrift institutions C. Investment companies Investment companies C. D. Pension and profit sharing plans Pension and profit sharing plans D. El o O o 181 0 E. Trusts. estates, or charitable organizations E. Trusts, estates, or charitable organizations F. Corporations or business entities other than those listed above F. Corporations or business entities other than those listed above G. Other (describe on Schedule F) G. Other (describe on Schedule F) o El o El o El 1). Answer an ilems. CompJrt. amendrd poets inin rull, circle amendedItems and iii. with exeeurion page (page 1). Answer all items. Complete amended pagesrull, cirrlc amended items and r1e with execution page (page Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825558 GS MBS-E-021825558 Footnote Exhibits - Page 5648 FORM ADV FORM ADV Applicant: Applicant: SEC File Number. SEC File Number: 801-65669 801-65669 Date: Date: March 12,2007 March 12.2007 Part Page Part IIII- -Page33 Greywolrcapital Management LP Greywolf Capital Management LP 3. Types of Investments. Applicant offers advice on the following: (check those that apply) 3. Types of Investments. Applicant offers advice on the following: (check those that apply) A. Equity Securities 0 H. United States government securities ~ H. United States govemment securities A. Equity Securities 0~ ~ 0 ~ E (I) exchange-listed securities (1) exchange-listed securities (2) securities traded over-the-<:ounter (2)securities traded over-the-counter (3) foreign issuers (3) foreign issuers 1. Options contracts on: I. Options contracts on: 0 ~ 0 ~ Z ~ (1) securities (1) securities (2) commodities (2)commodities ~ 0 ~ 0 B. Warrants B.Warrants C. Corporate debt securities C.Corporatedebt securities (other than commercial paper) (other than commercial paper) D. Commercial paper D.Commercial paper E. Certificates of deposit E.Certificates of deposit F. Municipal securities F.Municipal securities G. Investment securities: G. Investment company securities: J. Futures contracts on: J. Futures contracts on: 181 ( 1) tangibles (1) tangibles (2) intangibles (2) intangibles ~ 0 ~ 0 ~ 0 K. Interests in partnerships K. Interests in partnerships investing in: 0 ~ 0 IZI O 0 0 ~ (I) real estate (1) real estate (2) oil gas (2) and gas interests (3) other Schedule F) (3) other (explain on Schedule F) 0 O 0 Ol ~ 0 4. 4. (I) variable life insurance (1) variable life insurance (2) variable annuities (2) variable annuities (3) mutual fund (3)mutual fund shares L. on Schedule F) L. Other (explain on Schedule F) Methods of Analysis, Sources of Information, and Investment Strategies. Information, Methods of Analysis, A. Applicant's security analysis methods include: (check those that apply) A. App!icant's (I) (1) (2) (2) (3) (3) !8J 0 !8J 0 !8J 0 Charting Charting Fundamental Fundamental Technical Technical (4) ~ Cyclical (4) (5) (5) 0 0 ~ Other (explain on Schedule F) B. The main sources ofinfonnation applicant uses include: (clleck those that apply) B. The main sources of information applicant uses include: (check (I) ~ financial newspapers and magazines (1) 0 Financial newspapers and magazines (5) (5) l 0 0 0 Timing services (2) ~ Inspections of corporate activities (2) 0 Inspections of corporate (6) ~ Annual reports. prospectuses, filings with the Annual reports, prospectuses, filings with the (6) Exchange Commission Securities and Exchange Commission Securities (3) (3) (4) 181 0 Research materials prepared by others Research materials prepared by others (7) ~ Company press releases Company press releases (7) 0 Corporate rating services (4) !81 Corporate rating services (8) (8) 181 0 Other (explain on Schedule f) Other (explain on Schedule F) C. The investment strategies used to implement any investment advice given to clients include: (check those that apply) C. The investment strategies used to implement any investment advice given to clients include: (check those that apply) (I) !81 Long tem) purchases Margin transactions (5) !81 Margin transactions (5) (1) 0 Long term purchases (securities held at least aayear) (securities held at least year) 0 0 0 (2) (2) !81 0 Short teon purchases Short term purchases (securities sold within a year) (securities sold within a year) Short sales Short sales (6) !81 Option writing, including covered options, uncovered Option writing, including covered options, uncovered (6) options or spreading strategies options or spreading strategies (3) !81 Trading (securities sold within 30 days) Trading (securities sold within 30 days) (3) 0 (7) !81 Other (explain on Schedule F) Other (explain on Schedule F) (7) (4) (4) !81 0 Answer aU Items. Complete amended pages in rull, cirde amended Items and m. wllb exerolion page (page 1). Answer all items. Complete amended pages in run, circle amended items and file with execution page (page 1). Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825559 GS MBS-E-021825559 Footnote Exhibits - Page 5649 Date: Date: March 12, 12, 2007 March 2007 FORMADV FORM ADV Part II - Page 4 Part II- Page 4 Applicant: Greywolr Capital Management LP Greywolf Capital Management LP Applicant: SEC File Number 0M0 SEC File Number: 801-65669 S. Education and Business Standards. 5. Education and Business Standards. that applicant requires of those Are there any general standards of education or business experience that applicant requires of those Yes Yes Are there any general standards of education or business experience ......................-involved in determining or giving investment advice to clients? ................................................................. ~ or giving investment advice to clients?........... involved in determining (If yes, describe these standards Schedule F.) (If yes, describe these standards onon Schedule F.) 6. Education and Business Background. 6. Education and Business Background. NO No 0 For * o For: general investment advice to be given to clients, or each member of the investment committee or group that determines each member of the investment committee or group that determines general investment advice to be given to clients, or who determines general investment advice given o if the applicant has no investment committee or group, each individual who determines generalinvestment advice given * if the applicant has no investment committee or group, each individual to clients (if more thanfive, respond only for their supervisors) five, respond only for their supervisors) to clients (if more than each principal executive officer of applicant or each person with similar status or performing similar functions: o each principal executive officer of applicant or each person with similar status or performing similar functions. * On Schedule F, give the: On Schedule F, give the: fonnal educatiori after high school *o formal education after high school name o * name business background for the preceding five years o year of birth *o business background for the preceding five years * year of birth 7. Other Busllle.'Is Activities. (check those Ihat apply) 7. Other Business Activities. (check those that apply) o O o O . o O I A. Applicant is actively engaged in a business other than giving investment advice. . A. Applicant is actively engaged in a business other than givng nvesm B. Applicant sells products or services other than investmentadvice to clients. advice to clients. B. Applicant sells products or services other than investment providing investment C. The principal business of applicant or its principal executive officers involves something other than providing investment principal executive officers involves something other than C. The principal business of applicant or its advice. advice. (For each checked box describe the other activities, including spent on them, on Schedule F.) time spent on them, on Schedule F.) (For each checked box describe the other activities, including the 8. Other Financial Industry Activities 01' Affiliations. (check those that apply) (check 8. Other Financial Industry Activities or Affiliations. broker-dealer. pending) A. Applicant is registered (or has an application O A. Applicant is registered (or has an application pending) as a securities broker-{}ealer. or a futures commission merchant, commodity pool operator B. Applicant is registered (or has an application pending) as a futures commission merchant, commodity pool operator or Applicant registered (or F] B. commodityistrading adviser.has an application commodity trading adviser. o o o C. C. or its clients with a related person who Applicant has arrangements that are material to its advisory business or its clients with a related person who is a: arrangements that are material to its advisory business Applicant has (I) broker-{}ealer is a: o 181 (1) broker-dealer (2) investment company (2) investment company (3) other investment adviser adviser o o O] o O] D. (3) other investment (4) financial planning firm (4) financial planning firm (5) commodity pool operator, commodity trading (5) commodity pool operator, commodity trading adviser or futures commission merchant adviser or futures commission merchant 0 O O 0 O 0 0 0O 0F (7) accounting firm (7) accounting firm (8) law firm (8) law firm (9) insurance company or agency (9) insurance company or agency (10) pension consultant (IO) . - pension consultant (11) (II) real estate broker or dealer real estate broker or dealer (6) banking or thrift institution institution C. on Schedule F identify the related person and describe the relationship and the (For each checked box inin C,on Schedule F identify the related person and describe the relationship and (For each checked box arrangements. ) arrangements.) (6) banking or thrift (12) entity that creates or packages limited partnerships (12) entity that creates or packages limited partnerships the Yes No D. Is applicant oror a related person general partner inin any partnership in which clients are solicited to Is applicant a related person a a general partner any partnership in which clients are solicited to invest? ........................................................................................................................................................... .. invest?............................................................................ Yes O o No N 181 Of(if yes, describe on Schedule the partnerships and what they invest in.) yes. describe on Schedule F F the partnerships and what they invest in.) Ans".r .u all items. Complete amended pages >; of such series of is in a portion of the Adjusted NAV of a series of shares that is in excess of the "Prior High NAV" of such series of additional "ordinary" shares. With respect to GCOF, Adjusted NAV also includes adjustments for the issuance of additional "ordinary" GCOF, a "special" or "side pocket" shares of an existing series following the realization or deemed realization of a "special" or "side pocket" of class S shares relating investment (which will be recorded as "class S shares") and the subsequent exchange of class S shares relating (which S NAV of a series of shares is the NAV of that year. in thereto, in either case, occurring during such year. The Prior High NAV ofa series of shares is the NAV of that series immediately following the date as of which the last year-end incentive fee was determined with respect to fee was determined with respect to as series with respect to such series, the NAV of that series yet fee such series (or. if no incentive fee has yet been determined with respect to such series, the NAV of that series (or, if such NAV of a series of shares will be adjusted for The immediately following its initial offering). TIle Prior High NA V of a series of shares will be adjusted for of shares in GCOF will also be adjusted for NAV of a The Prior redemption from such series. TIle Prior High NAV of a series of shares in GCOF will also be adjusted for S shares (i.e., upon the making of a Special for redemptions of "ordinary" shares of a series exchanged for class S shares (i.e., upon the making of a Special "ordinary" ishares of a series "ordinary" shares following the realization or deemed realization of a Investment) and the issuance of additional "ordinary" shares following the realization or deemed realization of a and Special Investment. . Special Investment. differently the management fee and/or the incentive fee or to reduce, The Funds reserve the right to reduce, waive or calculate differently the management fee and/or the incentive fee The Funds reserve the right to impose different fees on future In addition, with respect to any shareholder. In addition, the Funds reserve the right to impose different fees on future respect to any investments. GHYM does not charge directly any management, incentive or other fees for the benefit of GeM. GHYM does not charge directly any management, incentive or other fees for the benefit of GCM. GeM may elect to receive all or a portion of the incentive fees and/or management fees from the Funds currently GCM may elect to receive all or a portion of the incentive fees and/or management fees from the Funds currently or on a deferred basis. subject to a deferred compensation arrangement. or on a deferred basis, subject to a deferred compensation arrangement. Finally, IIny performance-based fees will be chllrged in accordance with Section 205 of the Advisers Act lind Rule Finally, any performance-based fees will be charged in accordance with Section 205 of the Advisers Act and Rule Complrr. amtndtd pages ill full > before effecting a personal transaction in securities. funds, U.S. Treasury bonds, commercial paper, etc.)) before effecting a or telephone number listed on the Investors may request copy of the Code by contacting GeM the address Investors may request aa copyof the Code by contacting GCM atatthe address or telephone number listed on the first page of this document. first page of this document. GCM also maintains insider trading policies and procedures (the "Insider TradingPolicies") that are designed Policies") GCM also maintains insider trading policies and procedures (the "Insider Trading required tothat are designed to prevent the misuse of material, non-public information. GCM's personnel are required tocertify to their prevent the misuse of material, non-public information. GeM's personnel are certify to their to compliance with the Code, including the Insider Trading Policies, on a periodicbasis. compliance with the Code, including the Insider Trading Policies, on aperiodic basis. Restrictions Due to Insider Information Restrictions Due to nsider Information trading for GeM's Insider Trading Policies prohibit GeM and its personnel (to the extentprohibited by law) from trading for prohibited GCM's Insider Trading Policies prohibit GCM and its personnel (to the extent on the basis by law) from non-public of material, the Funds or themselves, or recommending trading, in securities of an issuer on the basisof material, non-publjc Funds or themselves, or recommending trading, in securities of an issuer the to to any person not entitled information ("Inside Information") about the issuer, from disclosing such information to any person not entitled to information ("Inside Information") about the issuer, from disclosing such information Information through a third business on the basis of Inside Information through a third receive it, and from assisting anyone in transacting receive it, and from assisting anyone in transacting business on the basis of Inside party. By reason of its various activities, GeM may become privy to Inside Information or be restricted from party. By reason of its various activities, GCM may become privy to Inside Infonnation or be restricted from effecting transactions in certain investments that might otherwise have been initiated. GCM has designed and and effecting transactions in certain investments that might otherwise have been initiated. GCM has designedlaws implemented policies and procedures designed to comply with the requirements of the federal securities laws implemented policies and procedures designed to comply with the requirements of the federal securities flow relating to insider trading. Among other things, such policies and procedures seek to control and monitor the relating to insider trading. Among other things, such policies and procedures seek to control and monitor the flow of Inside Infonnation to and within GCM, as well as prevent trading on the basis of Inside Information. of Inside Information to and within GCM, as well as prevent trading on the basis of Inside Information. to Inside Infonnation be placed on GeM's restricted list. GCM's ability Companies about which GeM Companies about which GCM has Inside Information will be placed on GCM's restricted list. GeM's ability to trade public securities the issuers of which are placed on the restricted list is extremely limited. public securities which the restricted list is extremely limited. trade Item 10 Item 10 Accounts Conditions for Managing Accounts Investors in the Funds are generally required to make minimum initial Investors in the Special Situation Funds and the High Yield Funds are generally required to make minimum initial in the Structured Products Funds are generally require to investments of at least US$2,OOO,OOO and investors in the Structured Products Funds are generally require to investments of least US$2,000,000 and US$25,000,000. Thereafter, additional investments may be make minimum initial investments of at least US$25,OOO,OOO. Thereafter, additional investments may be make minimum Special Situation Funds and the High Yield Funds. No accepted in US$250,OOO increments with respect to the Special Situation Funds and the High Yield Funds. No respect accepted in US$250,000 increments the final closing for the Structured Products Funds. The minimum additional investments will be accepted after the final closing for the Structured Products Funds. The minimum accepted additional investments will (in investments may be waived by the General Partner (in the case of the U.S. Funds) or by the board of directors (in by the General Partner (in the case of the U.S. Funds) or by the board of directorsless investments may be waived Funds may not accept minimum initial investments of Offshore Funds may not accept minimum initial investments ofless the case of the Offshore Funds), provided that the Offshore the case of the Offshore Funds), provided that the than US$50,OOO. than US$50,000. on their liquidity, including, without Investments in the Funds are not freely transferable and subject to limitations on their liquidity, including, without Investments in the Funds are not freely transferable and subject to limitations limited liquidity dates and potentially periods in which gates, limited liquidity dates and potentially periods in which limitation, "lock up" or "commitment" periods, gates, limitation, "lock up" or "commitment" periods, must be considered significant. withdrawals of capitaVredemption of shares may be suspended. Such limitations must be considered significant. withdrawals of capital/redemption of shares may be suspended. Such limitations respective offering documents. To review the specific liquidity terms of each Fund, investors should review the Funds' respective offering documents. To review the specific liquidity terms of each Fund, investors should review the Funds' Item II I Item I Review of Accounts Review of Accounts Compttte amended pages in in full, circle amended items and aiewith execution page (page 1). full, ",ilb .XetUtiOD page (page J). amended pages cirri. amended Ilems and Complete m. . Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-021825576 GS MBS-E-021825576 Footnote Exhibits - Page 5666 Date: SEC File Number. Schedule F of Dale: Applicant: Schedule F of SEC File Number. Applicant FonnADV Formn ADV Greywolf Capital Management LP GreYlYolf Capital Management LP March 12. 2007 March 122007 801-65669 801-65669 Continuation Sheet for Fonn AOV Part II Continuation Sheet for Form ADV Part II (Do not use this Schedule as continuation sheet Form ADV Part or anv other schedules:l (Do not use this Schedule as acontinuation sheet for Form ADV Part II or any other schedules.) IRS Empl. Ident. No: Full name of applicant I. stated in Item lA of Part of Form ADV: 11RS Empl. Ident. No: 1. Full name of applicant exactly as stated in Item IA of Part II of Form ADV: 54-2104223 Item of Form Item of Form (identify) (identify) Answer Answer performs various of Funds' portfolios an ongoing Portfolio managers and the Chief GCM performs various reviews of the Funds portfolios on an ongoing basis. Portfolio managers and the Chief Executive Officer responsible overSeeing the Research other investment Executive Officer are responsible for overseeing the reviews. Research analysts and other investment professionals also monitor existing holdings and research new ideas. Accounts are regularly reviewed in light of their established also monitor existing holdings and research new ideas. Accounts are regularly reviewed in light of their established The Funds' administrator also accounts regularly. objectives and policies. The Funds' administrator also reviews the accounts regularly. Investors I, n:ceive reports and audited financial statements prepared by Investors in Funds other than GCLO 1, receive monthly reports and annual audited financial statements prepared by year's audit (or reasonably practicable thereafter), the Funds' independent auditor after the Funds' independent auditor after completion of each year's audit (or as soon as reasonably practicable thereafter), well ~ certain information preparation tax as well as certain tax information for preparation of investors' tax returns. reports certain other reportS prepared or of GCLO J in accordance with the indenture Monthly reports and certain other reports prepared by or on behalf of GCLO I inaccordance with the indenture issued I. are are available upon request to holders of securities issued by GCLO 1. Item Item 12 Investment Brokerage Investment or Brokerage Discretion GCM discretionary including authority to make As noted previously, GCM has full discretionary authority to manage the Funds, including authority to make sold. amount and price of those securities, the brokers or respect decisions with respect to which securities are bought and sold, the amount and price of those securities, the brokers or to be a particular commissions GeM's dealers to be used for aparticular transaction, and commissions or markups and markdowns paid. GCM's authority in regard is procedures each investment guidelines and. in the this regard is limited by its own internal policies and procedures and each Fund's investment guidelines and, in the trustee. I. between case of GCLO I, in accordance with the indenture between GCLO I and the trustee. execution, taking relevant In selecting an appropriate broker-dealer to effect a client trade, GCM seeks to obtain best execution, taking relevant an broker-dealer a In size the transaction; the nature of the factors into consideration, including, but not limited to: price quotes; the size of the transaction; the nature of the including. broker-dealer's expertise in the market for the security; the timing of the transaction; difficulty of execution; the broker-dealer's expertise in the makes a market specific security or sector in which the client seeks to trade; the extent to which the broker-dealer makes a market in in the security involved or has access to such markets; availability of accurate information regarding the market regarding the market securities for the security; the broker-dealer's skill in positioning the securities involved; the broker-dealer's promptness of broker-dealer's in the broker-dealer's promptness of infrastructure, execution; the broker-dealer's financial stability; adequacy of the broker-dealer's trading infrastructure, broker-dealer's fairness and integrity; quality of service technology and capital; the broker-dealer's reputation for diligence, fairness and integrity; quality of service the quality and GCM; rendered by the broker-dealer in other transactions for GCM; confidentiality considerations; the quality and usefulness of research services and investment ideas presented by the broker-dealer; the broker-dealer's ability investment broker-dealer's broker-dealer, accommodate any special execution or order and willingness to correct errors; the broker-dealer's ability to accommodate ?any special execution or order and other factors affecting the services handling requirements that may surround the particular transaction; and other factors affecting the services an to seek the lowest available obtained. GCM need not solicit competitive bids and does not have an obligation to seek the lowest available commission commission cost or spread. GCM maintains policies and procedures to review the quality of executions, including periodic reviews by its investment professionals. Soft Dollar Usage Usaae (or markups or markdowns with respect to certain From time to time, GCM may pay a broker-dealer commissions (or markups or markdowns with respect to certain may pay a time, transactions in excess of that which another broker-dealer for types of riskless principal transaction) for effecting Fund transactions in excess of that which another broker-dealer principal of the value of the brokerage and research services in might have charged for effecting the transaction in recognition of the value of the brokerage and research services charged and receive such brokerage and research services, provided by the broker-dealer. GCM will effect such transactions, and receive such brokerage and research services, GCM by fall within the safe harbor provided by Section 28(e) of the Securities Exchange Act of that only to the extent that they fall within the safe harbor provided by Section 28(e} of the Securities Exchange Act of provided by the SEC. GCM believes it is important to prevailing 1934 and subject to prevailing interpretations of Section 28(e) provided by the SEC. GCM believes it is important to 1934 and access decision-making its investment decision-making processes to have access to independent research. charged by a broker or the spreads applied by a dealer are reasonable in that the GCM If GeM concludes that the commissions charged by a broker or the spreads applied by a dealer are reasonable in relation to the value of the brokerage and research products or services provided by such broker or dealer, the Funds relation to the value of the brokerage and research products or services provided by such broker or dealer, the Funds pay commissions be subject to spreads to such broker-dealer in an amount greater than the amount another may pay commissions or be subject to spreads to such broker-dealer in an amount greater than the amount another broker-dealer might charge or apply. . broker-denler might charge apply. Complete amended pages in full. circle amended items and file with execution page (page ). ("O",,,ltlt amended p.~ .. ln full. >, (as defined in 501(a) "Securities Act")), in reliance on Rule 144A under the Securities Act, and, solely in the case of the Income Notes, to accredited investors Cas defined in Rule 501Ca) Securities in case Notes, under the Securities Act) who have a net worth of not less than U.S.SIO million in transactions exempt from registration under the Securities Act. The Offered Notes Securities who transactions registration Securities Offered Notes U.S.$10 Investment are being offered hereby in the United States only to persons that are also "qualified purchasers" for purposes of Section 3CcX7) under the United States Investment "qualified purchasers" 3(c)(7) Company Act of 1940, as amended (the "Investment Company Act"). In addition, the Offered Notes are being offered hereby by Goldman, Sachs & Co., selling (the "Investment Notes hereby & Co., Goldman, U.S. Persons offshore transactions reliance ("Regulation S") Securities through its agents, outside the United States to non U.S. Persons in offshore transactions in reliance on Regulation S ("RegUlation S") under the Securities Act. See agents, States "Underwriting. " "Underwriting." 'Risk Factors"for discussion certainfactors considered in investnient Notes. See ''Risk Factors "for a discussion of certain factors to be considered in connection with an im'estment in the Notes. S A-la Notes, It is a condition of the issuance of the Notes that the Class S Notes, the Class A-I a Notes, the Class A-I b Notes and the Class A-2 Notes be issued with a condition issuance Class A-lb Notes A-2 be rating of "Aaa" by Moody's Investors Service, Inc. '("Moody's") and "AAA" by Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. Moody's hic. ("Moody's") Standard & Ratings "Aaa" McGraw-Hill Companies, Inc. issued of ("S&P" Mondy's, ("S&P" and, together with Moody's, the "Rating Agencies"), that the Class B Notes be issued with a rating of at least "Aa2" by Moody's and at least "AA" by S&P, "Aa2" by issued that the Class C Notes be issued with a rating of at least "A2" by Moody's and at least "A" by S&P and that the Class D Notes be issued with a rating of at least Notes least "Baa2" by "Baa2" by Moody's and at least "BBB" by S&P. The Income Notes will not be rated by either Rating Agency. A credit rating is not a recommendation to buy, sell or "BBB" S&P. Income Notes credit rating recommendation revision assigning rating hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. See "Ratings of the Notes." Application may be made to the Irish Stock Exchange for the Notes to be admitted to the official list of the Irish Stock Exchange and to trading on its Exchange regulated application regulated market. There can be no assurance that any such application will be made or that any such listing will be obtained or maintained. No application will be assurance application Iist Notes exchange. made to list the Notes to any other exchange. See "Underwriting"for a discllssion of the terms and conditions of the purchase ofthe Offered Notes by the Initial Purchaser. "Underwriting"for discussion and conditonsof the InitialPurchaser. THE PLEDGED ASSETS ARE THE SOLE SOURCE OF PAYMENTS IN RESPECT OF THE NOTES. THE NOTES DO NOT REPRESENT AN INTEREST IN PLEDGED ASSETS SOURCE PA YMENTS RESPECT IN AND OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE HOLDERS OF THE NOTES, THE LIQUIDATION AGENT, THE INITIAL INSURED OR GUARANTEED HOLDERS THE NOTES, PURCHASER, AGENTS, THE THE TRUSTEE AS PURCHASER, THE CREDIT PROTECTION BUYER, THE ADMINISTRATOR, THE AGENTS, THE TRUSTEE, THE SHARE TRUSTEE (EACH, AS PROTECTION ADMINISTRATOR, DEFINED HEREIN) THEIR RESPECTIVE AFFILIATES. DEFINED HEREIN) OR ANY OF THEIR RESPECTIVE AFFILIATES. ANY ISSUERS CAS DEFINED THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, AND NEITHER OF THE ISSUERS (AS DEFINED WILL REGISTERED UNDER SECURITIES AND HEREIN) WILL BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. THE NOTES MAY NOT BE OFFERED OR SOLD WITHIN THE UNITED SOLD WITHIN THE UNITED UNDER INVESTMENT OR ACCOUNT U.S. PERSONS SUCH UNDER SECURITIES STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS SUCH TERMS ARE DEFINED UNDER THE SECURITIES ACT) EXCEPT PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES REGISTRATION REQUIREMENTS PURSUANT EXEMPTION TRANSACTION ACT. ACCORDINGLY, THE OFFERED NOTES ARE BEING OFFERED HEREBY ONL Y TO (A) (I) QUALIFIED INSTITIJTIONAL BUYERS (AS DEFINED OFFERED NOTES OFFERED (I) QUALIFJED INSTITUTIONAL BUYERS (AS DEFINED ONLY IN RULE 144A UNDER THE SECURITIES ACT) AND, SOLELY IN THE CASE OF THE INCOME NOTES, ACCREDITED INVESTORS (AS DEFINED IN 144A UNDER THE ACT) AND, SOLEL Y CASE ACCREDITED DEFINED RULE 501(a) UNDER THE SECURITIES ACT) THAT HAVE A NET WORTH OF NOT LESS THAN U.S.SlO MILLION AND, WHO ARE (2) QUALIFIED 501(a) UNDER THE SECURITIES THAT HAVE WORTH THAN U.S.$10 MILLION AND, QUALIFIED 3CcX7) UNDER INVESTMENT COMPANY AND (B) CERTAIN NON-U.S. PERSONS OUTSIDE ,PURCHASERS FOR PURPOSES OF SECTION 3(cX7) UNDER THE INVESTMENT COMPANY ACT AND (B) CERTAIN NON-U.S. PERSONS OUTSIDE PURPOSES PURCHASERS THE UNITED STATES IN RELIANCE ON REGULATION S UNDER THE SECURITIES ACT. PURCHASERS AND SUBSEQUENT TRANSFEREES OF THE UNITED STATES RELIANCE PURCHASERS AND SUBSEQUENT TRANSFEREES REGULATION UNDER INCOME NOTES (OTHER THAN THE REGULATIONS S INCOME NOTES) WILL BE REQUIRED TO EXECUTE AND DELIVER A LETTER NOTES NOTES) REQUIRED LETTER THAN REGULATIONS S AND DELIVER CLASS S CONTAINING CERTAIN REPRESENTATIONS AND AGREEMENTS, AND ,PURCHASERS AND SUBSEQUENT TRANSFEREES OF THE CLASS S REPRESENTATIONS AGREEMENTS, AND.PURCHASERS CONTAINING SUBSEQUENT NOTES. NOTES, THE CLASS A NOTES, THE CLASS B NOTES, THE CLASS C NOTES, THE CLASS D NOTES AND THE REGULATION S INCOME NOTES WILL CLASS B NOTES, CLASS AND REGULATION NOTES WILL BE DEEMED TO HAVE MADE SUCH REPRESENTATIONS AND AGREEMENTS, AS SET FORTH UNDER "NOTICE TO INVESTORS." THE NOTES HAVE MADE SUCH REPRESENTATIONS AGREEMENTS, UNDER TO INVESTORS." ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED UNDER "NOTICE TO INVESTORS."' NOT TRANSFERABLE RESTRICTIONS UNDER ACCORDANCE INVESTORS." The Offered Notes are being offered by Goldman, Sachs & Co. (in the case of the Notes offered outside the United States, selling through its selling The Offered Notes (in United seUing & agent) (the "Initial Purchaser"), subject to the Initial Purchaser's right to reject any order in whole or in part, in one or more negotiated transactions or otherwise at "Initial Purchaser"), the otherwise negotiated transactions determined defined varying prices to be detennined at the time of sale plus accrued interest, if any, from the Closing Date (as defmed herein). It is expected that the Class S Notes, the accrued Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Regulation S Income Notes will be ready for delivery in book entry form only in New Notes. ready York, New York, on or about March 20, 2007 (the "Closing Date"), through the facilities of DTC and in the case of the Notes sold outside the United States, for the about through outside United States, operator System ("Euroclear") Clearstream accounts of Eumclear Bank S.A.IN,V., as operator of the Euroclear System C"Euroclear") and Clearstream Banking, societe anonyme ("Clearstream"), against accounts Euroclear SA./N.V., socidti anonyme ("Clearstream"), against payment therefor in immediately available funds. It is expected that the Income Notes (other than the Regulation S Income Notes) will be ready for delivery in therefor II Notes (other Regulation Notes) definitive form in New York, New York on the Closing Date, against payment therefor in immediately available funds. The Notes sold in reliance on Rule 144A and, New on Rule 144A and, payment therefor immediately sold Accredited Investors, solely in the case of the Income Notes, to Accredited Investors, will be issued in minimum denominations ofU.S.S250,OOO and integral multiples ofU.S.SI in excess the integral of U.S.250,000 of U.S.1 thereof. The Notes sold in reliance on Regulation S will be issued in minimum denominations ofU.S.SIOO,OOO and integral mUltiples ofU.S.SI in excess thereof. Regulation issued denominations of U.S.$100,000 thereof. ITe multiples of U.S.1 Goldman, Sachs & Co. & Offering Circular dated March 16, 2007. Offering 16,2007. Confidential Treatment Requested by Goldman Sachs Treatment GS MBS-E-000912575 MBS-E-000912575 Footnote Exhibits - Page 5674 Anderson Mezzanine Funding 2007-1, Ltd., exempted company incorporated with limited liability under Anderson Mezzanine Funding 2007-1, Ltd., an exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Issuer"), and Anderson Mezzanine Funding 2007-1, Corp., a Delaware the laws of the Cayman Islands (the "Issuer"), and Anderson Mezzanine Funding 2007-1, Corp., a Delaware corporation (the "Co-Issuer" and, together with the Issuer, the "Issuers"), will issue U.S.$2,490,000 principal corporation (the "Co-Issuer" and, together with the Issuer, the "Issuers"), will issue U.S.$2,490,000 principal "Class Notes"), U.S.$130,000,000 principal amount of amount of Class Floating Rate Notes Due 2013 amount of Class S Floating Rate Notes Due 2013 (the "Class S Notes"), U.S.$130,000,000 principal amount of A-la Floating Rate Notes 2042 "Class A-la Notes"), U.S.$53,000,000 principal amount Class AClass A-la Floating Rate Notes Due 2042 (the "Class A-la Notes"), U.S.$53,000,000 principal amount of Class Alb Floating Rate Notes Due 2042 (the "Class A-lb Notes" together with the A-Ia the "Class A-I lb Floating Rate Notes Due 2042 (the "Class A-lb Notes" and, together with the Class A-la Notes, the "Class A-1 Notes"), U .S.$30,500,000 principal amount of Class A-2 Floating Rate Notes Due 2042 (the "Class A-2 Notes") Notes"), U.S.$30,500,000 principal amount of Class A-2 Floating Rate Notes Due 2042 (the "Class A-2 Notes") B Floating together the Class A-I Notes, the "Class A Notes"), U.S.$42,700,000 principal amount of and, together with the Class A-I Notes, the "Class A Notes"), U.S.$42,700,000 principal amount of Class B Floating Notes Due 2042 "Class B Notes"), U. S.$16, 775,000 principal amount of Class C Deferrable Floating Rate Notes Due 2042 (the "Class B Notes"), U.S.$16,775,000 principal amount of Class C Deferrable Floating Rate 2042 "Class C Notes") U.S.$1l,090,000 principal amount Class D Deferrable Floating Notes Due 2042 (the "Class C Notes") and U.S.$11,090,000 principal amount of Class D Deferrable Floating Rate Notes 2042 (the "Class D together with the Class Notes, Class A Notes, B Notes and Notes Due 2042 (the "Class D Notes" and, together with the Class S Notes, Class A Notes, the Class B Notes and the C Notes, "Co-Issued Notes" "Secured Notes") pursuant an Indenture (the "Indenture") dated the Class C Notes, the "Co-Issued Notes" or the "Secured Notes") pursuant to an Indenture (the "Indenture") dated on March 20, 2007 among the Issuers and LaSalle Bank National trustee and securities on or about March 20, 2007 among the Issuers and LaSalle Bank National Association, as trustee and securities the "Securities Intermediary," respectively). intermediary (in such capacity, the "Trustee" intermediary (in such capacity, the "Trustee" and the "Securities Intermediary," respectively). the U.S.$20,935,000 principal amount Income Due In addition, the Issuer will issue U.S.$20,935,000 principal amount of Income Notes Due 2042 (the "Income Notes" the Secured Notes, "Notes") pursuant Agreement on "Income Notes" and, together with the Secured Notes, the "Notes") pursuant to a Fiscal Agency Agreement dated on or about March 20, 2007 (the "Fiscal Agency Agreement") between the Issuer and LaSalle Bank National "Fiscal Agency Agreement") between the and LaSalle Bank as fiscal agent (in such capacity, the "Fiscal Agent"). Association, as fiscal agent (in such capacity, the "Fiscal Agent"). proceeds received the applied Issuer The net proceeds received from the offering of the Notes will be applied by the Issuer to purchase the initial Collateral Securities certain by Credit defined herein) Collateral Securities (as defmed herein) and certain Eligible Investments (as defined herein) selected by the Credit Protection Buyer (as defined herein). The Collateral Securities and Eligible Investments (collectively, the Buyer (as defmed Collateral Securities Eligible Investments (collectively, "Collateral"),together Delivered defmed herein), "Collateral"), together with the Delivered Obligations (as defined herein), if any, delivered to the Issuer will secure obligations transaction "Credit the Issuer's obligations under a default swap transaction (the "Credit Default Swap") to be entered into on the Closing Date by the Issuer and Goldman Sachs International (in such capacity, the "Credit Protection Buyer") Goldman capacity, "Credit Buyer") International "Credit Protection Credit pursuant to which the Issuer (in such capacity, the "Credit Protection Seller") will sell credit protection to the Credit Obligations Protection with "Reference Protection Buyer with respect to a portfolio (the "Reference Portfolio") of Reference Obligations (as defined herein) defined consisting Securities Residential Mortgage-Backed consisting of Residential Mortgage-Backed Securities (as defined herein) and CDO RMBS Securities (as defined Appendix herein). Certain summary information about the Reference Portfolio is set forth in Appendix B to this Offering Certain summary Reference Circular. The Collateral Securities, the Eligible Investments, the Delivered Obligations, the Issuer's rights under the Collateral "Pledged Liquidation Liquidation Agency Agreement and certain other assets of the Issuer (collectively, the "Pledged Assets") will be pledged under the Indenture to the Trustee, for the benefit of the Secured Parties (as defined herein), as security for, among other obligations, the Issuers' obligations under the Secured Notes and to certain service providers. The service Issuers' obligations Income Notes will be unsecured obligations of the Issuer. Interest will be payable on the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes and date is if the Class D Notes in arrears on the 12th day of each calendar month, or if any such date is not a Business Day (as on 12d' defined herein), the immediately following Business Day (each date, a "Monthly Payment Date") commencing July immediately plus 12,2007. The Class S Notes will bear interest at a per annum rate equal to LIBOR (as defined herein) plus 0.20% 12, 2007. A-la for each Interest Accrual Period (as defmed herein). The Class A-Ia Notes will bear interest at a per annum rate (as defined each interest A-lb equal to LIB OR plus 0.32% for each Interest Accrual Period. The Class A-Ib Notes will bear interest at a per each to LIBOR plus Period. annum rate equal to LIBORplus 0.65% for each Interest Accrual Period. The Class A-2 Notes will bear interest at a Interest equal to LIBORplus Notes per annum rate equal to LIBOR plus 0.90% for each Interest Accrual Period. The Class B Notes will bear interest at each Interest plus interest C Notes Period. The a per annum rate equal to LIBOR plus 1.75% for each Interest Accrual Period. The Class C Notes will bear interest plus 1.75% for each rate Class D Notes each Interest Accrual Period. at a per annum rate equal to LIBOR plus 5.50% for each Interest Accrual Period. The Class D Notes will bear plus 5.50% equal at per on Interest Accrual interest at a per annum rate equal to LIB OR plus 4.00% for each Interest Accrual Period. Payments will be made on equal to LIBOR plus annum interest such day year, if the Income Notes on the 12th day of each January, April, July and October of each year, or if any such day is not a October of July each the 12'h Notes the commencing "Quarterly Business Day, the immediately following Business Day (each such date, a "Quarterly Payment Date") commencing such immediately following Business Day, (i) with described herein. "Payment July 12, 2007, to the extent amounts are available therefor, as described herein. "Payment Date" means (i) with amounts are the July 12, to the (ii) with respect to each Class of Notes other than the Income Notes, each Monthly Payment Date, and (ii) with respect to the Notes, each Monthly Notes each Income Notes, each Quarterly Payment Date. Date. Income Notes, each an of All payments on the Notes will be made from Proceeds available in accordance with the Priority of from Proceeds available in accordance with payments on the Notes will be on the Class in Priority of Payments, Payments. On each Payment Date, except as othenvise provided in the Priority of Payments, payments on the Class as otherwise Payments. On each Payment 2 2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912576 GS MBS-E-000912S76 Footnote Exhibits - Page 5675 S Notes will be senior to payments on the Class A Notes, the Class B Notes, the Class C Notes, the Class P Notes S Notes will be senior to payments on the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes; payments on the Class A Notes will be made in accordance with the Priority of Payments and the Income Notes; payments on the Class A Notes will be made in accordance with the Priority of Payments either pro rata or sequentially and will be senior to payments on the Class B Notes, the Class C Notes, the Class either pro rata or sequentially and will be senior to payments on the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes; payments on the Class B Notes will be senior to payments on the Class Notes, the Notes and the Income Notes; payments on the Class B Notes will be senior to payments on the Class C Notes, the Class D Notes and the Income Notes; and payments on the Class C Notes will be senior to payments on the Class D D Notes and the Income Notes; and payments on Class C Notes be senior payments on Class Notes and the Income Notes; and payments on the Class D Notes be senior to payments on the Income Notes, in Notes and the Income Notes; and payments on the Class D Notes will be senior to payments on the Income Notes, in each case in accordance with the Priority of Payments as described herein. Certain of the Secured Notes each case in accordance with the Priority of Payments as described herein. Certain of the Secured Notes (other than Class S Notes) subject to mandatory redemption and are subject in whole in if the Class S Notes) are subject to mandatory redemption and are subject to reduction, in whole or in part, if a Coverage Test is not satisfied any date detennination which may in variations the order of Coverage Test is not satisfied on any date of determination which may result in variations to the order of distributions described above and more fully descnbed in the Priority Payments. distributions described above and as more fully described in the Priority of Payments. The Notes subject redemption, each case, not part, any time as a result of The Notes are subject to redemption, in each case, in whole and not in part, (i) at any time as a result of a Tax Redemption (as defined herein), (ii) on an Auction Payment Date (as defined herein) as a result of a successful Redemption defined herein), on an Auction Payment defined a result a successful Tax Auction (as defined herein) or result Optional Redemption (as defined after July Auction (as defined herein) or (iii) as a result of an Optional Redemption (as defined herein) on or after the July 2010 Payment Date. The stated maturity of the than the is Payment Date in 2010 Payment Date. The stated maturity of the Notes (other than the Class S Notes) is the Payment Date in July The actual on than occur 2042. The actual final distribution on the Notes (other than the Class S Notes) is expected to occur substantially earlier. The stated maturity of the Class S Notes is the Payment Date in July 2013. See "Risk Factors-Notesstated Payment Date in 2013. See "Risk Factors-NotesAverage Prepayment Considerations." Average Lives, Duration and Prepayment Considerations." than reliance 144A Securities The Notes (other than the Income Notes) sold in reliance on Rule 144A under the Securities Act ("Rule 144A") will be evidenced by one or more global notes (the "Rule 144A Global Notes") in .fully registered form evidenced by or global notes "Rule 144A Notes") in fully registered fonn 144A") without coupons, deposited with a custodian for, and registered in the name of, a nominee of The Depository Trust coupons, deposited custodian registered name of, nominee The Depository Company 144A Company ("DTC"). Beneficial interests in the Rule 144A Global Notes will trade in DTC's Same Day Funds Settlement and secondary market therefore settle in immediately Settlement System, and secondary market trading activity in such interests will therefore settle in immediately described beneficial interests 144A available funds. Except as described herein, beneficial interests in the Rule 144A Global Notes will be shown on, effected by indirect thereof and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants. 144A Securities participants. The Income Notes sold in reliance on Rule 144A under the Securities Act and, in the case of the Income Accredited Investors U.S. $10 Income Notes only, to Accredited Investors who have a net worth of not less than U.S. $10 million, will be evidenced registered fonn. evidenced by one or more Definitive Notes in fully registered form. The Notes that are being offered hereby in reliance on the exemption from registration under Regulation S exemption "Regulation (collectively, the "Regulation S Notes"; and in the case of the Income Notes, the "Regulation S Income Notes") "Regulation have not been and will not be registered under the Securities Act and neither of the Issuers will be registered under the Investment Company Act. The Regulation S Notes may not be offered or sold within the United States or to Investment U.S. Persons (as defined in Regulation S) unless the purchaser certifies or is deemed to have certified that it is a defined S) qualified institutional buyer as defmed in Rule 144A (a "Qualified Institutional Buyer") and a "qualified purchaser" defined for the purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser"), and takes delivery in "Qualified 3(c)(7) the fonn of an interest in it Rule 144A Global Note or a definitive Income Note, in an amount equal to at least a form U.S.$250,000. See "Description of the Notes" and "Underwriting." and "Underwriting." "Description U.S.$250,000. in is This Offering Circular (the "Offering Circular '') is confidential and is being furnished by the Issuers in "Offering Circular') is This for Act, connection with an offering exempt from registration under the Securities Act, solely for the purpose of enabling a in The prospective investor to consider the purchase of the Offered Notes described herein. The information contained in Offered representation or identified this Offering Circular has been provided by the Issuers and other sources ideniified herein. No representation or Buyer, Credit Agent, warranty, express or implied, is made by the Initial Purchaser, the Liquidation Agent, the Credit Protection Buyer, the Initial Purchaser, or implied, is made Agents, the Fiscal Agent (the the Trustee, the Note Agents, the Fiscal Agent, or the Income Note Transfer Agent (the Note Agents, the Fiscal Agent Agents, the Trustee, the such accuracy "Agents") and the Income Note Transfer Agent, together, the "Agents") as to the accuracy or completeness of such Agent, together, Note as, Circular is, in/ormation, and nothing contained in this Offering Circular is, or shall be relied upon as, a promise or contained in this information, and Agent, the Credit representation by the Initial Purchaser, the Trustee, the Liquidation Agent, the Credit Protection Buyer or the Purchaser, the Trustee, by any disclosure of its Agents. Any reproduction or distribution of this Offering Circular, in whole or in part, and any disclosure of its of this Offering Circular, in whole or part, Agents. Any reproduction considering an investment the Offered Notes other contents or use of any information hereinfor any purpose other than conSidering an investment in the Offered Notes contents or use of any information herein for Circular, agrees to is prohibited. Each offeree of the Offered Notes, by accepting delivery of this Offering Circular, agrees to the delivery of offeree of the Offered Notes, by is prohibited. foregoing. foregoing. a UNITED RECOMMENDED BY NOT THE NOTES OFFERED HEREBY HAVE NOT BEEN RECOMMENDED BY ANY UNITED HEREBY THE STATES FEDERAL OR STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. OR STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. STATES FEDERAL 3 3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912577 GS MBS-E-000912577 Footnote Exhibits - Page 5676 ACCURACY OR FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR FOREGOING AUTHORITIES HAVE ANY REPRESENTATION ADEQUACY DETERMINED THE ADEQUACY OF THIS DOCUMENT. DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. CONTRARY The distribution of this Offering Circular and the offering and sale of the Offered Notes in certain jurisdictions may certain jurisdictions be restricted by law. The Issuers and the Initial Purchaser require persons into whose possession this Offering restricted Issuers Circular certain inform Circular comes to infonn themselves about and to observe any such restrictions. For a further description of certain "Underwriting." Offering restrictions on offering and sales of the Offered Notes, see "Underwriting." This Offering Circular does not jurisdiction such constitute constitute an offer of, or an invitation to purchase, any of the Offered Notes in any jurisdiction in which such offer or invitation would be unlawful. NOTICE TO NEW HAMPSHIRE RESIDENTS HAMPSHIRE A REGISTRATION STATEMENT AN APPLICATION NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE REVISED BEEN HAMPSHIRE UNDER STATUTES ANNOTATED ("RSA 421-B") WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT NEW HAMPSHIRE STATUTES ANNOTATED EFFECTIVELY REGISTERED A STATE THAT A SECURITY IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE A SECRETARY HAMPSHIRE NEW FINDING OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE 421-B AND NOT UNDER ANY DOCUMENT HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR AN EXEMPTION OR ANY SUCH MISLEADING. TRANSACTION MEANS SECURITY AVAILABLE FOR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE QUALIFICATIONS SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, STATE PASSED ANY SECRETARY RECOMMENDED GIVEN APPROVAL TRANSACTION. ANY PERSON, SECURITY, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR TRANSACTION. UNLAWFUL MAKE, CAUSE MADE, ANY PURCHASER, IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF ANY REPRESENTATION INCONSISTENT OF TIDS PARAGRAPH. THIS No invitation may be made to the public in the Cayman Islands to subscribe for the Notes. NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND RESIDENTS THIS OFFERING CIRCULAR IS NOT A PROSPECTUS AND DOES NOT CONSTITUTE AN CONSTITUTE AN CIRCULAR PROSPECTUS AND INVIT ATION PURCHASE SUBSCRIBE ANY AND NEITHER INVITATION TO THE PUBLIC TO PURCHASE OR SUBSCRIBE FOR ANY SECURITIES AND NEITHER IT TO THE NOR ANY FORM OF APPLICATION WILL BE ISSUED, CIRCULATED OR DISTRIBUTED TO THE ANY FORM PUBLIC. INFORMATION CONTAINED CIRCULAR AND THIS OFFERING CIRCULAR AND THE INFORMATION CONTAINED HEREIN IS CONFIDENTIAL AND USE PERSON ADDRESSED. CONFIDENTIAL AND IS FOR THE USE SOLELY OF THE PERSON TO WHOM IT IS ADDRESSED. WHOLE IN CONTENTS ACCORDINGLY, ACCORDINGLY, IT MAY NOT BE REPRODUCED IN WHOLE. OR IN PART, NOR MAY ITS CONTENTS DISTRIBUTED WRITING PARTY AND SOLELY ANY BE DISTRIBUTED IN WRITING OR ORALLY TO ANY THIRD PARTY AND IT MAY BE READ SOLELY ADDRESSED AND HISIHER PROFESSIONAL ADVISERS. BY THE PERSON TO WHOM IT IS ADDRESSED AND HIS/HER PROFESSIONAL ADVISERS. In this Offering Circular, references to "U.S. Dollars," "$" and "U.S.$" are to United States dollars. Offering Dollars," "$" "U.S.$" confirm The Issuers having made all reasonable inquiries, confmn that the information contained in this Offering contained opinions Circular is true and correct in all material respects and is not misleading, that the opinions and intentions eXl'ressed expressed in this Offering Circular are honestly held and that there are no other facts the omission of which would make any omission such information or the expression of any such opinions or intentions misleading and, as applicable, take expression responsibility accordingly. accordingly. 4 Confidential Treatment Requested by Goldman Sachs Treatment GS MBS-E-000912578 GS MBS-E-000912578 Footnote Exhibits - Page 5677 No person has been authorized to give any information or to make any representation other than those No person has been authorized to give any information or to make any representation other than those contained in this Offering Circular, and, if given or made, such information or representation must not be relied contained in this Offering Circular, and, if given or made, such information or representation must not be relied upon as having been authorized. TIris Offering Circular does not constitute an offer to sell or the solicitation of an upon as having been authorized. This Offering Circular does not constitute an offer to sell or the solicitation of an offer to buy any securities other than the securities to which it relates, or an offer to sell or the solicitation of an offer offer to buy any securities other than the securities to which it relates, or an offer to sell or the solicitation of an offer to buy such securities by any person in any circumstances in which such offer or solicitation is unlawful. Neither to buy such securities by any person in any circumstances in which such offer or solicitation is unlawful. Neither the delivery of this Offering Circular nor any sale hereunder shall, under any circumstances, create any implication the delivery of this Offering Circular nor any sale hereunder shall, under any circumstances, create any implication that the information contained herein is correct as of any time subsequent to the date of this Offering Circular. that the information contained herein is correct as of any time subsequent to the date of this Offering Circular. NOTWITHSTANDING ANYTHING TO THE CONTRARY CONTAINED HEREIN, PROSPECTIVE NOTWITHSTANDING ANYTHING TO THE CONTRARY CONTAINED HEREIN, A PROSPECTIVE INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF A PROSPECTIVE INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF A PROSPECTIVE INVESTOR) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE INVESTOR) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE TAX TREATMENT AND TAX STRUCTURE OF THE TRANSACTIONS DESCRIBED IN THIS OFFERING TAX TREATMENT AND TAX STRUCTURE OF THE TRANSACTIONS DESCRIBED IN THIS OFFERING CIRCULAR AND ALL MATERIALS OF ANY KIND THAT ARE PROVIDED TO THE PROSPECTIVE CIRCULAR AND ALL MATERIALS OF ANY KIND THAT ARE PROVIDED TO THE PROSPECTIVE INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE (AS SUCH TERMS ARE INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE (AS SUCH TERMS ARE THIS AUTHORIZATION OF TAX DEFINED IN TREASURY REGULATION SECTION l.6011-4). AUTHORIZATION OF TAX DEFINED IN TREASURY REGULATION SECTION 1.6011-4). DISCLOSURE IS RETROACTIVELY EFFECTIVE TO THE COMMENCEMENT OF DISCUSSIONS DISCLOSURE IS RETROACTIVELY EFFECTIVE TO THE COMMENCEMENT OF DISCUSSIONS WITH PROSPECTIVE INVESTORS REGARDING THE TRANSACTIONS CONTEMPLATED HEREIN. PROSPECTIVE INVESTORS REGARDING THE TRANSACTIONS CONTEMPLATED HEREIN. PROSPECTIVE INVESTORS SHOULD READ THIS OFFERING CIRCULAR CAREFULLY BEFORE PROSPECTIVE INVESTORS SHOULD READ THIS OFFERING CIRCULAR CAREFULLY BEFORE DECIDING WHETHER INVEST IN THE SECURITIES AND SHOULD PAY PARTICULAR ATTENTION DECIDING WHETHER TO INVEST IN THE SECURITIES AND SHOULD PAY PARTICULAR ATTENTION TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS." INVESTMENT THE TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS." INVESTMENT IN THE INVESTORS SHOULD SECURITIES IS SPECULATIVE AND INVOL VES SIGNIFICANT INVESTORS? SHOULD SECURITIES IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. UNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPT UNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPT THEM FOR AN EXTENDED PERIOD THEM FOR AN EXTENDED PERIOD OF TIME. 5 5 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912579 GS MBS-E-000912S79 Footnote Exhibits - Page 5678 NOTICE TO INVESTORS NOTICE TO INVESTORS Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or other transfer ofthe Notes. offer, resale,pledge or other transfer of the Notes. Each purchaser who has purchased Class S Notes, Class A Notes, Class B Notes, Class C Notes, Class D Each purchaser who has purchased Class S Notes, Class A Notes, Class B Notes, Class C Notes, Class D Notes and Regulation S Income Notes, will be deemed to have represented and agreed, and each purchaser of Notes and Regulation S Income Notes, will be deemed to have represented and agreed, and each purchaser of Income Notes (other than the Regulation S Income Notes) will be required to represent and agree, in each case with Income Notes (other than the Regulation S Income Notes) will be required to represent and agree, in each case with respect to such Notes, as follows (terms used herein that are defined in Rule 144A or Regulation S are used herein as respect to such Notes, as follows (terms used herein that are defined in Rule 144A or Regulation S are used herein as defined therein): defined therein): 1. In the case of Secured Notes sold in reliance on Rule 144A (the "Rule 144A Notes"), the In the case of Secured Notes sold in reliance on Rule 144A (the "Rule 144A Notes"), the (a) 1. is a qualilled institutional buyer (as defined in Rule 144A) (a "Qualilled purchaser of such Rule 144A Notes purchaser of such Rule 144A Notes (i) is a qualified institutional buyer (as defined in Rule 144A) (a "Qualified Institutional Buyer"), (ii) is aware that the sale of Secured Notes to it is being made in reliance on Rule 144A, (iii) is Buyer"), (ii) is aware that the sale of Secured Notes to it is being made in reliance on Rule 144A, (iii) is Institutional acquiring the Rule 144A Notes for its own account or for the account of a Qualilled Institutional Buyer as to which acquiring the Rule 144A Notes for its own account or for the account of a Qualified Institutional Buyer as to which the purchaser exercises sole investment discretion, in a principal amount of less than U.S.$250,000 and (iv) the purchaser exercises sole investment discretion, and in a principal amount of not less than U.S.$250,000 and (iv) will provide notice of the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. provide notice the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. (b) In the case of the Income Notes (other the Regulation S Income Notes), the In the case of the Income Notes (other than the Regulation S Income Notes), the (b) Income Notes is a Qualilled Institutional (ii) is aware that the Income Notes purchaser of purchaser of such Income Notes (i) is a Qualified Institutional Buyer, (ii) is aware that the sale of the Income Notes to it being in reliance on Rule 144A, (iii) acquiring the Income its account or to it is being made in reliance on Rule 144A, (iii) is acquiring the Income Notes for its own account or for the account a Qualilled Institutional Buyer as to which purchaser exercises sole investment unless account of a Qualified Institutional Buyer as to which the purchaser exercises sole investment discretion, and, unless otherwise permitted Fiscal Agency Agreement is purchasing principal amount not less than $250,000 for otherwise permitted by the Fiscal Agency Agreement is purchasing a principal amount of not less than $250,000 for restrictions described the purchaser account provide notice the purchaser and for each such account and (iv) will provide notice of the transfer restrictions described in this any purchaser Qualilled Institutional such "Notice to Investors" "Notice to Investors" to any subsequent transferees; or, if the purchaser is not a Qualified Institutional Buyer, such Securities defined 501(a) under a "accredited purchaser (w) is a person who is an "accredited investor" (as defined in Rule 501(a) under the Securities Act) (an "Accredited Investor") who has a net worth of not less than U.S.$10 million that is purchasing the Income Notes for less U.S.$l0 purchasing for? "Accredited Investor") its own account, (x) is not acquiring the Income Notes with a view to any resale or distribution thereof, other than in acquiring Income Notes $250,000 accordance with the restrictions set forth below, (y) is purchasing a principal amount of not less than $250,000 restrictions set amount (y) purchasing accordance with transfer otherwise permitted Fiscal Agreement) provide notice (unless otherwise permitted by the Fiscal Agency Agreement) and (z) will provide notice of the transfer restrictions described in this "Notice to Investors" to any subsequent transferees. Investors" subsequent transferees. qualified 2. been understands The purchaser understands that the Notes have not been and will not be registered or qualilled 2. securities applicable Securities under the Securities Act or any applicable state securities laws or the securities laws of any other jurisdiction, are reoffered, being offered only in a transaction not involving any public offering, and may be reoffered, resold or pledged or Qualified otherwise transferred only (A)(i) to a person whom the purchaser reasonably believes is a Qualifled Institutional Buyer and is purchasing for its own account or for the account of a Qualilled Institutional Buyer as to which the Qualified Iilstitutional purchaser exercises sole investment discretion in a transaction meeting the requirements of Rule 144A, (ii) to a nonrequirements purchaser exercises Regulation S U.S. Person in an offshore transaction complying with Rule 903 or Rule 904 of Regulation S or (iii) solely in the Rule U.S. U.S.$10 not case of the Income Notes, to an Accredited Investor who has a net worth of not less than U.S.$IO million, and, in case each case, who shall have satisfied, and in the case of Income Notes (other than the Regulation S Income Notes) in shall have represented, warranted, covenanted and agreed, or, in all other cases, shall be deemed to have satisfied, have cases, shall or, all have represented, with, all continue and shall be deemed to have represented, warranted, covenanted and agreed that it will continue to comply with, all and to have case of the Secured requirements for transfer of the Notes specilled in this Offering Circular, in the case of the Secured Notes, the this specified the for it to other and Indenture, and, in the case of the Income Notes, the Fiscal Agency Agreement, and all other requirements for it to Fiscal Income Notes, and, in applicable accordance with and qualify for an exemption from registration under the Securities Act and (B) in accordance with all applicable Securities for an exemption from registration securities laws of the states of the United States. Before any interest in a Rule 144A Note may be offered, sold, may be offered, of the United States. Before any interest in a Rule 144A laws of the pledged or otherwise transferred to a person who takes delivery in the form of an interest in a Regulation S Global delivery in the form of interest a Regulation S Global or otherwise transferred a person who (in the form a written Note, the transferor will be required to provide the Note Transfer Agent with a written certification (in the form Note Transfer required to provide interest in an provided in the Indenture) as to compliance with the transfer restrictions described herein. Before any interest in an the transfer restrictions described herein. Before Indenture) as to compliance in Income Note (other than a Regulation S Income Note) may be offered, sold, pledged or otherwise transferred, the Note) may be offered, sold, pledged or otherwise transferred, the a Regulation S Income Note (other Transfer transferee will be required to provide the Issuer, and, in the case of an Income Note, the Income Notes Transfer required to provide the Issuer, and, in the case of an Income Note, the Income transferee will Annex A-i (the "Income Note Agent, with a letter substantially in the form attached to this Offering Circular as Annex A-I (the "Income Note attached to this Offering Circular Agent, with a letter substantially in the Purchase and Transfer Letter"). The purchaser understands and agrees that any purported transfer of Notes to a Purchase and Transfer Letter"). The purchaser understands and agrees that any purported transfer of Notes to a purchaser that does not comply with the requirements of this paragraph (2) will, in the case of the Class S Notes, purchaser that does not comply with the requirements of this paragraph (2) will, in the case of the Class S Notes, Class A Notes, Class B Notes, Class C Notes, Class D Notes and Regulation S Income Notes, be null and void ab Class A Notes, Class B Notes, Class C Notes, Class D Notes and Regulation S Income Notes, be null and void ab 6 6 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912580 GS MBS-E-000912S80 Footnote Exhibits - Page 5679 and, in the case of the Income Notes (other than the Regulation S Income Notes), not be permitted or initio, and, in the case of the Income Notes (other than the Regulation S Income Notes), not be permitted or registered by the Income Notes Transfer Agent The purchaser further understands that the Issuers have the registered by the Income Notes Transfer Agent The purchaser further understands that the Issuers have the right to in the case compel any beneficial owner of Notes that is aU .S. Person and is not Qualified Institutional Buyer compel any beneficial owner of Notes that is a U.S. Person and is not a Qualified Institutional Buyer or, in the case of the Income Notes, not an Accredited Investor, to sell its interest in such Notes, or the Issuers may sell such Notes of the Income Notes, not an Accredited Investor, to sell its interest in such Notes, or the Issuers may sell such Notes on behalf such on behalf of such owner. 3. The purchaser of such also understands that neither of Issuers has been registered under The purchaser of such Notes also understands that neither of the Issuers has been registered under 3. the Investment Company the case of the Rule 144A Notes and the Income Notes (other than Regulation the Investment Company Act. In the case of the Rule 144A Notes and the Income Notes (other than the Regulation S Income described in paragraph above, the purchaser each account for which the purchaser is Income Notes) described in paragraph (1) above, the purchaser and each account for which the purchaser is Section 3(c)(7) the Investment Company acquiring such Notes qualified purchaser for the purposes acquiring such Notes is a qualified purchaser for the purposes of Section 3(c)(7) of the Investment Company Act (a principal the case of Rule 144A Notes "Qualified Purchaser"). purchaser acquiring Notes "Qualified Purchaser"). The purchaser is acquiring Notes in a principal amount, in the case of Rule 144A Notes ofIncome to Accredited Investors, of less than U.S.$250,OOO, in case Notes and, in the case of Income Notes sold to Accredited Investors, of not less than U.S.$250,000, or, in the case of Notes reliance on Regul;ltion ("Regulation Notes"), of less U.S.$lOO,OOO, in each case for sold in reliance on Regulation S ("Regulation S Notes"), of not less than U.S.100,000, in each case for the the purchaser acquiring each purchaser and for each such The purchaser purchaser and for each such account. The purchaser (or if the purchaser is acquiring Notes for any account, each such account) acquiring the principal its own account investment and connection such account) is acquiring the Notes as principal for its own account for investment and not for sale in connection such account: purpose of any purchaser and with any distribution thereof. The purchaser and each such account: (a) was not formed for the specific. purpose of investing tile Notes (except beneficial owner purchaser each account Qualified investing in the Notes (except when each beneficial owner of the purchaser and each such account is a Qualified purchaser a investment before 30, 1996, Purchaser), (b) extent Purchaser), (b) to the e).1ent the purchaser is a private investment company formed before April 30, 1996, the other purchaser received tile necessary consent beneficial owners, (c) profit sharing purchaser has received the necessary consent from its beneficial owners, (c) is not a pension, profit sharing or other retirement plan partners, beneficiaries or applicable, may designate retirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the particular investments made broker dealer invests discretionary less particular investments to be made and (d) is not a broker dealer that owns and invests on a discretionary basis less purchaser agrees respect than U.S.$25,000,000 in securities of unaffiliated issuers. Further, the purchaser agrees with respect to itself and U.S.$25,000,000 each such account: (i) that it shall not hold such Notes for the benefit of any other person and shall be the sole account: sole sell participation enter beneficial beneficial owner thereof for all purposes and (ii) that it shall not sell participation interests in the Notes or enter into beneficial interest any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions shall entitIed arrangement pursuant which Notes. purchaser understands purported transfer purchaser that on the Notes, The purchaser understands and agrees tImt any purported transfer of Notes to a purchaser that does not comply with the requirements of this paragraph (3) will, in the case of the Class S Notes, the Class A Notes, the requirements Regulation S Income Notes. Class B Notes, the Class C Notes, the Class D Notes and the Regulation S Income Notes, be null and void ab initio, than Income permitted registered and, in the case of the Income Notes (other than the Regulation S Income Notes), not be permitted or registered by Transfer the Income Notes Transfer Agent. The purchaser further understands that the Issuers have the right to compel any Qualified or beneficial beneficial owner of Notes that is a U.S. Person and is not a Qualified Purchaser to sell its interest in such Notes, or the Issuers nmy sell such Notes on behalf of such owner. may 4. (a) With respect to the Class S Notes, Class A Notes, Class B Notes, Class C Notes and (i) warranted Class D Notes, each purchaser will be deemed, by its purchase, to have represented and warranted that either (i) the States Title I purclmser is not and will not be an "employee benefit plan" as defined in and subject to TitIe I of the United States subject "employee purchaser Employee Retirement Income Security Act of 1974, as amended ("ERISA"), a plan as defined in and subject to Retirement "Code"), Internal . Section 4975 of the United States Internal Revenue Code of 1986, as amended (the "Code"), any entity whose investment underlying assets include "plan assets" by reason of an employee benefit plan's or other plan's investment in the employee by reason similar that entity, or another employee benefit plan subject to any federal, state, local or foreign law tImt is substantially similar purchaser's (ii) 4975 to tile provisions of Section 406 of ERISA, or Section 4975 of the Code ("Similar Law") or (ii) the purchaser's of the a purchase and holding of a Note does not and will not constitute or result in a prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of such another plan, any Similar Law) for which an (or, the a any purported and agrees exemption is not available. The purclmser understands and agrees that any purported transfer of a Note to a purchaser available. is ab initio. purchaser that does not comply with the requirements of this paragraph (4)(a) shall be null and void ab initio. (4)(a) shall be the requirements that purchased the Regulation S (b) With respect to the Income Notes (other than tile Reguhltion S Income Notes) purchased Income Notes (b) writing in advance the must or transferred on or after the Closing Date, the purchaser or transferee must disclose in writing in advance to the Date, after or "employee is or (i) Note Transfer Agent or the Income Notes Transfer Agent, as applicable, (i) whether or not it is (A) an "employee Agent the Income Notes Transfer Note to Section 4975 "plan" as described and benefit plan" as defined in and subject to Title I of ERISA, (B) a "plan" as described in and subject to Section 4975 as defined and subject Title I of benefit reason of the Code; or (C) an entity whose underlying assets include "plan assets" within the meaning of ERISA by reason assets include "plan whose an Code, or (A) persons and entities described in of an employee benefit or other plan's investment in the entity (all such persons and entities described in clauses (A) investment in or employee if the purchaser is a Benefit Plan Investor (or through (C) being referred to herein as "Benefit Plan Investors"); (ii) if the purchaser is a Benefit Plan Investor (or as "Benefit Plan Investors"); to (C) being not holding of the Income Notes other employee benefit plan subject to Similar Law), then (x) the purchase and holding of the Income Notes will not (x) the purchase to Similar Law), employee (or, in the of ERISA or Section 4975 of the constitute or result in a prolubited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the or result in a prohibited transaction under Section exemption is not case of another employee benefit plan subject to Sinlilar Law, any Similar Law) for which an exemption is not of another employee benefit plan subject to Similar Law, any 7 7 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912581 GS MBS-E-000912581 Footnote Exhibits - Page 5680 available or lV) solely in the case of Benefit Plan Investors, the purchase and holding of Income Notes is exempt available or (y) solely in the case of Benefit Plan Investors, the purchase and holding of Income Notes is exempt under an identified Prohibited Transaction Class Exemption or individual exemption, based on the assumption that under an identified Prohibited Transaction Class Exemption or individual exemption, based on the assumption that less than 25% of the Outstanding Income Notes are owned by Benefit Plan Investors; and (iii) whether or not it is less than 25% of the Outstanding Income Notes are owned by Benefit Plan Investors; and (iii) whether or not it is the Issuer or any other person (other than Benefit Plan Investor) that has discretionary authority or control with the Issuer or any other person (other than aa Benefit Plan Investor) that has discretionary authority or control with respect to the assets of the Issuer, person who provides investment advice for fee (direct or indirect) with respect respect to the assets of the Issuer, aaperson who provides investment advice for aa fee (direct or indirect) with respect to the assets of the Issuer, or any "affiliate" (within the meaning of 29 C.F.R Section 2510.3-101(f)(3>> of any such to the assets of the Issuer, or any "affiliate" (within the meaning of 29 C.F.R. Section 2510.3-101(f)(3)) of any such person (a "Controlling Person"). If purchaser is an insurance company acting on behalf of its general account or person (a "Controlling Person"). If aapurchaser is an insurance company acting on behalf of its general account or another entity deemed to be holding plan assets, it may be required to so indicate, and to identify maximum another entity deemed to be holding plan assets, it may be required to so indicate, and to identify aa maximum percentage of the assets in such general account or entity that may be or become plan assets, in which case the percentage of the assets in such general account or entity that may be or become plan assets, in which case the purchaser will be required to make certain further agreements that would !lPply in the event that such maximum purchaser will be required to make certain further agreements that would apply in the event that such maximum percentage would thereafter be exceeded. The purchaser agrees that, before any interest in an Income Note (other percentage would thereafter be exceeded. The purchaser agrees that, before any interest in an Income Note (other than a Regulation S Income Note) may be offered, sold, pledged or othelWise transferred, the transferee will be than a Regulation S Income Note) may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the Income Notes Transfer Agent with an Income Notes Purchase and Transfer Letter, as required to provide the Income Notes Transfer Agent with an Income Notes Purchase and Transfer Letter, as applicable, stating, among other things, whether the transferee is a Benefit Plan Investor. The purchaser applicable, stating, among other things, whether the transferee is a Benefit Plan Investor. The purchaser acknowledges and agrees that no purchase or transfer will be permitted, and the Note Transfer Agent or the Income acknowledges and agrees that no purchase or transfer will be permitted, and the Note Transfer Agent or the Income Notes Transfer Agent, as applicable, will not register any such transfer, to the ex1ent that the purchase or transfer Notes Transfer Agent, as applicable, will not register any such transfer, to the extent that the purchase or transfer would result in Benefit Plan Investors owning 25% or more of the total value of the Outstanding Income Notes would result in Benefit Plan Investors owning 25% or more of the total value of the Outstanding Income Notes immediately after such purchase or transfer (determined in accordance with the Indenture or Fiscal Agency immediately after such purchase or transfer (determined in accordance with the Indenture or Fiscal Agency Agreement, as applicable). The foregoing procedures are intended to enable the Income Notes (other than the Agreement, as applicable). The foregoing procedures are intended to enable the Income Notes (other than the Regulation S Income Notes) to be purchased by or transferred to Benefit Plan investors at any time, although no Regulation S Income Notes) to be purchased by or transferred to Benefit Plan Investors at any time, although no assurance can be given that there not be circumstances which purchases transfers of Income will be assurance can be given that there will not be circumstances in which purchases or transfers of Income Notes will be required to restricted in order comply with the aforementioned 25% See "ERISA Considerations." required to be restricted in order to comply with the aforementioned 25% limitation. See "ERISA Considerations." (c) With respect to the Regulation S Income Notes, each purchaser will be deemed, its With respect to the Regulation S Income Notes, each purchaser will be deemed, by its (c) Each a Benefit Investor a Controlling purchase, to have represented and warranted that it is not a Benefit Plan Investor or a Controlling Person. Each to have represented and warranted purchase, an employee benefit purchaser also will be deemed, purchase, to have represented warranted purchaser also will be deemed, by its purchase, to have represented and warranted that if it is an employee benefit plan subject to Similar purchase holding Income Notes constitute in plan subject to Similar Law, then its purchase and holding of Income Notes do not and will not constitute or result in that a violation of any Similar Law exemption purchaser understands a violation of any Similar Law for which an exemption is not available. The purchaser understands and agrees that paragraph any purported transfer of purchaser requirements any purported transfer of a Note to a purchaser that does not comply with the requirements of this paragraph 4(c) shall be null and void ab initio. initio. shall be or other 5. The purchaser is not purchasing the Notes with a view toward the resale, distribution or other purchasing 5. Notes disposition thereof in violation of the Securities Act. The purchaser understands that an investment in the Notes purchaser disposition thereof in certain circumstances. involves certain risks, including the risk of loss of its entire investment in the Notes under certain circu1l1stances. the involves certain The purchaser has had? access to such financial and other information concerning the Issuers and the Notes as it concerning other The purchaser has had of deemed necessary or appropriate in order to make an informed investment decision with respect to its purchase of investment decision with order to make an deemed necessary or appropriate the Notes, including an opportunity to ask questions of, and request infonnation from, the Issuer. information from, the Issuer. of, Notes, including an opportunity the the of the (i) 6. In connection with the purchase of the Notes: (i) none of the Issuers, the Initial Purchaser, the of the with the In 6. acting as a Liquidation Agent, the Trustee, the Agents, the Administrator or the Share Trustee (as defined herein) is acting as a Share Trustee (as defined or the Trustee, the Liquidation Agent, not relying (for purposes of fiduciary or financial or investment adviser for the purchaser; (ii) the purchaser is not relying (for purposes of the purchaser the purchaser, investment adviser fiduciary or financial making any investment decision or othelWise) upon any advice, counselor representations (whether written or oral) any advice, counsel or representations (whether written or oral) making any investment decision or otherwise) of the Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee, the Agents, the Administrator or the Share of the Issuers. the Initial Purchaser, the Liquidation Agent, the Trustee, the Agents, the Administrator or the Share Trustee other than in this Offering Circular for such Notes and any representations expressly set forth in a written Trustee other than in this Offering Circular for such Notes and any representations expressly set forth in a written agreement with such party; (iii) none of the Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee, the agreement with such party; (iii) none of the Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee, the Agents, the Credit Protection Buyer, the Administrator or the Share Trustee has given to the purchaser (directly or Agents, the Credit Protection Buyer, the Administrator or the Share Trustee has given to the purchaser (directly or indirectly through any other person) any assurance, guarantee or representation whatsoever as to the expected or indirectly through any other person) any assurance, guarantee or representation whatsoever as to the expected or projected success, profitability, retum, performance, results, effect, consequence or benefit (including legal, projected success, profitability, retum, performance, results, effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or othelWise) as to an investment in the Notes; (iv) the purchaser has consulted regulatory, tax, financial, accounting or otherwise) as to an investment in the Notes; (iv) the purchaser has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisors to. the extent it has with its own legal, regulatory, tax, business, investment, financial and accounting advisors to. the extent it has deemed necessary, and it has made its own investment decisions (including decisions regarding the suitability of any deemed necessary, and it has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture and Fiscal Agency Agreement) based upon its own judgment and upon any transaction pursuant to the Indenture and Fiscal Agency Agreement) based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by Issuers, the Initial advice from such advisors as it has deemed necessary and not upon any view expressed by Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee, the Agents, the Credit Protection Buyer, the Administrator or the Purchaser, the Liquidation Agent, the Trustee, the Agents, the Credit Protection Buyer, the Administrator or the Share Trustee; (v) the purchaser has evaluated the rates, prices or amounts and other terms and conditions of the Share Trustee; (v) the purchaser has evaluated the rates, prices or amounts and other terms and conditions of the purchase and sale of the Notes with aafull understanding of all of the risks thereof (economic and othelWise), and is purchase and sale of the Notes with full understanding of all of the risks thereof (economic and otherwise), and is 88 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912582 GS MBS-E-000912582 Footnote Exhibits - Page 5681 capable of assuming and willing to assume (fmancially and otherwise) those risks; and (vi) the purchaser is a capable of assuming and willing to assume (financially and otherwise) those risks; and (vi) the purchaser is a sophisticated investor. sophisticated investor. 7. Pursuant to the terms of the Indenture, unless otherwise determined by the Issuers in accordance Pursuant to the terms of the Indenture, unless otherwise determined by the Issuers in accordance 7. with the Indenture, the Class S Notes, Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes the Indenture, the Class S Notes, Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes with will bear legend to the following effect: will bear aa legend to the following effect: THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), AND THE ISSUERS HAVE SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), AND THE ISSUERS HAVE NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT'). THE HOLDER HEREOF, BY 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUERS THAT THE NOTES MAYBE OFFERED, SOLD, PLEDGED FOR THE BENEFIT OF THE ISSUERS THAT THE NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(l) TO A PERSON WHOM THE SELLER OR OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND 144A UNDER THE SECURITIES ACT THAT IS NOT A BROKER DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN $25 MILLION IN SECURITIES OF ISSUERS INVESTS ON A DISCRETIONARY BASIS LESS THAN $25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF INITIAL PURCHASER AND IS NOT PLAN THAT ARE NOT AFFILIATED PERSONS OF THE INITIAL PURCHASER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(l)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(l)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(I)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN, PURCHASING FOR OWN ACCOUNT FOR THE BENEFICIARIES OF THE PLAN, PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, TRANSACTION MEETING THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE RULE 144A UNDER THE SECURITIES TO NON U.S. PERSON REQUIREMENTS REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT OR (2) TO A NON U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF AN OFFSHORE TRANSACTION COMPLYING RULE IN REGULATION UNDER SECURITIES ACT AND, CASE CLAUSE (1), REGULATION S UNDER THE SECURITIES ACT AND, IN THE CASE OF CLAUSE (1), IN A PRINCIPAL AMOUNT OF NOT THE CASE CLAUSE (2), IN THAN $250,000 OR PRINCIPAL AMOUNT OF NOT LESS THAN $250,000 OR IN THE CASE OF CLAUSE (2), IN A PRINCIPAL AMOUNT THAN $100,000, THE PURCHASER AND PRINCIPAL AMOUNT OF NOT LESS THAN $100,000, FOR THE PURCHASER AND FOR EACH ACCOUNT WHICH TO A PURCHASER OTHER THAN CASE ACCOUNT FOR WHICH IT IS ACTING, TO A PURCHASER THAT, OTHER THAN IN THE CASE THE A 3(c)(7) OF CLAUSE PURCHASER OF CLAUSE (2), (V) IS A QUALIFIED PURCHASER FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTING INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN COMPANY INVESTMENT PURCHASER THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A BENEFICIAL THE RECEIVED QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS NECESSARY QUALIFIED INVESTMENT COMPANY BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY PURCHASER BENEFICIAL OWNS AND INVESTS FORMED BEFORE APRIL 30,1996, (Y) IS NOT A BROKER DEALER THAT OWNS AND INVESTS 30, 1996, FORMED ON A DISCRETIONARY BASIS LESS THAN $25,000,000 IN SECURITIES OF UNAFFILIATED $25,000,000 ON A DISCRETIONARY TRUST ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST A ISSUERS AND FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS FUND A BE APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A PARTICULAR INVESTMENTS DESIGNATE APPLICABLE, ANY LOSS TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE TRANSACTION (B) IN ACCORDANCE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE WITH ALL INVESTMENT COMPANY ACT APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. EACH HOLDER THE UNITED STATES. EACH HOLDER OF APPLICABLE SECURITIES HEREOF SHALL BE DEEMED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET HEREOF SHALL BE VIOLATION OF TRANSFER FORTH IN THE INDENTURE (AS DEFINED HEREIN). ANY TRANSFER IN VIOLATION OF THE FORTH IN THE INDENTURE (AS DEFINED HEREIN). INITIO AND FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE NULL AND VOID AB INITIO AND FORCE AND EFFECT, WILL BE NULL AND FOREGOING WILL BE OF WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, TRANSFEREE, WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUERS, THE NOTE NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUERS, THE TRANSFER AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL TRANSFER AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUERS HAVE INDENTURE TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL THE RIGHT, UNDER THE INDENTURE (AS DEFINED HEREIN), TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) OWNER OF AN INTEREST IN A RULE 144A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED THAT IS A U.S. PERSON AND IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTERESTS ON BEHALF OF SUCH OWNER. INTERESTS ON BEHALF OF SUCH OWNER. 9 9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912583 GS MBS-E-000912583 Footnote Exhibits - Page 5682 THE HOLDER HEREOF, BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE THE HOLDER HEREOF, BY PURCHASING THE NOTES IN RESPECT OF WHICH THIS NOTE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUERS THAT EITHER (1) THE HAS BEEN ISSUED, AGREES FOR THE BENEFIT OF THE ISSUERS THAT EITHER (I) THE NOT AND WILL NOT BE AN EMPLOYEE BENEFIT PLAN AS DEFINED IN AND HOLDER HOLDER IS NOT AND WILL NOT BE AN EMPLOYEE BENEFIT PLAN AS DEFINED IN AND SUBJECT TO TITLE OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY SUBJECT TO TITLE I OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA")), A PLAN DEFINED IN AND SUBJECT TO SECTION 4975 ACT OF 1974, AS AMENDED ("ERISA")), A PLAN DEFINED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE ASSETS" BY REASON OF OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE "PLAN ASSETS' BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR OTHER PLAN'S INVESTMENT THE ENTITY, ANY SUCH EMPLOYEE BENEFIT PLAN'S OR OTHER PLAN'S INVESTMENT IN THE ENTITY, OR ANOTHER EMPLOYEE BENEFIT PLAN SUBJECT TO ANY FEDERAL, STATE, LOCAL OR OR ANOTHER EMPLOYEE BENEFIT PLAN SUBJECT TO ANY FEDERAL, STATE, LOCAL OR FOREIGN LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF FOREIGN LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF OR SECTION 4975 OF THE CODE ("SIMILAR LAW') OR (II) HOLDER'S PURCHASE ERISA OR SECTION 4975 OF THE CODE ("SIMILAR LAW") OR (I) THE HOLDER'S PURCHASE RESULT IN AND HOLDING OF A NOTE DO NOT AND WILL NOT CONSTITUTE AND HOLDING OF A NOTE DO NOT AND WILL NOT CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 THE CODE PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE IN THE CASE SUCH ANOTHER PLAN, ANY SIMILAR LAW) FOR WHICH (OR, IN THE CASE OF SUCH ANOTHER PLAN, ANY SIMILAR LAW) FOR WHICH AN AVAILABLE. ANY PURPORTED TRANSFER A NOTE TO A HOLDER EXEMPTION IS EXEMPTION IS NOT AVAILABLE. ANY PURPORTED TRANSFER OF A NOTE TO A HOLDER FORTH ABOVE SHALL NULL THAT DOES WITH THE REQUIREMENTS THAT DOES NOT COMPLY WITH THE REQUIREMENTS SET FORTH ABOVE SHALL BE NULL AND AB INITIO. AND VOID AB INITIO. OR ANY TRANSFER, USE OF NOTE FOR VALUE OR OTHERWISE ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR & CO., HAS TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS ANY PERSON WRONGFUL REGISTERED OWNER HEREOF, TO AN AUTHORIZED AN HEREIN, UNLESS NOTE PRESENTED AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW DEPOSITORY TRUST COMPANY NEW REPRESENTATIVE REGISTRATION TRANSFER, EXCHANGE TO THEIR AGENT YORK, TO THE ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OF & NAME OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF PAYMENT AND ANY ISSUED REGISTERED SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC OTHER ENTITY REQUESTED AN AUTHORIZED REPRESENTATIVE (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). & CO.). (AND ANY PAYMENT HEREON MADE IN TRANSFERS TRANSFERS TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN NOMINEES SUCCESSOR'S SUCCESSOR THEREOF PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO SHALL AND RESTRICTIONS TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE ACCORDANCE THE MADE INDENTURE. FORTH PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE AMOUNT THAN ANY OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT OUTSTANDING PRINCIPAL SHOWN ASCERTAIN ACQUIRING ANY SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT AMOUNT CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE NOTE PAYING AGENT. 8. The purchaser acknowledges that it is its intent and that it understands it is the intent of the Issuer acknowledges local that, for purposes of U.S. federal income, state and local income and franchise tax and any other income taxes, the state for purposes Issuer will be treated as a corporation, the Secured Notes will be treated as indebtedness of the Issuer and the the Secured treated to treatment Income Notes will be treated as equity in the Issuer; the purchaser agrees to such treatment and agrees to take no as equity action inconsistent with such treatment . treatment the Liquidation 9. The purchaser understands that the Issuers, the Trustee, the Initial Purchaser, the Liquidation Issuers, 9. purchaser representations, Agent and their counsel will rely upon the accuracy and truth of the foregoing representations, and the purchaser upon Agent and hereby consents to such reliance. reliance. hereby Issuer 10. Pursuant to the terms of the Fiscal Agency Agreement, unless otherwise determined by the Issuer Agency Agreement, terms of the to non-U.S. Persons in in _accordance with the Fiscal Agency Agreement, the Income Notes sold to non-U.S. Persons in offshore the Income accordance with the Fiscal Agency effect: .. transactions (the "Regwation S Income Notes") will bear a legend to the following effect: to the (the "Regulation S Income Notes") will bear SUBJECT TO THE TERMS AND AND ARE THE INCOME NOTES ARE THE SUBJECT OF, AND ARE ISSUED SUBJECT TO THE TERMS AND ARE THE INCOME 2007 CONDITIONS OF, THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 20, 2007 FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH CONDITIONS OF, BETWEEN THE ISSUER OF THE (THE "FISCAL AGENCY AGREEMENT') BY AND BETWEEN THE ISSUER OF THE INCOME (THE "FISCAL AGENCY AGREEMENT") BY 10 10 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912584 GS MBS-E-000912584 Footnote Exhibits - Page 5683 NOTES AND LASALLE BANK NATIONAL ASSOCIATION, AS FISCAL AGENT. COPIES OF THE NOTES AND LASALLE BANK NATIONAL ASSOCIATION, AS FISCAL AGENT. COPIES OF THE FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), AND THE ISSUER STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT'), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY PURCHASING THE INCOME NOTES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF PURCHASING THE INCOME NOTES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR THE ISSUER THAT SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(l) TO A PERSON WHOM THE SELLER REASONABLY OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) TO AN ACCREDITED INVESTOR (AS OF RULE 144A UNDER THE SECURITIES ACT, (2) TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION) IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER LESS THAN U.S.$lO MILLION) IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION THE SECURITIES ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION UNDER THE SECURITIES ACT, COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT, AND, IN THE CASE OF CLAUSE (1) AND (2) IN A PRINCIPAL AMOUNT OF NOT LESS THAN AND. IN THE CASE OF CLAUSE (1) AND (2) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $250,000 OR IN THE CASE OF CLAUSE (3) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $250,000 OR IN THE CASE OF CLAUSE (3) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $100,000. FURTHERMORE, THE PURCHASER AND EACH ACCOUNT FOR WHICH IT IS ACTING $100,000. FURTHERMORE, THE PURCHASER AND EACH ACCOUNT FOR WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN mE CASE OF CLAUSE (A)(3) ABOVE, REPRESENTS FOR AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF THE ISSUER THAT IT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSES ISSUER mAT IT QUALIFIED PURCHASER PURPOSES THE BENEFIT OF WAS NOT FORMED THE OF SECTION 3(c)(7) OF INVESTMENT COMPANY ACT, OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN ISSUER (EXCEPT BENEFICIAL OWNER OF THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE HAS RECEIVED NECESSARY CONSENT PURCHASER IS QUALIFIED PURCHASER), PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT PURCHASER A PRIVATE INVESTMENT OWNERS WHEN ITS FROM 1996, (Y) NOT BROKER-DEALER mAT OWNS COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS COMPANY FORMED BEFORE AND INVESTS DISCRETIONARY BASIS LESS mAN U.S.$25,000,000 SECURITIES OF AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF OTHER SHARING UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR omER AND A UNAFFILIATED BENEFICIARIES RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR FUND RETIREMENT PARTICULAR PARTICIPANTS, IN EACH CASE AS APPLICABLE, MAY DESIGNATE THE PARTICULAR CASE PARTICIPANTS, INVESTMENTS TO BE MADE, AND IN A TRANSACTION mAT MAYBE EFFECTED WITHOUT MADE, AND TRANSACTION THAT MAY BE INVESTMENTS AND (B) IN LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN INVESTMENT LOSS OF ANY UNITED ACCORDANCE WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED APPLICABLE SECURITIES ACCORDANCE WILL NOT BE OF THE FOREGOING WILL NOT BE STATES. ANY PURPORTED TRANSFER IN VIOLATION IN STATES. ANY PERMITTED OR REGISTERED BY THE INCOME NOTES TRANSFER AGENT. EACH INCOME NOTES TRANSFER AGENT. EACH PERMITTED THE NOTICE TRANSFEROR OF THE INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER TRANSFEROR OF THE INCOME TO ITS FISCAL AGENCY RESTRICTIONS SET FORTH HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS FORTH HEREIN AND IN RESTRICTIONS TO ISSUER HAS THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER HAS THE RIGHT TO COMPEL TRANSFEREE. IN ADDITION TO PERSON AND IS NOT (A) A ANY BENEFICIAL OWNER OF AN INCOME NOTE mAT IS A U.S. PERSON AND IS NOT (A) A THAT IS A ANY BENEFICIAL OWNER OF AN QUALIFIED PURCHASER AND (B) EImER A QUALIFIED INSTITUTIONAL BUYER OR AN PURCHASER AND (B) EITHER A QUALIFIED INSTITUTIONAL BUYER OR AN QUALIFIED ACCREDITED INVESTOR WHO HAS A NET WORTH OF NOT LESS THAN U.S.$lO MILLION TO ACCREDITED INVESTOR WHO HAS A NET WORTH OF NOT LESS THAN U.S.$10 MILLION TO SELL SUCH INCOME NOTES, OR MAY SELL SUCH INCOME NOTES ON BEHALF OF SUCH SELL SUCH INCOME NOTES, OR MAY SELL SUCH INCOME NOTES ON BEHALF OF SUCH OWNER. OWNER. IF THE 1RANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OR IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(1) OR (A)(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL (1) (A)(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL (1) BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE FISCAL AGENT AN BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE FISCAL AGENT AN INCOME NOTES PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN mE FORM INCOME NOTES PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (X) A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A THE TRANSFEREE IS (X) A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR mE UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) UNDER mE SECURITIES ACT) WHO HAS A NET WORm OF (AS DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS mAN U.S.$lO MILLION AND (Z) A QUALIFIED PURCHASER-FOR THE PURPOSES NOT LESS THAN U.S.$10 MILLION AND (Z) A QUALIFIED PURCHASER. FOR THE PURPOSES 11 11 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912585 GS MBS-E-000912585 Footnote Exhibits - Page 5684 OF THE INVESTMENT COMPANY ACT AND (2) RECEIVE ONE OR MORE DEFINITIVE INCOME OF THE INVESTMENT COMPANY ACT AND (2) RECEIVE ONE OR MORE DEFINITIVE INCOME NOTES. NOTES. IF THE JRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(3) OF mE IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(3) OF THE SECOND PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES Wll..L BE SECOND PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL BE REQUIRED TO DELIVER TO THE ISSUER AND THE FISCAL AGENT AN INCOME NOTES REQUIRED TO DELIVER TO THE ISSUER AND THE FISCAL AGENT AN INCOME NOTES PURCHASE AND TRANSFER LEITER, SUBSTANTIALLY IN THE FORM ATIACHED TO THE PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S). . IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S). WITH RESPECT TO THE INCOME NOTES PURCHASED OR JRANSFERRED AFTER THE WITH RESPECT TO THE INCOME NOTES PURCHASED OR TRANSFERRED AFTER THE CLOSING DATE, THE PURCHASER OR TRANSFEREE IS DEEMED TO REPRESENT AND CLOSING DATE, THE PURCHASER OR TRANSFEREE IS DEEMED TO REPRESENT AND WARRANT), THAT (i) IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN AND WARRANT), THAT (i) IT IS NOT (A) AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN AND SUBJECT TO TITLE OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY SUBJECT TO TITLE II OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"), (B) A "PLAN" AS DESCRIBED IN SECTION 4975 OF THE ACT OF 1974, AS AMENDED ("ERISA"), (B) A "PLAN" AS DESCRIBED IN SECTION 4975 OF THE OR (C) UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF AN EMPLOYEE BENEFIT PLAN'S OR OTHER PLAN'S INVESTMENT IN THE REASON OF AN EMPLOYEE BENEFIT PLAN'S OR OTHER PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); AND (ii) IT IS NOT BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); AND (ii) IT IS NOT A PERSON WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE PERSON WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS THE ISSUER OR A PERSON WHO PRovIDES INVESTMENT ADVICE FOR A FEE ASSETS OF THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH TO ASSETS OF THE ISSUER, OR ANY (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY 2510.3-101(f)(3)) ANY SUCH "AFFILIATE" (WITHIN MEANING OF "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) OF ANY SUCH PERSON. IF THE PURCHASER OR TRANSFEREE IS AN EMPLOYEE BENEFIT PLAN SUBJECT THE PURCHASER TRANSFEREE AN EMPLOYEE BENEFIT PLAN SUBJECT PERSON. TO ANY FEDERAL, ST ATE, LOCAL FOREIGN THAT SUBSTANTIALLY SIMILAR TO ANY FEDERAL, STATE, LOCAL OR FOREIGN LAW THAT IS SUBSTANTIALLY SIMILAR TO SECTION THE PROVISIONS 406 THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE ("SIMILAR LAW"), SUCH PURCHASER REPRESENT AND TRANSFEREE ALSO LAW"), SUCH PURCHASER OR TRANSFEREE ALSO IS DEEMED TO REPRESENT AND INCOME WILL NOT WARRANT THAT ITS PURCHASE AND HOLDING OF THE INCOME NOTES WILL NOT PURCHASE AND HOLDING WARRANT THAT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SIMILAR LAW FOR WHICH AN AN ANY SIMILAR CONSTITUTE EXEMPTION IS NOT AVAILABLE. ANY PURPORTED JRANSFER OF AN INCOME NOTE THAT ANY PURPORTED TRANSFER EXEMPTION AND DOES NOT COMPLY WITH THE REQUIREMENTS SET FORTH ABOVE SHALL BE NULL AND DOES NOT VOID AB INITIO. VOID AB INITIO. SUBORDINATE TO THE PAYMENTS TO THE HOLDERS OF mE INCOME NOTES ARE SUBORDINATE TO THE THE THE PAYMENTS ON OF AND DATE PAYMENT ON EACH QUARTERLY PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON EACH AND THE PAYMENT AS 'THE SECURED NOTES OF THE ISSUER OR CO-ISSUER, AS APPLICABLE, AND THE PAYMENT NOTES THE DESCRIBED IN THE INDENTURE. OF CERTAlN OTHER AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. EXTENT AND OF CERTAIN OTHER AMOUNTS, the Issuer unless otherwise determined 11. Pursuant to the tenus of the Fiscal Agency Agreement, unless otherwise detennined by the Issuer Agency Pursuant to the terms of 11. will in accordance with the Fiscal Agency Agreement, the Income Notes (other than the Regulation S Income Notes) will (other than the Regulation S Income in accordance with the Fiscal Agency bear a legend to the following effect: bear a legend to the following effect: THE INCOME NOTES ARE THE SUBJECT OF, AND ARE ISSUED SUBJECT TO THE TERMS AND THE INCOME NOTES ARE THE SUBJECT OF, AND ARE ISSUED SUBJECT TO THE TERMS AND CONDITIONS OF, THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 20, 2007 CONDITIONS OF, THE FISCAL AGENCY AGREEMENT, DATED ON OR ABOUT MARCH 20, 2007 (THE "FISCAL AGENCY AGREEMENT") BY AND BETWEEN THE ISSUER OF THE INCOME (THE "FISCAL AGENCY AGREEMENT") BY AND BETWEEN THE ISSUER OF THE INCOME NOTES AND LASALLE BANK NATIONAL ASSOCIATION, AS FISCAL AGENT. COPIES OF THE NOTES AND LASALLE BANK NATIONAL ASSOCIATION, AS FISCAL AGENT. COPIES OF THE FISCAL AGENCY AGREEMENT MAYBE OBTAlNED FROM THE FISCAL AGENT. FISCAL AGENCY AGREEMENT MAY BE OBTAINED FROM THE FISCAL AGENT. THE INCOME NOTES HAVE NOT BEEN AND Wll..L NOT BE REGISTERED uNDER THE UNITED THE INCOME NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT'), AND THE ISSUER STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT'), AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT'). THE HOLDER HEREOF, BY 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT'). THE HOLDER HEREOF, BY PURCHASING THE INCOME NOTES'REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF PURCHASING THE INCOME NOTES REPRESENTED HEREBY, AGREES FOR THE BENEFIT OF THE ISSUER THAT SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR THE ISSUER THAT SUCH INCOME NOTES MAY BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED, ONLY (A)(l) TO A PERSON WHOM THE SELLER REASONABLY OTHERWISE TRANSFERRED, ONLY (A)(1) TO A PERSON WHOM THE SELLER REASONABLY 12 12 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912586 GS MBS-E-000912586 Footnote Exhibits - Page 5685 BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF SECURITIES ACT AND IS PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS A QUALIFIED INSTITUTIONAL BUYER, IN A TRANSACTION MEETING THE REQUIREMENTS OF RULE 144A UNDER THE SECURITIES ACT, (2) TO AN ACCREDITED INVESTOR (AS OF RULE 144A UNDER THE SECURITIES ACT, (2) TO AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$lO MILLION) IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER LESS THAN U.S.$10 MILLION) IN A TRANSACTION EXEMPT FROM REGISTRATION UNDER THE SECURITIES ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION THE SECURITIES ACT, OR (3) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT, COMPLYING WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT, AND, IN THE CASE OF CLAUSE (1) AND (2) IN A PRINCIPAL AMOUNT OF NOT LESS THAN AND, IN THE CASE OF CLAUSE (1) AND (2) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $250,000 OR IN THE CASE OF CLAUSE (3) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $250,000 OR IN THE CASE OF CLAUSE (3) IN A PRINCIPAL AMOUNT OF NOT LESS THAN $100,000. FURTHERMORE, THE PURCHASER AND EACH ACCOUNT FOR WHICH IT IS ACTING $100,000. FURTHERMORE, THE PURCHASER AND EACH ACCOUNT FOR WHICH IT IS ACTING AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE (A)(3) ABOVE, REPRESENTS FOR AS A PURCHASER, OTHER THAN IN THE CASE OF CLAUSE (A)(3) ABOVE, REPRESENTS FOR THE BENEFIT OF ISSUER THAT IT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSES THE BENEFIT OF THE ISSUER THAT IT (V) IS A QUALIFIED PURCHASER FOR THE PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (W) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT PURCHASER IS A QUALIFIED PURCHASER), (X) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS WHEN PURCHASER IS A PRIV ATE INVESTMENT FROM ITS BENEFICIAL OWNERS WHEN THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (y)IS NOT A BROKER-DEALER THAT OWNS COMPANY FORMED BEFORE APRIL 30, 1996, (Y) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 SECURITIES OF AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF PROFIT SHARING OTHER UNAFFILIATED ISSUERS AND (Z) IS NOT A UNAFFILIATED ISSUERS AND (Z) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN WHICH PARTNERS, BENEFICIARIES OR RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS BE PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE WITHOUT LOSS MADE, AND, IN CASE, IN A TRANSACTION THAT MAY BE MADE, AND, IN EACH CASE, IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS ACCORDANCE ANY APPLICABLE INVESTMENT COMPANY EXEMPTION AND (B) OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (B) IN ACCORDANCE APPLICABLE SECURITIES LAWS THE STATES UNITED STATES. ANY WITH ALL APPLICABLE SECURITIES LAWS OF THE STATES OF THE UNITED STATES. ANY PURPORTED TRANSFER VIOLATION OF FOREGOING WILL PERMITTED OR PURPORTED TRANSFER IN VIOLATION OF THE FOREGOING WILL NOT BE PERMITTED OR THE REGISTERED THE NOTES TRANSFER TRANSFEROR REGISTERED BY THE INCOME NOTES TRANSFER AGENT. EACH TRANSFEROR OF THE NOTES PROVIDE THE TRANSFER RESTRICTIONS INCOME NOTES WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH ADDITION HEREIN AND FISCAL AGENCY AGREEMENT TRANSFEREE. HEREIN AND IN THE FISCAL AGENCY AGREEMENT TO ITS TRANSFEREE. IN ADDITION TO THE FOREGOING, ISSUER HAS RIGHT ANY BENEFICIAL THE FOREGOING, THE ISSUER HAS THE RIGHT TO COMPEL ANY BENEFICIAL OWNER OF PURCHASER AND AN INCOME NOTE THAT IS A U.S. PERSON AND IS NOT (A) A QUALIFIED PURCHASER AND INCOME A PERSON AND (A) A (B) EITHER A QUALIFIED INSTITUTIONAL BUYER OR AN ACCREDITED INVESTOR WHO HAS INSTITUTIONAL AN ACCREDITED INVESTOR HAS (B) EITHER A NET WORTH OF NOT LESS THAN U.S.$lO MILLION TO SELL SUCH INCOME NOTES, OR SUCH U.S.$10 MAY SELL SUCH INCOME NOTES ON BEHALF OF SUCH OWNER. BEHALF (A)(1) IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(I) OR MADE PURSUANT (1) TRANSFEREE (A)(2) OF THE PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL (1) PARAGRAPH, (A)(2) BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE INCOME NOTES ISSUER DELIVER EXECUTE TRANSFER AGENT AN INCOME NOTES PURCHASE AND TRANSFER LETTER, PURCHASE AND SUBSTANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY AGREEMENT, AGENCY SUBSTANTIALLY IS (X) STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS (X) A QUALIFIED SECURITIES ACT 144A INSTITUTIONAL BUYER AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT INSTITUTIONAL BUYER AS DEFINED IN A OR PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED OWN PURCHASING DEFINED IN INSTITUTIONAL BUYER, OR (Y) AN ACCREDITED INVESTOR (AS DEFINED IN RULE 501(a) (Y) AN ACCREDITED INVESTOR INSTITUTIONAL U.S.$10 UNDER THE SECURITIES ACT) WHO HAS A NET WORTH OF NOT LESS THAN U.S.$lO ACT) WHO UNDER MILLION AND (Z) A QUALIFIED PURCHASER FOR THE PURPOSES OF THE INVESTMENT PURCHASER FOR THE PURPOSES OF THE INVESTMENT MILLION AND (Z) A COMPANY ACT AND (2) RECEIVE ONE OR MORE DEFINITIVE INCOME NOTES. MORE DEFINITIVE INCOME NOTES. (2) COMPANY ACT IF THE TRANSFER OF INCOME NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(3) OF THE NOTES IS TO BE MADE PURSUANT TO CLAUSE (A)(3) OF THE IF THE TRANSFER OF SECOND PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL BE SECOND PRECEDING PARAGRAPH, THE TRANSFEREE OF THE INCOME NOTES WILL BE AGENT AN REQUIRED TO DELIVER TO THE ISSUER AND' THE INCOME NOTES TRANSFER AGENT. AN TO DELIVER TO THE ISSUER AND- THE INCOME NOTES INCOME NOTES PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM PURCHASE AND TRANSFER LETTER, SUBSTANTIALLY IN THE FORM INCOME ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, ATTACHED TO THE FISCAL AGENCY AGREEMENT, STATING THAT AMONG OTHER THINGS, THE TRANSFEREE IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S). THE TRANSFEREE IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S). 13 13 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912587 GS MBS-E-000912587 Footnote Exhibits - Page 5686 WITH RESPECT TO THE INCOME NOTES PURCHASED OR TRANSFERRED ON OR AFfER THE WITH RESPECT TO THE INCOME NOTES PURCHASED OR TRANSFERRED ON OR AFTER THE CLOSING DATE, THE PURCHASER OR TRANSFEREE MUST DISCLOSE IN WRITING IN CLOSING DATE, THE PURCHASER OR TRANSFEREE MUST DISCLOSE IN WRITING IN ADVANCE TO THE FISCAL AGENT (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT ADVANCE TO THE FISCAL AGENT (i) WHETHER OR NOT IT IS (A) AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN AND SUBJECT TO TITLE OF THE UNITED STATES EMPLOYEE PLAN" AS DEFINED IN AND SUBJECT TO TITLE II OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"), (B) A "PLAN" RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"), (B) A "PLAN" DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL DESCRIBED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR (C) AN ENTITY WHOSE ASSETS REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR (C) AN ENTITY WHOSE ASSETS INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF AN EMPLOYEE INCLUDE "PLAN ASSETS" WITHIN THE MEANING OF ERISA BY REASON OF AN EMPLOYEE BENEFIT PLAN OR OTHER PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND BENEFIT PLAN OR OTHER PLAN'S INVESTMENT IN THE ENTITY (ALL SUCH PERSONS AND ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS ENTITIES DESCRIBED IN CLAUSES (A) THROUGH (C) BEING REFERRED TO HEREIN AS "BENEFIT PLAN INVESTORS"); (ii) IF THE PURCHASER OR TRANSFEREE IS A BENEFIT PLAN "BENEFIT PLAN INVESTORS"); (ii) IF THE PURCHASER OR TRANSFEREE IS A BENEFIT PLAN INVESTOR (OR ANOTHER EMPLOYEE BENEFIT PLAN SUBJECT TO ANY FEDERAL, ST ATE, INVESTOR (OR ANOTHER EMPLOYEE BENEFIT PLAN SUBJECT TO ANY FEDERAL, STATE, LOCAL OR FOREIGN LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF LOCAL OR FOREIGN LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE ("SIMILAR LAW')), THAT THE SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE ("SIMILAR LAW")), THAT THE PURCHASE AND HOLDING OR TRANSFER AND HOLDING OF INCOME NOTES WILL NOT PURCHASE AND HOLDING OR TRANSFER AND HOLDING OF INCOME NOTES WILL NOT CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR IN THE CASE OF ANOTHER EMPLOYEE BENEFIT PLAN OR SECTION 4975 OF THE CODE (OR IN THE CASE OF ANOTHER EMPLOYEE BENEFIT PLAN SUBJECT TO SIMILAR LAW, ANY SIMILAR LAW) FOR WHICH AN EXEMPTION IS NOT SUBJECT TO SIMILAR LAW, ANY SIMILAR LAW) FOR WHICH AN EXEMPTION IS NOT AV AILABLE; AND WHETHER OR NOT IT PERSON (OTHER THAN BENEFIT PLAN AVAILABLE; AND (iii) WHETHER OR NOT IT IS A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE ASSETS OF THE ISSUER OR A PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (WITHIN THE MEANING OF 29 SECTION 25lO.3-101(f)(3>>) OF ANY SUCH "AFFILIATE" (WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101(f)(3)) OF ANY SUCH PERSON. PURCHASER AN INSURANCE COMPANY ACTING ON BEHALF OF ITS PERSON. IF A PURCHASER IS AN INSURANCE COMPANY ACTING ON BEHALF OF ITS ASSETS, WILL GENERAL ACCOUNT OTHER ENTITY TO BE GENERAL ACCOUNT OR OTHER ENTITY DEEMED TO BE HOLDING PLAN ASSETS, IT WILL BE PERMITTED TO SO INDICATE, AND REQUIRED TO IDENTIFY A MAXIMUM PERCENTAGE TO INDICATE, AND TO MAXIMUM PERMITTED PLAN GENERAL ACCOUNT OR ENTITY BE OR ASSETS OF THE ASSETS IN SUCH GENERAL ACCOUNT OR ENTITY THAT MAY BE OR BECOME PLAN TRANSFEREE ASSETS, WHICH CASE PURCHASER BE REQUIRED TO MAKE ASSETS, IN WHICH CASE THE PURCHASER OR TRANSFEREE WILL BE REQUIRED TO MAKE CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY THE EVENT THAT SUCH CERTAIN FURTHER AGREEMENTS THAT WOULD APPLY IN THE EVENT THAT SUCH PURCHASER AGREES EXCEEDED. MAXIMUM PERCENTAGE WOULD THEREAFTER BE EXCEEDED. THE PURCHASER AGREES PERCENTAGE WOULD THEREAFTER MAXIMUM OR AN SOLD, BEFORE ANY THAT, BEFORE ANY INTEREST IN AN INCOME NOTE MAY BE OFFERED, SOLD, PLEDGED OR THE OTHERWISE TRANSFERRED, THE TRANSFEREE WILL BE REQUIRED TO PROVIDE THE TRANSFEREE OTHERWISE TRANSFERRED, INCOME NOTES TRANSFER AGENT WITH AN INCOME NOTE PURCHASE AND TRANSFER PURCHASE AND TRANSFER TRANSFER INCOME AGENCY. LETTER (SUBSTANTIALLY (SUBST ANTIALLY IN THE FORM ATTACHED TO THE FISCAL AGENCY. FORM ATTACHED TRANSFEREE IS A AGREEMENT) STATING, AMONG OTHER THINGS, WHETHER THE TRANSFEREE IS A WHETHER AMONG OTHER AGREEMENT) NOT BENEFIT PLAN INVESTOR. THE TRUSTEE OR INCOME NOTES TRANSFER AGENT WILL NOT INCOME BENEFIT PLAN EXTENT TO OF INCOME PERMIT OR REGISTER ANY PURCHASE OR TRANSFER OF INCOME NOTES TO THE EXTENT ANY RESULT THAT THE PURCHASE OR TRANSFER WOULD RESULT IN BENEFIT PLAN INVESTORS THAT THE NOTES OUTSTANDING OWNING 25% OR MORE OF THE TOTAL VALUE OF THE OUTSTANDING INCOME NOTES VALUE MORE OF THE OWNING THE TRUSTEE (OTHER THAN THE INCOME NOTES OWNED BY THE LIQUIDATION AGENT, THE TRUSTEE LIQUIDATION THE OWNED (OTHER THAN THE TRANSFER AND THEIR AFFILIATES) IMMEDIATELY AFfER SUCH PURCHASE OR TRANSFER AND THEIR AFFILIATES) IMMEDIATELY AFTER SUCH REGULATION (AS DEFINED PLAN (DETERMINED IN ACCORDANCE WITH THE PLAN ASSET REGULATION (AS DEFINED (DETERMINED IN ACCORDANCE WITH HEREIN) AND IN THE FISCAL AGENCY AGREEMENT). HEREIN) AND IN THE FISCAL AGENCY AGREEMENT). PAYMENTS TO THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE. TO THE THE HOLDERS OF THE INCOME NOTES ARE SUBORDINATE TO THE PAYMENTS OF AND INTEREST ON PAYMENT ON EACH QUARTERLY PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON PAYMENT ON EACH QUARTERLY PAYMENT DATE OF THE SECURED NOTES OF THE ISSUER OR CO-ISSUER, AS APPLICABLE, AND THE PAYMENT THE SECURED NOTES OF THE ISSUER OR CO-ISSUER, AS APPLICABLE, AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. OF CERTAIN OTHER AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE. 12. The purchaser is not purchasing the Notes in order to reduce any United States federal income tax The purchaser is not purchasing the Notes in order to reduce any United States federal income tax 12. liability or pursuant to a tax avoidance plan with respecfto United States federal income taxes within the meaning of liability or pursuant to a tax avoidance plan with respect to United States federal income taxes within the meaning of U.S. Treasury Regulation Section 1.881-3(a)(4). U.S. Treasury Regulation Section 1.881-3(a)(4). 13. The purchaser agrees, in the case of the Secured Notes, to treat the Notes as debt for United States The purchaser agrees, in the case of the Secured Notes, to treat the Notes as debt for United States 13. federal, state and local income taxes and, in the case of the Income Notes, to treat such Income Notes as equity for federal, state and local income taxes and, in the case of the Income Notes, to treat such Income Notes as equity for United States federal, state and local income tax purposes. United States federal, state and local income tax purposes. 14 14 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912588 GS MBS-E-000912588 Footnote Exhibits - Page 5687 14. The purchaser acknowledges that due to money laundering requirements operating in the Cayman The purchaser acknowledges that due to money laundering requirements operating in the Cayman 14. Islands, the Issuer and the Note Transfer Agent or the Income Notes Transfer Agent, as applicable, may require the Issuer and the Note Transfer Agent or the Income Notes Transfer Agent, as applicable, may require Islands, further identification of the purchaser before the purchase application can proceed. The Issuer and the Note Transfer further identification of the purchaser before the purchase application can proceed. The Issuer and the Note Transfer Agent or the Income Notes Transfer Agent shall be held hannless and indenmified by the purchaser against any loss Agent or the Income Notes Transfer Agent shall be held harmless and indemnified by the purchaser against any loss arising from the failure to process the application if such information as has been required from the purchaser has arising from the failure to process the application if such information as has been required from the purchaser has not been provided by the purchaser. not been provided by the purchaser. The Notes that are being offered hereby in reliance on the exemption from registration under The Notes that are being offered hereby in reliance on the exemption from registration under Regulation S (such Notes, respectively, the "Regulation S Co-Issued Notes"; the "Regulation S Income Regulation S (such Notes, respectively, the "Regulation S Co-Issued Notes"; the "Regulation S Income Notes"; and, collectively, the "Regulation S Notes") have not been and will not be registered under the Notes"; and, collectively, the "Regulation S Notes") have not been and will not be registered under the Securities Act and neither of the Issuers will be registered under the Investment Company Act The Securities Act and neither of the Issuers will be registered under the Investment Company Act. The Regulation S Notes may not be offered or sold within the United States or to U.S. Persons (as defined in Regulation S Notes may not be offered or sold within the United States or to U.S. Persons (as defined in Regulation S) unless the purchaser certifies or is deemed to have certified that it is a qualified institutional Regulation S) unless the purchaser certifies or is deemed to have certified that it is a qualified institutional buyer as defined in Rule 144A (a "Qualified Institutional Buyer") and a "qualified purchaser" for the buyer as defined in Rule 144A (a "Qualified Institutional Buyer") and a "qualified purchaser" for the purposes of Section 3(c)(7) of the InveStment Company Act (a "Qualified Purchaser") or, solely in the case of purposes of Section 3(c)(7) of the Investment Company Act (a "Qualified Purchaser") or, solely in the case of the Income Notes, that it is an "accredited investor" as defined in Rule 501(a) under the Securities Act (an the Income Notes, that it is an "accredited investor" as defined in Rule 501(a) under the Securities Act (an "Accredited who has a net worth of not less than $10 million and a Qualified Purchaser,and takes "Accredited Investor") who has a net worth of not less than $10 million and a Qualified Purchaser, and takes delivery in the form of (i) an interest in a Rule 144A Global Note in an amount at least equal to the minimum in the of an a Rule 144A Global Note amount at least equal the minimum delivery denomination applicable to the Rule 144A Notes or (ii) an Income Note in amount least equal to denomination applicable to the Rule 144A Notes or (ii) an Income Note in a principal amount at least equal to $250,000. See "Description of Notes" $250,000. See "Description of the Notes" and "Underwriting." The requirements forth under "Notice to Investors" above apply to Notes offered in the United The requirements set forth under "Notice to Investors" above apply only to Notes offered in the United States, except requirements forth in Paragraphs (4), (5), (6), (8), (9), (12) and (13) and except that States, except for the requirements set forth in Paragraphs (4), (5), (6), (8), (9), (12) and (13) and except that the Regulation S Notes will bear the legends set forth Paragraphs (7) and (10) under "Notice Investors" Regulation S Notes will bear the legends set forth in Paragraphs (7) and (10) under "Notice to Investors" above. ISSUERS RESPONSIBILITY FOR INFORMATION CONTAINED IN THIS THE ISSUERS ACCEPT RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS SECTIONS OFFERING CIRCULAR THAN INFORMATION PROVIDED OFFERING CIRCULAR OTHER THAN INFORMATION PROVIDED IN THE SECTIONS ENTITLED "THE OF THE TO THE BEST OF THE LIQUIDATION AGENCY AGREEMENT-THE LIQUIDATION AGENT'. LIQUIDATION AGENCY AGREEMENT-THE LIQUIDATION AGENT'. IN THIS KNOWLEDGE AND THE BELIEF OF THE ISSUERS, THE INFORMATION CONTAINED IN THIS INFORMATION KNOWLEDGE AND "THE OFFERING CIRCULAR OTHER THAN INFORMATION PROVIDED IN THE SECTION ENTITLED "THE CIRCULAR OTHER THAN INFORMATION SECTION OFFERING ALL ACCURATE LIQUIDATION AGENCY AGREEMENT-THE LIQUIDATION AGENT", IS ACCURATE IN ALL AGREEMENT-THE LIQUIDATION AGENT', LIQUIDATION MATERIAL RESPECTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH ANYTHING AND MATERIAL INFORMATION INFORMATION. THE LIQUIDATION AGENT ACCEPTS RESPONSIBILITY FOR THE INFORMATION RESPONSIBILITY LIQUIDATION INFORMATION. PROVIDED IN "THE LIQUIDATION AGENCY AGREEMENT-THE LIQUIDATION AGENT' SECTION. PROVIDED IN "THE LIQUIDATION AGENCY AGREEMENT-THE LIQUIDATION AGENT' SECTION. THE LIQUIDATION TO THE BEST OF THE KNOWLEDGE AND THE BELIEF OF THE LIQUIDATION AGENT, THE AND OF TO THE ''THE LIQUIDATION AGENCY INFORMATION CONTAINED IN THE SECTION ENTITLED "THE LIQUIDATION AGENCY SECTION INFORMATION CONTAINED DOES MATERIAL RESPECTS AGREEMENT-THE LIQUIDATION AGENT' IS ACCURATE IN ALL MATERIAL RESPECTS AND DOES AGREEMENT-THE LIQUIDATION AGENT' IS ACCURATE INFORMATION. NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. OF THE NOT OMIT ANYTHING LIKELY EACH PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE LAWS AND COMPLY THE NOTES EACH IT PURCHASES, OFFERS OR SELLS REGULATIONS IN FORCE IN EACH JURISDICTION IN WHICH IT PURCHASES, OFFERS OR SELLS EACH JURISDICTION IN FORCE REGULATIONS IN ANY CIRCULAR AND SUCH NOTES OR POSSESSES OR DISTRIBUTES THIS OFFERING CIRCULAR AND MUST OBTAIN ANY OR DISTRIBUTES THIS SUCH NOTES OR OR SALE BY IT OF OFFER OR SALE BY IT OF CONSENT, APPROVAL OR PERMISSION REQUIRED FOR THE PURCHASE, OFFER CONSENT, APPROVAL OR PERMISSION REQUIRED FOR THE PURCHASE, SUCH NOTES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTIONS TO WHICH SUCH NOTES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE ISSUERS, THE INITIAL PURCHASER, THE LIQUIDATION AGENT, THE CREDIT PROTECTION BUYER ISSUERS, THE INITIAL PURCHASER, THE LIQUIDATION AGENT, THE CREDIT PROTECTION BUYER OR THEIR AGENTS SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR. OR THEIR AGENTS SPECIFIED HEREIN SHALL HAVE ANY RESPONSIBILITY THEREFOR. 15 15 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912589 GS MBS-E-000912589 Footnote Exhibits - Page 5688 AVAILABLE INFORMATION AVAILABLE INFORMATION To pennit compliance with Rule 144A in connection with the resale of the Notes, the Issuers will be To permit compliance with Rule 144A in connection with the resale of the Notes, the Issuers will be required under the Indenture and the Fiscal Agency Agreement, to furnish upon request to aaHolder or beneficial required under the Indenture and the Fiscal Agency Agreement, to furnish upon request to Holder or beneficial owner of Note and to prospective investor who is Qualified Institutional Buyer designated by such Holder or owner of aa Note and to aaprospective investor who is aaQualified Institutional Buyer designated by such Holder or beneficial owner, the information required to be delivered under Rule 144A(d)(4) if, at the time of the request beneficial owner, the information required to be delivered under Rule 144A(d)(4) if, at the time of the request neither the Issuer nor the Co-Issuer, as applicable, is reporting company under Section 13 or Section 15(d) of the neither the Issuer nor the Co-Issuer, as applicable, is aareporting company under Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as amended (the "Exchange Act"), nor exempt from reporting United States Securities Exchange Act of 1934, as amended (the "Exchange Act"), nor exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. pursuant to Rule 12g3-2(b) under the Exchange Act. To the e>..1ent the Issuer or the Trustee delivers any annual or other periodic report to the Holders of the To the extent the Issuer or the Trustee delivers any annual or other periodic report to the Holders of the SecuredNotes, the Issuer or the Trustee will include in such report a reminder that (1) each Holder (other than those Notes, the Issuer or the Trustee will include in such report a reminder that (1) each Holder (other than those Secured Holders who are not US. Persons and have purChased their Notes outside the United States pursuant to Regulation Holders who are not U.S. Persons and have purchased their Notes outside the United States pursuant to Regulation S) is required to be (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser, in each case that can make all S) is required to be (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser, in each case that can make all of the representations in the Indenture applicable to a Holder that is a U.S. Person; (2) the Notes can only be of the representations in the Indenture applicable to a Holder that is aUS. Person; (2) the Notes can only be transferred (i) to transferee that is (a) a Qualified Institutional Buyer and (b) a Qualified Purchaser that can make transferred (i) to aa transferee that is (a) a Qualified Institutional Buyer and (b) a Qualified Purchaser that can make all of the representations in the Indenture applicable to a Holder who is a US. Person or (ii) to non-US. Person in all of the representations in the Indenture applicable to a Holder who is a U.S. Person or (ii) to aa non-U.S. Person in an offshore transaction complying with Rule 903 or 904 under Regulation S; and (3) the Issuers have the right to an offshore transaction complying with Rule 903 or 904 under Regulation S; and (3) the Issuers have the right to compel any Holder who does not meet the transfer restrictions set forth in the Indenture to transfer its interest in the compel any Holder who does not meet the transfer restrictions set forth in the Indenture to transfer its interest in the Notes to a person designated by the Issuers or sell such interests on behalf the Notes to a person designated by the Issuers or sell such interests on behalf of the Holder. To the e>..1ent the Issuer or the Fiscal Agent delivers any annual periodic reports to the Holders of the To the extent the Issuer or the Fiscal Agent delivers any annual or periodic reports to the Holders of the Income Notes, the Issuer or the Fiscal Agent, as applicable, will include in such report a reminder that (1) each Notes, the Issuer or the Fiscal Agent, as applicable, include such report reminder each Income Holder (other than those Holders who are not U.S. Persons and have purchased their Income Notes outside the (other than those Holders who U.S. Persons have purchased their Income Notes outside the Holder United States pursuant to is required Qualified Institutional Accredited United States pursuant to Regulation S) is required to be (a) a Qualified Institutional Buyer or an Accredited can make all of the less (b) Qualified Purchaser Investor who has a net worth of not less than U.S.$lO million and (b) a Qualified Purchaser that can make all of the U.S.$10 Investor who has a net worth representations in the Income Notes Purchase Transfer Holder who U.S. (2) applicable representations in the Income Notes Purchase and Transfer Letter applicable to a Holder who is a U.S. Person; (2) transferee or an Accredited the Income Notes can only (i)(a) Qualified Institutional transferred the Income Notes can only be transferred to a transferee that is (i) (a) a Qualified Institutional Buyer or an Accredited non-U.S. Person in Investor who has a net worth not less than U .S.$lO million and (b) a Qualified Purchaser or (ii) a non-US. Person in (b) Qualified Purchaser U.S.$10 Investor who has a net worth not an offshore transaction complying with Rule 903 or Rule 904 under Regulation S; and (3) the Issuer has the right to Rule (3) Issuer the right to an offshore transaction complying compel any Holder who does not meet the transfer restrictions set forth in the Fiscal Agency Agreement to transfer Holder who does not Agreement to transfer compel any Holder. its Income Notes to a person designated by the Issuer or sell such Income Notes on behalf of the Holder. Issuer its Income Notes to a person designated In addition, notwithstanding the foregoing, any prospective purchaser (and each employee, representative, each employee, representative, foregoing, any In addition, notwithstanding of any kind, the tax or other agent of a prospective purchaser) may disclose to any and all persons, without limitation of any kind, the tax and all disclose to a prospective purchaser) or other agent of of treatment and tax structure of the transactions descnbed in this Offering Circular and all materials of any kind treatment and tax structure of the transactions described in this Offering Circular and all (including opinions or other tax analyses) that are provided to the prospective purchaser relating? to such tax the prospective purchaser relating to such tax provided (including opinions or other tax analyses) to the commencement of treatment and tax structure. This authorization of tax disclosure is retroactively effective to the commencement of treatment and tax structure. This authorization of tax disclosure is retroactively discussions with the prospective purchaser regarding the transactions contemplated herein. with the prospective purchaser regarding the transactions contemplated herein. discussions 16 16 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912590 GS MBS-E-000912590 Footnote Exhibits - Page 5689 TABLE OF CONTENTS TABLE OF CONTENTS AVAll..ABLE INFORMATION 16 ....................................................... AVAILABLE INFORMATION .................................................................................................................................16 TRANSACTION OVERVIEW ....................................................... 20 TRANSACTION OVERVIEW ...................................................................................................................................20 21 SUMMARy ................................................................................................................................................................21 SUMMARY .......................................................................... RISK FACTORS 34 ................................................................ RISK FACTORS ...................................................................................................................................... ,..................34 34 Notes ............................................................................................................................................................ .34 Notes .................................................................................................................................................. 40 The Credit Default Swap and Reference Obligations............................................................................... Credit Default Swap and Reference Obligations ................................................................................... .40 The 47 Other Considerations................................................................................................................................ Considerations .................................................................................................................................... .47 Other DESCRIPTION OF THE NOTES 52 ..................................................... DESCRIPTION OF THE NOTES ...............................................................................................................................52 Status and Security ........................................................................................................................................52 52 Status and Security ................................................................................................................................... Interest on the Secured Notes...........................................................-.--....................................................53 on the Secured Notes ........................................................................................................................ 53 Interest Determination ofLmOR...............................................................................................................................54 54 Determination of LIBOR.......................................................................................................................... ............................ 55 .......................... Payments on Income Notes .....................................................................................................................55 Payments on the Income Notes ......................................................... Principal ........................................................................................................................................................55 55 Principal ........................................................-.........-....-....................................................................... Scheduled Redemption of Income Notes ................................................................................................. Redemption Income ...................................................................................................... 56 56 Scheduled Auction .......................................................................................................................................................... 57 57 Auction................................................................................................................................................. ..........57 Tax Redelnption ............................................................................................................................................ 57 Tax Redemption.................................................................---.................................................. Optional Redemption .................................................................................................................................... 58 Optional Redemption.................................................................................................................................58 Mandatory Redemption ................................................................................................................................. 59 M andatory Redemption..............................................................................................................................59 Cancellation................................................................................................................................................... 61 Cancellation....................................................................-.....-............................................................... Payments ....................................................................................................................................................... 61 61 Payments ............................................................................................................................................... ............-........................................................... Amortization Amounts ..................................................... .................................................................................................................................. 62 62 Priority of PaYlnents ...................................................................................................................................... 62 62 Priority of Payments ......................................................................-..... Income Notes ................................................................................................................................................. 66 66 ..................................................................-............................................................................ The Indenture ............................ ,................................................................................................................... 66 ............................ ................................................................................................................... 72 Fiscal Agency Agreelnent ............................................................................................................................. 72 Agreement........................................................................................................................ Fiscal Governing Law of the Transaction Documents ............................................................................................. 74 Documents........................................................................................ Governing 74 Form of the Notes .......................................................................................................................................... 74 Notes..................................................................................................................................... Form 80 USE OF PROCEEDS .................................................................................................................................................. 80 .............................................................. USE OF 80 RATINGS OF mE NOTES ....................................................................................................................................... 80 THE NOTES ......................................................... RATINGS 80 Moody's Ratings ........................................................................................................................................... 80 Ratings ........................................................... 81 S&P Ratings .................................................................................................................................................. 81 .............................................................. S&P Ratings THE CREDIT DEFAULT SWAP ............................................................................................................................... 81 THE CREDIT DEFAULT SWAP.........................................81 81 .-......................................... General ........................................................................................................................................................... 81 General.......................................................................-.....-............-.....82 Credit Protection Buyer Payments ................................................................................................................ 82 Credit Protection Buyer Payments ........................................................................................................... Credit Protection Seller Payments ................................................................................................................. 83 Credit Protection Seller Payments..............................................................................................................83 84 -.........-........................................................... --. Credit Events ................................................................................................................................................. 84 C red it Ev ents ....................................................................... 85 The Reference Portfolio ................................................................................................................................ 85 Reference Portfolio ................................................................................................................................ The Removal of Reference Obligations from the Reference Portfolio ................................................................. 85 Removal of Reference Obligations from the Reference Portfolio.................................................................85 Credit Default Swap Early Termination ........................................................................................................ 86 Credit Default Swap Early Termination....................................................................................................86 87 Payments on Credit Default Swap Early Termination .................................................................................. 87 Payments on Credit Default Swap Early Termination .............................................................................. 88 Amendment ................................................................................................................................................... 88 Amendment .............................................................................................................................................. 88 Guarantee....................................................................................................................................................... 88 Guarantee........................................................................................... 17 17 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912591 GS MBS-E-000912591 Footnote Exhibits - Page 5690 88 THE CREDIT PROTECTION BUYER ...................................................................................................................... 88 THE CREDIT PROTECTION BUYER .......................... 89 THE COLLATERAL SECURITIES ........................................................................................................................... 89 THE COLLATERAL SECURITIES .................................................... The Initial Collateral Securities ..................................................................................................................... 89 The Initial Collateral Securities.................................................89 ......... 90 Substitution of Collateral Securities ..................................... Substitution of Collateral Securities ..............................................................................................................90 Votingand Other Matters Relating to Collateral Securities and Delivered Obligations..........................91 91 and Other Matters Relating to Collateral Securities and Delivered Obligations ............................... Voting ........................................... THE LIQUIDATION AGENCY AGREEMENT 92 THE LIQUIDATION AGENCY AGREEMENT ........................................... ,...........................................................92 General 92 .............. . . . .................................................................................................................. G eneral ............o.............................................................................................................................................92 TheL iquidation A gent............................................................................................................................... Liquidation Agent ..................................................................................................................................92 92 T he ............. ................................................... Compensation ........ '" .....................................................................................................................................9 2 92 Co m pen sation ....................................................................... Procedure for Disposition ofCDS Transaction, Eligible Investments, Collateral Securities and Procedure for Disposition of CDS Transaction, Eligible Investments, Collateral Securities and .... .................................................. I.. .............................................................93 93 Delivered Obligations .............................................................. :I.... D elivered O bligations ................................................-. ....................................... 93 Termination, Removal and Resignation .........................................................................................................93 Termination, Removal and Resignation..... ACCOUNTS ................................................................................................................................................................95 95 I......................................................... ACCOUNTS ..................................................... ........ 97 REPORTS ....................................................................................................................................................................9 REPORTS... ............................... 97 WEIGHTED AVERAGE AND CONSIDERATIONS WEIGHTED AVERAGE LIFE AND YIELD CONSIDERATIONS .........................................................................97 101 THE ................. THE ISSUERS .......................................................................................................................................................... 101 101 General ........................................................................................................................................................ 101 .......................... General....... Capitalization of the Issuer.........................................................................................................................102 Issuer ......................................................................... ,................................................ 102 Capitalization Capitalization of the Co-Issuer ..................................................................................................................... 102 Co-Issuer....................................................................................................................102 Capitalization of 103 . -....... . . ............................................... -............-.... Funds........................................................... Flow of Funds .............................................................................................................................................. 103 Business ....................................................................................................................................................... 10 3 103 . ................-...................................................................... ..... Business...................................................104 Directors ...................................................................................................................................................... 104 ............................................................... 104 .................................................. INCOME TAX. CONSIDERATIONS ....................................................................................................................... 104 INCOME TAX CONSIDERATIONS Circular 230 ................................................................................................................................................. 104 230................................................................104 104 United States Tax Considerations ............................................................................................................... 104 ............................................... Tax U.S. Federal Income Tax Consequences to the Issuer................................................................................. 105 Issuer.................................................................................105 to Tax 107 Non-U.S. Holders ......................................................................................................................................... 107 .................................................... Holders...... United States Tax Treatment of Holders ofIncome Notes .......................................................................... 107 of Income Notes..........................................................................107 of United States 109 Cayman Islands Tax Considerations ................. ;......................................................................................... 109 Caym an Islands Tax Considerations ................. ......................................................................................... 110 ........................................................ ERISA CONSIDERATIONS ......................................................................... """"""""""""""""'''''''''' ................. 110 ERISA CONSIDERATIONS ........... 111 Class S Notes, Class A Notes, Class B Notes, Class C Notes and Class D Notes....................................... III Class S Notes, Class A Notes, Class B Notes, Class C Notes and Class D Notes..... 112 Incolne Notes ........................................................ " ..................................................................................... 112 .......................................................... Income Notes.. ..... 113 CERTAIN LEGAL INVESTMENT CONSIDERATIONS "",,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, 113 ............................... CERTAIN LEGAL INVESTMENT CONSIDERATIONS 113 LEGAL'MATTERS ................................................................................................................................................... 113 .............................................................. LEGAL MATTERS 114 UNDERWRITING ....................................................................................................... """"",,,,,,,,,,,,,,,,,,,,,,,, ........... 114 ............................................................... UNDERWRITING 117 INDEX OF DEFINED TERMS ................................................................................................................................. 117 ...................................................... INDEX OF DEFINED TERMS 18 18 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912592 GS MBS-E-000912592 Footnote Exhibits - Page 5691 APPENDIX A APPENDIX A ....... . Certain Defined Tenns A-l Certain Defined Terms ............................................................................................A-i APPENDIXB APPENDIX B ANNEX A-I ANNEX A-1 Reference Portfolio ..... ............................................................................................. Reference Portfolio..........................................B-i B-1 .................. Fonn oflncome Notes Purchase And Transfer Letter ......................................... A-1-1 A-l-l Form of Income Notes Purchase And Transfer Letter........ 19 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912593 GS MBS-E-000912593 Footnote Exhibits - Page 5692 TRANSACTION OVERVIEW TRANSACTION OVERVIEW This overview is not complete and is qualified in its entirety by reference to (i) the detailed information appearing oven1iew qualified by reference (i) detailedinfomzation appearing elsewhere in this Offering Circular, (ii) the terms and conditions of the Notes and (iii) the provisions of the Offering Circular,(ii) andconditions and (iii) provisions this documents referred to in this Offering Circular, referred Circular. Anderson Mezz!lnine Mezzanine Funding. Funding. 2007 .1, 2007-1, Ltd. 10 0 Credit Default Default Swap Swap ~ Fixed Payments Payments Credit Protection Payments Payments Interest at the Applicable Note Interest Rate of Rate of each Class of of Notes Notes ~ 0 Notes Proceeds of Proceeds of the Notes Notes (R) Net Proceeds Proceeds ~ o Collateral Collateral Securities Anderson Mezzanine Mezzanine 2007?1, Funding 2007-1, Corp. Corp. Collateral Interest and and Certain Principal and Amounts and to Amounts Applied to Fund Amounts Due under the Credit Default Default Swap Swap and the Notes (I) (1) On the Closing be Aggregate "Summary-The Notes". in On the Closing Date, the Notes will be issued in the Aggregate Outstanding Amount set forth in the "Summary-The Notes", (2) The Issuer will use the net proceeds of the offering of the Notes to purchase the initial Collateral Securities and Eligible Investments Issuer proceeds purchase Collateral Investments selected by the Credit Protection Buyer. selected Buyer, On the Closing Date, the Issuer and Goldman Sachs International, as the Credit Protection Buyer, will enter into the Credit Default Issuer Protection enter International, (3) Swap whereby the Issuer (a) sells credit protection to the Credit Protection Buyer with respect to a Reference Portfolio of RMBS credit Protection respect Securities and CDO RMBS Securities and (b) receives from the Credit Protection Buyer (i) a Fixed Payment on each Payment Date COO Credit Protection (i) (b) and (ii) certain Additional Fixed Payments. The Issuer will pay to the Credit Protection Buyer (i) certain Additional Floating Payments, The certain Floating (ii) Amounts and (ii) following the occurrence of a Credit Event and the satisfaction of the Conditions to Settlement, an amount equal to occurrence Default see "The Settlement the Physical Settlement Amount For a description of all payments to be made under the Credit Default Swap, see "The Credit Default Swap-Credit Protection Buyer Payments" and "-Credit Protection Seller Payments". Protection Payments" Payments", 20 Confidential Treatment Requested by Goldman Sachs Treatment MBS-E-000912594 GS MBS-E-000912594 Footnote Exhibits - Page 5693 SUMMARY SUMMARY following summary is qualified by the detailed information appearing this The following summary is qualified in its entirety by the detailed information appearing elsewhere in this Offering Circular. For definitions of certain used in Circular see A Certain Offering Circular. For defnitions of certain terms used in this Offering Circular see "Appendix A -- Certain of of and terms, see of Defined Temis." For Defined Terms" andfor the location of the definitions of those and other terms, see "Index ofDefined Ternis. " For Temls" for the an in Notes, Factors. " a discussion ofcertain factors to considered in a discussion ofcertainfactors to be consideredin connection with an investment in the Notes, see "Risk Factors." The Notes The Notes The Issuers....................................... ................... The Issuers Anderson Mezzanine Funding 2007-1, Ltd. (the "Issuer") is an exempted Anderson Mezzanine Funding 2007-1, Ltd. (the "Issuer") is an exempted the Cayman Islands for the sole company incorporated company incorporated under the laws of the Cayman Islands for the sole pwpose of entering into and perfonning its obligations Credit purpose of (i) entering into and performing its obligations under, the Credit Default Swap, (ii) acquiring Collateral Securities Eligible Default Swap, (ii) acquiring the Collateral Securities and the Eligible perfonning obligations under Investments, (iii) entering into Investments, (iii) entering into and performing its obligations under the Liquidation Agency Agreement, (iv) co-issuing the Co-Issued Notes, Liquidation Agency Agreement, (iv) co-issuing the Co-Issued Notes, (v) issuing Income Notes and (vi) engaging in certain related transactions. issuing Income Notes and engaging certain related transactions. The Issuer will not have any assets other than (i) the Collateral Securities have any other than the Collateral Securities the Eligible Investments (collectively, "Collateral"), and the Eligible Investments (collectively, the "Collateral"), (ii) the Delivered Obligations, if any, any principal payments received thereon, Delivered Obligations, if any, and any principal payments received thereon, any, delivered (iii) the Credit if any, delivered to the Issuer, (iii) the Issuer's rights under the Credit Agency Agreement (iv) certain other Default Swap and the Liquidation Agency Agreement and (iv) certain other assets that will be pledged by the Issuer to the Trustee under the Indenture p'ledged by Trustee under Secured security (the "Pledged Assets"), for the benefit of the Secured Parties, as security "Pledged among Issuers' obligations Secured for, among other obligations, the Issuers' obligations under the Secured Notes. 2007-1, Anderson Mezzanine Funding 2007-1, Corp. (the "Co-Issuer" and, together Mezzanine "Co-Issuer" corporation with the Issuer, the "Issuers") is a corporation formed under the laws of the "Issuers") Secured State of Delaware for the sole purpose of co-issuing the Secured Notes. Delaware co-issuing U.S.$10 The Co-Issuer will not have any assets (other than U.S.$l0 of equity capital) and will not pledge any assets to secure the Secured Notes. The Pledged Co-Issuer will have no claim against the Issuer in respect of the Pledged Assets or otherwise. shares, authorized The authorized share capital of the Issuer consists of 250 ordinary sruu-es, par value U.S.$1.00 per share ("Issuer Ordinary Shares"), which have been U.S.$1.00 the outstanding common Issuer issued. The Issuer Ordinary Shares and all of the outstanding common Limited, equity of the Co-Issuer will be held by Maples Finance Limited, a licensed "Administrator") incorporated trust company incorporated in the Cayman Islands (the "Administrator") as of of the trustee pursuant to the terms of a declaration of trust for the benefit of charitable and similar purposes (the "Share Trustee"). (the "Share 21 21 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912595 GS MBS-E-000912595 Footnote Exhibits - Page 5694 The Notes The Notes Class Class DesiQnation Designation Original Principal Original Principal Amount Amount Stated Maturity Stated Maturity Minimum Minimum Denomination Denomination (Integral (integral Multiples): Multiples): Rule 144A Rule 144A RegS Reg S Accredited Investors Accredited Investors Applicable Investment Applicable Investment Company Act of 1940 Company Act of 1940 Exemption Exemption Initial Ratings: initial Ratings: Moody's Moody's S&P S&P Deferred Interest Deferred Interest Pricing Date Pricing Date CloslnQ Date Closing Date Interest Rate Interest Rate Fixed or Fixed or Floating Rate Floating Rate Interest Accrual Interest Accrual Period' Period Dates of Payment 1 Month UBOR 1 Month LIBOR Aaa Aaa AAA AAA No No Aaa Aaa AAA AAA No No Aaa Aaa Aaa Aae Aa2 Aa2 AA AA $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) N/A N/A $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) NlA N/A $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) NlA N/A $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) NlA N/A 3(c)(7) 3(c)(7) $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) N/A N/A $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) $250,000 ($1) $250,000 ($1) S S A?la A-ia A?lb A-1 b A-2 A?2 $30,500,000 $30,500,000 B B $42,700,000 $42,700,000 July 12, 2042 J~12,2042 C C $16,775,000 $16,775,000 D 0 $11,090,000 $11,090,000 Income Notes Income Notes $20,935,000 $20,935,000 $2,490,000 $2,490,000 Julv 12, 2013 July 12, 2013 $130,000,000 $130,000,000 $53,000,000 $53,000,000 $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) $250,000 ($1) $250,000 ($1) $100,000 ($1) $100,000 ($1) N/A NlA N/A N/A A2 A2 A A Yes Baa2 Baa2 BBB BBB Yes Yes N/A N/A N/A N/A N/A AAA A No No AAA AAA No No No No March 12 2007 March 12,2007 March 20 2007 March 20, 2007 1 Month LIBOR + 0.20% + 0.20% Floating Floating 1 Month LIBOR + 0.32% + 0.32% Floating Floating 1 Month UBOR + 1 Month UBOR + 1 Month UBOR 1 Month LIBOR + 1 Month LIBOR + 1 Month LIBOR + 1.75% 0.90% 0.65% 0.90% + 1.75% 0.65% Floating Floating Floating Period Floating Period Floating Floating Floating Period Floating Period Floating Floating Floating Period Floating Period 1 Month UBOR 1 Month UBOR + 1 Month LIBOR 1 Month LIBOR + 4.00% + 5.50% + 5.50% 4.00% Floating Floating Period Floating Period N/A N/A N/A N/A Floating Floating Period Floating Period Floating Period Floating Period Floating Period Floating Period N/A N/A (1)the 12th day of (I) the 12th day of each of January, each of January, April, July and April, July and October (or If such October (or such day is not a day is not a Business Day, the Business Day, the next succeeding next succeeding Business Day) Business Day) beginning in July beginning In July 2007 and at Stated 2007 ilnd at Stated Maturity (each, a Maturity (each, a "Scheduled "Scheduled Payment Date") and Payment Date") and any Redemption any Redemption Date Date July 12, 2007 July 12, 2007 Dates of Payment in each month the if (i) the 12th day of each month (or If such day is not a Business Day, the next succeeding Business Day) beginning In 2007 and (iI) Date "Scheduled Payment July 2007 and at Stated Maturity (each, a "Scheduled Payment Date") and (ii) any Redemption Date First Payment First Payment Date Date Record Date Record Date Frequency Frequency of Payments of Payments Day Count Day Count Form of Notes: Form of Notes: Global Global Certificated Certificated CUSIPS Rule 144A CUSIPS Rule 144A CUSIPS Reg S CUSIPS Reg S ISIN Reg S ISIN Reg S CUSIPS REG 0 CUSIPS REG D Clearing Method: Clearing Method: Rule 144A Rule 144A RegS Reg S July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12, 2007 July 12,2007 July 12,2007 July 12,2007 July 12, 2007 July 12, 2007 in Notes Date applicable Business Day prior to the applicable Payment Date (or the 10th Business Day prior to the applicable Payment Date for Notes issued in Date applicable definitive form) Monthly Monthly _______ _______ Monthly Monthly Monthly Monthly ActuaV360 Actual/360 Yes Yes Monthly Monthly Actual/360 Monthly Monthly ActuaV360 ActualV360 Monthly Monthly Actual/360 ActuaV360 Yes Yes No No o 034050AF1 034050AF1 G03652AF4 G03652AF4 N/A N/A DTC OTC EuroClear EuroClear Monthly Monthly Actual/360 Yes Quarterly Quarterly N/A N/A Yes (Reg S only) Yes (Reg $ only) Reg (other Yes (other than Reg $) ActuaV360 Actual/360 Yes Yes ActuaV360 Actual/360 Yes Yes Yes No No N 034050A06 034050AD6 G03652A09 G03652AD9 NlA N/A OTC DTC EuroClear EuroClear Yes Yes No No No 034050AE4 034050AE4 No No 034050AA2 034050AA2 G03652AA5 G03652AA5 N/A N/A OTC DTC EuroClear EuroClear No No 03405OABO 034050AB0 G03652AB3 G03652AB3 N/A N/A OTC DTC EuroClear EuroClear No No No NoNo 034050AC8 G03652AC1 G03652AC1 USG03652AC11 USGO3652AC11 NlA N/A OTC DTC EuroClear EuroClear No No NoS) 034050AG9 03405OAG9 G03652AG2 G03652AG2 N/A N/A DTC OTC EuroClear EuroClear 03404PAA8 G03651AA7 G03651AA7 USG03651AA71 USG03651AA71 03404PAB6 03404PAB6 Physical Physical Euroclear Euroclear . G03652AE7 G03652AE7 N/A N/A USG03652AA54 USG03652AB38 USG03652AA54 USG03652AB38 USG03652A093 USG03652AE76 USG03652AF42 USG03652AG25 USG03652AD93 USG03652AE76 USGO3652AF42 USGO3652AG25 DTC OTC EuroClear EuroClear "Floating Period" means, with respect to the Secured Notes and any Payment Date, the period commencing on and including the immediately preceding 1 "floating Period" means, with respect to the Secured Notes and any Payment Date, the period commencing on and including the immediately preceding Payment Date (or the Closing Date in the case ofthefItSt Interest Accrual Period) and ending on and including the day immediately preceding such Payment Date. Payment Date (or the Closing Date in the case of the first Interest Accrual Period) and ending on and including the day immediately preceding such Payment Date. 22 22 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912596 GS MBS-E-000912596 Footnote Exhibits - Page 5695 The Indenture.................................. The Indenture .................................. On the Closing Date, the Issuer and the Co-Issuer will co-issue On the Closing Date, the Issuer and the Co-Issuer will co-issue U.S.$2,490,000 principal amount of Class S Floating Rate Notes Due 2013 U.S.$2,490,000 principal amount of Class S Floating Rate Notes Due 2013 (the "Class S Notes"), U.S.$130,OOO,OOO principal amount of Class A-Ia (the "Class S Notes"), U.S.$130,000,000 principal amount of Class A-la Floating Rate Notes Due 2042 (the "Class A-Ia Notes"), U.S.$53,OOO,000 Floating Rate Notes Due 2042 (the "Class A-la Notes"), U.S.$53,000,000 principal amount of Class A-Ib Floating Rate Notes Due 2042 (the '~Class principal amount of Class A-lb Floating Rate Notes Due 2042 (the "Class A-Ib Notes" and, together with the Class A-Ia Notes, the "Class A-I A-lb Notes" and, together with the Class A-la Notes, the "Class A-1 Notes"), U.S.$30,500,000 principal amount of Class A-2 Floating Rate Notes"), U.S.$30,500,000 principal amount of Class A-2 Floating Rate Notes Due 2042 (the "Class A-2 Notes" and, together with the Class A-I Notes Due 2042 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes"), U.S.$42,700,000 principal amount of Class B Notes, the "Class A Notes"), U.S.$42,700,000 principal amount of Class B Floating Rate Notes Due 2042 (the "Class B Notes"), U.S.$16,775,000 Floating Rate Notes Due 2042 (the "Class B Notes"), U.S.$16,775,000 principal amount of Class C Deferrable Floating Rate Notes Due 2042 (the principal amount of Class C Deferrable Floating Rate Notes Due 2042 (the "Class C Notes") and U.S.$11,090,OOO principal amount of Class D "Class C Notes") and U.S.$11,090,000 principal amount of Class D Deferrable Floating Rate Notes Due 2042 (the "Class D Notes" and, Deferrable Floating Rate Notes Due 2042 (the "Class D Notes" and, together with the Class S Notes, Class A Notes, the Class B Notes and the together with the Class S Notes, Class A Notes, the Class B Notes and the Class C Notes, the "Co-Issued Notes" or the "Secured Notes") pursuant to Class C Notes, the "Co-Issued Notes" or the "Secured Notes") pursuant to an Indenture (the "Indenture") dated on or about March 20, 2007, among an Indenture (the "Indenture") dated on or about March 20, 2007, among the Issuers and LaSalle Bank National Association, as trustee and as the Issuers and LaSalle Bank National Association, as trustee and as securities intermediary (in such capacity, the "Trustee" and the "Securities securities intermediary (in such capacity, the "Trustee" and the "Securities Intermediary", respectively). Under the Indenture, LaSalle Bank National Intermediary", respectively). Under the Indenture, LaSalle Bank National Association will act as principal paying agent the Notes (the Association will also act as principal paying agent for the Notes (the "Principal Note Paying Agent"), as registrar (the "Note Registrar"), "Principal Note Paying Agent"), as registrar (the "Note Registrar"), as calculation agent (the "Note Calculation Agent"), as transfer agent (the calculation agent (the "Note Calculation Agent"), as transfer agent (the paying "Note "Note Transfer Agent") and "Note Transfer Agent") and as paying agent for the Notes (the "Note Paying Agent" and, together Principal Note Paying the Paying Agent" and, together with the Principal Note Paying Agent, the Calculation Agent and Note Registrar, the Note Calculation Agent, the Note Transfer Agent and Paying Agents"). the Irish Paying Agent (if any), the "Note Agents"). On the Closing Date, the Issuer will also issue U.S.$20,935,000 principal U.S.$20,935,000 principal "Income Income with amount of Income Notes Due 2042 (the "Income Notes" and, together with the Secured Notes, the "Notes") pursuant to a Fiscal Agency Agreement Secured "Notes") Date Agency Agreement") (the "Fiscal Agency Agreement") dated on or about the Closing Date agent between the Issuer and LaSalle Bank National Association, as fiscal agent National (in such capacity, the "Fiscal Agent"). The Fiscal Agent will initially be the appointed as the Income Notes transfer agent (in such capacity, the as "Income Notes Transfer Agent" and, together with the Fiscal Agent and Transfer Agent" "Income Agency Agreement. The the "Agents") under the the Note Agents, the "Agents") under the Fiscal Agency Agreement. The paying and Note Paying Note Paying Agent, the Principal Note Paying Agent and any other paying AgentNote Paying are the time to agents appointed from time to time under the Indenture are collectively agents and the Note Paying "Note Paying referred to as the "Note Paying Agents." The Note Paying Agents and the referred to as Agents." the to referred to as the "Paying Agents." collectively Fiscal Paying Agent are collectively Agent Fiscal Transfer Agent are Agent and the Income The Note Transfer Agent and the Income Notes Transfer Agent are The "Transfer Agents." The Indenture, the Credit collectively referred to as the "Transfer Agents." The Indenture, the Credit collectively Default Swap, the Liquidation Agency Agreement, the Collateral Default Swap, the Liquidation Agency Agreement, the Collateral Administration Agreement, the Administration Agreement and the Fiscal Administration Agreement, the Administration Agreement and the Fiscal Agency Agreement are collectively referred to as the "Transaction Agency Agreement are collectively referred to as the "Transaction Documents." Only the Secured Notes and the Income Notes (collectively, Documents." Only the Secured Notes and the Income Notes (collectively, the "Offered Notes") are offered hereby. the "Offered Notes") are offered hereby. The Co-Issued Notes will be limited recourse obligations of the Issuers. The Co-Issued Notes will be limited recourse obligations of the Issuers. The Income Notes will be limited recourse obligations of the Issuer, will The Income Notes will be limited recourse obligations of the Issuer, will not be secured obligations of the Issuer and will only be entitled to receive not be secured obligations of the Issuer and will only be entitled to receive amounts available for payment on any Quarterly Payment Date after amounts available for payment on any Quarterly Payment Date after payment of all amounts payable prior thereto under the Priority of payment of all amounts payable prior thereto under the Priority of Payments and only out of funds legally available therefor. Interest on the Payments and only out of funds legally available therefor. Interest on the Class A-Ia Notes, Class A-Ib Notes and Class A-2 Notes will be paid pro Class A-la Notes, Class A-lb Notes and Class A-2 Notes will be paid pro rata. Principal on the Class A-Ia Notes and Class A-Ib Notes will be paid rata. Principal on the Class A-la Notes and Class A-lb Notes will be paid The Fiscal Agency Agreement........ Agency Agreement........ The Status of the Notes........................... Status of the Notes........................... 23 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912597 GS MBS-E-000912597 Footnote Exhibits - Page 5696 either pro rata or first to the Class A-la Notes and second to the Class Aeither pro rata or fIrst to the Class A-la Notes and second to the Class Notes and depending on the circumstances as more described in lb Notes and depending on the circumstances as more fully described in the Priority of Payments. Principal on the Class A Notes will be paid the Priority of Payments. Principal on the Class A Notes will be paid either pro rata or first to the Class A-I Notes and second to the Class A-2 either pro rata or fIrst to the Class A-I Notes and second to the Class A-2 Notes depending on the circumstances as more fully descnbed in the Notes depending on the circumstances as more fully described in the Priority Payments. The Class Notes will be senior in right of payment Priority of Payments. The Class S Notes will be senior in right of payment on each Payment Date the Class A Notes, the Class B Notes;the Class on each Payment Date to the Class A Notes, the Class B Notes,-the Class C Notes, the Class D Notes and the Income Notes; the Class A Notes will be Notes, the Class D Notes and the Income Notes; the Class A Notes will be paid in accordance with the Priority of Payments either pro rata or paid in accordance with the Priority of Payments either pro rata or sequentially and A Notes senior in right of payment on sequentially and the Class A Notes will be senior in right of payment on each Payment Date to the Class B Notes, the Class C Notes the Class D Payment Date to Class B Notes, Class Notes the and the Income Notes; Class Notes be senior of Notes and the Income Notes; the Class B Notes will be senior in right of Class C Class D Notes payment each Payment Date payment on each Payment Date to the Class C Notes, the Class D Notes the Income Notes; the C Notes will be senior in right of and the Income Notes; the Class C Notes will be senior in right of payment on each Payment Date the Class D Notes Income Notes; on each Payment Date to the Class D Notes and the Income Notes; and the payment Payment Date Class D Notes senior Class D Notes will be senior in right of payment on each Payment Date to the Income Notes, each to the extent provided in the Priority of Payments. Income each extent Priority Payments. Payments on the Income Notes will be paid on each Quarterly Payment Payments on Income be each Quarterly extent available proceeds Date solely from and to the extent of the available proceeds from distributions Pledged after payment all liabilities of distributions on the Pledged Assets after payment of all of the liabilities of the ahead the Income pursuant Indenture or the Issuer that rank ahead of the Income Notes pursuant to the Indenture or Security" applicable law. See "Description of the Notes-Status and Security" and "Description Notes-Status "-Priority of Payments." Security for the Secured Notes ....... Secured Notes....... grant Trustee, for Under the terms of the Indenture, the Issuer will grant to the Tmustee, for tenns benefit the benefIt and security of the Trustee on behalf of the Holders of the Secured Credit Secured Notes, the Fiscal Agent, the Liquidation Agent and the Credit Protection Buyer (together the "Secured Parties"), to secure the Issuer's "Secured Parties"), Issuer's obligations under the Secured Notes, the Indenture, the Liquidation Indenture, Liquidation obligations Agency Agreement and the Credit Default Swap (the "Secured Agency Agreement "Secured Obligations"), first Obligations"), a fIrst priority security interest in the Pledged Assets. The Income Income Notes will not be secured. Proceeds................................. Use of Proceeds .......;.o.o...o.o...........o.. The net proceeds associated with the offering of the Notes issued on the Closing Date, after the payment of applicable fees and expenses and applicable deposit into the Expense Reserve Account, are expected to equal ReselVe approximately U.S.$306,545,000. The net proceeds will be used by the U.S.$306,545,OOO. Issuer to purchase on the Closing Date the Collateral Securities and on Eligible Investments having an aggregate Principal Balance on the Closing "The U.S.$305,000,000. Date of approximately U.S.$305,OOO,000. See "The Collateral Securities" and "Use of Proceeds." and from The Secured Notes will accrue interest from the Closing Date and such or any calendar of the interest will be payable, on the 12th day of each calendar month, or if any Day following the such date is not a Business Day, the immediately following Business Day 12, commencing (each such date, a "Monthly Payment Date") commencing on July 12, a "Monthly on 2007. Payments on the Income Notes will be payable in arrears on not any July January, April, July and October of each year, or if any such date is not a date, a Day (each the immediately Business Day, the immediately following Business Day (each such date, a 12, 2007, out of Excess "Quarterly Payment Date") "Quarterly Payment Date") commencing on July 12, 2007, out of Excess respect to "Payment Date" means (i) Amounts (as defIned below). "Payment Date" means (i) with respect to Amounts (as defined each Monthly Payment Income each Class of Notes other than the Income Notes, each Monthly Payment each Class Notes, each Quarterly Payment to the with Date, and (ii) with respect to the Income Notes, each Quarterly Payment Date, and made from Proceeds in Date. All payments on the Notes Date. All payments on the Notes will be made from Proceeds in accordance with the Priority of Payments. accordance with the Priority of Payments. Interest and Other Payments on the Other Interest Notes .............................................. . N otes............................................... 24 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912598 GS MBS-E-000912598 Footnote Exhibits - Page 5697 To the' ex1ent interest that is due is not paid on the Class CNotes on any To the extent interest that is due is not paid on the Class C Notes on any Payment Date ("Class C Deferred Interest"), such unpaid amounts will be Payment Date ("Class C Deferred Interest"), such unpaid amounts will be added to the principal amount of the Class C Notes, and shall accrue interest added to the principal amount of the Class C Notes, and shall accrue interest at tile Class C Note Interest Rate to the extent lawful and enforceable. So at the Class C Note Interest Rate to the extent lawful and enforceable. So long as any Class S Notes, Class A Notes or Class B Notes are outstanding, long as any Class S Notes, Class A Notes or Class B Notes are outstanding, the failure to pay any interest on the Class C Notes on any Payment Date the failure to pay any interest on the Class C Notes on any Payment Date will not be an Event of Default under the Indenture. To the extent interest will not be an Event of Default under the Indenture. To the extent interest that is due is not paid on the Class D Notes on any Payment Date ("Class D that is due is not paid on the Class D Notes on any Payment Date ("Class D Deferred Interest"), such unpaid amounts will be added to the principal Deferred Interest"), such unpaid amounts will be added to the principal amount of the Class D Notes, and shall accrue interest at the Class D Note amount of the Class D Notes, and shall accrue interest at the Class D Note Interest Rate to the extent lawful and enforceable. So long as any Class S Interest Rate to the extent lawful and enforceable. So long as any Class S Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, the Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, the failure to pay any interest on tile Class D Notes on any Payment Date will failure to pay any interest on the Class D Notes on any Payment Date will not be an Event of Default under the Indenture. not be an Event of Default under the Indenture. See "Description of? the Notes-Interest on the Secured Notes" and See "Description of the Notes-Interest on the Secured Notes" and "Priority of Payments." Priority of Payments." The Income Notes will not bear interest based upon any fixed The Income Notes will not bear interest based upon any fixed or floating the Income The Fiscal Agent will make payments to the Holders rate. The Fiscal Agent will make payments to the Holders of the Income the Proceeds, if any, available pursuant clause (xviii) on Notes out of the Proceeds, if any, available pursuant to clause (xviii) on each Quarterly Payment Date pursuant clause the the each Quarterly Payment Date (or pursuant to clause (viii) in the case of the Final Payment Date) "Description Notes-Priority of Final Payment Date) under "Description of the Notes-Priority of Payments." payments be Income after all Payments." Such payments will be made on the Income Notes only after all payments Secured Notes have been made interest and other payments due on the Secured Notes have been made and the Issuers remaining Proceeds all expenses of the Issuers have been paid (with such remaining Proceeds expenses See "Risk Factors-Notes"Excess Amounts"). "Risk Factors-Notesreferred to as "Excess Amounts"). Subordination Unsecured Obligations." Subordination of the Income Notes; Unsecured Obligations." Principal Payments ......................... Principal Payments............. The Notes (other than the Class S Notes) will mature on the Payment Date mature to such "Stated Maturity" witll in July 2042 (each such date the "Stated Maturity" with respect to such 2042 in July the Payment Notes), and the Class S Notes will mature on tlle Payment Date in July tlle mature 2013 (the "Stated Maturity" witll respect to the Class S Notes), unless "Stated Maturity" with Notes redeemed or retired prior thereto. The average life of the Secured Notes redeemed than expected (other than tile Class S Notes) is expected to be substantially shorter than the Class of for until Stated the number of years from issuance until Stated Maturity for each Class of of FactorsNotes. See "Description of the Notes-Principal" and "Risk Factorsand Notes-Average Lives, Duration and Prepayment Considerations." Notes-Average the S Notes in accordance payable Principal will be payable on the Class S Notes in accordance with the on the each Payment Date Priority of Payments on each Payment Date commencing on the Payment on of Class S Notes equal in in August Date occurring in August 2007 in an amount equal to the Class S Notes Date if an Payment to with Amortizing Principal Amount witll respect to such Payment Date and, if an Principal has occurred and is continuing or an or Tax Event of Default or Tax Event has occurred and is continuing or an Event or Auction has occurred and the Pledged Assets are Optional Redemption or Auction has occurred and tile Pledged Assets are Optional S Notes to the terms of the Indenture, the being liquidated pursuant to the terms of the Indenture, the Class S Notes being liquidated will be paid in full prior to any distributions to any otller Notes. Shifting will be paid in full prior to any distributions to any other Notes. Shifting principal will be payable (pursuant to clause (xi) of tlle Priority of principal will be payable (pursuant to clause (xi) of the Priority of Payments) on the Secured Notes in accordance witll the Priority of Payments) on the Secured Notes in accordance with the Priority of Payments on each Payment Date commencing on the Payment Date Payments on each Payment Date commencing on the Payment Date occurring in July 2007 as described in the Priority of Payments. occurring in July 2007 as described in-the Priority of Payments. As aa result of the Priority of Payments, notwithstanding the subordination As result of the Priority of Payments, notwithstanding the subordination of the Notes described under" Status of the Notes" above, the Class A Notes of the Notes described under "Status of the Notes" above, the Class A Notes may be entitIed to receive certain payments of principal while the Class S may be entitled to receive certain payments of principal while the Class S Notes are outstanding, the Class B Notes may be entitled to receive certain Notes are outstanding, the Class B Notes may be entitled to receive certain 25 25 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912599 GS MBS-E-000912599 Footnote Exhibits - Page 5698 payments of principal while the Class S Notes and the Class A Notes are payments of principal while the Class S Notes and the Class A Notes are outstanding, the Class C Notes may be entitled to receive certain payments outstanding, the Class C Notes may be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes and the Class B of principal while the Class S Notes, the Class A Notes and the Class B Notes are outstanding and the Class D Notes may be entitled to receive Notes are outstanding and the Class D Notes may be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes, certain payments of principal while the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are outstanding. In addition, the the Class B Notes and the Class C Notes are outstanding. In addition, the Income Notes may be entitled to receive certain payments on each Income Notes may be entitled to receive certain payments on each Quarterly Payment Date while the Secured Notes are outstanding. See Quarterly Payment Date while the Secured Notes are outstanding. See "Description of the Notes-Priority of Payments." "Description of the Notes-Priority of Payments." In addition, to the extent funds are available therefor in accordance with the In addition, to the extent funds are available therefor in accordance with the Priority of Payments, certain of the Secured Notes (other than the Class S Priority of Payments, certain of the Secured Notes (other than the Class S Notes) will be subject to mandatory redemption on any Payment Date if the Notes) will be subject to mandatory redemption on any Payment Date if the Coverage Tests are not satisfied as described herein See "Description of Coverage Tests are not satisfied as described herein. See "Description of the Notes-Principal", "-Mandatory Redemption" and "-Priority of the Notes-Principal", "-Mandatory Redemption" and "-Priority of Payments." Payments." Tax Redemption ............ Tax Redemption .............................. Subject to certain conditions described herein, the Secured Notes will be Subject to certain conditions described herein, the Secured Notes will be redeemed from Liquidation Proceeds, in whole but not in part, on the 90th redeemed from Liquidation Proceeds, in whole but not in part, on the 90th (which 90-day period may be extended an additional 90 as day (which 90-day period may be extended an additional 90 days, as described under "Description of tlle Notes-Tax Redemption") following described under "Description of the Notes-Tax Redemption") following at the written the Issuers becoming aware of tlle occurrence a the Issuers becoming aware of the occurrence of a Tax Event, at the written direction or tlle written consent Holders least 66-2/3% 'of direction of, or with the written consent of, Holders of at least 66-2/3% of tlle Income Notes or Holders of least Majority of any Class of Secured the Income Notes or Holders of at least a Majority of any Class of Secured Notes of occurrence Event, have not Notes which, as a result of the occurrence of such Tax Event, have not received 100% of tlle aggregate amount principal interest or other received 100% of the aggregate amount of principal and interest or other amounts due and payable to such Holders (such redemption, a "Tax payable a "Tax Tax Redemption tlle expected Redemption"). No such Tax Redemption will occur unless the expected Liquidation Proceeds exceed the Redemption Amount. Liquidation Proceeds equal or exceed tlle Total Redemption Amount. the Income will be Upon tile occurrence of a Tax Redemption, tile Income Notes will be the occurrence unless all simultaneously redeemed. No such Tax Redemption will occur unless all Redemption of the any the amounts payable to tile Credit Protection Buyer or any assignee of the Termination Credit Protection Buyer (including all Credit Default Swap Termination on the related paid Payments) will have been paid in full, in each case, on tlle related redemption date. the Secured Notes as described With respect to a Tax Redemption as described above, tlle Secured Notes a respect respectively, as will be redeemed at their Secured Note Redemption Prices, respectively, as the final payment on the as the final payment on tlle distributable described herein. The amount distnbutable as herein. the amount of the Redemption will Income Notes following any Tax Redemption will equal tlle amount of the any Income Liquidation Proceeds remaining after tile redemption of the Secured Notes Proceeds remaining after the redemption of the Secured Notes in full together witll tlle payment of all otiler amounts required to be paid in together with the payment of all other amounts required to be paid in in accordance witll tlle Priority of Payments. accordance with the Priority of Payments. See "Description of the Notes-Tax Redemption." See "Description of the Notes-Tax Redemption." Auction............................................. Auction............................................. Sixty (60) days prior to tlle Payment Date occurring in July of each year Sixty (60) days prior to the Payment Date occurring in July of each year (tile "Auction Date"), commencing on tile July 2015 Payment Date, the (the "Auction Date"), commencing on the July 2015 Payment Date, the Liquidation Agent, on behalf of tlle Issuer, shall take steps to conduct an Liquidation Agent, on behalf of the Issuer, shall take steps to conduct an auction (tile "Auction") of the Credit Default Swap, tlle Eligible auction (the "Auction") of the Credit Default Swap, the Eligible Investments (otiler than" cash); the Delivered Obligations, if any, and tlle Investments (other thanrcash), the Delivered Obligations, if any, and the Collateral Securities in accordance witil tile procedures specified in tlle Collateral Securities in accordance with the procedures specified in the Indenture. If tlle Liquidation Agent receives one or more bids from Indenture. If the Liquidation Agent receives one or more bids from Eligible Bidders not later than ten (10) Business Days prior to tlle Auction Eligible Bidders not later than ten (10) Business Days prior to the Auction Date, which, when added to tlle cash on deposit in the Collateral Account, Date, which, when added to the cash on deposit in the Collateral Account, equal to or exceed tlle Minimum Bid Amount, it will sell, assign, terminate equal to or exceed the Minimum Bid Amount, it will sell, assign, terninate I 26 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912600 GS MBS-E-000912600 Footnote Exhibits - Page 5699 or otherwise dispose of the Credit Default Swap, the Eligible Investments or otherwise dispose of the Credit Default Swap, the Eligible Investments (other than cash), the Delivered Obligations, if any, and the Collateral (other than cash), the Delivered Obligations, if any, and the Collateral Securities on or before the fifth Business Day prior to such Auction Date. Securities on or before the fifth Business Day prior to such Auction Date. The Secured Notes will be redeemed in whole on such Auction Date (any The Secured Notes will be redeemed in whole on such Auction Date (any such date, the "Auction Payment Date"). If successful Auction occurs, such date, the "Auction Payment Date"). If aa successful Auction occurs, the Income Notes will also be redeemed in full. If the highest single bid on the Income Notes will also be redeemed in full. If the highest single bid on the entire portfolio, or the aggregate amount of multiple bids with respect the entire portfolio, or the aggregate amount of multiple bids with respect to individual Collateral Securities, Eligible Investments (other than cash) to individual Collateral Securities, Eligible Investments (other than cash) and Delivered Obligations when added with the other Liquidation Proceeds and Delivered Obligations when added with the other Liquidation Proceeds and cash on deposit in the Collateral Account, does not equal or exceed the and cash on deposit in the Collateral Account, does not equal or exceed the Minimum Bid Amount or if there is failure at settlement, the Credit Minimum Bid Amount or if there is aa failure at settlement, the Credit Default Swap will not be terminated or assigned, the Eligible Investments Default Swap will not be terminated or assigned, the Eligible Investments (other than cash), Collateral Securities and the Delivered Obligations, if (other than cash), Collateral Securities and the Delivered Obligations, if any, will not be sold and no redemption of Notes on the related Auction any, will not be sold and no redemption of Notes on the related Auction Date will occur. Date will occur. Optional Redemption...................... Optional Redemption...................... TIle Secured Notes may be redeemed by the Issuers from Liquidation The Secured Notes may be redeemed by the Issuers from Liquidation Proceeds, in whole but not in part, on any Payment Date on or after the Proceeds, in whole but not in part, on any Payment Date on or after the Payment Date occurring July 2010 (the "Optional Redemption Date"), at Payment Date occurring in July 2010 (the "Optional Redemption Date"), at written direction or with written consent of the Holders of a the written direction of, or with the written consent of the Holders of a Majority of the Income Notes (an "Optional Redemption"). If the Holders Majority of the Income Notes (an "Optional Redemption"). If the Holders the Income Notes so elect cause an Optional Redemption of the of the Income Notes so elect to cause an Optional Redemption of the Secured the Income will redeemed. Secured Notes, the Income Notes will also be redeemed. the of Optional Secured Notes will be In the event of an Optional Redemption, the Secured Notes will be redeemed Secured Note Redemption described redeemed at their Secured Note Redemption Prices as described herein. redeemed an Optional Redemption Secured No Secured Notes shall be redeemed pursuant to an Optional Redemption payment Income unless the and a final payment to the Income Notes shall not be made unless the Default Aggregate Reference Obligation Notional Amount of the Credit Default Amount Reference certain Swap will be reduced to zero and the Liquidation Agent furnishes certain Liquidation assurances that the Total Redemption Amount will be available for payment available payment on the related Optional Redemption Date. Fiscal Agent will In the event of any redemption of the Secured Notes, the Fiscal Agent will receive for payment to the Holders of the Income Notes the remaining the balance, if any, of funds in the Payment Account (net of all expenses of the if Prices of the Issuers after payment of the Secured Note Redemption Prices of the payment Issuers prior to other payment Secured Notes and the payment of all other amounts payable prior to and Secured of the Income payment Fiscal payments to the Fiscal Agent) for payment to the Holders of the Income to Redemption Priority of Payments (the "Income Notes pursuant to the Priority of Payments (the "Income Note Redemption pursuant to Price"). Price"). Notes-Optional See "Description of the Notes-Optional Redemption." See "Description of Mandatory Redeml)tion.................. Mandatory Redemption.................. On any Payment Date on which any Overcollateralization Test is not On any Payment Date on which any Overcollateralization Test is not satisfied as of the preceding Determination Date certain of the Secured satisfied as of the preceding Determination Date certain of the Secured Notes? (other than the Class S Notes) will be subject to mandatory Notes (other than the Class S Notes) will be subject to mandatory redemption in accordance with the Priority of Payments, until the redemption in accordance with the Priority of Payments, until the applicable Secured Notes have been paid in full (a "Mandatory applicable Secured Notes have been paid in full (a "Mandatory Redemption'TThe Class?S"Notes and the Income Notes are not subject to Redemption"). The Class S Notes and the Income Notes are not subject to mandatory redemption as a result of the failure of any Coverage Test. See mandatory redemption as a result of the failure of any Coverage Test. See "Description of the Notes-Principal", "-Mandatory Redemption" and "Description of the Notes-Principal", "-Mandatory Redemption" and "-Priority of Payments." "-Priority of Payments." 27 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912601 GS MBS-E-000912601 Footnote Exhibits - Page 5700 Coverage Tests................................. Coverage Tests................................. The following table identifies the Coverage Tests and the value at which The following table identifies the Coverage Tests and the value at which such tests will be satisfied. See "Description of The Notes-Mandatory such tests will be satisfied. See "Description of The Notes-Mandatory Redemption" Redemption". . Coverage Test Coverage Test Class NB Overcollateralization Class A/B Overcollateralization Test Test Class C Overcollateralization Class C Overcollateralization Test Test Class D Overcollateralization Class D Overcollateralization Test Test Ratio at Which Test is Ratio at Which Test is Satisfied Satisfied equal to or greater than 116.0% equal to or greater than 116.0% equal to or greater than 109.9% equal to or greater than 109.9% equal to or greater than 105.9% equal to or greater than 105.9% On the Closing Date, the Class A/B Overcollateralization Ratio is expected the Closing Date, the Class NB Overcollateralization Ratio is expected the Class Overcollateralization Ratio is expected to be to be 119.0%, the Class C Overcollateralization Ratio is expected to be 111. 7% and the Class D Overcollateralization Ratio expected to be 111.7% and the Class D Overcollateralization Ratio is expected to be 107.4%' 107.4%. The Default Swap The Credit Default Swap Documentation ............. Documentation ............................... . structured Credit Default Swap will "pay-as-you-go" credit The Credit Default Swap will be structured as a "pay-as-you-go" credit default will documented ISDA Master default swap and will be documented pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Border), including Schedule Agreement (Multicurrency-Cross Border), including the Schedule thereto confirmations "Master Agreement"), "Master (the "Master Agreement"), along with two confirmations (each a "Master Protection Confirmation") between' Confirmation") between the Issuer, as Credit Protection Seller, and Goldman International Goldman Sachs International ("GSI"), as the Credit Protection Buyer, evidencing transaction respect each Reference Obligation evidencing a transaction with respect to each Reference Obligation in the Reference Reference Portfolio thereunder (each such transaction, a "CDS Transaction") Transaction")... specified Each CDS Transaction is expected to have a specified notional amount (the Transaction "Reference Obligation Notional Amount") which represents the dollar represents dollar "Reference thereunder amount of the credit exposure which the Issuer is assuming thereunder with respect to the Reference Obligation related to such CDS Transaction. sum TIle" Aggregate Reference Obligation Notional Amount" is the sum of the The "Aggregate aggregate Reference Obligation Notional Amounts of all CDS aggregate Reference Obligation Transactions comprising the Reference Portfolio. On the Closing Date, the . Protection the enter into CDS Transactions Issuer expects to enter into CDS Transactions with the Credit Protection expects having Obligations described the Buyer referencing the Reference Obligations described herein and having approximately an Aggregate Reference Obligation Notional Amount of approximately an Aggregate Reference Credit acconiance with the U.S.$305,000,OOO. In accordance with the terms of the Credit Default U.S.$305,000,000. of a CDS Transaction is Notional Swap, the Reference Obligation Notional Amount of a CDS Transaction is Swap, the expected after the Closing Date to be: the Closing expected Obligation Principal a (i) decreased on each day on which a Reference Obligation Principal (i) decreased on each day on Reference Obligation Principal Payment is made by the relevant Reference Obligation Principal Payment is made by the Amortization Amount; ... _. Amortizatioi Amoubt; (ii) decreased on each day on which a Failure to Pay Principal occurs by the (ii) decreased on each day on which a Failure to Pay Principal occurs by the Reference Obligation Notional Amount ........................................... . Am ount .......................................... relevant Principal Shortfall Amount; relevant Principal Shortfall Amount; 28 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912602 GS MBS-E-000912602 Footnote Exhibits - Page 5701 decreased on each day on which a Writedown occurs by the relevant (iii) decreased on each day on which a Writedown occurs by the relevant Writedown Amount; Writedown Amount; (iv) increased on each day on which a Writedown Reimbursement occurs by (iv) increased on each day on which a Writedown Reimbursement occurs by any Writedown Reimbursement Amount in respect of a Writedown any Writedown Reimbursement Amount in respect of a Writedown definition of Reimbursement within paragraphs (iii) of Reimbursement within paragraphs (ii) or (iii) of the definition of "Writedown Reimbursement"; and "Writedown Reimbursement"; and (v) decreased on each Delivery Date an amount equal the relevant (v) decreased on each Delivery Date by an amount equal to the relevant Exercise Amount minus the relevant amount determined pursuant Exercise Amount minus the relevant amount determined pursuant to heading "Physical Settlement Amount" in paragraph (b) under paragraph (b) under the heading "Physical Settlement Amount" in the any Relevant Amount related Master Confirmation; provided that, related Master Confinnation; provided that, if any Relevant Amount is applicable, Exercise Amount be deemed be decreased applicable, the Exercise Amount will also be deemed to be decreased by Relevant Amount (or increased by absolute value such Relevant such Relevant Amount (or increased by the absolute value of such Relevant Amount if such Relevant Amount is negative) with effect from such if Relevant Amount is negative) with effect such Delivery Date. Delivery Each CDS Transaction will terminate by its terms no later than the Transaction terminate no the scheduled legal related Reference Obligation scheduled legal final maturity of the related Reference Obligation unless a such Credit Floating becomes with Credit Event occurs or a Floating Amount becomes due with respect to such CDS Transaction and the physical settlement date is scheduled to occur CDS Transaction and physical settlement date occur after such date. For a more detailed description of the Credit Default Swap, see "The Credit detailed description the Credit see "The Master Master Agreement Copies Default Swap". Copies of the Master Agreement and the Master Confirmations are available to investors from the Trustee. Confirmations The Reference Portfolio.................. Reference Portfolio .......... Reference reference On the Closing Date, the Credit Default Swap will reference 61 Reference "Reference Obligations (collectively, the "Reference Portfolio"). See Appendix B to Obligations Offering Circular Reference this Offering Circular for certain summary information about the Reference Portfolio. Mortgage-Backed (i) The types of (i) Residential Mortgage-Backed Securities that constitute Reference Obligations in the Reference Portfolio will include RMBS Obligations RMBS Midprime Mortgage Securities and RMBS Subprime Mortgage Securities and (ii) CDO Securities that constitute Reference Obligations in the Reference Portfolio will include CDO RMBS Securities. Credit Events................................... ................. Events Event") The following Credit Events (each a "Credit Event") shall apply with Credit The respect to each Reference Obligation: (i) (i) (ii) (ii) (iii) (iii) (iv) (iv) Failure to Pay Principal; Writedown; Writedown; Distressed Ratings Downgrade; or Distressed Ratings Downgrade; or Security case Failure to Pay Interest (in the case of CDO RMBS Security Interest (in Failure to Reference Obligations only). Reference Obligations See "The Credit Default Swap--c-Credit Events." Default Swap-Credit See "The Conditions to Settlement................. to Settlement................. be satisfied upon delivery to the Settlement" The "Conditions to Settlement" will be satisfied upon delivery to the "Conditions and a Event of a Credit Protection Seller and the Credit Protection Seller and the Trustee of a Credit Event Notice and a of Publicly Available Information. Notice of Publicly Available Information. 29 29 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912603 GS MBS-E-000912603 Footnote Exhibits - Page 5702 Notifying Party .............................. The Credit Protection Buyer. Notifying Party ................................ .. The Credit Protection Buyer. Credit Default Swap Calculation Credit Default Swap Calculation Agent o.......oo................................oo.. Agent .............................................. GSI will be the calculation agent (in this capacity the "Credit Default Swap GSI will be the calculation agent (in this capacity the "Credit Default Sivap .Calculation Agent") under the Credit Default Swap. Calculation Agent") under the Credit Default Swap. Settlement Method ......................... Settlement Method.......................... . Credit Default Swap Early Credit Default Swap Early Termination Termination ...............o.o.......oo........ ............... Physical. Physical. The Credit Default Swap may be tenninated by the Issuer or by the Credit The Credit Default Swap may be terminated by the Issuer or by the Credit Protection Buyer (a "Credit Default Swap Early Tennination") at. the Protection Buyer (a "Credit Default Swap Early Termination") at .the option of the non-defaulting or non-affected party, as applicable, upon the option of the non-defaulting or non-affected party, as applicable, upon the . occurrence of an "Event of Default" or "Terinination Event" (each, as occurrence of an "Event of Default" or "Termination Event" (each, as defmed in the Master Agreement). Upon the Trustee having actual defined in the Master Agreement). Upon the Trustee having actual knowledge of the occurrence of any event that gives rise to the right of the knowledge of the occurrence of any event that gives rise to the right of the Issuer to tenninate the Credit Default Swap, the Trustee or the Fiscal Issuer to terminate the Credit Default Swap, the Trustee or the Fiscal Agent, as applicable, will promptly practicable notify the Noteholders Agent, as applicable, will as promptly as practicable notify the Noteholders of such event only tenninate any such agreement on behalf of the of such event but will only terminate any such agreement on behalf of the direction a Majority of the Income Notes (ii) (a) (i) at Issuer (i) at the direction of a Majority of the Income Notes or (ii) (a) upon the redemption of the Secured Notes in (b) if the. principal upon the redemption of the Secured Notes in full, (b) if the principal the acceleration balance of the Secured Notes reduced zero or balance of the Secured Notes is reduced to zero or (c) upon the acceleration Secured the pursuant terms the Indenture. of the maturity of the Secured Notes pursuant to the terms of the Indenture. Condition prior to any The required The Issuer is required to satisfy the Rating Agency Condition prior to any Credit Protection Buyer assignment of the (i) replacement of the Credit Protection Buyer or (ii) assignment of the (i) Credit Default Swap. The Issuer will use the net proceeds from the offering of the Notes to to initial purchase Collateral Securities and Eligible Investments having an initial Collateral Securities the principal amount as of tlle Closing Date of approximately have the U.S.$305,OOO,000. The Collateral Securities are required to have the U.S.$305,0(0,000. "The described characteristics and satisfy the criteria descnbed herein under "The characteristics Collateral Securities." Collateral Securities." The Collateral Securities................ . Securities ............... The funds to pay Issuer, The Liquidation Agent, on behalf of the Issuer, will obtain the funds to pay Liquidation will not the avoidance of Credit Protection Amounts (which, for the avoidance of doubt, will not Protection Amounts (which, applying the Collateral Termination Payments) by applying the Collateral include Defaulted Swap Tennination include Liquidation Procedure. Procedure. If the Notes become due in connection with an Optional Redemption, Tax If the Notes become due in connection with an Optional Redemption or Auction, (i) the Liquidation Agent, on behalf of the Issuer, Redemption or Auction, (i) the Liquidation Agent, on behalf of the Issuer, will assign or tenninate the Credit Default Swap and will liquidate all of the will assign or tenninate the Credit Default Swap and will liquidate all of the Collateral Securities and Eligible Investments in the Collateral Account and Collateral Securities and Eligible Investments in the Collateral Account and all Delivered Obligations in the Delivered Obligations Account and (ii) the all Delivered Obligations in the Delivered Obligations Account and (ii) the Issuer will pay to the Credit Protection Buyer any Credit Protection Issuer Will pay to the Credit Protection Buyer any Credit Protection Amounts and Credit Default Swap Tennination Payments the Issuer is Amounts and Credit Default Swap Tennination Payments the Issuer is required to pay to the Credit Protection Buyer or any assignee in connection required to pay to the Credit Protection Buyer or any assignee in connection with any assignment or tennination of the CDS Transactions. Certain with any assignment or termination of the CDS Transactions. Certain ainounts will be held back if one or more outstanding Credit Events remain ainounts will be held back if one or more outstanding Credit Events remain due as of the Redemption Date. due as of the Redemption Date. If the Credit Default Swap is tenninated in connection with the occurrence If the Credit Default Swap is terminated in connection with the occurrence of an Event of Default or Tennination Event (each, as defmed in the Master of an Event of Default or Termination Event (each, as defined in the Master Agreement), the Liquidation Agent, on behalf of the Issuer, will pay to the Agreement), the Liquidation Agent, on behalf of the Issuer, will pay to the 30 Confidential Treatment Requested by Goldman SachS Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912604 GS MBS-E-000912604 Footnote Exhibits - Page 5703 Credit Protection Buyer or any assignee any Credit Default Swap Credit Protection Buyer or any assignee any Credit Default Swap Tennination Payments (which, the avoidance of doubt, not include Termination Payments (which, for the avoidance of doubt, will not include Defaulted Swap Tennination Payments) owed by the Issuer to the Credit Defaulted Swap Termination Payments) owed by the Issuer to the Credit Protection Buyer by applying the Collateral Liquidation Procedure. Certain Protection Buyer by applying the Collateral Liquidation Procedure. Certain amounts will be held back if one more outstanding Credit Events exist or amounts will be held back if one or more outstanding Credit Events exist or of any tennination date. Floating Amounts remain Floating Amounts remain due as of any termination date. If a CDS Transaction tenninates on its scheduled termination date without a If a CDS Transaction terminates on its scheduled termination date without a Credit occurring, following the reduction of Aggregate Reference Credit Event occurring, following the reduction of the Aggregate Reference Obligation Notional amount equal Aggregate Obligation Notional Amount, an amount equal to the Aggregate Amortization Amount shall be drawn the Collateral Account pursuant Amortization Amount shall be drawn from the Collateral Account pursuant to Amortization Liquidation Procedure deposited Payment to the Amortization Liquidation Procedure and deposited into the Payment Account to be applied among other things, reduce the amounts of the Account to be applied to, among other things, reduce the amounts of the Notes in accordance with the Priority of Payments on the immediately Notes accordance with Payments on immediately Payment Date. following Payment Date. See "The Collateral Securities" See "The Collateral Securities" Liquidation of Collateral................ of Collateral................ immediately the maturity On or immediately prior to the final maturity date of the Notes or in Optional Redemption, Auction, Redemption or connection connection with any Optional Redemption, Auction, Tax Redemption or Liquidation of Event of Event of Default, the Liquidation Agent, on behalf of the Issuer, will (i) assign or terminate or cause to be assigned or terminated the Credit Default tenninate tenninated Collateral Swap, Swap, (ii) liquidate all of the Collateral Securities, Delivered Obligations Eligible Investments, payment tennination or and Eligible Investments, (iii) demand payment for any termination or Protection assignment payments pay assignment payments due to the Issuer and (iv) pay any Credit Protection Amounts due to the Credit Protection Buyer or any assignee under the Amounts Protection Buyer Credit Default Swap. Goldman, Sachs & Co. ("GS&Co.") as Liquidation Agent (in such such capacity, the "Liquidation Agent") under the Liquidation Agency "Liquidation Agent") Agreement dated as of the Closing Date (the "Liquidation Agency Agreement "Liquidation Agreement") between Agreement") between GS&Co. and the Issuer will, on behalf of the Issuer, Transactions (i) assign, terminate or otherwise dispose of (a) CDS Transactions the Collateral Reference Obligations of which are determined pursuant to the Collateral behalf of Administration Agreement by the Collateral Administrator, on behalf of Agreement the Issuer to be Credit Risk Obligations and (b) Delivered Obligations, (ii) Obligations sell, assign, tenninate or otherwise dispose of the Credit Default Swap, terminate Eligible Investments of Delivered Obligations, Collateral Securities and Eligible Investments of the the Issuer in connection with (a) a redemption of the Notes as a result of an Optional Redemption, a Tax Redemption, an Auction or as otherwise acceleration of required under the Indenture as described therein and (b) an acceleration of Notes as a result of an Event of Default as required under the Indenture as functions, described therein, and (iii) perform certain other functions, as described described herein. herein. The Liquidation Agent will have twelve (12) months to assign, Liquidation (12) months Reference CDS Transactions of otherwise terminate tenninate or otherwise dispose of (a) CDS Transactions the Reference Collateral determined Obligations of which are detennined pursuant to the Collateral Obligations of by the Administration Agreement by the Collateral Administrator, on behalf of in (b) Risk Obligations be the the Issuer, to be Credit Risk Obligations and (b) Delivered Obligations in (such the the accordance with the terms of the Liquidation Agency Agreement (such acconiance of the Liquidation from the twelve months twelve months measured from the date the Liquidation Agent is notified of (2) either (1) such detennination by the Collateral Administrator or (2) the either (1) such determination by the Collateral Administrator of such Delivered Obligation by the Issuer, as applicable). receipt of such Delivered Obligation by the Issuer, as applicable). The deposited Delivered Obligations proceeds of any such sale of Delivered Obligations will be deposited by the Investments invested the Collateral Account Trustee into the Collateral Account and invested in Eligible Investments and Collateral Securities selected at the direction of the Liquidation Agent. and Collateral Securities selected at the direction of the Liquidation Agent. received on such Delivered Obligations In addition, any principal proceeds received on such Delivered Obligations addition, any principal Agent.................... The Liquidation Agent.................... 31 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912605 GS MBS-E-000912605 Footnote Exhibits - Page 5704 prior to such sale, will be deposited by the Trustee into the Collateral prior to such sale, will be deposited by the Trustee into the Collateral Account. The Liquidation Agent will not have the right., or the obligation, Account. The Liquidation Agent will not have the right, or the obligation, to exercise any discretion with respect to the method or the price of any to exercise any discretion with respect to the method or the price of any assignment, termination or disposition of CDS Transaction; the sole assignment, termination or disposition of aa CDS Transaction; the sole obligation of the Liquidation Agent will be to execute such assignment or obligation of the Liquidation Agent will be to execute such assignment or termination of a CDS Transaction in accordance with the terms of the termination of a CDS Transaction in accordance with the terms of the Liquidation Agency Agreement. Notwithstanding the appointment of the Liquidation Agency Agreement. Notwithstanding the appointment of the Liquidation Agent., the Liquidation Agent shall have no responsibility for, Liquidation Agent, the Liquidation Agent shall have no responsibility for, or liability relating to, the perfonnance of the Issuer or any CDS or liability relating to, the performance of the Issuer or any CDS Transaction, Reference Obligation, Collateral Security or Eligible Transaction, Reference Obligation, Collateral Security or Eligible Investment. . Investment. See "The Liquidation Agency Agreement." See "The Liquidation Agency Agreement." Reports............................................. Reports............................................. A report will be made available to the Holders of the Notes and will the Notes and will A report will be made available to the Holders provide information on the Reference Portfolio, Collateral Securities and provide information on the Reference Portfolio, Collateral Securities and Payments payments to be made accordance with Priority payments to be made in accordance with the Priority of Payments (each, a "Note Valuation Report") beginning in July, See "Reports." "Note Valuation Report") beginning in July, 2007. See "Reports." Offered are being offered to non-U. S. Persons in offshore The Offered Notes are being offered to non-U.S. Persons in offshore in the United States transactions in reliance Regulation transactions in reliance on Regulation S, and in the United States to persons who are Qualified Institutional Buyers purchasing in reliance on who are Qualified Institutional purchasing reliance on exemption registration respect the exemption from registration under Rule 144A or, with respect to Income Accredited Investors purchasing transactions? Income Notes only, Accredited Investors purchasing in transactions exempt from registration the Securities purchaser who exempt from registration under the Securities Act. Each purchaser who is a Qualified Accredited Investor U.S. must U.S. Person must also be a Qualified Purchaser. Each Accredited Investor "Description of U.S.$lO must worth must have a net worth of at least U.S.$10 million. See "Description of the Notes-Form Notes," "Underwriting" "Notice Investors." Notes-Form of the Notes," "Underwriting" and "Notice to Investors." denominations U.S.$250,000 The Notes will be issued in minimum denominations of U.S.$250,000 (in Accredited the case of the Rule 144A Notes and the Income Notes sold to Accredited 144A Investors) and U.S.$100,000 (in the case of the Regulation S Notes) and U.S.$100,000 thereof for each integral multiples of U.S.$1 integral multiples ofU.S.$1 in excess thereoffor each Class of Notes. Offering ............... The Offering .................................... Minimum Denominations............... Denominations............... Form of the Notes ........... Notes............................ on Each Class of Notes sold in offshore transactions in reliance on Regulation S will initially be represented by one or more temporary global S notes (each, a "Temporary Regulation S Global Note"). Each Temporary Closing on Regulation S Global Note will be deposited on the Closing Date with Regulation S Global for, LaSalle Bank National Association as custodian for, and registered in the as name of Cede & Co. as nominee of The Depository Trust Company & Bank S.A./N.V., ("DTC"), for the respective accounts of Euroclear Bank S.A.IN.V., as ("DTC"), for operator of the Euroclear System ("Euroclear"), and Clearstream Banking, System and Clearstream ("Clearstream"). Beneficial societe anonyme ("Clearstream"). Beneficial interests in a Temporary socidt6 only Regulation S Global Note may be held only through Euroclear or by a U.S. Person Clearstream and may notbe held at any time by a U.S. Person ("U.S. not.be held at and the Securities Act). Person") (as such term is defmed in Regulation S under the Securities Act). Person") (as such term is defined Regulation S than 144A Each Class of Rule 144A Notes (other than the Income Notes) will be Each Class of (the or more global notes in fully registered issued in the form of one or more global notes in fully registered form (the issued in the form of "Rule 144A Global Notes" and, together with the Temporary Regulation S Notes" and, together with the Temporary Regulation S "Rule 144A Global Notes and the Regulation S Global Notes, the "Global Notes"), Global Notes and S "Global Notes"), deposited with LaSalle Bank National Association as custodian for, and deposited with LaSalle Bank National Association as custodian for, and registered in the name of Cede & Co. as nominee of, DTC, which will credit registered in the name of Cede & Co. as nominee of, DTC, which will credit the account of each of its participants with the principal amount of Notes the account of each of its participants with the principal amount of Notes being purchased by or through such participant. Beneficial interests in the being purchased by or through such participant. Beneficial interests in the 32 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912606 GS MBS-E-000912606 Footnote Exhibits - Page 5705 Rule 144A Global Notes will be shown on, and transfers thereof will be Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and effected only through, records maintained by DTC and its direct and indirect participants. indirect participants. The Income Notes (other than the Regulation S Income Notes) will be The Income Notes (other than the Regulation S Income Notes) will be .evidenced by one or more notes in definitive, fully registered form, evidenced by one or more notes in definitive, fully registered fonn, registered in the name of the owner thereof (each, "Definitive Note"). registered in the name of the owner thereof (each, aa"Definitive Note"). Beneficial interests in the Global Notes and the Definitive Notes may not be Beneficial interests in the Global Notes and the Definitive Notes may not be transferred except in compliance with the transfer restrictions described transferred except in compliance with the transfer restrictions described herein. See "Description of the Notes-Form of the Notes" and "Notice to herein. See "Description of the Notes-Form of the Notes" and "Notice to Investors." Investors." Governing Law ............................... Governing Law................................ . The Indenture, the Collateral Administration Agreement, the Credit The Indenture, the Collateral Administration Agreement, the Credit Default Swap, the Notes, the Liquidation Agency Agreement, and the Default Swap, the Notes, the Liquidation Agency Agreement, and the Fiscal Agency Agreement will be governed by the laws of the State of Fiscal Agency Agreement will be governed by the laws of the State of New York. New York. There is currently no market for the and there can assurance There is currently no market for the Notes and there can be no assurance that such market develop. See "Risk Factors-Notes-Limited that such a market will develop. See "Risk Factors-Notes-Limited Liquidity and Restrictions on Transfer." Application may be made to the Liquidity and Restrictions on Transfer." Application may be made to the Irish Stock Exchange Notes admitted to the official list of the Irish Stock Exchange for the Notes to be admitted to the official list of the Irish Stock Exchange and trading on its regulated There can be Irish Stock Exchange and to trading on its regulated market. There can be assurance such application made such listing no assurance that any such application will be made or that any such listing or will be obtained or maintained. If application is made to list the Notes on the Irish Stock Exchange, (i) Exchange, (i) Irish Listing Agent Maples Maples and Calder Listing Services Limited will be the Irish Listing Agent Dublin for the Notes (the "Irish Listing Agent") and (ii) Maples Finance Dublin Agent") Maples Agent"). will be the Irish Paying Agent for the Notes (the "Irish Paying Agent"). "Irish Listing and Trading ....................... Listing and Trading ........................ . Irish Listing Agent; Irish Paying Agent; Paying Irish Agent (if any) ............................... .. Agent .............. Tax Status ....................................... . Tax Status ................. ERISA Considerations ................... . Considerations.................... Considerations." See "Income Tax Consicierations." "Income See "ERISA Considerations." "ERISA Considerations." 33 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912607 GS MBS-E-000912607 Footnote Exhibits - Page 5706 RISK FACTORS RISK FACTORS Prior to making an investment decision, prospective investors should carefully consider, in addition to the Prior to making an investment decision, prospective investors should carefully consider, in addition to the matters set forth elsewhere in this Offering Circular, the following factors: matters set forth elsewhere in this Offering Circular, the following factors: Notes Notes Limited Liquidity and Restrictions on Transfer. There is currently no market for the Notes. Although Limited Liquidity and Restrictions on Transfer. There is currently no market for the Notes. Although GS&Co. has advised the Issuers that it intends to make a market in the Offered Notes, GS&Co. is not obligated to GS&Co. has advised the Issuers that it intends to make a market in the Offered Notes, GS&Co. is not obligated to do so, and any. such market making with respect to the Offered Notes may be discontinued at any time without do so, and any such market making with respect to the Offered Notes may be discontinued at any time without notice. There can be no assurance that any secondary market for any of the Notes will develop or, if secondary notice. There can be no assurance that any secondary market for any of the Notes will develop or, if aa secondary market does develop, that it will provide the Holders of the Notes with liquidity of investment or that it will continue market does develop, that it will provide the Holders of the Notes with liquidity of investment or that it will continue for the life of such Notes and consequently purchaser must be prepared to hold the Notes until the Stated Maturity. for the life of such Notes and consequently a purchaser must be prepared to hold the Notes until the Stated Maturity. In addition, no sale, assignment, participation, pledge or transfer of the Notes may be effected if, among In addition, no sale, assignment, participation, pledge or transfer of the Notes may be effected if, among other things, would require any of the the Co-Issuer or any of their officers or directors register under, or other things, it would require any of the Issuer, the Co-Issuer or any of their officers or directors to register under, or otherwise be subject to the provisions the Investment Company Act or any other similar legislation or regulatory otherwise be subject to the provisions of, the Investment Company Act or any other similar legislation or regulatory action. Furtllermore, Notes will not be registered under the Securities Act or any state securities laws or the laws action. Furthermore, the Notes will not be registered under the Securities Act or any state securities laws or the laws of any other jurisdiction, and the Issuer has no plans, and is under no obligation, to register the Notes under the any jurisdiction, and the Issuer has no plans, and is under no obligation, to register the under the of Securities Act or any securities laws or under the laws of any other The Notes are subject Securities Act or any state securities laws or under the laws of any other jurisdiction. The Notes are subject to certain transfer restrictions can be transferred only to certain transferees descnbed herein under "Description certain transfer restrictions and can be transferred only to certain transferees as described herein under "Description of the Notes-Form of the Notes" and "Notice to Investors." Such restrictions on the transfer of the Notes may the Notes-Form of Notes" "Notice Investors." restrictions transfer of Notes of further limit their liquidity. "Description of the Notes-Form of the Notes." Application may be made further limit their liquidity. See "Description of the Notes-Form of the Notes." Application may be made for the of Exchange its regulated can admitted Notes to be admitted to the official list of the Irish Stock Exchange and to trading on its regulated market. There can be no assurance that any such application will be made or that any such listing will be obtained. such application be made or such listing be no assurance A Notes D Obligations. Limited Recourse Obligations. The Class A Notes, Class B Notes, Class C Notes and Class D Notes will each payable Pledged Assets pledged be limited recourse obligations of the Issuers, in each case, payable solely from the Pledged Assets pledged by the recourse obligations tlle be Issuer secure tlle Secured Notes recourse Issuer not Issuer to secure the Secured Notes. The Income Notes will be limited recourse obligations of the Issuer and will not Liquidation be secured by the Pledged Assets securing the Secured Notes. None of the Liquidation Agent, the Holders of the secured by tlle be Protection tlle AdIninistrator, Notes, the Initial Purchaser, the Trustee, the Administrator, the Share Trustee, the Agents, the Credit Protection other affiliates tile Issuers' obligated Buyer or any affiliates of any of the foregoing or the Issuers' affiliates or any otller person or entity will be obligated to make payments on the Secured Notes or the Income Notes. Consequently, the Holders of the Secured Notes must Consequently, to make payments principal, rely solely on distributions on the Pledged Assets pledged to secure the Secured Notes for the payment of principal, rely solely are interest, premium and other distributions tllereon. If distributions on the Pledged Assets are insufficient to make thereon. If interest, the of payments in respect of the Secured Notes, no other assets (and, in particular, no assets of the Liquidation Agent, the particular, assets payments Holders of the Secured Notes, the Holders of the Income Notes, the Initial Purchaser, the Trustee, the Administrator, the Income Holders of foregoing) will available of the Share Trustee, the Agents, the Credit Protection Buyer or any affiliates of any of the foregoing) will be available Protection Buyer or Agents, the the Share Trustee, for payment of the deficiency, and following realization of the Pledged Assets pledged to secure the Secured Notes, Secured of the for payment the revive. shall the obligations of the Issuers to pay such deficiency shall be extinguished and shall not revive. such deficiency the obligations of of S Notes will Subordination of the Notes. Payments of principal on the Class S Notes will be senior to payments of the of Subordination of the Notes. and the Class D Notes and the distribution principal on the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes and to the distribution the Class Notes, the Class Class principal on of Proceeds to the Holders of tlle Income Notes on each Payment Date to the extent set forth in the Priority of the extent set forth in the Priority of the Income Notes on each Payment Date of Proceeds to the pro rataor first to Payments. Payments of principal of the Class A-la Notes and the Class A-lb Notes will be either pro rata or first to Class A- lb Notes will be of the Class A-Ia Notes and of Payments. Payments the Class A-la Notes and second to the Class A-lb Notes as described herein. Payments of principal on the Class herein. Payments of principal on the as the Class A-la Notes and second to the Class A-lb A-I Notes will be either pro rata Witll principal payments on the Class A-2 Notes or senior to payments of principal A-1 Notes will be either pro ratawith principal payments on the Class A-2 Notes or senior to payments of principal to the Class A-2 Notes as described herein. Payments of principal on the Class A Notes due on any Payment Date to the Class A-2 Notes as described herein. Payments of principal on the Class A Notes due on any Payment Date will be senior to payments of principal of the Class B Notes, the Class C Notes and the Class D Notes and to the will be senior to payments of principal of the Class B Notes, the Class C Notes and the Class D Notes and to the distribution of Proceeds to the Holders of the Income Notes on such Payment Date to the extent set forth in the distribution of Proceeds to the Holders of the Income Notes on such Payment Date to the extent set forth in the Priority of Payments.. Payments of principal on the Class B Notes due on any Payment Date will be senior to Priority of Payments.. Payments of principal on the Class B Notes due on any Payment Date will be senior to payments of principal on the Class C Notes and the Class D Notes and senior to the distnbutions of Proceeds to the payments of principal on the Class C Notes and the Class D Notes and senior to the distributions of Proceeds to the Holders of tlle Income Notes on such Payment Date to the extent set forth in the Priority of Payments. Payments of Holders of the Income Notes on such Payment Date to the extent set forth in the Priority of Payments. Payments of principal on the Class C Notes due on any Payment Date will be senior to payments of principal on the Class D principal on the Class C Notes due on any Payment Date will be senior to payments of principal on the Class D Notes and senior to the distributions of Proceeds to the Holders of the Income Notes on such Payment Date to the Notes and senior to the distributions of Proceeds to the Holders of the Income Notes on such Payment Date to the extent set forth in the Priority of Payments. Payments of principal on the Class D Notes due on any Payment Date extent set forth in the Priority of Payments. Payments of principal on the Class D Notes due on any Payment Date 34 34 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912608 GS MBS-E-000912608 Footnote Exhibits - Page 5707 will pe senior to the distnbutions of Proceeds to the Holders of the Income Notes on such Payment Date to the will be senior to the distributions of Proceeds to the Holders of the Income Notes on such Payment Date to the extent set forth in the Priority of Payments. As result of the Priority of Payments, notwithstanding the extent set forth in the Priority of Payments. As aa result of the Priority of Payments, notwithstanding the subordination of the Notes descnbed under "Description of the Notes-Status and Security," the Class A Notes will subordination of the Notes described under "Description of the Notes-Status and Security," the Class A Notes will be entitled to receive certain payments of principal while the Class S Notes are outstanding, the Class B Notes will be entitled to receive certain payments of principal while the Class S Notes are outstanding, the Class B Notes will be entitled to receive certain payments of principal while the Class S Notes and the Class A Notes are outstanding, be entitled to receive certain payments of principal while the Class S Notes and the Class A Notes are outstanding, the Class C Notes will be entitled to receive certain payments of principal while the Class S Notes, the Class A the Class C Notes will be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes and the Class B Notes are outstanding and the Class D Notes will be entitled to receive certain payments of Notes and the Class B Notes are outstanding and the Class D Notes will be entitled to receive certain payments of principal while the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are outstanding. In principal while the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are outstanding. In addition, the Income Notes will be entitled to receive certain payments on each Quarterly Payment Date while the addition, the Income Notes will be entitled to receive certain payments on each Quarterly Payment Date while the Secured Notes are outstanding. See "Description of the Notes-Priority of Payments." To the ex1ent that any losses Secured Notes are outstanding. See "Description of the Notes-Priority of Payments." To the extent that any losses are incurred by the Issuer in respect of any Pledged Assets, such losses will be borne first by Holders of the Income are incurred by the Issuer in respect of any Pledged Assets, such losses will be borne first by Holders of the Income Notes, then, by Holders of the Class D Notes, then, by Holders of the Class C Notes, then, by Holders of the Class B Notes, then, by Holders of the Class D Notes, then, by Holders of the Class C Notes, then, by Holders of the Class B Notes, then, by Holders of the Class A-2 Notes, then, pro rata, by Holders of the Class A-I Notes and finally, by Notes, then, by Holders of the Class A-2 Notes, then, pro rata,by Holders of the Class A-1 Notes and finally, by Holders of the Class S Notes. Holders of the Class S Notes. Payments of interest on the Class S Notes due on any Payment Date'will be senior to payments of interest Payments of interest on the Class S Notes due on any Payment Datewill be senior to payments of interest on the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes and senior to the distributions of the Class A the Class B Notes, the Class C Notes and the Class D Notes and senior to the distributions of on Proceeds to the Holders of the Income Notes on such Payment Date. Payments of interest on the Class A Notes due Proceeds to the Holders of the Income Notes on such Payment Date. Payments of interest on the Class A Notes due on any Payment Date will be senior to payments of interest on the Class B Notes, C Notes and Class on any Payment Date will be senior to payments of interest on the Class B Notes, the Class C Notes and the Class D Notes and senior to the distributions of Proceeds to the Holders of the Income Notes on such Payment Date. and senior the distributions of Proceeds the Holders of the Income Notes such Payment Date. Notes Payments of interest on B any Payment Date will senior payments of interest on Payments of interest on the Class B Notes due on any Payment Date will be senior to payments of interest on the Class C Notes and the Class D Notes and senior to distributions Proceeds Holders Income Notes Class C Notes and the Class D Notes and senior to the distributions of Proceeds to the Holders of the Income Notes on such Payment Date. Payments interest on Notes on Payment Date will be senior on such Payment Date. Payments of interest on the Class C Notes due on any Payment Date will be senior to payments of interest D distributions of Proceeds Holders of the payments of interest on the Class D Notes and senior to the distributions of Proceeds to the Holders of the Income Notes on suchPayment Payments interest the D due Payment senior Notes on such Payment Date. Payments of interest on the Class D Notes due on any Payment Date will be senior to distributions of Proceeds to Holders Income Notes such Payment "Description tlle distributions of Proceeds to the Holders of the Income Notes on such Payment Date. See "Description of the Notes." Notes." On Payment which certain are available On any Payment Date on which certain conditions are satisfied and funds are available therefor, the "shifting principal" method in clause (xi) of the Priority of Payments may permit the Holders of the Class A Notes, pennit "shifting principal" method in clause (xi) accordance the Class B Notes, the Class C Notes and the Class D Notes to receive payments of principal in accordance with the receive the Class B Notes, Priority of Payments while more senior Classes of Notes remain outstanding and may permit distributions of outstanding pennit of Priority of Payments Amortization Proceeds to the Holders of the Income Notes, to the extent funds are available in accordance with the Amortization Priority of Payments, while the more senior Notes are outstanding. Amounts properly paid pursuant to the Priority Priority of Payments, of Payments to a junior Class of Notes will not be recoverable in the event of a subsequent shortfall in the amount will? recoverable of Payments to required to pay a more senior Class of Secured Notes. required to pay Holders of the Controlling Class may not be able to effect a liquidation of the Pledged Assets in an Event of PledgedAssets an Event of liquidation be able to Holders of Controlling Class may an the Controlling Class. Default; Holders of other Classes of Notes may be Adversely Affected by Actions of the Controlling Class. If an Affected other Classes Notes may Default; Holders to determine Event of Default occurs and is continuing, a Majority of the Controlling Class will be entitled to detennine the occurs and continuing, Event of to will not be remedies to be exercised under the Indenture; however, the Majority of the Controlling Class will not be able to the Majority of the Controlling exercised under the Indenture; remedies to (which Trustee direct a sale or liquidation of the Pledged Assets unless, among other things, the Trustee determines (which other things, unless, direct a sale or liquidation of the Pledged detennination will be based upon a certificate of the Liquidation Agent as to tlle estimated proceeds) that the Liquidation Agent as to the estimated proceeds) upon a be detennination such sale or liquidation) anticipated proceeds of such sale or liquidation (after deducting the reasonable expenses of such sale or liquidation) anticipated proceeds such sale or liquidation (after deducting the D would be sufficient to pay in full the sum of (A) the principal (including any Class C Deferred Interest and Class D (including any Class Deferred Interest and the would be sufficient to pay in full the sum of Deferred Interest) and accrued interest (including all Defaulted Interest, and interest thereon) and any other amounts Interest, and interest thereon) and any other amounts interest (including all Deferred Interest) due with respect to all the outstanding Notes, (B) unpaid Administrative Expenses, (C) all amounts, including Credit due with respect to all the outstanding Notes, (B) unpaid Administrative Expenses, (C) all amounts, including Credit Default Swap Termination Payments, due to the Credit Protection Buyer or any assignee upon termination or Default Swap Termination Payments, due to the Credit Protection Buyer or any assignee upon termination or assignment of the Credit Default Swap, net of temlination or assignment payments payable to the Issuer by the assignment of the Credit Default Swap, net of termination or assignment payments payable to the Issuer by the Credit Protection Buyer or any assignee and (0) all other items in the Priority of Payments ranking prior to Credit Protection Buyer or any assignee and (D) all other items in the Priority of Payments ranking prior to payments on the. Notes and a Majority of the Controlling Class agrees with such detemlination. There can be no payments on the Notes and a Majority of the Controlling Class agrees with such determination. There can be no assurance that proceeds of a sale and liquidation, together with all other available funds, will be sufficient to pay in assurance that proceeds of a sale and liquidation, together with all other available funds, will be sufficient to pay in full such amount. Notwithstanding the foregoing, even if the anticipated proceeds of such sale or liquidation would full such amount. Notwithstanding the foregoing, even if the anticipated proceeds of such sale or liquidation would not be sufficient to pay in full such amount, the requisite Holders of Notes as detennined pursuant to the Indenture not be sufficient to pay in full such amount, the requisite Holders of Notes as determined pursuant to the Indenture or the Holders of aa Super Majority of the Controlling Class may direct the sale arid liquidation of the Pledged or the Holders of Super Majority of the Controlling Class may direct the sale and liquidation of the Pledged Assets. Assets. 35 35 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912609 GS MBS-E-000912609 Footnote Exhibits - Page 5708 Remedies pursued by the Holders of the Class S Notes and Class A Notes could be adverse to the interests Remedies pursued by the Holders of the Class S Notes and Class A Notes could be adverse to the interests ofthe Holders of the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes. After the Class S the Holders of the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes. After the Class S of Notes and the Class A Notes are no longer outstanding, the Holders of the Class B Notes will be entitled to Notes and the Class A Notes are no longer outstanding, the Holders of the Class B Notes will be entitled to determine the remedies to be exercised under the Indenture (except as noted above) if an Event of Default occurs. determine the remedies to be exercised under the Indenture (except as noted above) if an Event of Default occurs. After the Class S Notes, the Class A Notes, and the Class B Notes are no longer outstanding, the Holders of the After the Class S Notes, the Class A Notes, and the Class B Notes are no longer outstanding, the Holders of the Class C Notes will be entitled to determine the remedies to be exercised under the Indenture (except as noted above) Class C Notes will be entitled to determine the remedies to be exercised under the Indenture (except as noted above) if an Event of Default occurs. After the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes if an Event of Default occurs. After the Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes are no longer outstanding, the Holders of the Class D Notes will be entitled to determine tlle remedies to be are no longer outstanding, the Holders of the Class D Notes will be entitled to determine the remedies to be exercised under the Indenture (except as noted above) if an Event of Default occurs. See "Description of the exercised under the Indenture (except as noted above) if an Event of Default occurs. See "Description of the Notes-The Indenture-Events of Default" Notes-The Indenture-Events of Default." Subordination of the Income Notes; Unsecured Obligations. The Income Notes are limited recourse Subordination of the Income Notes; Unsecured Obligations. The Income Notes are limited recourse obligations of the Issuer and are not secured by the Pledged Assets securing the Secured Notes. As such, the obligations of tlle Issuer and are not secured by the Pledged Assets securing the Secured Notes. As such, the Holders of the Income Notes will rank behind all of the secured creditors and pari passu with all unsecured creditors, Holders of the Income Notes will rank behind all of the secured creditors and pari passu with all unsecured creditors, whether known or unknown, of the Issuer. The Issuer, pursuant to the Indenture, has pledged substantially all of its whether known or unknown, of the Issuer. The Issuer, pursuant to the Indenture, has pledged substantially all of its assets secure the Secured Notes and certain otller obligations of the Issuer. The proc~ds of such assets will only assets to secure the Secured Notes and certain other obligations of the Issuer. The proceeds of such assets will only be available to make payments in respect of tlle Income Notes and when such proceeds are released from the lien be available to make payments in respect of the Income Notes as and when such proceeds are released from the lien of the Indenture in accordance with the Priority of Payments. There can be no assurance after payment of of the Indenture in accordance with the Priority of Payments. There can be no assurance that, after payment of principal interest Secured Notes and other expenses the in accordance with the Priority principal and interest on the Secured Notes and other fees and expenses of the Issuer in accordance with the Priority of Payments, the Issuer will have funds remaining to make payments in respect of Income Failure of Payments, the Issuer will have funds remaining to make payments in respect of the Income Notes. Failure to pay the full principal amount of the Income Notes will in no event constitute an Event of Default. No person or entity full principal amount tlle Income Notes will event constitute Event Default No person entity the the Income Except with respect to the other tlle will required to make payments other than the Issuer will be required to make any payments on the Income Notes. Except with respect to the obligations of tlle Issuer make payments pursuant Priority of Payments, Issuer expect to have obligations of the Issuer to make payments pursuant to the Priority of Payments, the Issuer does not expect to have Agent depend part weighted average of the any creditors. The funds available to be paid to the Fiscal Agent will depend in part on the weighted average of the any creditors. The funds available Note Interest Rates. Indenture payment Holders Income Any amounts released Any amounts that are released from the lien of the Indenture for payment to the Holders of the Income Notes in accordance with the Priority of Payments on any Quarterly Payment Date will not be available to make in accordance Priority Payment available make Notes Secured Notes subsequent Payment payments respect payments in respect of the Secured Notes on any subsequent Payment Date. Leveraged Investment. The Income Notes represent a leveraged investment in the underlying Pledged leveraged Leveraged Investment. leverage magnifies Assets. The use of leverage generally magnifies an investor's opportunities for gain and risk of loss. Therefore, The Assets. of greater changes changes in tlle market value of the Income Notes can be expected to be greater than changes in the market value of changes in the the underlying assets included in the Pledged Assets, which are also subject to credit, liquidity and interest rate risk. the underlying as a The cash flow to and the market value of the Income Notes may fluctuate, potentially in a material manner, as a value (including the Collateral on result of fluctuations in the investment income earned by the Issuer on the Pledged Assets (including the Collateral result Securities and Eligible Investments held in tile Collateral Account). the Securities Require Supplemental Indentures Do Supplemental Indentures May Modify the Indenture, and Some Supplemental Indentures Do Not Require Indenture, and Modify Supplemental Indentures into the Trustee Consent of Holders of Notes. The Indenture provides that the Issuers and tile Trustee may enter into supplemental the Consent of Holders Notes. indentures is subject to indentures to modify various provisions of tile Indenture. The execution of supplemental indentures is subject to indentures to modify various provisions of the Indenture. The execution of is required, but in the the various conditions precedent. In certain cases, the consent of the Holders of the Notes is required, but in certain consent cases, various conditions of a proposed a Class responds cases, such consent is not required. Furthermore, if no Holder of a Note of a Class responds to notice of a proposed if required. cases, such consent adversely or deemed not to amendment wiiliin the prescribed time period, all Notes of such Class may be deemed not to be adversely or such Class time period, all Notes prescribed amendment within Notes-The See "Description of materially adversely affected by the proposed supplemental indenture. See "Description of the Notes-The supplemental by the materially adversely Indenture-Modification of the Indenture." Indenture-Modification of the Indenture." Optional Redemption and Tax Redemption of Notes. Subject to tlle satisfaction of certain conditions, the OptionalRedemption and Tax Redemption of Notes. Subject to the satisfaction of certain conditions, the Secured Notes may be optionally redeemed in whole and not in part (i) on any Payment Date on or after the July Secured Notes may be optionally redeemed in whole and not in part (i) on any Payment Date on or after the July 2010 Payment Date at the written direction of, or witil the written consent of, Holders of at least a Majority of the 2010 Payment Date at the written direction of, or with the written consent of, Holders of at least a Majority of the Income Notes or (ii) on the date that is 90 days from tile date on which tile Issuers first become aware of t.hi Income Notes or (ii) on the date that is 90 days from the date on which the Issuers first become aware of the occurrence of a Tax Event (prOVided that such 90-day period shall be extended by another 90 days if, during the occurrence of a Tax Event (provided that such 90-day period shall be extended by another 90 days if, during the initial 90-day period, the Issuers have notified the Holders of tile Notes that the related Issuer expects that it shall initial 90-day period, the Issuers have notified the Holders of the Notes that the related Issuer expects that it shall have changed its place of residence by tile end of the later 90-day period), at the written direction of, or with the have changed its place of residence by the end of the later 90-day period), at the written direction of, or with the written consent of, Holders of at least 66-2/3% of the Income Notes or the Holders of at least aa Majority of any written consent of, Holders of at least 66-2/3% of the Income Notes or the Holders of at least Majority of any Class of Notes, if as aa result of an occurrence of a Tax Event, such Class of Notes has not received 100% of the Class of Notes, if as result of an occurrence of a Tax Event, such Class of Notes has not received 100% of the 36 36 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912610 GS MBS-E-000912610 Footnote Exhibits - Page 5709 aggregate amount of principal and interest due and payable on such Class of Notes. If an Optional Redemption or aggregate amount of principal and interest due and payable on such Class of Notes. If an Optional Redemption or Tax Redemption of the Secured Notes occurs, the Income Notes will be redeemed simultaneously. Tax Redemption of the Secured Notes occurs, the Income Notes will be redeemed simultaneously. There can be no assurance that after payment of the' Secured Note Redemption Prices for the Secured There can be no assurance that after payment of the Secured Note Redemption Prices for the Secured amounts payable in connection with the termination of the Credit Default Swap and all other Notes, amounts payable in connection with the termination of the Credit Default Swap and all other amounts payable in accordance the Priority of Payments, Proceeds will remain to distribute to Holders payable in accordance with the Priority of Payments, any Proceeds will remain to distribute to the Holders of the Income Notes upon See "Description of the Notes-Optional Redemption" and "-Tax Redemption." Income Notes upon redemption. See "Description of the Notes-Optional Redemption" and "-Tax Redemption." An Optional Redemption or Tax Redemption the Notes could require the Liquidation Agent liquidate positions An Optional Redemption or Tax Redemption of the Notes could require the Liquidation Agent to liquidate positions more rapidly than would otherwise be desirable, which could adversely affect the realized value of CDS more rapidly than would otherwise be desirable, which could adversely affect the realized value of the CDS Transactions, Eligtble Investments, the Collateral Securities the Delivered In the Transactions, the Eligible Investments, the Collateral Securities or the Delivered Obligations. In addition, the redemption procedures in Indenture require the Liquidation Agent aggregate securities to be sold together redemption procedures in the Indenture may require the Liquidation Agent to aggregate securities to be sold together one block resulting in a lower aggregate realized value CDS Transactions, in one block transaction, thereby possibly resulting in a lower aggregate realized value for the CDS Transactions, the Collateral Securities, the Eligible Investments or Delivered Obligations. any there can assurance Collateral Securities, the Eligible Investments or the Delivered Obligations. In any event, there can be no assurance that the market value of the CDS Transactions, the Collateral Securities, the Eligible Investments or the Delivered market value of the CDS Transactions, Collateral Securities, the Investments or the Delivered Obligations be sufficient the Holders of the Income Notes to an Optional Redemption case Obligations will be sufficient for the Holders of the Income Notes to direct an Optional Redemption or, in the case Redemption, the Holders affected Secured or Income Notes direct of a Tax Redemption, for the Holders of the affected Class of Secured Notes or Income Notes to direct a Tax decrease the market value of the CDS Transactions, Eligible Investments,the Collateral Redemption. A decrease in the market value of the CDS Transactions, the Eligible Investments, the Collateral Securities or the Delivered Obligations would adversely affect the proceeds that could be obtained upon a Delivered Obligations adversely affect the proceeds that could upon Securities disposition of CDS Transactions, Eligible Investments Delivered Obligations; consequently, disposition of the CDS Transactions, the Eligible Investments or the Delivered Obligations; consequently, the conditions exercise of Optional Redemption Tax Redemption may not The interests conditions precedent to the exercise of an Optional Redemption or a Tax Redemption may not be met. The interests of the Holders of the Income in determining effect Optional Redemption of the Holders of the Income Notes in determining whether to elect to effect an Optional Redemption and the interests of the Holders of the affected Class of Secured Notes and the Income Notes with respect to a Tax Class Secured Income respect Redemption may be different from the interests of the Holders of the other Classes of Notes in such respect. The be different the Holders of otller Holders of the Notes also may not be able to invest the proceeds of the redemption of the Notes in one or more tlle proceeds redemption their investments providing a return equal to or greater than the Holders of the Notes expected to obtain from their greater expected investments providing return equal investment in the Notes. An Optional Redemption or a Tax Redemption will shorten the average lives of the Optional Redemption Ii Redemption shorten average Secured Secured Notes and the duration of the Notes and may reduce the yield to maturity of the Notes. assurance Auction A.ssets Auction. There can be no assurance that an Auction of the Pledged Assets on any Auction Date will be Secured Auction. may lengthen expected successful. The failure of an Auction-may lengtllen the expected average lives of the Secured Notes and may reduce Income the yield to maturity of the Secured Notes. In the event of an Auction, Holders of Income Notes may have their Secured Holders their Income payments redeemed without Income Notes redeemed without receiving any payments on such Income Notes. In addition, the success of an Secured Auction will shorten the average lives of the Notes and may reduce the yield to maturity of the Secured Notes. A/B Overcollateralization Mandatory Redemption of Notes. If the Class AlB Overcollateralization Test is not met on the Notes. Mandatory Redemption to Determination Payment Determination Date immediately preceding a Payment Date, Proceeds that otherwise might have been distributed to the Holders of the Class C Notes, the Class D Notes and the Income Notes will be used to redeem the Class A Notes Overcollateralization and the Class B Notes in full in the order described in the Priority of Payments. If the Class C Overcollateralization described that Test is not met on the Determination Date immediately preceding a Payment Date, Proceeds that otherwise might Determination on Income have been distributed to the Holders of the Class D Notes and the Income Notes will be used to redeem the Class A the Notes, the Class B Notes and the Class C Notes in full in the order described in the Priority of Payments. If the Class in immediately D Overcollateralization Test is not met on the Determination Date immediately preceding a Payment Date, Proceeds Overcollateralization the that otherwise might have been distributed to tlle Holders of the Income Notes will be used to redeem the Class D distributed the might amounts deferral or Notes in full. The foregoing redemptions could result in an elimination, deferral or reduction in the amounts redemptions in of the to and Class available to make payments to the Holders of the Class C Notes, the Class D Notes and payments to Holders of the C Notes, of the the redemptions Any Income Notes. See "Description of the Notes-Mandatol}' Redemption". Any such redemptions will shorten the See "Description of the Notes-Mandatory Notes. average life of the redeemed Notes, may lower the yield to maturity of the Notes. maturity lower the life the to "warehouse" up to has of Col/ateral Accumulation. In anticipation of the issuance of the Notes, GSI has agreed to "warehouse" up to of CollateralAccumulation. U.S.$305,000,000 aggregate and U.S.$305,OOO,OOO aggregate notional amount of CDS Transactions and up to U.S.$305,OOO,OOO aggregate principal of U.S.$305,000,000 aggregate notional the Issuer or resale to the Issuer, amount of Collateral Securities and Eligible Investments, for assumption by the Issuer or resale to the Issuer, as Investments, for assumption Securities amount of (the "Forward Purchase applicable, pursuant to the terms of a forward purchase agreement (the "Forward Purchase Agreement"). No terms of forward purchase to applicable, to such . collateral manager or other person acting on behalf of the Issuer has reviewed the prices established pursuant to such acting behalf the Issuer has reviewed the prices established collateral manager or other notional verification of Forward Purchase Agreement (nor has there been any third party verification of such prices). All of such notional any third there Forward Purchase Agreement (nor the Issuer and GSI or an affiliate entered into amount will be represented by one or more CDS Transactions entered into between the Issuer and GSI or an affiliate amount will be represented by one or terms of the Forward Purchase to thereof, wherein the Issuer will be selling credit protection. Pursuant to the terms of tlle Forward Purchase thereof, wherein the Issuer will be selling credit protection. 37 37 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912611 GS MBS-E-000912611 Footnote Exhibits - Page 5710 Agreement, the Issuer will be obligated to assume or purchase, as applicable, the "warehoused" assets, provided that Agreement, the Issuer will be obligated to assume or purchase, as applicable, the "warehoused" assets, provided that with respect to the Collateral Securities, such securities satisfy certain eligibility criteria on the Closing Date, for with respect to the Collateral Securities, such securities satisfy certain eligibility criteria on the Closing Date, for aa formula purchase price. designed to reflect the premiums at which such "warehoused" assets were assumed or formula purchase price designed to reflect the premiums at which such "warehoused" assets were assumed or purchased, as applicable (using, as applicable, the prepayment speed and other assumptions used to set the initial purchased, as applicable (using, as applicable, the prepayment speed and other assumptions used to set the initial . price of each individual asset), as adjusted for any hedging gain or loss and any loss or gain on any "warehoused" price of each individual asset), as adjusted for any hedging gain or loss and any loss or gain on any "warehoused" asset assigned or sold, as applicable, to party other than the Issuer during the warehousing period. Consequently, asset assigned or sold, as applicable, to aa party other than the Issuer during the warehousing period. Consequently, the market values of "warehoused" assets at L'le Closing Date may be less than or greater thaI1 the formula purchase the market values of "warehoused" assets at the Closing Date may be less than or greater than the formula purchase price paid by the Issuer. In addition, if a .CDS Transaction, Collateral Security or Eligible Investment becomes price paid by the Issuer. In addition, if a.CDS Transaction, Collateral Security or Eligible Investment becomes ineligible during the warehousing period and is not assumed or purchased, as applicable, by the Issuer on the ineligible during the warehousing period and is not assumed or purchased, as applicable, by the Issuer on the Closing Date, or if a CDS Transaction, Collateral Security or Eligible Investment is otherwise disposed at the Closing Date, or if a CDS Transaction, Collateral Security or Eligible Investment is otherwise disposed at the direction of GSI (which disposition may only occur with the consent of GSI's affIliate), the Issuer will bear the loss direction of GSI (which disposition may only occur with the consent of GSI's affiliate), the Issuer will bear the loss or receive the gain on the disposition of such CDS Transaction, Collateral Security or Eligible Investment to a third or receive the gain on the disposition of such CDS Transaction, Collateral Security or Eligible Investment to a third party. party. Disposition of CDS Transactions by the Liquidation Agent Under Certain Circumstances. Under the Disposition of CDS Transactions by the Liquidation Agent Under Certain Circumstances. Under the Indenture, the Liquidation Agent will be required to assign, terminate or otherwise dispose of, on behalf of the on behalf of Indenture, the Liquidation Agent will be required to assign, terminate or otherwise dispose all CDS Transactions that reference Reference Obligations that are detennined pursuant the Collateral Issuer, all CDS Transactions that reference Reference Obligations that are detennined pursuant to the Collateral to meet the definition of Credit Administration Agreement by the Collateral on behalf of the Administration Agreement by the Collateral Administrator, on behalf of the Issuer, to meet the definition of Credit Risk Obligations subject to satisfaction of the conditions described herein. The Liquidation Agent will have twelve Obligations subject satisfaction conditions described herein. Liquidation Agent will have twelve (12) months (from the date it is notified of determination of the Collateral Administrator) to terminate or (12) months (from the date it is notified of the determination of the Collateral Administrator) to assign, terminate or otherwise dispose of such CDS Transactions. Liquidation Agent will not have the to otherwise dispose of such CDS Transactions. The Liquidation Agent will not have the right, or the obligation, to exercise any discretion respect method price of any assignment, termination or disposition exercise any discretion with respect to the method or the price of any assignment, termination or disposition of a CDS Transaction that references Reference Obligation is determined pursuant Collateral Administration CDS Transaction that references a Reference Obligation that is determined pursuant to the Collateral Administration behalf to Credit sole Agreement Collateral Agreement by the Collateral Administrator, on behalf of the Issuer, to be a Credit Risk Obligation; the sole obligation of the Liquidation Agent will be to execute the assignment, termination or disposition of such CDS Liquidation Agent will execute assignment, termination such CDS obligation of There can . Transaction in accordance with the terms of the Liquidation Agency Agreement. There can be no assurance that the tenns of Liquidation Agency assurance Transaction in accordance Liquidation Agent will be able to dispose any such CDS Transaction that references a Reference Obligation that is able Transaction references Reference Liquidation CDS references Reference so determined to be a Credit Risk Obligation. Any such sale of a CDS Transaction that references a Reference determined be Credit Obligation Obligation that is determined be Obligation that is so detennined to be a Credit Risk Obligation may result in losses by the Issuer, which losses may result in the reduction or withdrawal of the rating of any or all of the Secured Notes by any of the Rating Agencies. See "-No Collateral Manager." . See "~No Collateral (other Lives, Duration and Prepayment Considerations. Average Lives, Duration and Prepayment Considerations. The average lives of the Secured Notes (other than the Class S Notes) are ex-pected to be shorter than the number of years until their Stated Maturity. See expected than "Weighted Average Life and Yield Considerations." Average Considerations." The average lives of the Secured Notes will be affected by the financial condition of the obligors on or average Obligations, issuers of the Reference Obligations and the characteristics of the Reference Obligations, including the existence characteristics and Reference of and frequency of exercise of any prepayment, optional redemption or sinking fund features, the prepayment speed, sinking fund features, optional frequency the actual the occurrence of any early amortization events, the prevailing level of interest rates, the redemption price, the actual prevailing level of interest amortization events, of tender Obligations, any default rate and the actual level of recoveries in respect of any Defaulted Obligations, the frequency of tender or in respect of level default rate and exchange offers for the Reference Obligations and the tenor of any sales of CDS Transactions. tenor any sales CDS Transactions. Obligations and Reference exchange offers Some or all of the loans underlying the RMBS may be prepaid at any time (although certain of such loans underlying the RMBS may be prepaid at any time (although Some or all provisions, prepayment penalties or other disincentives to mortgage loans Inay have "lockout" periods, defeasance provisions, prepayment penalties or other disincentives to mortgage loans may have "lockout" also lead to prepayment). Defaults on and liquidations of the loans and other collateral underlying the RMBS may also lead to other collateral underlying the RMBS of the loans and prepayment). Defaults early repayment thereof. Prepayments on loans are affected by a number of factors. lf prevailing rates for similar early repayment thereof. Prepayments on loans are affected by a number of factors. If prevailing rates for similar loans fall below the interest rates on such loans, prepayment rates would generally be expected to increase. loans fall below the interest rates on such loans, prepayment rates would generally be expected to increase. Conversely, if prevailing rates for similar loans rise above the interest rates on such loans, prepayment rates would Conversely, if prevailing rates for similar loans rise above the interest rates on such loans, prepayment rates would generally be expected to decrease. The existence and frequency of such prepayments, optional redemptions, generally be expected to decrease. The existence and frequency of such prepayments, optional redemptions, defaults and liquidations will affect the average lives of, and credit support for, the Notes. See "Weighted Average defaults and liquidations will affect the average lives of, and credit support for, the Notes. See "Weighted Average Life and Yield Considerations." Life and Yield Considerations." Projections, Forecasts and Estimates. Estimates of the weighted average lives of, and returns on, the Projections, Forecasts and Estimates. Estimates of the weighted average lives of, and returns on, the Secured Notes included herein, together with any other projections, forecasts and estimates provided to prospective Secured Notes included herein, together with any other projections, forecasts and estimates provided to prospective purchasers of the Secured Notes, are forward looking statements. Such statements are necessarily speculative in purchasers of the Secured Notes, are forward looking statements. Such statements are necessarily speculative in 38 38 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912612 GS MBS-E-000912612 Footnote Exhibits - Page 5711 nature, as they are based on certain assumptions. It can be expected that some or all of the assumptions underlying nature, as they are based on certain assumptions. It can be expected that some or all of the assumptions underlying such statements will not reflect actual conditions. Accordingly, there can be no assurance that any estimated such statements will not reflect actual conditions. Accordingly, there can be no assurance that any estimated projections, forecasts or estimates will be realized or that the forward looking statements will materialize, and actual projections, forecasts or estimates will be realized or that the forward looking statements will materialize, and actual results may vary from the projections, and the variations may be material. results may vary from the projections, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward Some important factors that could cause actual results to differ materially from those in any forward looking stmements include changcs in interest rates, market, financial or legal uncert..ainties, the tiwing of looking statements include changcs in interest rates, market, financial or legal uncertainties, the timing of acquisitions of the Reference Obligations, differences in the actual allocation of the Reference Obligations among acquisitions of the Reference Obligations, differences in the actual allocation of the Reference Obligations among asset categories from those assumed and mismatches between the timing of accrual and receipt of Proceeds from the asset categories from those assumed and mismatches between the timing of accrual and receipt of Proceeds from the Reference Obligations, among others. Reference Obligations, among others. None of the Issuer, the Co-Issuer, the Liquidation Agent, the Initial Purchaser or any of their respective None of the Issuer, the Co-Issuer, the Liquidation Agent, the Initial Purchaser or any of their respective affiliates has any obligation to update or otherwise revise any projections, including any revisions to reflect changes affiliates has any obligation to update or otherwise revise any projections, including any revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect the occurrence of in economic conditions or other circumstances arising after the date hereof or to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition. unanticipated events, even if the underlying assumptions do not come to fruition. Dependence of the Issuer the Liquidation The Issuer no employees and is dependent on the Dependence of the Issuer on the LiquidationAgent. The Issuer has no employees and is dependent on the employees of Liquidation Agent to perform its obligations under the Liquidation Agency Agreement in employees of the Liquidation Agent to perform its obligations under the Liquidation Agency Agreement in accordance with terms of the Indenture and Liquidation Agency Consequently, the loss one accordance with the terms of the Indenture and the Liquidation Agency Agreement. Consequently, the loss of one or more of the individuals employed by the Liquidation Agent to perform its obligations under the Liquidation the individuals employed by Liquidation to perfonn obligations tlle Liquidation Agency Agreement could adverse which effect may be material, on the performance of the Issuer. Agency Agreement could have an adverse effect, which effect may be material, on the performance of the Issuer. transaction collateralized Transaction. The Anderson Mezzanine Funding 2007-1, Static Transaction. The Anderson Mezzanine Funding 2007-1, Ltd. transaction is a static collateralized debt obligation transaction. As a result, the CDS Transactions held by the Issuer on the Closing Date will be obligation CDS Transactions held by the Date be retained Issuer even would tlie the retained by the Issuer even if it would be in the best interests of the Issuer and the Holders of the Notes to assign, terminate dispose certain Transactions unless Reference Obligations referenced terminate or dispose of certain CDS Transactions unless Reference Obligations referenced by those CDS required Transactions designated Credit Obligations and terminated disposed Transactions are designated as Credit Risk Obligations and are required to be assigned, terminated or disposed by tile Liquidation Agent pursuant to the terms of the Indenture and the Liquidation Agency Agreement. See "The Liquidation tile tile Liquidation the Credit Default Swap--Removal Reference Obligations Reference circumstances Credit Default Swap-Removal of Reference Obligations from the Reference Portfolio". In addition, circumstances may exist which interests terminate or the Issuer may exist under which it is in the best interests of tile Issuer or the Holders of the Notes to assign, terminate or the Collateral the Collateral Administration otherwise CDS Transaction, otherwise dispose of a CDS Transaction, but (a) pursuant to tile Collateral Administration Agreement, tile Collateral Administrator, on behalf of the Issuer, does not determine that the Reference Obligation referenced by such CDS tlle determine tile Reference Obligation referenced Transaction is a Credit Risk Obligation or (b) tile Liquidation Agent is not able to assign, terminate or otherwise otllerwise (b) the Liquidation with tile dispose, on behalf of the Issuer, such CDS Transaction in accordance witll the terms of the Liquidation Agency Transaction the Agreement. Substitution of Collateral Securities. From time to time following the Closing Date, any Holder of any Substitution Collateral Securities. Collateral substitute one Note may submit to the Trustee or tile FiscalAgent, as applicable, a request to substitute one or more BIE Collateral the Fiscal Agent, Securities for one or more existing Collateral Securities, in whole or in part. Such substitution will be subject to the . Collateral Securities affinnative approval of the Holders of a Majority of each Class of Notes. Any. such substitution could (i) adversely Majority affirmative (ii) affect the Issuer and the Issuer's ability to make payments on the Notes, (ti) affect the weighted average lives of the the of defaults Secured Notes, (iii) adversely affect the returns on the Notes and (iv) increase the frequency of defaults on the (iv) on the Secured other Collateral Securities. of Collateral Securities or reduce the proceeds following the liquidation of any COllateral Securities. On the other the or reduce the Collateral Issuer to which hand, it is also possible that a Holder of a Note could propose a substitution which would be beneficial to the Issuer Note could possible that a affirmatively proposal and tile Holders of the Notes but such substitution is not permitted because such proposal is not affmnatively not permitted substitution the and the approved by the Holders of a Majority of each Class of Notes. each Class Holders of a approved manager to select the a not No Collateral Manager. The Issuer has not engaged and will not engage, a collateral manager to select the has not engaged and No CollateralManager. The with the or Pledged Assets (or to verify tIleir prices), to monitor tile Pledged Assets on a regular basis or to consult with tile Pledged Assets (or to verify their prices), to monitor the any disposition thereof. or terms timing or terms of any disposition thereof. Issuer with respect to the Pledged Assets, including the advisability, advisability, Assets, including Issuer with respect to the or act as an services will provide investment None of the Liquidation Agent or any of their affiliates will provide investment advisory services to or act as an of their Agent or the None nor any fiduciary duties advisor to or an agent for the Issuer or the Holders of tile Notes, and they will not have any fiduciary duties to, nor and they will not to or an agent for the Issuer or the Holders of the be obligated to consider the interests of tile Issuer or the Holders of tlle Notes. As a result, the Issuer and tile be obligated to consider the interests of the Issuer or the Holders of the Notes. As a result, the Issuer and the Holders of the Notes will not have the benefit of tile provisions of the Investment Advisers Act of 1940 which afford Holders of the Notes will not have the benefit of the provisions of the Investment Advisers Act of 1940 which afford certain protections to clients of investment advisors. Furthermore, because tIlere is no collateral manager in the certain protections to clients of investment advisors. Furthermore, because there is no collateral manager in the Anderson Mezzanine Funding 2007-1, Ltd. transaction, the Indenture eliminates tile ability of the Issuer to exercise Anderson Mezzanine Funding 2007-1, Ltd. transaction, the Indenture eliminates the ability of the Issuer to exercise 39 39 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912613 GS MBS-E-000912613 Footnote Exhibits - Page 5712 discretion in contexts where a collateral manager in a managed, or static, collateralized debt obligation transaction discretion in contexts where a collateral manager in a managed, or static, collateralized debt obligation transaction customarily has discretion to act on behalf of the Issuer. For example, the Indenture provides, among other things, customarily has discretion to act on behalf of the Issuer. For example, the Indenture provides, among other things, that (i) where the Issuer, as the beneficial owner of a Collateral Security or Delivered Obligation, or the Trustee, as that (i) where the Issuer, as the beneficial owner of a Collateral Security or Delivered Obligation, or the Trustee, as the registered owner of a Collateral Security, has the right to exercise vote or consent to (or otherwise approve of) the registered owner of a Collateral Security, has the right to exercise aa vote or consent to (or otherwise approve of) (a) any action, or inaction, pursuant to the terms of such Collateral Security or Delivered Obligation and its related (a) any action, or inaction, pursuant to the terms of such Collateral Security or Delivered Obligation and its related underlying documentation or (b) an offer by the issuer of such Collateral Security or Delivered Obligation or by any underlying documentation or (b) an offer by the issuer of such Collateral Security or Delivered Obligation or by any other person to purchase or otherwise acquire such Collateral Security or Delivered Obligation or to com'ert or other person to purchase or otherwise acquire such Collateral Security or Delivered Obligation or to convert or exchange such Collateral Security or Delivered Obligation for cash or any other conSideration, the Trustee, as exchange such Collateral Security or Delivered Obligation for cash or any other consideration, the Trustee, as directed by the applicable holders, acting in its capacity as registered owner of such Collateral Security or Delivered directed by the applicable holders, acting in its capacity as registered owner of such Collateral Security or Delivered Obligation, shall direct the Issuer's vote be cast in the following manner: (x) if other holders of the class of which Obligation, shall direct the Issuer's vote be cast in the following manner: (x) if other holders of the class of which such Collateral Security or Delivered Obligation is a part respond to such solicitation for vote or consent, in the such Collateral Security or Delivered Obligation is a part respond to such solicitation for vote or consent in the same manner as the votes of a plurality of the other voting holders of such class (based ~:m the Principal Balance of same manner as the votes of a plurality of the other voting holders of such class (based on the Principal Balance of such Collateral Security or Delivered Obligation), (y) if no other holders of such class exercise vote or if there are such Collateral Security or Delivered Obligation), (y) if no other holders of such class exercise a vote or if there are no other holders of such class, but holders of different classes issued under the same governing instrument respond, no other holders of such class, but holders of different classes issued under the same governing instrument respond, in the same manner as the votes of a plurality of the voting holders of all classes issued under the governing in the same manner as the votes of a plurality of the voting holders of all classes issued under the governing instrument pursuant to which such Collateral Security or Delivered Obligation was issued (based on the Principal Principal instrument pursuant to which such Collateral Security or Delivered Obligation was issued (based on Balance all such classes and treated as a single class) or if no holders of class issued under the Balance of all such classes and treated as a single class) or (z) if no holders of any class issued under the same governing instrument or if there are no other holders, the Issuer's vote shall exercised against such action governing instrument respond or if there are no other holders, the Issuer's vote shall be exercised against such action or inaction and (ii) the Issuer will have no discretion with respect to the temporary investment of funds held pending inaction and the Issuer will have discretion with respect to the temporary investment of funds held pending application thereof in accordance with the terms of the Indenture. The inability of the Issuer to exercise discretion in thereof in accordance terms of inability of the exercise discretion in application contexts could adversely affect Holders the and isftnpossible quantify these contexts could adversely affect the Issuer and the Holders of the Notes, and it is impossible to quantify the potentiallnagnitude Potential investors the Notes urged to review carefully this Offering potential magnitude of this impact. Potential investors in the Notes are urged to (a) review carefully this Offering Circular and related tenus of Agency Agreement operative documents and (b) Circular and the related tenus of the Indenture, the Fiscal Agency Agreement and other operative documents and (b) exercise discretion before investing any of take the inability of the Issuer to exercise discretion into account before investing in any of the Notes. scheduled maturity or tennination one Maturity of CDS Transactions. Scheduled Maturity of CDS Transactions. From time to time, the scheduled maturity or termination of one .or more CDS Transactions is likely to occur without a Credit Event occurring. Any such maturity or tennination of or CDS Transactions without Credit such of CDS Transaction Aggregate Reference Obligation Notional result a CDS Transaction will result in a decrease in the Aggregate Reference Obligation Notional Amount and may result in a required redemption of the Notes in accordance with the Priority of Payments. The Issuer anticipates that Notes accordance The redemption payments principal Collateral Securities applied payments of principal of the Collateral Securities and Eligible Investments in the Collateral Account will be applied to so redeem the Notes, but it is possible that such payments of principal will not be sufficient to permit such pennit such redemption. The Credit Default Swap and Reference Obligations Default Reference Obligations General. The following description of the Credit Default Swap and Reference Obligations and the General. underlying documents and the risks related thereto is general in nature. The attributes and risks related to any individual Reference Obligation may differ in significant and material manners from the general description of the Reference Obligation Reference Obligations and the underlying documents and the risks related thereto. Reference credit, Nature of Reference Portfolio. The Reference Portfolio is subject to credit, liquidity, prepayment and Nature Reference Portfolio. to Secured Notes interest rate risks. The amount and nature of collateral securing the Secured Notes has been established to withstand amount and rate Reference Obligations of certain assumed deficiencies in payment occasioned by defaults in respect of the Reference Obligations and the in by deficiencies Eligible Investments. See "Ratings of the Notes." If any deficiencies exceed such assumed levels, however, assumed levels, however, If "Ratings of the Investments. referenced by a CDS that payment of the Notes could be adversely affected. To the extent that any Reference Obligation referenced by a CDS To the be the Notes the Transaction is detennined pursuant to the Collateral Administration Agreement by the Collateral Administrator, on Collateral Administration Agreement determined pursuant to behalf of the Issuer, to be a Credit Risk Obligation and the Liquidation Agent, on behalf of the Issuer, assigns, and the Liquidation Agent behalf of the Issuer, to be a Credit Risk that is tenninates or otherwise disposes of such Credit Default Swap Disposition Transaction, it is not likely that the Disposition Transaction, Credit otherwise disposes of terminates the Issuer in proceeds of such assignment, tennination or other disposition will be equal to the amounts owing to the Issuer in of such assignment, termination or other disposition will be equal to the amounts respect of such CDS Transaction. Transaction. respect of such The market value of the CDS Transactions and the Reference Obligations generally will fluctuate with, Obligations generally will fluctuate with, The market value of the CDS Transactions and the among other things, the fmancial condition of the related Reference Obligations and obligors on or issuers of the among other things, the financial condition of the related Reference Obligations and obligors on or issuers of the Reference Obligations, the credit quality of the underlying pool of assets in any Reference Obligation, general Reference Obligations, the credit quality of the underlying pool of assets in any Reference Obligation, general economic conditions, the condition of certain fmancial markets, political events, developments or trends in any economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. None of the Issuer, the Co-Issuer, the Initial Purchaser, particular industry and changes in prevailing interest rates. None of the Issuer, the Co-Issuer, the Initial Purchaser, 40 40 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912614 GS MBS-E-000912614 Footnote Exhibits - Page 5713 the Liquidation Agent, the Collateral Administrator, the Credit Protection Buyer or the Trustee has any liability or the Liquidation Agent, the Collateral Administrator, the Credit Protection Buyer or the Trustee has any liability or obligation to the Holders of Notes as to the amount or value of, or decrease in the value of, the Reference obligation to the Holders of Notes as to the amount or value of, or decrease in the value of, the Reference Obligations from time to time, or makes any representation or warranty as to the performance of the Reference Obligations from time to time, or makes any representation or warranty as to the performance of the Reference Obligations. Obligations. If any Reference Obligation referenced by a CDS Transaction is determined pursuant to the Collateral If any Reference Obligation referenced by a CDS Transaction is determined pursuant to the Collateral Administration Agreement by the C{)llateral Administrator, on behalf of the Issuer, to be a Credit Risk Obligation, Administration Agreement by the Collateral Administrator, on behalf of the Issuer, to be a Credit Risk Obligation, the Liquidation Agent is required, subject to the tenus of the Liquidation Agency Agreement, to assign, terminate or the Liquidation Agent is required, subject to the terms of the Liquidation Agency Agreement, to assign, terminate or otherwise dispose on behalf of the Issuer the affected CDS Transaction. There can be no assurance as to the timing otherwise dispose on behalf of the Issuer the affected CDS Transaction. There can be no assurance as to the timing of the Issuer's disposition of the affected CDS Transaction, or as to the termination costs associated with such of the Issuer's disposition of the affected CDS Transaction, or as to the termination costs associated with such affected CDS Transaction. The inability to realize immediate recoveries at the recovery levels assumed herein may affected CDS Transaction. The inability to realize immediate recoveries at the recovery levels assumed herein may result in lower cash flow and lower yield to maturity of the Notes. result in lower cash flow and aa lower yield to maturity of the Notes. CDS Transactions. As of the Closing Date, (i) 98.4% of the CDS Transactions (by Reference Obligation CDS Transactions. As of the Closing Date, (i) 98.4% of the CDS Transactions (by Reference Obligation Notional Amount) will consist of CDS Transactions the Reference Obligations of which are RMBS Securities and Notional Amount) will consist of CDS Transactions the Reference Obligations of which are RMBS Securities and (ii) 1.6% of the CDS Transactions (by Reference Obligation Notional Amount) will consist of CDS Transactions (ii) 1.6% of the CDS Transactions (by Reference Obligation Notional Amount) will consist of CDS Transactions the Reference Obligations of which are CDO RMBS Securities. Reference Obligations of which are CDO RMBS Securities. The economic return a CDS Transaction depends substantially upon the performance the related The economic return on a CDS Transaction depends substantially upon the performance of the related Reference Obligation and partially performance of collateral posted by Issuer secure its Reference Obligation and partially upon the performance of the collateral posted by the Issuer to secure its obligations the Credit Protection Buyer deposit the Collateral CDS Transactions generally have obligations to the Credit Protection Buyer on deposit in the Collateral Account. CDS Transactions generally have recovery upon default and expected characteristics, are closely correlated probability of probability of default, recovery upon default and expected loss characteristics, which are closely correlated to the may have different dates, coupons, payment dates or other non corresponding Reference Obligation, corresponding Reference Obligation, but may have different maturity dates, coupons, payment dates or other non credit characteristics than the corresponding Reference Obligation. In addition to the credit risks associated with In addition associated with credit characteristics than the corresponding Reference CDS Transactions, a contractual holding the Reference Obligation, with respect to CDS Transactions, the Issuer will usually have a contractual Reference Obligation, holding relationship only related Credit Protection and Reference Obligor Reference relationship only with the related Credit Protection Buyer, and not with the Reference Obligor of the Reference a Transaction terminable (or Obligation. Due to the Obligation. Due to the fact that a CDS Transaction may be illiquid or may not be terminable on demand (or terminable demand payment of substantial Issuer's terminable on demand only upon payment of a substantial fee by the Issuer), the Issuer's ability to dispose of a CDS circumstances permitting settlement payments Transaction, Transaction, if circumstances arise permitting such disposal, may be limited. Any settlement payments and termination payable termination payments termination payments payable by the Issuer (net of any termination payments owing by the Credit Protection Buyer) to reduce available and to the Credit Protection Buyer will reduce the amount available to pay the Holders of the Income Notes and the Secured Notes in inverse order of seniority. The Issuer generally will have no right to directly enforce compliance inverse order generally directly enforce Secured by the Reference tenns by the Reference Obligor with the terns of the Reference Obligation nor any rights of set off against the Reference Obligor, nor have any voting rights with respect to tlle Reference Obligation. The Issuer will not directly benefit the Reference Obligor, nor from the collateral supporting the Reference Obligation and will not have the benefit of the remedies that would Reference Obligation and nornlally be available to a holder of such Reference Obligation. Reference normally hold Because neitller tlle Credit Protection Buyer nor tlle Issuer is required to hold any Reference Obligation, the the Buyer neither the information or the Issuer will not have any right to obtain from either the Credit Protection Buyer or tlle Reference Obligor information Credit either to obtain have any Issuer The on the Reference Obligations or information regarding any Reference Obligor. The Credit Protection Buyer will Reference on the Reference the Secured the Holders of have no obligation to keep the Issuer, the Trustee, the Liquidation Agent, the Holders of the Secured Notes or the the Issuer, the have no obligation any Reference Obligation relation Holders of the Income Notes informed as to matters arising in relation to any Reference Obligation including informed as to matters of the Income whether or not circumstances exist under which there is a possibility of the occurrence of a credit event. a possibility the occurrence of a under circumstances whether or be treated as a Issuer the Credit Protection Buyer, In addition, in th~ event of the insolvency of the Credit Protection Buyer, the Issuer will be treated as a In addition, the event of the insolvency with respect the Reference Obligor any general creditor of such Credit Protection Buyer, and will not have any claim with respect to the Reference Obligor general creditor of such Credit Protection Buyer, and will not or the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the Credit Protection or the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the Credit Protection Buyer as well as that of the Reference Obligor and the Reference Obligation. As a result, concentrations of CDS Buyer as well as that of the Reference Obligor and the Reference Obligation. As a result, concentrations of CDS Transactions in anyone Credit Protection Buyer subject the Notes to an additional degree of risk with respect to Transactions in any one Credit Protection Buyer subject the Notes to an additional degree of risk with respect to defaults by such Credit Protection Buyer. It is expected that Goldman Sachs International, an affiliate of Goldman, defaults by such Credit Protection Buyer. It is expected that Goldman Sachs International, an affiliate of Goldman, Sachs & Co., will act as the sole Credit Protection Buyefwith respect to the Credit Default Swap, which creates Sachs & Co., will act as the sole Credit Protection Buyer with respect to the Credit Default Swap, which creates concentration risk and may create certain conflicts of interest. In addition, neither the Credit Protection Buyer nor concentration risk and may create certain conflicts of interest. In addition, neither the Credit Protection Buyer nor its affiliates will be (or will be deemed to be acting as) the agent or trustee of the Issuer, the Holders of the Secured its affiliates will be (or will be deemed to be acting as) the agent or trustee of the Issuer, the Holders of the Secured Notes or the Holders of the Income Notes in connection with the exercise of, or the failure to exercise, any of the Notes or the Holders of the Income Notes in connection with the exercise of, or the failure to exercise, any of the rights or powers of the Credit Protection Buyer and/or its affiliates arising under or in connection with their rights or powers of the Credit Protection Buyer and/or its affiliates arising under or in connection with their respective holding of any Reference Obligation. The Credit Protection Buyer and its affiliates (i) may deal in any respective holding of any Reference Obligation. The Credit Protection Buyer and its affiliates (i) may deal in any 41 41 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912615 GS MBS-E-000912615 Footnote Exhibits - Page 5714 Reference Obligation, (ii) may generally engage in any kind of commercial or investment banking or other business Reference Obligation, (ii) may generally engage in any kind of commercial or investment banking or other business transactions with any issuer of Reference Obligation, and (iii) may act with respect to transactions described in the transactions with any issuer of aa Reference Obligation, and (iii) may act with respect to transactions described in the preceding clauses (i) and (ii) in the same manner as if the Credit Default Swap and the Notes did not exist and preceding clauses (i) and (ii) in the same manner as if the Credit Default Swap and the Notes did not exist and without regard to whether any such action might have an adverse affect on such Reference Obligation, the Issuer, without regard to whether any such action might have an adverse affect on such Reference Obligation, the Issuer, the Holders of the Secured Notes or the Holders of the Income Notes. the Holders of the Secured Notes or the Holders of the Income Notes. All of the CDS Transactions are expected to be structured as "pay-as-you-go" credit default swaps. The All of the CDS Transactions are expected to be structured as "pay-as-you-go" credit default swaps. The obligation of the Issuer to make payments to the Credit Protection Buyer under the Credit Default Swap creates obligation of the Issuer to make payments to the Credit Protection Buyer under the Credit Default Swap creates credit exposure to the related Reference Obligations (as well as to the default risk of the related Credit Protection credit exposure to the related Reference Obligations (as well as to the default risk of the related Credit Protection Buyer). Following the occurrence of "credit event", the Issuer may be required to pay to the Credit Protection Buyer). Following the occurrence of aa "credit event", the Issuer may be required to pay to the Credit Protection Buyer a "physical settlement payment". In addition, each Credit Default Swap Disposition Transaction may require Buyer a "physical settlement payment". In addition, each Credit Default Swap Disposition Transaction may require the Issuer, in its capacity as protection seller, to pay certain "floating amounts" to the Credit Protection Buyer equal the Issuer, in its capacity as protection seller, to pay certain "floating amounts" to the Credit Protection Buyer equal to certain principal shortfall amounts, writedown payments and interest shortfalls under the Reference Obligation to certain principal shortfall amounts, writedown payments and interest shortfalls under the Reference Obligation upon the occurrence ther~of. The payment of any such credit protection payments and floating amounts will be upon the occurrence thereof. The payment of any such credit protection payments and floating amounts will be funded by the Issuer, or the Liquidation Agent (on behalf of the Issuer), by applying the Collateral Liquidation funded by the Issuer, or the Liquidation Agent (on behalf of the Issuer), by applying the Collateral Liquidation Procedure. The Credit Protection Buyer will be obligated to reimburse all or part of such payments to the Issuer if Procedure. The Credit Protection Buyer will be obligated to reimburse all or part of such payments to the Issuer if the writedown payments of the related shortfalls are ultimately paid to Holders of the Reference Obligations or if the the writedown payments of the related shortfalls are ultimately paid to Holders of the Reference Obligations or if the related Reference Obligations are written up, the amounts available to the Issuer to make payments in respect of the related Reference Obligations are written up, the amounts available to the Issuer to make payments in respect of the Secured Notes and Income Notes may be reduced after payment by Issuer relevant payment the Credit Secured Notes and Income Notes may be reduced after payment by the Issuer of the relevant payment to the Credit Protection Buyer until the Issuer receives such reimbursement, if any, from the Credit Protection Any Protection Buyer until the Issuer receives such reimbursement, if any, from the Credit Protection Buyer. Any may result in reduction of the notional "floating payments" credit protection payments payable by "floating payments" or credit protection payments payable by the Issuer, may result in a reduction of the notional amount Credit Default Swap, and therefore reduce tile payable by the Credit Protection Buyer amount of the Credit Default Swap, and therefore reduce the amounts payable by the Credit Protection Buyer and the amount of interest collections available pay interest In addition, "floating payment" or the amount of interest collections available to pay interest on the Notes. In addition, any "floating payment" or "physical settlement payment" would reduce the Collateral Securities on deposit in the Collateral Account that is settlement payment" would reduce the Collateral Securities deposit Collateral Account is "physical available to pay the principal of the Notes and may reduce the interest collections available to pay interest on the principal of reduce the interest collections available to pay interest available pay Notes. Determination amounts (as described the Master Determination of the floating amounts and additional fixed amounts (as described in the related Master relevant servicer reports containing adequate Confirmation) will depend on the relevant servicer reports being available and on such reports containing adequate information required calculations Current information to enable the required calculations to be made. Current private industry investigations of the market access practices reports can contain adequate practices show that such reports can vary and that not all reports contain adequate information. In addition, access counterparty to servicerreports may be limited if such reports are confidential and neither counterparty holds the related confidential related reports servicer Reference Obligation. Reference of the In the event a "credit event" occurs under the Credit Default Swap, the Liquidation Agent, on behalf of the a "credit include of (which, Issuer, will obtain funds to pay Credit Protection Amounts (which, for the avoidance of doubt, will not include Credit funds to will Issuer, the to Defaulted Swap Termination Payments) owed by the Issuer to the Credit Protection Buyer by applying the Termination event", Collateral Liquidation Procedure. In addition, under certain circumstances upon the occurrence of a "credit event", of the addition, Liquidation the Settlement Amount the Liquidation Agent, on behalf of the Issuer will pay any related Physical Settlement Amount owed by the Issuer any Issuer Liquidation Liquidation by to the Credit Protection Buyer in exchange for a Delivered Obligation by applying the Collateral Liquidation for Buyer in Credit of the Liquidation Agent, on by Procedure. Any Delivered Obligation delivered to the Issuer will be sold by the Liquidation Agent, on behalf of the Procedure. Any Delivered Obligation delivered or partially Transaction is If a CDS Transaction is terminated or partially a Issuer, pursuant to the "terms of the Liquidation Agency Agreement. If Liquidation Agency terms of pursuant termination the Issuer, will make terminated prior to its scheduled maturity, the Liquidation Agent, on behalf of the Issuer, will make any termination Agent, on terminated prior to its due to the payments (which, for tile avoidance of doubt, shall not include Defa~lted Swap Tennination Payments) due to the payments (which, for the avoidance of doubt, shall not include Defaulted Swap Termination Credit Protection Buyer by applying the Collateral Liquidation Procedure. applying the Collateral Liquidation Procedure. Credit Protection Buyer "Pay-as-you-go" credit default swaps are a type of credit default swap developed to incorporate the unique "Pay-as-you-go" credit default swaps are a type of credit default swap developed to incorporate the unique structures of asset-backed securities. The International Swaps and Derivatives Association, Inc. ("ISDA") has structures of asset-backed securities. The International Swaps and Derivatives Association, Inc. ("ISDA") has published one fonn confirmation for "pay-as-you-go" credit default swaps referencing RMBS Securities and a published one forn confirmation for "pay-as-you-go" credit default swaps referencing RMBS Securities and a second form of confmnation for "pay-as~you-go" credit default swaps referencing CDO Securities. The form second form of confirmation for "pay-as-you-go" credit default swaps referencing CDO Securities. The form confirmations ex-pected to be used to document the Credit Default Swap are expected to be similar to the RMBS confirmations expected to be used to document the Credit Default Swap are expected to be similar to the RMBS Securities "pay-as-you-go" form and the CDO Securities "pay-as-you-go" fonn, but may differ in significant ways. Securities "pay-as-you-go" form and the CDO Securities "pay-as-you-go" form, but may differ in significant ways. While ISDA has published its form confirmations and has published and supplemented the Credit Derivatives While ISDA has published its form confirmations and has published and supplemented the Credit Derivatives Definitions in order to facilitate transactions and promote unifonnity in the credit default swap market, the credit Definitions in order to facilitate transactions and promote unifonnity in the credit default swap market, the credit default swap market is expected to change and the "pay-as-you-go" credit default swap forms and the Credit default swap market is expected to change and the "pay-as-you-go" credit default swap forms and the Credit , Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. 42 42 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912616 GS MBS-E-000912616 Footnote Exhibits - Page 5715 ISDA is currently preparing fonns other types of asset-backed securities. There can be no assurance that such ISDA is currently preparing forms for other types of asset-backed securities. There can be no assurance that such fonns will be substantially similar to the form confinnations expected to be used for the Credit Default Swap. Past forms will be substantially similar to the form confirmations expected to be used for the Credit Default Swap. Past events have shown that the views of market participants may differ as to how the Credit Derivatives Definitions events have shown that the views of market participants may differ as to how the Credit Derivatives Definitions operate or should operate. As result of the continued evolution of the ISDA"pay-as-you-go" credit default swap operate or should operate. As a result of the continued evolution of the ISDA "pay-as-you-go" credit default swap fonns, the confinnations used document Credit Default Swap may differ from the future market standard. forms, the confirmations used to document the Credit Default Swap may differ from the future market standard. result have a negative impact on the and market value the Credit Default Swap. Such a result may have a negative impact on the liquidity and market value of the Credit Default Swap. There can assurances that changes to the Credit Derivatives Definitions and other applicable There can be no assurances that changes to the Credit Derivatives Definitions and other terms applicable to credit derivatives generally be favorable to the Amendments or supplements to "pay-as-you-go" credit derivatives generally will be favorable to the Issuer. Amendments or supplements to the "pay-as-you-go" credit swap fonns and amendments and supplements to the Credit Derivatives Definitions that are published credit default swap forms and amendments and supplements to the Credit Derivatives Definitions that are published amendment supplement Issuer by ISDA will only apply to the Credit Default Swap executed prior to such amendment or supplement if the Issuer ISDA only to the Credit Default executed prior and the Credit Protection Buyer agree amend the Credit Default Swap incorporate amendments or and the Credit Protection Buyer agree to amend the Credit Default Swap to incorporate such amendments or supplements the Rating Agency Condition has been satisfied. Markets different jurisdictions have also supplements and the Rating Agency Condition has been satisfied. Markets in different jurisdictions have also already adopted and continue to adopt different practices with respect Credit Derivatives Definitions. already adopted and may continue to adopt different practices with respect to the Credit Derivatives Definitions. subject interpretation Furthermore, Credit Derivatives Definitions may contain ambiguous provisions that Furthermore, the Credit Derivatives Definitions may contain ambiguous provisions that are subject to interpretation and may result adverse the In Reference consequences and may result in consequences that are adverse to the Issuer. In addition to the credit risk of the Reference Credit Protection Buyer, the Issuer subject Credit Obligations credit Obligations and the credit risk of the Credit Protection Buyer, the Issuer is also subject to the risk that the Credit Derivatives Definitions could be interpreted manner would adverse the Derivatives Definitions could be interpreted in a manner that would be adverse to the Issuer or that the credit evolve in manner would derivatives generally derivatives market generally may evolve in a manner that would be adverse to the Issuer. Residential Mortgage Securities. 98.4% Aggregate Reference Obligation Notional Amount Residential Mortgage Backed Securities. 98.4% of the Aggregate Reference Obligation Notional Amount Residential Mortgage Backed Securities Closing Date types Residential will consist of Residential Mortgage Backed Securities ("RMBS") as of the Closing Date... The types of Residential Mortgage Backed Securities constitute Reference Obligations tile Mortgage Backed Securities that constitute the Reference Obligations related to the CDS Transactions the Issuer RMBS Midprime Mortgage Securities RMBS consist will enter into on the Closing Date will consist. of RMBS Midprime Mortgage Securities and RMBS Subprime Mortgage Mortgage Securities. Holders including Holders of RMBS bear various risks, including credit, market, interest rate, structural and legal risks. one-to-four-family represent RMBS represent interests in pools of residential mortgage loans secured by one-to-four-family residential mortgage loans. Such loans may be prepaid at any time. Residential mortgage loans are obligations of the borrowers borrowers thereunder person thereunder only and are not typically insured or guaranteed by any other person or entity, although such loans may residential securitized agencies be securitized by agencies and the securities issued are guaranteed. The rate of defaults and losses on residential the mortgage loans will be affected by a number of factors, including general economic conditions and those in tile area general where the related mortgaged property is located, the borrower's equity in the mortgaged property and the financial circumstances of the borrower. If a residential mortgage loan is in default, foreclosure of such residential mortgage mortgage circumstances loan may be a lengthy and difficult process, and may involve significant expenses. Furthermore, the market for defaulted residential mortgage loans or foreclosed properties may be very limited. with disproportionately At any one time, a portfolio of RMBS may be backed by residential mortgage loans Witll disproportionately RMBS a a few large aggregate principal amounts secured by properties in only a few states or regions. As a result, the residential mortgage loans may be more susceptible to geographic risks relating to such areas, such as adverse economic geographic areas, than conditions, adverse events affecting industries located in such areas and natural hazards affecting such areas,than affecting residential would be the case for a pool of mortgage loans having more diverse property locations. In addition, the residential a mortgage loans may include so-called "jwnbo" mortgage loans, having original principal balances that are higher "jumbo" experience RMBS such portfolio than is generally the case for residential mortgage loans. As a result, such portfolio of RMBS may experience mortgage case than is increased losses. losses. have balloon issue Each underlying residential mortgage loan in an issUe of RMBS may have a balloon payment due on its Each maturity date. Balloon residential mortgage loans involve a greater risk to a lender than self-amortizing loans, date. residential involve a to loans, depend on because the ability of a borrower to pay such amount will normally depend on its ability to obtain refinancing of the amount will to pay because the ability of the borrower make the property at a price sufficient related mortgage loan or sell tile related mortgaged property at a price sufficient to permit the borrower to make the mortgage loan sell the related or sale is time such prevailing balloon payment, which will depend on a number of factors prevailing at the time such refinancing or sale is depend on number of balloon payment, estate markets, tax laws, the financial required, including, without limitation, the strength of the residential real estate markets, tax laws, the financial of the limitation, the including, general economic conditions. If the rates situation and operating history of the underlying property, interest rates and general economic conditions. If the property, the operating situation experience losses. borrower is unable to make such balloon payment, the related issue ofRMBS may experience losses. payment, the related issue of RMBS make unable 43 43 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912617 GS MBS-E-000912617 Footnote Exhibits - Page 5716 Prepayments on the underlying residential mortgage loans in an issue of Rl\.1BS will be influenced by the Prepayments on the underlying residential mortgage loans in an issue of RMBS will be influenced by the prepayment provisions of the related mortgage notes and may also be affected by variety of economic, geographic prepayment provisions of the related mortgage notes and may also be affected by aavariety of economic, geographic and other factors, including the difference between the interest rates on the underlying residential mortgage loans and other factors, including the difference between the interest rates on the underlying residential mortgage loans (giving consideration to the cost of refInancing) and prevailing mortgage rates and the availability of refInancing. In (giving consideration to the cost of refinancing) and prevailing mortgage rates and the availability of refinancing. In general, if prevailing interest rates fall significantly below the interest rates on the related residential mortgage loans, general, if prevailing interest rates fall signifIcantly below the interest rates on the related residential mortgage loans, the rate of prepayment on the underlying residential mortgage loans would be eXl>ected to increase. Conversely, if the rate of prepayment on the underlying residential mortgage loans would be expected to increase. Conversely, if prevailing interest rates rise to a level signifIcantly above the interest rates on the related mortgages, the rate of prevailing interest rates rise to a level significantly above the interest rates on the related mortgages, the rate of prepayment would be expected to decrease. Prepayments could reduce the yield received on the related issue of prepayment would be expected to decrease. Prepayments could reduce the yield received on the related issue of Rl\.1BS. RMBS. Structural and Legal Risks of RMBS. Residential mortgage loans in an issue of Rl\.1BS may be subject to Structuraland Legal Risks of RMBS. Residential mortgage loans in an issue of RMBS may be subject to various federal and state laws, public policies and principles of equity that protect consumers, which among other federal and state laws, public policies and principles of equity that protect consumers, which among other various things may regulate interest rates and other charges, require certain disclosures, require licensing of originators, things may regulate interest rates and other charges, require certain disclosures, require licensing of originators, prohibit discriminatory lending practices, regulate the use of consumer credit information and regulate debt prohibit discriminatory lending practices, regulate the use of consumer credit information and regulate debt collection practices. Violation of certain provisions of these laws, public policies and principles may limit the collection practices. Violation of certain provisions of these laws, public policies and principles may limit the seIVicer's ability to collect all or part of the principal of or interest on a residential mortgage loan, entitle the servicer's ability to collect all or part of the principal of or interest on a residential mortgage loan, entitle the borrower to a refund of amounts previously paid by it, or subject the seIVicer damages and sanctions. Any such borrower to a refund of amounts previously paid by it, or subject the servicer to damages and sanctions. Any such violation could result also in cash delays and losses on the related issue of Rl\.1BS. violation could result also in cash flow delays and losses on the related issue of RMBS. Rl\.1BS may have structural characteristics that distinguish them other asset-backed securities. The RMBS may have structural characteristics that distinguish them from other asset-backed securities. The rate interest payable on Rl\.1BS be set or effectively capped at the weighted average net coupon of the rate of interest payable on RMBS may be set or effectively capped at the weighted average net coupon of the underlying mortgage loans themselves or cap based on an designated result this underlying mortgage loans themselves or a cap based on an asset's designated floating rate index. As a result of this cap, the return investors is dependent on the relative and of delinquencies and prepayments of cap, the return to investors is dependent on the relative timing and rate of delinquencies and prepayments of mortgage bearing higher rate of general, prepayments have greater impact mortgage loans bearing a higher rate of interest. In general, early prepayments will have a greater impact on the yield to Federal and affect return capping tlle rates payable yield to investors. Federal and state law may also affect the return to investors by capping the interest rates payable by certain SeIVicemembers' Act 2003 (the "Relief Act") relief certain by certain mortgagors. The Servicemembers' Civil Relief Act of 2003 (the "Relief Act") provides relief for certain active capping rates soldiers and members of the reseIVe called to active duty by capping the interest rates on their mortgage loans at 6% members reserve soldiers per annum. In addition, pursuant to the laws of various states, under certain circumstances, payments on the tlle circumstances, payments per annum. underlying mortgage loans by residents in such states who are called into active duty with the National Guard or the residents states called National underlying the servicer related reseIVes reserves will be deferred. These state laws may also limit the ability of tlle seIVicer to foreclose on the related increased mortgaged property. mortgaged property. This could result in delays or reductions in payment and increased losses on the underlying Certain interest mortgage mortgage loans which impact the return to investors. Certain RMBS may provide for the payment of only interest for a stated period of time. bankruptcy or similar In addition, structural and legal risks of RMBS include the possibility that, in a bankruptcy or similar affiliates), proceeding involving the originator or the seIVicer (often the same entity or affIliates), the assets of the issuer could servicer the proceeding be be treated as never having been truly sold by the originator to the issuer or could be substantively consolidated with be treated fraudulent those of the originator or the seIVicer, or the transfer of such assets to the issuer could be voided as a fraudulent assets servicer, those of issue of the delays transfer. Challenges based on such doctrines could result also in cash flow delays and losses on the related issue of also in cash on transfer. Rl\.1BS. RMBS. or insured by any governmental agency or It is not expected that the Rl\.1BS will be guaranteed or insured by any governmental agency or the RMBS will be It is not expected timing of amount instrumentality or by any other person. Distributions on RMBS will depend solely upon the amount and timing of on RMBS any instrumentality payments and other collections on the related underlying mortgage loans. mortgage loans. related payments and other collections on Recent Development in RMBS May Adversely Affect the Performance and Market Value ofRMBS. the Performanceand Market Value ofRMBS. Recent Development in RMBS May According to published reports, recently, the residential mortgage market in the United States has experienced a recently, the residential mortgage market in the United States has experienced a According to published reports, variety of diffIculties and changed economic conditions that may adversely affect the performance and market value variety of difficulties and changed economic conditions that may adversely affect the performance and market value ofRl\.1BS. Delinquencies and losses with respect to residential mortgage loans generally reportedly have increased of RMBS. Delinquencies and losses with respect to residential mortgage loans generally reportedly have increased in recent months, and may continue to increase, particularly in the subprime sector. In addition, in recent months in recent months, and may continue to increase, particularly in the subprime sector. In addition, in recent months published reports have indicated that housing prices and appraisal values in many states have declined or stopped published reports have indicated that housing prices and appraisal values in many states have declined or stopped appreciating. A continued decline or an extended flattening of those values may result in additional increases in appreciating. A continued decline or an extended flattening of those values may result in additional increases in delinquencies and losses on Rl\.1BS generally. delinquencies and losses on RMBS generally. Another factor tl18t may result in higher delinquency rates is the reported increase in monthly payments on Another factor that may result in higher delinquency rates is the reported increase in monthly payments on adjustable rate mortgage loans. Borrowers with adjustable rate mortgage loans are being exposed to increased adjustable rate mortgage loans. Borrowers with adjustable rate mortgage loans are being exposed to increased 44 44 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912618 GS MBS-E-000912618 Footnote Exhibits - Page 5717 monthly payments when the related mortgage interest rate adjusts upward from the initial fixed rate or low monthly payments when the related mortgage interest rate adjusts upward from the initial fixed rate or aa low introductory rate. Borrowers seeking to avoid these increased monthly payments by refinancing their mortgage introductory rate. Borrowers seeking to avoid these increased monthly payments by refinancing their mortgage loans may no longer be able to find available replacement loans at comparably low interest rates. A decline in loans may no longer be able to find available replacement loans at comparably low interest rates. A decline in housing prices may also leave borrowers with insufficient equity in their homes to permit them to refinance. housing prices may also leave borrowers with insufficient equity in their homes to permit them to refinance. Furthermore, borrowers who intend to sell their homes on or before the expiration of the fixed rate periods on their Furthermore, borrowers who intend to sell their homes on or before the expiration of the fixed rate periods on their mortgage loans may fmd that they cannot sell their properties for an anlOunt equal to or greater than the unpaid mortgage loans may find that they cannot sell their properties for an amount equal to or greater than the unpaid principalbalance of their loans. These events, alone or in combination, may contribute to higher delinquency rates principal balance of their loans. These events, alone or in combination, may contribute to higher delinquency rates and, as result, adversely affect the perfonnance and market value of RMBS. and, as aa result, adversely affect the performance and market value of RMBS. In addition, numerous residential mortgage loan originators that originate subprime mortgage loans have In addition, numerous residential mortgage loan originators that originate subprime mortgage loans have reportedly recently experienced serious financial difficulties and, in some cases, bankruptcy. Those difficulties may reportedly recently ell..'Perienced serious fmancial difficulties and, in some cases, bankruptcy. Those difficulties may have resulted in part from declining markets for mortgage loans as well as from claims for repurchases of mortgage have resulted in part from declining markets for mortgage loans as well as from claims for repurchases of mortgage loans previously sold under provisions that require repurchase in the event of early payment defaults, or for material loans previously sold under provisions that require repurchase in the event of early payment defaults, or for material breaches of representations and warranties made on the mortgage loans, such as fraud claims. These difficulties breaches of representations and warranties made on the mortgage loans, such as fraud claims. These difficulties may affect the performance and market value of RMBS. may affect the performance and market value of RMBS. CDO Securities. 1,6% of the Aggregate Reference Obligation Notional Amount will consist of CDO CDO Securities. 1.6% of the Aggregate Reference Obligation Notional Amount will consist of CDO Securities as of the Closing Date. CDO Securities generally are limited recourse obligations of the issuer thereof Securities as of the Closing Date. CDO Securities generally are limited recourse obligationS of the issuer thereof payable solely from underlying assets of the issuer ("CDO Collateral") or proceeds Consequently, payable solely from the underlying assets of the issuer ("CIO Collateral") or proceeds thereof. Consequently, Collateral or proceeds thereof holders of CDO Securities must rely solely on distributions on the underlying holders of CDO Securities must rely solely on distributions on the underlying CDO Collateral or proceeds thereof for payment in respect If distributions on the underlying Collateral are insufficient make payments for payment in respect thereof. If distributions on the underlying CDO Collateral are. insufficient to make payments on the CDO Securities, no otller assets be available for payment deficiency following realization of on the CDO Securities, no other assets will be available for payment of the deficiency and following realization of the underlying the obligations of the to pay such deficiency Many subordinate the underlying assets, the obligations of the issuer to pay such deficiency shall be extinguished. Many subordinate deferral of interest thereon or a write-down does not constitute event of classes CDO Securities classes of CDO Securities provide that a deferral of interest thereon or a write-down does not constitute an event of default and tlle such securities not have available them any associated default default and the holders of such securities will not have available to them any associated default remedies. During generally such capitalized added such periods of non payment or partial non-payment, such non-paid interest will generally be capitalized and added such periods of non payment of current to the outstanding principal balance of the related security. Any such deferral will reduce the amount of current security. deferral outstanding principal balance to payments payments made on such CDO Securities. CDO Securities are subject to credit, liquidity and interest rate risks. The assets backing CDO Securities subject Securities debt finance high-yield preferred securities, may consist of high-yield debt securities, loans, trust preferred securities, structured fmance securities and other debt instrunlents. generally instruments. High-yield debt securities are generally unsecured (and loans may be unsecured) and may be subordinated to certain other obligations of the issuer thereof. An increase in the default rates of high-yield high-yield thereof. subordinated corporate debt securities or loans could increase the likelihood that payments may not be made to holders of CDO corporate Securities which are secured by high-yield corporate debt securities and loans. Securities way of assignment Issuers of CDO Securities may acquire interests in loans and other debt obligations by way of assignnlent of or participation. The purchaser of an assignment typically succeeds to all tlle rights and obligations of the assigning to all the purchaser an or participation. its rights debt respect institution and becomes a lender under the credit agreement with respect to the debt obligation; however, its rights credit under a institution and can be more restricted than those of the assigning institution. assigning institution. than can a contractual relationship only In purchasing participations, an issuer of CDO Securities will usually have a contractual relationship only an issuer of CDO Securities will usually In purchasing directly to enforce no with the selling institution, and not the borrower. The issuer generally will have no right directly to enforce borrower. The issuer generally and not with the selling compliance by the borrower with the terms of the loari agreement, nor any rights of set-off against the borrower, nor loan agreement, nor any rights of set-off against the borrower, nor compliance by the borrower with the terms of the selling institution. The issuer may have the right to object to certain changes to the loan agreement agreed to by the selling institution. The issuer may have the right to object to certain changes the loan agreement agreed to of set-off the and may be subject to any not directly benefit from the collateral supporting the related loan and may be subject to any rights of set-off the supporting the related from the not directly borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, under the laws of the United States of America and the states thereof, the issuer may be treated as a general creditor under the laws of the United States of America and the states thereof, the issuer may be treated as a general creditor of such selling institution, and may not have any exclusive or senior claim with respect to the selling institution's of such selling institution, and may not have any exclusive or senior claim with respect to the selling institution's interest in, or the collateral with respect to, the loan. Consequently, the issuer may be subject to the credit risk of the interest in, or the collateral with respect to, the loan. Consequently, the issuer may be subject to the credit risk of the selling institution as well as of the borrower.. selling institution as well as of the borrower. CDO Securities are subject to interest rate risk and day count basis risk. The CDO Collateral of an issuer CDO Securities are subject to interest rate risk and day count basis risk. The CDO Collateral of an issuer of CDO Securities may bear interest at a fixed (floating) rate while the CDO Securities issued by such issuer may of CDO Securities may bear interest at a fixed (floating) rate while the CDO Securities issued by such issuer may bear interest at aa floating (fLxed) rate. As aa result, there could be aa floating/fixed rate or basis mismatch between bear interest at floating (fixed) rate. As result, there could be floating/fixed rate or basis mismatch between such CDO Securities and CDO Collateral which bears interest at a fixed rate and there may be a timing mismatch such CDO Securities and CDO Collateral which bears interest at a fixed rate and there may be a timing mismatch 45 45 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912619 GS MBS-E-000912619 Footnote Exhibits - Page 5718 between CDO Securities and that bear interest floating rate interest rate such bearing between the CDO Securities and assets that bear interest at a floating rate as the interest rate on such assets bearing adjust more frequently or frequently, on different dates and based on different interest a rate interest at a floating rate may adjust more frequently or less frequently, on different dates and based on different Securities As a result such mismatches, an increase decrease indices than the interest rates on the indices than the interest rates on the CDO Securities... As a result of such mismatches, an increase or decrease in the level floating indices could adversely impact the ability payments on In level of the floating rate indices could adversely impact the ability to make payments on the CDO Securities. In have been acquired to interest Securities, CDO hedges addition, hedges may have been acquired to manage the interest rate risk of such CDO Securities, making such CDO Securities also subject to the credit risk of the applicable hedge counterparty. credit risk applicable hedge counterparty. Securities also subject Subordination Obligations. All of Reference Obligations are mezzanine Subordination of Reference Obligations. All of the Reference Obligations are mezzanine grade as of the Reference Obligations be subordinated one classes securities of Closing Date. Some of the Reference Obligations will be subordinated to one or more other classes of securities of Some of the same purposes among other offsetting losses other with related the same series for purposes of, among other things, offsetting losses and other shortfalls with respect to the related writedowns underlying subordinate classes more sensitive underlying mortgage loans. The subordinate classes are more sensitive to risk of loss and writedowns than senior classes of such securities. Of such securities. PROSPECTIVE PURCHASERS THE SECURED NOTES AND NOTES SHOULD PROSPECTIVE PURCHASERS OF THE SECURED NOTES AND THE INCOME NOTES SHOULD CONSIDER AND ASSESS FOR THEMSELVES DEFAULTS ON THE REFERENCE CONSIDER AND ASSESS FOR THEMSELVES THE LIKELY LEVEL OF DEFAULTS ON THE REFERENCE OBLIGATIONS, AS LIKELY LEVEL AND TIMING RECOVERIES REFERENCE OBLIGATIONS, AS WELL AS THE LIKELY LEVEL AND TIMING OF RECOVERIES ON THE REFERENCE OBLIGATIONS. OBLIGATIONS. Insolvency Considerationswith Respect to Issuers ofReference Obligations. Various laws enacted for the Considerations Issuers ofReference Obligations. Various enacted protection creditors apply the Reference court an creditor protection of creditors may apply to the Reference Obligations. If a court in a lawsuit brought by an unpaid creditor find creditors Reference Obligation, trustee bankruptcy, were representative or representative of creditors of an issuer of a Reference Obligation, such as a trustee in bankruptcy, were to frud that the issuer did not receive fair consideration or reasonably equivalent value for incurring the indebtedness receive consideration reasonably equivalent incurring tlle indebtedness Reference Obligation constituting the Reference Obligation or for granting a lien securing the Reference Obligation and, after giving granting securing Reference Obligation indebtedness (ii) engaged effect to such indebtedness or such lien, the issuer (i) was insolvent, (ii) was engaged in a business for which the remaining assets of such issuer constituted unreasonably small capital or (iii) intended to incur, or believed that it of issuer constituted unreasonably small (iii) intended believed court could detennine invalidate, would incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in beyond indebtedness or subordinate whole or in part, such indebtedness or such lien as a fraudulent conveyance, to subordinate such indebtedness or fraudulent conveyance, indebtedness such lien to existing or future creditors of such issuer, or to recover amounts previously paid by such issuer in satisfaction of such indebtedness. The measure of insolvency for purposes of the foregoing will vary. Generally, an measure purposes an satisfaction issuer would be considered insolvent at a particular time if the sum of its debts were then greater than all of its would particular were would property at a fair valuation, or if the present fair saleable value of its assets was then less than the amount that would absolute be required to pay its probable liabilities on its existing debts as they became absolute and matured. There can be no assurance standard "insolvent" after determine assurance as to what standard a court would apply in order to detennine whether the issuer was "insolvent" after Reference Obligation indebtedness constituting giving effect to the incurrence of the indebtedness constituting the Reference Obligation or the grant of a lien determine that securing regardless Reference Obligation securing the Reference Obligation or that, regardless of the method of valuation, a court would not detennine that insolvency the issuer was "insolvent" upon giving effect to such incurrence or grant. In addition, in the event of the insolvency incurrence grant. event "insolvent" Reference Obligation securing Reference Obligation, of an issuer of a Reference Obligation, payments made on such Reference Obligation or a lien securing such period Reference "preference" Reference Obligation could be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one year or longer) before insolvency. Payments made under loans underlying Reference before underlying Reference of the Obligations may also be subject to avoidance in the event of the bankruptcy ofthe borrower. or In general, if payments on a Reference Obligation are avoidable, whether as fraudulent conveyances or general, Reference Obligation the preferences, .such payments can be recaptured. To the extent that any such payments are recaptured, tlle resulting Income loss will be borne first by the Holders of the Income Notes, then by the Holders of the Class D Notes, then by the Holders of the Class C Notes, then by the Holders of the Class B Notes, then by the Holders of the Class A-2 Notes, finally, then, pro rata, by the Holders of the Class A Notes and fmally, by the Holders of the Class S Notes. rata, Illiquidity Transfer. Transactions; CertainRestrictions Illiquidity of CDS Transactions; Certain Restrictions on Transfer. There may be a limited trading market for many of the CDS Transactions entered into by the Issuer, and in certain instances there may be effectively no effectively Transactions entered trading market therefor. The illiquidity of CDS Transactions may also affect the ability of the Issuer to conduct a successful Optional Redemption, Tax Redemption or Auction, to exercise redemptions and may also affect the Tax Transactions connection amount and timing of receipt of proceeds from the disposition of CDS Transactions in connection with the exercise of remedies following an Event of Default. an related Reference Volatility of Market Value of Collateral Securities, CDS Transactions and the related Reference Collateral Securities, CDS Transactions and Market Value Volatility Obligations the Obligations. The market value of the Collateral Securities, CDS Transactions and the related Reference Obligations Obligations. 46 Confidential Treatment Requested by Goldman Sachs MBS-E-000912620 GS MBS-E-000912620 Footnote Exhibits - Page 5719 will generally fluctuate with, among other things, changes in prevailing interest rates, general economic conditions, will generally fluctuate with, among other things, changes in prevailing interest rates, general economic conditions, the condition of certain financial markets, developments or trends in any particular industry and the financial the condition of certain financial markets, developments or trends in any particular industry and the financial condition of the parties to, or issuers of, the Collateral Securities, CDS Transactions and the related Reference condition of the parties to, or issuers of, the Collateral Securities, CDS Transactions and the related Reference Obligations. A decrease in the rllruket value of the Collateral Securities, CDS Transactions and the related Obligations. A decrease in the market value of the Collateral Securities, CDS Transactions and the related Reference Obligations would adversely affect the proceeds that could be obtained upon the assignment, termination Reference Obligations would adversely affect the proceeds that could be obtained upon the assignment, termination or other disposition of the Collateral Securities, CDS Transactions and the related Delivered Obligations and could or other disposition of the Collateral Securities, CDS Transactions and the related Delivered Obligations and could ultimately affect the ability of the Issuer to effect an Auction, an Optional Redemption or a Tax Redemption, or to ultimately affect the ability of the Issuer to effect an Auction, an Optional Redemption or a Tax Redemption, or to pay the principal of the Notes upon a liquidation of the Collateral Securities, CDS Transactions and the related pay the principal of the Notes upon a liquidation of the Collateral Securities, CDS Transactions and the related Delivered Obligations following the occurrence of an Event of Default. Delivered Obligations following the occurrence of an Event of Default. Interest Rate Risk. There will be a basis and timing mismatch between such Notes and the Collateral Interest Rate Risk. There will be a basis and timing mismatch between such Notes and the Collateral Securities which bear interest at a floating rate, since the interest rates on such Collateral Securities bearing interest Securities which bear interest at a floating rate, since the interest rates on such Collateral Securities bearing interest at floating rate may adjust more frequently or less frequently, on different dates and based on different indices, at a floating rate may adjust more frequently or less frequently, on different dates and based on different indices, than the interest rate on the Notes. than the interest rate on the Notes. Concentration Risk. The Issuer will invest in CDS Transactions which relate to the portfolio of Reference ConcentrationRisk. .The Issuer will invest in CDS Transactions which relate to the portfolio of Reference Obligations described in Appendix B hereto. Payments on the Notes could be adversely affected by the Appendix hereto. Payments on Notes could be adversely affected by Obligations described concentration in the portfolio of anyone issuer or anyone servicer if such issuer or servicer were default. concentration in the portfolio of any one issuer or any one servicer if such issuer or servicer were to default. No single issuer will represent as of the Closing Date more than approximately 1.64% of the Aggregate Reference single issuer will represent as of the Closing Date more than approximately 1.64% of the Aggregate Reference Obligation Notional Amount. See "The Credit Default Swap-The Reference Portfolio." Obligation Notional Amount. See "The Credit Default Swap-The Reference Portfolio." PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSIDER AND ASSESS FOR PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSIDER AND ASSESS FOR THEMSELVES LIKELIHOOD OF DEFAULT EITHER CREDIT PROTECTION THEMSELVES THE LIKELIHOOD OF A DEFAULT BY EITHER THE CREDIT PROTECTION BUYER, AS WELL AS THE OBLIGATIONS OF THE ISSUER UNDER EITHER THE CREDIT PROTECTION BUYER, AS OBLIGATIONS THE ISSUER UNDER EITHER THE PROTECTION BUYER, INCLUDING THE OBLIGATION TO MAKE TERMINATION PAYMENTS TO EITHER THE CREDIT THE OBLIGATION MAKE TERMINATION PAYMENTS EITHER THE CREDIT INCLUDING PROTECTION BUYER. PROTECTION BUYER. Other Considerations Considerations Changes Lm..,; current United jurisdictions, Gross-Up. Changes in Tax Law; No Gross-Up. Under current tax law of the United States and other jurisdictions, payments made *by the Credit Protection Buyer under the Credit Default Swap and obligors on any Eligible made? by Protection obligors Investments are not expected to be subject to the imposition of U.S. federal or other withholding tax. There can be e},.llected U.S. interpretation applicable no assurance, however, that as a result of a change in any applicable law, treaty, rule or regulation or interpretation assurance, U.S. thereof or otller causes, such payments might not in the future become subject to U.S. federal or other withholding other tax. In the event that any withholding tax should be determined to be applicable to payments on any Eligible applicable tax. "gross-up" payments Investments Investments and the obligors thereon were not then required to make "gross-up" payments that cover the full amount of any such withholding taxes, such tax would reduce the amounts available to make payments on the Notes. on In the event that any witllholding tax is imposed on payments on the Notes, the Holders of such Notes will withholding tax tax. In addition, not be entitled to receive "grossed-up" amounts to compensate for such withholding tax. In addition, 90 days "grossed-up" by following the Issuers becoming aware of tlle occurrence of a Tax Event (which 90-day period may be extended by becoming Event the the the Prices 90 days), the Issuer will redeem in whole but not in part, at applicable Secured Note Redemption Prices or ilie the Issuer will redeem in whole but not in part, applicable accordance with the procedures Income Note Redemption Price, as applicable, specified herein, the Notes in accordance with ilie procedures the specified as "-Optional described under "Description of tlle Notes-Tax Redemption," "-Optional Redemption-Optional the Notes-Tax RedemptionfTax Redemption Procedures" herein. Redemption/Tax Redemption prior operating Lack of Operating History. Each of the Issuers is a newly organized entity and has no prior operating of Operating History. Each of the Issuers is a newly organized entity and has for prospective investor to history. Accordingly, neitller of ilie Issuers has a performance history for a prospective investor to consider. Accordingly, neither of the Issuers has a and Investment Company Act. Neiilier of ilie Issuers has registered wiili ilie United States Securities and Investment Company Act. Neither of the Issuers has registered with the United States Company Act. -The the Exchange- Commission (the "SEC") as an investment company pursuant to the Investment Company Act. -The -.. Exchange- Commission (the "SEC") as an investment company pursuant investment companies organized under the laws of a Issuer has not so registered in reliance on an exception for investment companies organized under the laws of a exception registered in reliance has jurisdiction oilier ilian ilie United States whose investors resident in ilie United States are solely Qualified than the United States whose investors resident in the United States are solely Qualified other Purchasers and which do not make a public offering of ilieir securities in ilie United States. Counsel for ilie Issuers Purchasers and which do not make a public offering of their securities in the United States. Counsel for the Issuers will opine, in connection wiili tlle sale of the Notes by the Initial Purchaser, that neither ilie Issuer nor the Co-Issuer will opine, in connection with the sale of the Notes by the Initial Purchaser, that neither the Issuer nor the Co-Issuer is on? the Closing Date an investment company required to be registered under ilie Investment Company Act is on the Closing Date an investment company required to be registered under the Investment Company Act 47 47 Confidential Treatment Requested by Goidman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912621 GS MBS-E-000912621 Footnote Exhibits - Page 5720 (assuming, for the purposes of such opinion, that the Notes are sold by the Initial Purchaser in accordance with the Purchaser accordance tenns of the Purchase Agreement). No opinion or no-action position has been requested of the SEC. requested Agreement). terms If the SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but competent jurisdiction company, possible consequences in violation of the Investment Company Act had failed, to register as an investment company, possible consequences Investment enjoin include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the violation; (ii) (i) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any be, Co-Issuer damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is a caused contract Company performance party that is made in, or whose performance involves a violation of the Investment Company Act would be fmd circumstances enforcement unenforceable contract court unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement inconsistent produce equitable non-enforcement would produce a more equitable result than non-enforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer Should subjected materially adversely affected, or the Co-Issuer, as the case may be, would be materially and adversely affected. permitted transferred Qualified Institutional The Notes are only permitted to be transferred to Qualified Institutional Buyers in transactions meeting the Accredited requirements of Rule 144A and, solely in the case of the Income Notes, to Accredited Investors having a net worth requirements of not less than U.S.$ 10 million in transactions exempt from registration under the Securities Act, or in an offshore U.S.$l0 registration Securities Regulation S. offered transaction, to a non-U.S. Person, complying with Rule 903 or Rule 904 of Regulation S. The Notes being offered in the United States are being offered only to persons that are also Qualified Purchasers. Any non-permitted transfer offered non-permitted transfer can transferee, will be voided and the Issuers can require the transferee to sell its Notes to a permitted transferee, with such sale to be effected within 30 days after notice of such sale requirement is given. If such sale is not effected within such 30 after effected requirement Liquidation day period, upon written direction from the Issuer or the Liquidation Agent, on behalf of the Issuer, will be authorized to conduct a commercially reasonable sale of such Notes to a permitted transferee and pending such conduct commercially transferee pending such beneficial transfer, no further payments will be made in respect of such Notes or any beneficial interest therein. See "Description of the Notes-Form of the Notes" and "Notice to Investors." Notes-Form "Notice Credit Ratings. Credit ratings of debt securities represent the rating agencies' opinions regarding their their securities represent agencies' Credit Ratings. quality guarantee qUality. evaluate principal credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and reflect interest payments of fluctuations interest payments and do not evaluate the risks offluctuations in market value, therefore, they may not fully reflect timely changes the true risks of an investment. Also, rating agencies may fail to make timely changes in credit ratings in response subsequent fmancial condition worse to subsequent events, so that an issuer's current financial condition may be better or worse than a rating indicates. Document Repository. Pursuant to the Indenture, the Issuer will consent to the posting of this Offering Document Repository. Circular, the Indenture and certain periodic reports required to be delivered pursuant to the Transaction Documents, Indenture delivered internet-based password protected electronic modifications together amendments together with any amendments or modifications thereto, to the internet-based password protected electronic repository transaction collateralized securities repository of transaction documents relating to privately offered and sold collateralized debt obligation securities located at .. www.cdolibrary.com... "www.cdolibrary.com." Implementation ojSecurities Regulation in Europe. As part of a coordinated action plan for harmonization Implementation of SecuritiesRegulation Europe. coordinated harmonization of securities markets in Europe, the European Parliament and the Council of the European Union has adopted a securities Parliament European Prospectus series of directives, including the Prospectus Directive (2003/711EC) the Transparency Directive (2004/1091EC) and Transparency Directive (2004/109/EC) including (2003/71/EC) the Market Abuse Directive (2003/6/EC) which aim to ensure investor protection and lnarket efficiency in (2003/61EC) market efficiency accordance accordance with high regulatory standards across the European community. Pursuant to such directives member states have introduced, or are in the process of introducing, legislation into their domestic markets to implement the requirements of these directives. The introduction of such legislation has effected and will effect the regulation of directives. legislation regulation of introduction requirements issuers of securities that are offered to the public or admitted to trading on a European Union regulated market and public European regulated the nature and content of disclosure required to be made in respect of such issuers and their related securities. The respect exchange listing of Notes on any European Union stock exchange would subject the Issuers to regulation under these European .directives, although the requirements applicable to the Issuer are not yet fully clarified. The Indenture will not requirements Indenture not maintain European require the Issuer to apply for, list or maintain a listing for any Class of Notes on a European Union stock exchange - ._ ..if.compliance with these directives (or other requirements adopted by the European Parliament and Council of the?? requirements adopted European Council the-if.compliance European Union or a relevant member state) becomes burdensome. Should the Notes be delisted from any relevant delisted exchange, the ability of the holders of such Notes to sell such Notes in the secondary market may be negatively secondary market exchange, impacted. . 48 Confidential Treatment Requested by Goldman Sachs Treatment GS MBS-E-000912622 MBS-E-000912622 Footnote Exhibits - Page 5721 EU Directive. following implementation of European Council Directive 2003/48/EC, a EU Savings Directive. If, following implementation of European Council Directive 2003/48/EC, a payment were to be made or collected through a member state that opted for a withholding system and an amount of payment were to be made or collected through a member state that opted for a withholding system and an amount of or in respect of tax were to be withheld from that payment, neither the Issuer nor the Paying Agent nor any other or in respect of tax were to be withheld from that payment, neither the Issuer nor the Paying Agent nor any other person would be obliged to pay additional amounts a result of the imposition of such withholding If a person would be obliged to pay additional amounts as a result of the imposition of such withholding tax. If a withholding tax is imposed on a payment made by a paying agent following implementation of this Directive, the withholding tax is imposed on a payment made by a paying agent following implementation of this Directive, the Issuer will be required maintain paying agent ina member state that will not be obliged to withhold or deduct Issuer will be required to maintain a paying agent in.a member state that will not be obliged to withhold or deduct tax pursuant to the Directive. tax pursuant to the Directive. Certa(n Conflicts of Various potential and actual conflicts of interest may arise the overall Certain Conflicts of Interest. Various potential and actual conflicts of interest may arise from the overall of the Credit Protection overall underwriting, investment other activities the Liquidation activities of the Credit Protection Buyer, the overall underwriting, investment and other activities of the Liquidation Agent, their respective affiliates and its clients and employees and from the overall investment activity of the Initial respective affiliates clients employees and from the overall investment of including in transactions The briefly summarizes some these conflicts, Purchaser, including in other transactions with the Issuer. The following briefly summarizes some of these conflicts, not intended to exhaustive list of but is not intended to be an exhaustive list of all such conflicts. The Credit Protection Buyer. GSI will be the initial Credit Protection Buyer... The following briefly Credit will be initial Credit Protection Buyer briefly summarizes some actual conflicts interests Protection summarizes some potential and actual conflicts of interests related to the Credit Protection Buyer, but the following isn't intended to exhaustive of conflicts. isn't intended to be an exhaustive list of all such conflicts. Reference affiliates be possession information relation GSI and/or its affiliates may be in possession of information in relation to a Reference Entity or otherwise be material the context the Notes and mayor not be publicly available Holders. None of that or that is or may be material in the context of the Notes and may or may not be publicly available to Holders. None of affiliates obligation Holders any infonnation. GSI or any of its affiliates has any obligation to disclose to Holders any such information. afflliates respective accounts they GSI and/or any of its affiliates may invest and/or deal, for their own respective accounts for which they investment securities obligations have investment discretion, in securities or in other interests in the Reference Entities, in obligations of the Reference of Reference Obligations Collateral Securities Reference Entities or in the obligors in respect of any Reference Obligations or Collateral Securities (the protection total return other "Investments") swaps "Investments") or in credit default swaps (whether as protection buyer or seller), total return swaps or other instruments Such instnunents enabling credit and/or other risks to be traded that are linked to one or more Investments. Such terms credit investments, instruments investments, credit derivatives and/or instruments may have the same or different tenns from any of the credit derivatives tenns derivatives referred to in the terms of the Notes. In addition, GSI and/or any of its affiliates may invest and/or deal, accounts investment securities respective accounts for their own respective accounts or for accounts for which they have investment discretion, in securities (or make loans or have other rights) that are senior to, or have interests different from or adverse to, any of the Investments different lenders ongoing relationships and may act as adviser to, may be lenders to, and may have other ongoing relationships with, the issuers or obligors of Investments and obligations of any Reference Entities. GSI may at certain times be simultaneously seeking to simultaneously other purchase or sell investments and/or protection under credit derivatives or other instruments enabling and/or other risks to be traded for any entity for which it serves as manager in the future. Various potential and actual conflicts of interest may arise from the overall activities of GSI and/or any of potential its afflliates. GSI, its respective affiliates and the directors, offlcers, employees and agents of GSI and its respective officers, affiliates. officers, as affiliates may, among other things: (a) serve as directors, offlcers, partners, employees, agents, nominees or in signatories for any Investment, any originator and/or servicer of or any other party interested in an Investment or the Investment, obligors in respect of the Investments; (b) receive fees for services of any nature rendered to any obligor in respect fees (b) of the Investments or any originator and/or servicer of or any other party interested in the Investments; (c) be a or of secured or unsecured creditor of, or hold an equity interest in any obligor in respect of the Investments, any an of, secured originator and/or servicerof or any other party interested in the Investments; (d) underwrite, act as a distributor of, and/or servicer of or any interested as a distributor of, other party or make a lnai'ket in any Investments, or in the securities of any originator and/or servicer of or any other party of the market in any by other interest in the Investments; (e) invest for its own account in the Investments or any other securities issued by any account the Investments invest in of any a Investments; (f) in originator and/or servicer of or. any other party interested in the Investments; (f) serve as a member of any party or originator in respect to any "creditors' committee" with respect to any fonnal or infonnal worlcout group with respect to any obligor in respect formal or informal workout "creditors' as the (g) of the Investments, any originator and/or servicer of or any other party interest in the Investments; (g) act as the any other party any originator of with any (h) maintain other adviser or investment adviser to any other person, entity or fund; and (h) maintain other relationships with any person, to any adviser or investment in the . '. -obligor -ifi??tespect of the Investments, any originator and/or servicer of or any' 'other party interested in the any other servicer any obligor 'inespect of Investments. the actual loss, if any, incurred may be the Any Floating Amounts owed by the Issuer may be greater or less than the actual loss, if any, incurred by Floating Protection Buyer Obligation. The the Credit Protection Buyer with respect to the related Reference Obligation. The Credit Protection Buyer has no Protection Buyer with respect the related the obligation to hold the Reference Obligations or to incur a loss in order to receive a credit protection payment. To a loss in order to receive a credit protection payment. To to hold the Reference Obligations or to 49 49 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS. MBS-E-000912623 GS MBS-E-000912623 Footnote Exhibits - Page 5722 the extent it holds a Reference Obligation, the Credit Protection Buyer or their respective affIliates, as the case may the extent it holds a Reference Obligation, the Credit Protection Buyer or their respective affiliates, as the case may be, will have the right to exercise of all the voting and consent rights of a holder of such Reference Obligation and be, will have the right to exercise of all the voting and consent rights of a holder of such Reference Obligation and it will exercise those rights in such manner as detennines to be in its own commercial interests without regard to the will exercise those rights in such manner as it determines to be in its own commercial interests without regard to the Holders of the Notes. Holders of the Notes. The Liquidation Agent. GS&Co. will be the initial Liquidation Agent. Although the Liquidation Agent Liquidation Agent. GS&Co. will initial Liquidation Although the Liquidation Agent will exercise no discretion with respect to Pledged Assets and Liquidation Agent not providing investment will exercise no discretion with respect to the Pledged Assets and the Liquidation Agent is not providing investment advisory services acting as an advisor to, the Issuers or Holders the Notes, various potential and actual advisory services or acting as an advisor to, the Issuers or the Holders of the Notes, various potential and actual conflicts of interest the overall underwriting, investment and other activities the Liquidation conflicts of interest may arise from the overall underwriting, investment and other activities of the Liquidation Agent, its affiliates and its clients. The Liquidation Agent is also the Initial Purchaser. The following briefly its affiliates its clients. Liquidation Agent the Initial The following summarizes of these conflicts, but intended to be an exhaustive list of conflicts. summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. The Liquidation Agent and/or its affiliates have ongoing relationships with, render services to, finance The Liquidation Agent and/or its affiliates have ongoing relationships with, render services to, finance and engage in transactions with, and may own debt or equity securities issued by issuers of certain of the Reference transactions may own securities issuers certain the Reference engage Obligations and Collateral Securities. The Liquidation affiliates clients may invest securities Obligations and Collateral Securities. The Liquidation Agent, its affiliates and/or its clients may invest in securities are senior subordinated interests different from the Reference Obligations that are senior or subordinated to, or have interests different from or adverse to, the Reference Obligations and parties be adverse of Collateral Securities. The interests of such parties may be different than or adverse to the interests of the holders of interests the Notes. In addition, such persons may possess information relating to the Reference Obligations and Collateral persons may possess information the Reference Obligations Collateral Securities individuals the Liquidation Agent responsible perfonning its Securities which is not known to the individuals at the Liquidation Agent responsible for performing its obligations under the Liquidation Agency Agreement. Such persons will not be required (and may not be permitted) to share the Liquidation Agency Agreement persons will may pennitted) such information the Liquidation Agent of such information or pass it along to the Issuer, the Liquidation Agent or any holder of any Notes. Neither the Liquidation Agent nor any of such person will have liability to the Issuer or any holder of any Notes for failure to such have holder Liquidation such information disclose such information or for taking, or failing to take, any action based upon such information. Liquidation business In addition, the Liquidation Agent and/or any of its affiliates may engage in any other business and furnish investment banking services include, lending investment banking and other services to others which may include, without limitation, investing in, lending to, ongoing relationships organized being affiliated with or have other ongoing relationships with, other entities organized to issue collateralized debt obligations Collateral Reference Obligations, obligations secured by assets similar to the Reference Obligations, and the Collateral Securities and other trusts and deal issued pooled investment vehicles that acquire interests in, provide financing to, or otherwise deal with securities issued by investment Liquidation issuers that would be suitable investments for the Issuer. In providing services to other clients, the Liquidation services investments Issuer. compete engage Agent and its affIliates may engage in activities that would coinpete with or otherwise adversely affect the Issuer. In affiliates transactions for addition, the Liquidation Agent will be free, in its sole discretion, to effect transactions on behalf of itself or for Liquidation others, that may be the same as or different from those effected on behalf of the Issuer, and the Liquidation Agent effected investment and/or its affIliates may furnish investment banking or other services to others who may have investment policies affiliates similar to those followed by the Issuer and who may own securities of the same class, or which are the same type as, the Reference Obligations and the Collateral Securities on behalf of the Issuer. In addition, under certain circumstances the Liquidation Agent will be? required to dispose of certain CDS Transactions which reference Liquidation be circumstances Such Liquidation Reference Obligations in accordance with the procedures set forth in the Liquidation Agency Agreement. Such Obligations procedures with which disposition of CDS Transactions which reference Reference Obligations may result in losses by the Issuer, which reference Reference any losses may result in the reduction or withdrawal of the rating of any or all of the Notes by any of the Rating result into Agencies. In making any such sale, the Liquidation Agent need not take into account the interests of the Issuers, the Agent affiliates Holders of the Notes or any other party. The Liquidation Agent and/or its afflliates may at certain times be at simultaneously seeking to purchase or dispose of investments for their respective accounts or for another entity at' or seeking the same time as it is disposing of investments for the Issuer. Accordingly, conflicts may arise regarding the investments for the it disposing the same allocation of sale opportunities. its affiliates Liquidation No provision in the Liquidation Agency Agreement prevents the Liquidation Agent or any of its affIliates Liquidatioii and from rendering services of any kind to the issuer of any Reference Obligations or Collateral Securities and their of services of of to the entity. any respective affiliates, the Trustee, the holders of the Notes or any other entity. Without prejudice to the generality of the officers, employees and the foregoing, the Liquidation Agent and its affiliates, directors, offlcers, employees and agents may, among other Agent and affiliates, foregoing, the .. things: . (a) serve as directors, partners, offlcers, employees, agents, nominees or signatories-for? an issuer of any of signatories -for an officers, employees, (a) serve of any Reference the Reference Obligations or Collateral Securities; (b) receive fees for services rendered to the issuer of any Reference Securities; (b) Obligations issuer equity interest in, of, or Obligations or any affiliate thereof; (c) be a secured or unsecured creditor of, or hold an equity interest in, any issuer thereof; (c) a secured or unsecured any or any "creditors' as a of any Reference Obligations or Collateral Securities; and (d) serve as a member of any "creditors' board" or Securities; Obligations or of any which has become or may Obligations or Collateral "creditors' committee" with respect to any Reference Obligations or Collateral Securities which has become or may "creditors' committee" with respect any become a Defaulted Obligation. become a Defaulted 50 50 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912624 GS MBS-E-000912624 Footnote Exhibits - Page 5723 The Liquidation Agent or any of its affiliates or subsidiaries will be permitted to exercise all voting rights The Liquidation Agent or any of its affiliates or subsidiaries will be permitted to exercise all voting rights withrespect to any Notes which they may acquire (other than with respect to aavote regarding the removal of the respect to any Notes which they may acquire (other than with respect to vote regarding the removal of the with Liquidation Agent or the termination or assignment of the Liquidation Agency Agreement). Liquidation Agent or the termination or assignment of the Liquidation Agency Agreement). The Initial Purchaser. GS&Co. will be the Initial Purchaser. Various potential and actual conflicts of The Initial Purchaser. GS&Co. will be the Initial Purchaser. Various potential and actual conflicts of interest may arise from the- conduct by the Initial Purchaser and its affiliates in other transactions with the Issuer, may arise from the? conduct by the Initial Purchaser and its affiliates in other transactions with the Issuer, interest including, without limitation, acting as counterparty with respect to the Credit Default Swap. GS&Co. will also including, without limitation, acting as counterparty with respect to the Credit Default Swap. GS&Co. will also initially act as the Liquidation Agent under the Liquidation Agency Agreement. The following briefly summarizes initially act as the Liquidation Agent under the Liquidation Agency Agreement. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. It is e}.'Pected that the Initial Purchaser and/or its affiliates and selling agent will have placed or It is expected that the Initial Purchaser and/or its affiliates and selling agent will have placed or underwritten certain of the Reference Obligations and Collateral Securities at original issuance, will own equity or underwritten certain of the Reference Obligations and Collateral Securities at original issuance, will own equity or other securities of issuers of or obligors on Reference Obligations and Collateral Securities and will have provided other securities of issuers of or obligors on Reference Obligations and Collateral Securities and will have provided investment banking services, advisory, banking and other services to issuers of Reference Obligations and Collateral investment banking services, advisory, banking and other services to issuers of Reference Obligations and Collateral Securities. The Issuer may invest in the securities of companies afflliated with the Initial Purchaser and/or any of its Securities. The Issuer may invest in the securities of companies affiliated with the Initial Purchaser and/or any of its affiliates or in which the Initial Purchaser and/or any of its affiliates have an equity or participation interest. The affiliates or in which the Initial Purchaser and/or any of its affiliates have an equity or participation interest. The purchase, holding and sale of such investments by the Issuer may enhance the profitability ofthe Initial Purchaser's purchase, holding and sale of such investments by the Issuer may enhance the profitability of the Initial Purchaser's and/or any of its afflliates' own investments in such companies. In addition, it is expected that one or more affiliates and/or any of its affiliates' own investments in such companies. In addition, it is expected that one or more affiliates of the Initial Purchaser will also act counterparty with respect to all of the CDS Transactions. The Issuer may of the Initial Purchaser will also act as counterparty with respect to all of the CDS Transactions. The Issuer may invest in money market funds that are managed by the Initial Purchaser or its affiliates; provided that such money invest in money market funds that are managed by the Initial Purchaser or its affiliates; provided that such money market funds otherwise qualify as Eligible Investments. GS&Co. and/or a consolidated entity controlled by market funds otherwise qualify as Eligible Investments. GS&Co. and/or a consolidated entity controlled by GS&Co. or an affiliate thereof is providing "warehouse" financing to the Issuer prior to the Closing Date and GS&Co. or an affiliate thereof is providing "warehouse" financing to the Issuer prior to the Closing Date and GS&Co. selected the warehoused Credit Default Swap and Collateral Securities which will sold the Issuer on GS&Co. selected the warehoused Credit Default Swap and Collateral Securities which will be sold to the Issuer on the Closing Date pursuant to the terms of the Forward Purchase Agreement. No collateral manager or other person Closing Date pursuant to terms Forward Purchase collateral manager or other person the acting on behalf of the Issuer reviewed prices established pursuant such Forward Purchase agreement (nor acting on behalf of the Issuer has reviewed the prices established pursuant to such Forward Purchase agreement (nor has there been any third party verification of prices). See "-Notes-Collateral Accumulation." has there been any third party verification of such prices). See "-Notes-Collateral Accumulation." There is no limitation Initial acting There is no limitation or restriction on the Initial Purchaser or any of its affiliates with regard to acting as This investment advisor, initial purchaser or placement agent (or in a similar role) to other parties or persons. This and advisor, initial purchaser investment other future activities of the Initial Purchaser affiliates additional other future activities of the Initial Purchaser and/or its affiliates may give rise to additional conflicts of interest. Appropriate Anti-Money Laundering Provisions. The Uniting and Strengthening America By Providing Appropriate Anti-Money Laundering Provisions. on and Act"), Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signed into law on and 2001 Intercept and Tools Required to financial obligations on effective as of October 26, 2001, imposes anti money laundering obligations on different types of financial effective as of October 26, 2001, The USA PATRIOT Act requires the institutions, including banks, broker dealers and investment companies. The USA PATRIOT Act requires the institutions, including banks, broker to define the Secretary of the United States Department of the Treasury (the "Treasury") to prescnbe regulations to defme the (the "Treasury") to prescribe of the Secretary of the United States Department laundering obligations. types of investment companies subject to the USA PATRIOT Act and the related anti money laundering obligations: related anti subject to the types of investment companies It It is not clear whether the Treasury will require entities such as the Issuer to enact anti money laundering policies. It It is not clear whether the Treasury will require entities such the Issuer to enact anti money laundering is possible that the Treasury will promulgate regulations requiring the Issuers or the Initial Purchaser or other service or the Initial Purchaser or other service is possible that the Treasury will promulgate regulations requiring to share providers to the Issuers, in connection with the establislunent of anti money laundering procedures, to share providers to the Issuers, in connection with the establishment of anti money laundering procedures, Notes. infonnation with governmental authorities with respect to investors in the Secured Notes and/or the Income Notes. information with governmental authorities with respect to investors in the Secured Notes and/or the Income Such legislation and/or regulations could require the Issuers to implement additional restrictions on the transfer of Such legislation and/or regulations could require the Issuers to implement additional restrictions on the transfer of the' Secured Notes and/or the Income Notes. As may be required, the Issuer reserves the right to request such the Secured Notes and/or the Income Notes. As may be required, the Issuer reserves the right to request such infonnation and tal<:e such actions as are necessary to enable it to comply with the USA PATRIOT Act. information and take such actions as are necessary to enable it to comply with the USA PATRIOT Act. The Issuer. The Issuer is aa recently incorporated Cayman Islands exempted company and has no The Issuer. The Issuer is recently incorporated Cayman Islands exempted company and has no substantial prior operating history. The Issuer will have no significant assets other than the CDS Transactions, the substantial prior operating history. The Issuer will have no significant assets other than the CDS Transactions, the Collateral Securities, Eligible Investments, rights under the Credit Default Swap, rights under the Liquidation Collateral Securities, Eligible Investments, rights under the Credit Default Swap, rights under the Liquidation proceeds Agency Agreement, and certain other accounts and agreements entered into as described herein, and proceeds Agency Agreement, and certain other accounts and agreements entered into as described herein, and to the Holders of the obligations to the Holders of the t!1ereof, all of which have been pledged to the Trustee to secure the Issuer's obligations thereof, all of which have been pledged to the Trustee to secure the Issuer's 'Secured Notes and the Credit Protection Buyer. The Issuer will nof engage in any business activity other than the Secue Notes and the Credit Protection Buyer. The Issuer will nbt engage in any business activity other than the issuance and sale of the Secured Notes and the Income Notes as described herein, the issuance of the Ordinary issuance and sale of the Secured Notes and the Income Notes as described herein, the issuance of the Ordinary Shares, the entering into and perfonnance of its obligations under the Credit Default Swap, the acquisition and Shares, the entering into and performance of its obligations under the Credit Default Swap, the acquisition and into of, and the disposition of Collateral Securities and Eligible Investments as described herein, the entering into of, and the disposition of Collateral Securities and Eligible Investments as described herein, the entering perfonnance of its obligations under, the Indenture, the Account Control Agreement, the Liquidation Agency the Liquidation Agency performance of its obligations under, the Indenture, the Account Control Agreement, the pledge of the Agreement, the Collateral Administration Agreement, any other applicable Transaction Document, the pledge of the Agreement, the Collateral Administration Agreement, any other applicable Transaction Document, 51 51 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912625 GS MBS-E-000912625 Footnote Exhibits - Page 5724 Pledged Assets as security for its obligations in respect of the Secured Notes and otherwise for the benefit of the Pledged Assets as security for its obligations in respect of the Secured Notes and otherwise for the benefit of the Secured Parties, certain activities conducted in connection with the payment of amounts in respect of the Secured Secured Parties, certain activities conducted in connection with the payment of amounts in respect of the Secured Notes and the Income Notes and the management of the Pledged Assets and other activities incidental to the Notes and the Income Notes and the management of the Pledged Assets and other activities incidental to the foregoing. Income derived from the Pledged Assets will be the Issuer's only source of cash. foregoing. Income derived from the Pledged Assets will be the Issuer's only source of cash. The Co-Issuer. The Co-Issuer is a newly incorporated Delaware corporation and has no prior operating The Co-Issuer. The Co-Issuer is a newly incorporated Delaware corporation and has no prior operating history. The Co-Issuer does not have and will not have any significant assets. The Co-Issuer will not engage in any history. The Co-Issuer does not have and will not have any significant assets. The Co-Issuer will not engage in any business activity other than the co-issuance of the Class A Notes, the Class B Notes, the Class C Notes and the Class business activity other than the co-issuance of the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes. D Notes. Tax. See "Income Tax Considerations." Tax. See "Income Tax Considerations." ERISA. See "ERISA Considerations." ERISA. See "ERISA Considerations." Listing. Application may be made to the Irish Stock Exchange for the Notes to be admitted to the official Listing. Application may be made to the Irish Stock Exchange for the Notes to be admitted to the official list of the Irish Stock Exchange and to trading on its regulated There can be no assurance that any list of the Irish Stock Exchange and to trading on its regulated market. There can be no assurance that any application will be made, that any such listing will be obtained or that, if it is obtained, that it will be maintained by application will be made, that any such listing will be obtained or that, if it is obtained, that it will be maintained by the Issuer. If any Class or Classes of Notes are admitted to the official list of the Irish Stock Exchange, the Issuer the Issuer. If any Class or Classes of Notes are admitted to the official list of the Irish Stock Exchange, the Issuer may at any time tenninate listing of such If the Issuer terminates the listing, may, but is under may at any time terminate the listing of such Notes. If the Issuer terminates the listing, it may, but is under no obligation to, seek a replacement listing on another stock exchange. obligation to, seek a replacement listing on another stock exchange. DESCRIPTION THE NOTES DESCRIPTION OF THE NOTES The Secured Notes will be issued by the Issuers pursuant to the Indenture. The Income Notes will be Secured issued the Issuers will issued by the Issuer pursuant to the Fiscal Agency Agreement. The following summary describes certain provisions Issuer pursuant Agency Agreement. The summary describes provisions issued of the Indenture the Agency purport complete summary does of the Notes, the Indenture and the Fiscal Agency Agreement. This summary does not purport to be complete and is subject to, and qualified and reference subject to, and qualified in its entirety by reference to, the provisions of the Notes, the Indenture and the Fiscal Agency Agreement Indenture obtained by prospective purchasers Secured upon Agency Agreement. Copies of the Indenture may be obtained by prospective purchasers of the Secured Notes upon request in writing to the Trustee at LaSalle Bank National Association, 181 W. Madison Street, 32nd Floor, writing LaSalle Bank National 181 Madison 32nd request in 2007-1, Chicago, Illinois Attention: -Anderson Mezzanine Services Chicago, Illinois 60602, Attention: CDO Trust SelVices Group -Anderson Mezzanine Funding 2007-1, Ltd. (telephone number (312) 992-5312). Copies of the Fiscal Agency Agreement may be obtained by prospective obtained prospective 992-5312). (telephone purchasers purchasers of Income Notes upon request in writing to the Fiscal Agent at LaSalle Bank National Association, 181 -Anderson Services W. Madison Street, 32nd Floor, Chicago, Illinois 60602, Attention: CDO Trust SelVices Group -Anderson W. Mezzanine Funding 2007-1, Ltd. (telephone number (312) 992-5312). (31.2) 992-5312). 2007-1, Ltd. Status and Security Status The as The Co-Issued Notes will be limited recourse obligations of the Issuers, secured as described below. The recourse obligations Co-Issued of . Income Notes will be limited recourse obligations of the Issuer, will not be secured obligations of the Issuer and will Issuer, limited recourse Income all after Income of only be entitled to receive amounts available for payment to the Holders of the Income Notes after payment of all amounts available for only be entitled an10unts payable prior tllereto under the Priority of Payments. The Class S Notes will be senior in right of payment Class S Notes will be senior in right the prior thereto amounts the Class D C Notes, on each Payment Date to the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Notes., the Notes, the the on each Payment right of Notes will Class Income Notes to the extent provided? in the Priority of Payments. The Class A Notes will be senior in right of Priority of Payments. extent provided in Income D Notes and the Income Notes. payment on each Payment Date to the Class B Notes, the Class C Notes, the Class D Notes and the Income Notes. payment on each Payment Date the Class B Notes, the Class C Notes, will paid pro rata (based upon Interest on tlle Class A-1a Notes, Class A-1b Notes and Class A-2 Notes will be paid pro rata (based upon amounts A-2 A-la Notes, Class A-lb Notes and Interest on the Class payments principal of due). Payments of principal of the Class A~ 1 Notes will be either senior to or pro rata with payments of principal of either senior to orpro rata due). Payments of principal of the Class A-1 Notes the Class A-2 Notes as more fully described in the Priority of Payments. All principal allocated to the Class A-I as more fully described in the Priority of Payments. All principal allocated to the Class A-1 the Class in full and then to Notes will be allocated either (i) first to the Class A-1a Notes until the Class A-1a Notes are paid in full and then to Notes will be allocated either (i) first to the Class A-la Notes until the Class A-la Notes are the Class A-1b Notes until the Class A-1b Notes are paid in full) or (ii) pro rata to the Class A-I Notes as more fully Notes until the Class A-lb Notes are paid in full) or (ii) pro rata to the Class A-1 Notes as more fully the Class A-lb described in the Priority of Payments. The Class B Notes will be senior in right of payment on each Payment Date described in the Priority of Payments. The Class B Notes will be senior in right of payment on each Payment Date to the Class C Notes, the Class D Notes and the Income Notes. The Class C Notes?will be senior in right of payment to the Class C Notes, the Class D Notes and the Income Notes. The Class C Notes will be senior in right of payment on each Payment Date to the Class D Notes and the Income Notes. The Class D Notes will be senior in right of on each Payment Date to the Class D Notes and the Income Notes. The Class D Notes will be senior in right of payment on each Payment Date to the Income Notes. See "-Priority of Payments." payment on each Payment Date to the Income Notes. See "-Priority of Payments." 52 52 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912626 GS MBS-E-000912626 Footnote Exhibits - Page 5725 Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit and security of the Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit and security of the Trustee on behalf of the Secured Notes, the Fiscal Agent, the Liquidation Agent and the Credit Protection Buyer on behalf of the Secured Notes, the Fiscal Agent, the Liquidation Agent and the Credit Protection Buyer Trustee (but only to the extent of (a) the Collateral Securities and Eligible Investments in the Collateral Account and (b) the (but only to the extent of (a) the Collateral Securities and Eligible Investments in the Collateral Account and (b) the Delivered Obligations in the Delivered Obligations Account) (collectively, the '?'Secured Parties"), first-priority Delivered Obligations in the Delivered Obligations Account) (collectively, the "Secured Parties"), aa first-priority security interest in (i) the Credit Default Swap; (ii) the Interest Collection Account; (iii) the Payment Account; security interest in (i) the Credit Default Swap; (ii) the Interest Collection Account; (iii) the Payment Account; (iv) the Expense Reserve Account; (v) the Delivered Obligations Account; (vi) the Amortization Shortfall Account, (iv) the Expense Reserve Account; (v) the Delivered Obligations Account; (vi) the Amortization Shortfall Account, (vii) the CDS Counterparty Collateral Account and (viii) the Collateral Account (including the Cash Collateral (vii) the CDS Counterparty Collateral Account and (viii) the Collateral Account (including the Cash Collateral Account) (items (ii) through (viii), the "Accounts"); (ix) Eligible Investments; (x) the Issuer's rights under the Credit Account) (items (ii) through (viii), the "Accounts"); (ix) Eligible Investments; (x) the Issuer's rights under the Credit Default Swap; (xi) the Issuer's rights under the Collateral Administration Agreement, (xii) the Issuer's rights under Default Swap; (xi) the Issuer's rights under the Collateral Administration Agreement, (xii) the Issuer's rights under the Liquidation Agency Agreement and (xiii) certain other property (collectively, the "Pledged Assets"). the Liquidation Agency Agreement and (xiii) certain other property (collectively, the "Pledged Assets"). Payments of interest on and principal of the Secured Notes and payments to the Holders of the Income Payments of interest on and principal of the Secured Notes and payments to the Holders of the Income Notes, will be made solely from the proceeds of the Pledged Assets in accordance with the Priority of Payments. will be made solely from the proceeds of the Pledged Assets in accordance with the Priority of Payments. Notes, The aggregate amount that will be available for payments required or pennitted to be made on the Notes The aggregate amount that will be available for payments required or penitted to be made on the Notes and of certain expenses of the Issuers, the Trustee and the Agents on any Payment Date will be the total amount of of certain expenses of the Issuers, the Trustee and the Agents on any Payment Date will be the total amount of and Proceeds received during the period (a "Due Period") ending on (and including) the fourth Business Day prior to Proceeds received during the period (a "Due Period") ending on (and including) the fourth Business Day prior to such Payment Date (or, the case of a Due Period that applicable to the Payment Date relating to the Stated such Payment Date (or, in the case of a Due Period that is applicable to the Payment Date relating to the Stated Maturity of any Note, ending on (and including) the day preceding such Payment Date), and conunencing Maturity of any Note, ending on (and including) the day preceding such Payment Date), and conunencing case of the Due immediately following the Business prior to the preceding Payment Date immediately following the fourth Business Day prior to the preceding Payment Date (or, in the case of the Due Period relating to the first Payment Date, on the Closing Date). relating the first Payment on the Closing Period Interest on the Secured Notes Secured Notes Interest on The Notes bear interest each Accrual Period Note Interest Rate The Class S Notes will bear interest during each Interest Accrual Period at the Class S Note Interest Rate for such Interest Accrual Period. The Class A-la Notes will bear interest during each Interest Accrual Period at the The A-Ia Notes interest Interest Accrual Period at the for such Interest Accrual Class A-Ia Note Interest Rate Interest Accrual A-Ib interest each Class A-la Note Interest Rate for such Interest Accrual Period. The Class A-lb Notes will bear interest during each Interest Accrual A-Ib Interest Interest A-2 Notes Interest Accrual Period at the Class A-lb Note Interest Rate for such Interest Accrual Period. The Class A-2 Notes will bear interest Accrual A-2 Interest Interest will bear interest during each Interest Accrual Period at the Class A-2 Note Interest Rate for such Interest Accrual Rate Period. The Class B Notes will bear interest during each Interest Accrual Period at the Class B Note Interest Rate bear Accrual Period. The Class the Accrual for such Interest Accrual Period. The Class C Notes will bear interest during each Interest Accrual Period at the Accrual for such Interest Class C Note Interest Rate for such Interest Accrual Period. The Class D Notes will bear interest during each Interest Class C Note respect to Interest Accrual Period at the Class D Note Interest Rate for such Interest Accrual Period. Interest with respect to Interest Accrual D Notes will be payable the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class Class the the Class S Notes, the LIBOR for monthly in arrears on each Payment Date, commencing on the July 2007 Payment Date. LmOR for the first Interest commencing monthly in arrears the Accrual Period with respect to the Secured Notes will be determined as of the second Business Day preceding the the Secured with Accrual Period actual year on Closing Date. Calculations of interest on the Secured Notes will be made based on a 360-day year and the actual Secured Notes Closing Date. Calculations each receive of the number of days in each Interest Accrual Period. The Holders of the Income Notes will receive on each Quarterly Interest Accrual Period. The Holders in number of Priority of thereon in accordance Payment Date any amount of Proceeds that are available for distribution thereon in accordance with the Priority of that are available of Payment Date any Class S Notes, the Class A-la is with respect Payments on such Payment Date. The "Interest Accrual Period," is with respect to the Class S Notes, the Class A-Ia Date. on such Payments Class C Notes and the Class Notes, the Class A-Ib Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes and Notes, the Class A-lb Notes, the Class A-2 Notes, the Class any Payment Date, the period commencing on and including the immediately preceding Payment Date (or the the immediately preceding Payment Date (or the commencing on and any Payment Date, the Closing Date in the case of the first Interest Accrual Period) and ending on and including the day immediately Closing Date in the case of the first Interest Accrual Period) and ending on and including the day immediately preceding such Payment Date. preceding such Payment Date. If funds are not available on any Payment Date to pay the full amount of interest on the Class C Notes, or to If funds are not available on any Payment Date to pay the full amount of interest on the Class C Notes, or to the extent interest that is due on such Notes is not paid in order to satisfy certain Coverage Tests, the interest not the extent interest that is due on such Notes is not paid in order to satisfy certain Coverage Tests, the interest not paid (the "Class C Deferred Interest"), will not be due and payable on such Payment Date, but will be added to the paid (the "Class C Deferred Interest"), will not be due and payable on such Payment Date, but will be added to the principal amount of the Class C Notes and, to the extent lawful and enforceable, thereafter shall accrue interest at the principal amount of the Class C Notes and, to the extent lawful and enforceable, thereafter shall accrue interest at the Class C Note Interest Rate. If funds are not available on any Payment Date to pay the full amount of interest on the Class C Note Interest Rate. If funds are not available on any Payment Date to pay the full amount of interest on the Class D Notes, or to the extent interest that is due on such Notes is not paid in order to satisfy certain Coverage Class D Notes, or to the extent interest that is due on such Notes is not paid in order to satisfy certain Coverage Tests, the interest not paid (the "Class D Deferred Interest"), will not be due and payable on such Payment Date, but Tests, the interest not paid (the "Class D Deferred Interest"), will not be due and payable on such Payment Date, but will be added to the principal amount of the Class D Notes and, to the extent lawful and enforceable, thereafter shall will be added to the principal amount of the Class D Notes and, to the extent lawful and enforceable, thereafter shall accrue interest at the Class D Note Interest Rate. So long as any Class S Notes, Class A Notes or Class B Notes are accrue interest at the Class D Note Interest Rate. So long as any Class S Notes, Class A Notes or Class B Notes are outstanding, the failure to pay interest to the Holders of the Class C Notes will not be an Event of Default under the outstanding, the failure to pay interest to the Holders of the Class C Notes will not be an Event of Default under the Indenture. So long as any Class S Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, the failure Indenture. So long as any Class S Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, the failure 53 53 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912627 GS MBS-E-000912627 Footnote Exhibits - Page 5726 to pay interest to the Holders of the Class D Notes will not be an Event of Default under the Indenture. See "to pay interest to the Holders of the Class D Notes will not be an Event of Default under the Indenture. See "Priority of Payments" and "-The Indenture-Events of Defaull" Priority of Payments" and "-The Indenture-Events of Default" Interest will cease to accrue on each Secured Note from the date of repayment in full or Stated Maturity, or Interest will cease to accrue on each Secured Note from the date of repayment in full or Stated Maturity, or in the case of partial repayment, on such part, unless payment of principal is improperly withheld or unless default is in the case of partial repayment, on such part, unless payment of principal is improperly withheld or unless default is othenvise made with respect to such payments of principal. See "-Principal." To the extent lawful and otherwise made with respect to such payments of principal. See "-Principal." To the extent lawful and enforceable, interest on any Defaulted Interest on each Class of Secured Notes entitled thereto will accme at the enforceable, interest on any Defaulted Interest on each Class of Secured Notes entitled thereto will accrue at the interest rate applicable to such Class of Notes, until paid as provided herein. "Defaulted Interest" means any interest interest rate applicable to such Class of Notes, until paid as provided herein. "Defaulted Interest" means any interest due and payable in respect of any Class S Note, Class A Note or Class B Note or if there are no Class S Notes, Class due and payable in respect of any Class S Note, Class A Note or Class B Note or if there are no Class S Notes, Class A Notes or Class B Notes outstanding, any Class C Note or if there are no Class S Notes, Class A Notes, Class B A Notes or Class B Notes outstanding, any Class C Note or if there are no Class S Notes, Class A Notes, Class B Notes or Class C Notes outstanding, any Class D Note which, in any such case, is not punctually paid or duly Notes or Class C Notes outstanding, any Class D Note which, in any such case, is not punctually paid or duly provided for on the applicable Payment Date or at Stated Maturity, as the case may be. provided for on the applicable Payment pate or at Stated Maturity, as the case may be. Determination of LmOR Determination of LIBOR For purposes of calculating each of the Note Interest Rates, the Issuers will appoint as agent LaSalle Bank For purposes of calculating each of the Note Interest Rates, the Issuers will appoint as agent LaSalle Bank National Association (in such capacity, the "Note Calculation Agent"). LillOR shall be detennined by the National Association (in such capacity, the "Note Calculation Agent"). LIBOR shall be determined by the Note Calculation Agent in accordance with the following provisions: Calculation Agent in accordance with the following provisions: On tile second Business Day prior to the commencement an Interest Accrual Period (each such (i) On the second Business Day prior to the commencement of an Interest Accrual Period (each such (i) rate, obtained Note Calculation day, "LillOR Determination Date"), LillOR ("LillOR") shall equal day, a "LIBOR Determination Date"), LIBOR ("LIBOR") shall equal the rate, as obtained by the Note Calculation Eurodollar with respect to the Class Class Class the Class Agent, for Eurodollar deposits for, with respect to the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes, a one-month period (or, in the case of a designated initial payment period of less and tile Class a one-month period in a designated payment period of less tIlan 25 days or, in the case of the first Interest Accrual Period, the linear interpolation thereof, calculated in case Interest linear interpolation calculated than 25 accordance with generally acceptable methodology, which appears on Bridge Telerate Page 3750 (as Telerate is Bridge Telerate Page 3750 Telerate accordance with generally acceptable metllodology, which appears International Swaps Derivatives Inc. ISDA defined in the International Swaps and Derivatives Association, Inc. Annex to the 2000 ISDA Definitions (June 2000 version)), or such page as may replace Bridge Telerate Page 3750, as of 11:00 a.m. (London time) on such version>>, page replace Bridge such LillOR Determination Date. LIBOR Determination (ii) If, on any LIBOR Determination If, on any LillOR Determination Date, such rate does not appear on Bridge Telerate Page 3750, or (ii) arithmetic determine such page as may replace Bridge Telerate Page 3750, the Note Calculation Agent shall detennine the aritiunetic replace Telerate Calculation such interbank for Reference mean of the offered quotations of the Reference Banks to leading banks in the London interbank market for the Eurodollar deposits for, with respect to the Class S Notes, the Class A Notes, the Class B Notes, tile Class C Notes for, Eurodollar and (or, designated and the Class D Notes, a one month period (or, in the case of a designated initial payment period of less than 25 days or, in the case of the first Interest Accrual Period, the linear interpolation thereof, calculated in accordance with interpolation case or, Calculation generally acceptable methodology, in an amount determined by the Note Calculation Agent by reference to requests acceptable methodology, in for quotations as of approximately 11 :00 am. (London time) on the LillOR Determination Date made by the Note LIBOR 11:00 for Reference Calculation Agent to the Reference Banks. If, on any LillOR Determination Date, at least two of the Reference LIBOR If, to the Reference Calculation on any LIBOR such arithmetic Banks provide such quotations, LillOR shall equal such aritllmetic mean of such quotations. If, on any LillOR quotations, LIBOR Banks deemed to LIBOR shall Detennination Date, only one or none of the Reference Banks provide such quotations, LillOR shall be deemed to provide Determination Date, only one Note selected of in be the aritllmetic mean of the offered quotations that leading banks in the City of New York selected by the Note quotations that leading arithmetic mean the be are quoting the on Calculation Agent (after consultation with the Issuer or the Liquidation Agent on behalf of the Issuer) are quoting on Liquidation Issuer or consultation with the Calculation Agent the relevant LIBOR Determination Date for Eurodollar deposits for the applicable period in an amount determined Eurodollar deposits for the applicable period in an amount determined Determination the relevant Issuer) by the Note Calculation Agent (after consultation with the Issuer or the Liquidation Agent on behalf of the Issuer) the Issuer or the Liquidation Agent on behalf of Note Calculation Agent (after by by reference to the principal London offices of leading banks in the London interbank market; provided, however, in the London interbank market; provided, however, offices of leading by reference to the principal in accordance with at least one of the that if the Note Calculation Agent is required but is unable to detennine a rate in accordance with at least one of the if the Note Calculation Agent required but is unable determine a procedures provided above, LillOR shall be LillOR as detennined on the most recent date LillOR was available. procedures provided above, LIBOR shall be LIBOR as determined on the most recent date LIBOR was available. As used herein, "Reference Banks" means four major banks in the London interbank market selected by the Note As used herein, "Reference Banks" means four major banks in the London interbank market selected by the Note Calculation Agent (after consultation with the Issuer or the Liquidation Agent on behalf of the Issuer). Calculation Agent (after consultation with the Issuer or the Liquidation Agent on behalf of the Issuer). As soon as possible after 11:00 a.m. (New York time) on each LillOR Detennination Date, but in no event As soon as possible after 11:00 a.m. (New York time) on each LIBOR Determination Date, but in no event later than 11:00 a.m. (New York tinle) on the Business Day immediately following each LillOR Determination later than 11:00 a.m. (New York time) on the Business Day immediately following each LIBOR Determination Date, the Note Calculation Agent will cause notice of each of the Note Interest Rates for the nex"! Interest Accrual Date, the Note Calculation Agent will cause notice of each of the Note Interest Rates for the next Interest Accrual Period and the amount of interest for such Interest Accrual Period payable in respect of each U.S.$I,OOO principal Period and the amount of interest for such Interest Accrual Period payable in respect of each U.S.$1,000 principal amount of the Class S Notes (the "Class S Note Interest Amount"), of the Class A-la Notes (the "Class A-la Note amount of the Class S Notes (the "Class S Note Interest Amount"), of the Class A-la Notes (the "Class A-la Note Interest Amount"), of the Class A-lb Notes (the "Class A-Ib Note Interest Amount"), of the Class A-2 Notes (the Interest Amount"), of the Class A-lb Notes (the "Class A-lb Note Interest Amount"), of the Class A-2 Notes (the 54 54 Confidential Treatment Requested by Goldman Sachs Confidential Treatment. Requested by Goldman Sachs GS MBS-E-000912628 GS MBS-E-000912628 Footnote Exhibits - Page 5727 "Class A-2 Note Interest Amount") of the Class B Notes (the "Class B Note Interest Amount"), of the Class C Notes "Class A-2 Note Interest Amount") of the Class B Notes (the "Class B Note Interest Amount"), of the Class C Notes "Class C Note Interest Amount"), and of the Class D Notes (the "Class D Note Interest Amount") (collectively, (the "Class C Note Interest Amount"), and of the Class D Notes (the "Class D Note Interest Amount") (collectively, the "Note Interest Amounts") (each rounded to the nearest cent, with half a cent being rounded upward) on the "Note Interest Amounts") (each rounded to the nearest cent, with half a cent being rounded upward) on the related Payment Date, to be communicated the Issuers, DTC, Euroclear, Clearstream, the Note Paying Agents, related Payment Date, to be communicated to the Issuers, DTC, Euroclear, Clearstream, the Note Paying Agents, the Trustee, Liquidation the Securities Intennediary and the Irish Paying Agent (if any) further delivery Trustee, the Liquidation Agent, the Securities Intermediary and the Irish Paying Agent (if any) for further delivery to Irish Stock Exchange (so long any of Notes listed on such exchange). In the last case, the the Irish Stock Exchange (so long as any Class of Notes is listed on such exchange). In the last case, the Note Calculation Agent will furnish such information as possible after determination to the Irish Paying Agent Calculation Agent will furnish such information as soon as possible after its determination to the Irish Paying Agent (if any) as long any Notes are listed the Irish Stock Exchange. The Note Interest Amount Payment (if any) as long as any Notes are listed on the Irish Stock Exchange. The Note Interest Amount on any Payment any Class of Notes be calculated based on the Outstanding principal balance of such Class prior to the Date of any Class of Notes shall be calculated based on the Outstanding principal balance of such Class prior to the payment Amortization Shortfall Note Calculation Agent specify the Issuers and payment of any Amortization Shortfall Amounts. The Note Calculation Agent will also specify to the Issuers and Liquidation Agent the quotations upon which each the Rates are based. The Note Calculation the Liquidation Agent the quotations upon which each of the Note Interest Rates are based. The Note Calculation LIBOR Agent shall notify the Issuers Liquidation Agent before 12:00 time) Agent shall notify the Issuers and the Liquidation Agent before 12:00 p.m. (New York time) on any LIBOR Determination Date has not determined and not in the process of detenuining the applicable Interest Determination Date if it has not detennined and is not in the process of determining the applicable Note Interest Rates Note Interest (collectively, "Interest Calculations"), together reasons Rates and Note Interest Amounts (collectively, the "Interest Calculations"), together with its reasons therefor. Sunday or day on commercial banking "Business Day" means any other (x) Saturday "Business Day" means any day other than (x) Saturday or Sunday or (y) a day on which commercial banking obligated by regulation executive order New authorized institutions are authorized or obligated by law, regulation or executive order to close in New York, New York, Chicago, nlinois, city the Office purposes of Default Swap only, Chicago, Illinois, the city of the Corporate Trust Office or, for the purposes of the Credit Default Swap only, London; provided, purpose detennining LIBOR, "Business be defined London; provided, however, that for the sole purpose of detenining LIBOR, "Business Day" shall be defined as on dealings U.S. transacted London interbank market provided any day on which dealings in deposits in U.S. Dollars are transacted in the London interbank market and provided Irish Paying Agent any), location Irish Paying extent action required of further, that to the extent action is required of the Irish Paying Agent (if any), the location of such Irish Paying determining Paying Agent shall considered in determining "Business Day" Agent shall be considered in determining the "Business Day" for purposes of detennining when such Irish Paying Agent Agent action is required. The Note Calculation Agent may not be removed by the Issuers unless the entity that is serving as Trustee Calculation removed the unless entity Trustee accordance removed Calculation is removed as Trustee. If the Note Calculation Agent is unable or unwilling to act as such or, in accordance with the preceding seDtence, removed Calculation Agent applicable preceding sentence, is removed by the Issuers, or if the Note Calculation Agent fails to determine the applicable Interest Accrual replacement Interest Calculations for any Interest Accrual Period, the Issuers will promptly appoint as a replacement Note Calculation Agent a leading bank which is engaged in transactions in Eurodollar deposits in the international transactions Eurodollar controlled common Eurodollar which Eurodollar market and which does not control or is not controlled by or under common control with the Issuers or their affiliates. The Note Calculation Agent may not resign its duties without a successor having been duly Calculation appointed. In addition, if and for so long as any Notes are listed on the Irish Stock Exchange and the rules of such such require, exchange so require, notice of the appointment of any Note Calculation Agent will be furnished to such stock Calculation exchange Calculation exchange. For so long as any of the Notes remain outstanding, there will at all times be a Note Calculation Agent for the purpose of calculating the applicable Interest Calculations. The determination of the applicable Interest determination calculating manifest Calculations by the Note Calculation Agent shall (in the absence of lnanifest error) be final and binding upon all parties. Payments on the Income Notes Income Notes The Income Notes will not bear interest based upon any fixed or floating rate. fixed each The Fiscal Agent will receive Proceeds on each Quarterly Payment Date (and make payments to the Holders of the Income Notes) to the extent provided in the Indenture, if any, such Proceeds are available pursuant to Income under "-Priority of Payments." clause (xviii) (or pursuant to clause (viii) in the case of the Final Payment Date) under "-Priority of Payments." of the clause (viii) in clause (xviii) (or Secured due on other Such payments will be made on the Income Notes only after all interest and other payments due on the Secured Income referred (with Notes have been made and all expenses of the Issuers have been paid (with such remaining Proceeds referred to as all expenses of Notes Unsecured Obligations." "Excess Amounts"). See "Risk Factors-Notes--Subordination of the Income Notes; Unsecured Obligations." Subordination the Income See "Risk Factors-Notes "Excess made payments will Except as indicated in the Priority of Payments, no principal payments will be made on the Income Notes of Payments, Except indicated the and other Secured until principal of, and accrued and unpaid interest on, the Secured Notes, and all other payments, certain fees and and principal of, expenses, have been paid in full in accordance with the Priority of Payments. Priority of Payments. in accordance have been paid in Principal Principal date the in July 2042 The Notes (other than the Class S Notes) will mature on the Payment Date in July 2042 (each such date the mature on the Payment The Notes (other than the Class S Notes) on the Payment Date July 2013 Class S Notes will "Stated Maturity" with respect to such Notes) and the Class S Notes will mature on the Payment Date in July 2013 . to such Notes) and "Stated Maturity" with 55 55 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912629 GS MBS-E-000912629 Footnote Exhibits - Page 5728 (the "Stated Maturity" with respect to the Class S Notes). The average life of each Class of Secured Notes (other (the "Stated Maturity" with respect to the Class S Notes). The average life of each Class of Secured Notes (other than the Class S Notes) is expected to be substantially shorter than the number of years from issuance until the than the Class S ?Notes) is expected to be substantially shorter than the number of years from issuance until the Stated Maturity for such Class of Notes. See "Risk Factors-Notes-Average Lives, Duration and Prepayment Stated Maturity for such Class of Notes. See "Risk Factors-Notes-Average Lives, Duration and Prepayment Considerations. Considerations."" Principal will be payable on the Class S Notes in accordance with the Priority of Payments on each Principal will be payable on the Class S Notes in accordance with the Priority of Payments on each PaymentDate commencing on the Payment Date occurring in August 2007 in an amount equal to the Class S Notes Payment Date commencing on the Payment Date occurring in August 2007 in an amount equal to the Class S Notes Amortizing Principal Amount with respect to such Payment Date and, if an Event of Default or Tax Event has Amortizing Principal Amount with respect to such Payment Date and, if an Event of Default or Tax Event has occurred and is continuing or an Optional Redemption or Auction has occurred and the Pledged Assets are being occurred and is continuing or an Optional Redemption or Auction has occurred and the Pledged Assets are being . liquidated pursuant to the terms of the Indenture, the Class S Notes will be paid in full prior to any distributions to liquidated pursuant to the terms of the Indenture, the Class Notes will be paid in full prior to any distributions to any other Notes. Principal will be payable on certain of the Notes on each Payment Date, in accordance with the any other Notes. Principal will be payable on certain of the Notes on each Payment Date, in accordance with the Priority of Payments. On any Payment Date, on which certain conditions are satisfied, principal will be paid to the Priority of Payments. On any Payment Date, on which certain conditions are satisfied, principal will be paid to the Holders of the Class A Notes pursuant to the Priority of Payments, only in an amount required to increase (or Holders of the Class A Notes pursuant to the Priority of Payments, only in an amount required to increase (or maintain) the Class A Adjusted Overcollateralization Ratio to a specified target of 147.1%. After achieving and maintain) the Class A Adjusted Overcollateralization Ratio to a specified target of 147.1%. After achieving and maintaining such target and minimum, the payment of remaining principal will shift to the Holders of the Class B maintaining such target and minimum, the payment of remaining principal will shift to the Holders of the Class B Notes until such Holders have been paid an amount required increase maintain) the Class B Adjusted Notes until such Holders have been paid an amount required to increase (or maintain) the Class B Adjusted Overcollateralization Ratio the specified target of 121.0%. After achieving maintaining such level, Overcollateralization Ratio to the specified target of 121.0%. After achieving and maintaining such target level, the to the Holders of the Class Notes which receive principal only in an payment of remaining principal payment of remaining principal shifts to the Holders of the Class C Notes which will receive principal only in an amount required increase (or maintain) Class C Adjusted Overcollateralization Ratio to specified target of amount required to increase (or maintain) the Class C Adjusted Overcollateralization Ratio to a specified target of l14.7%' After achieving and maintaining target level,?the payment remaining principal shifts the 114.7%. After achieving and maintaining such target level, -the payment of remaining principal shifts to the Holders of the Class D Notes which receive principal only in an amount required increase maintain) the Class of the Class D Notes which will receive principal only in an amount required to increase (or maintain) the Class D Adjusted Overcollateralization Ratio to a specified target of 108.1 %. However, if the Net Outstanding Portfolio Overcollateralization Ratio to a specified target 108.1%. the Net Outstanding Portfolio Adjusted U.S.$122,000,000 the Determination Date with respect related Payment Collateral Balance Collateral Balance is less than U.S.$122,000,000 on the Determination Date with respect to the related Payment Date, then only the amount described above to be paid to the Class A Notes will be allocated or paid, such amount to only the described above paid the allocated or amount be allocated, first, to the payment pro rata of principal of all outstanding Class A Notes (provided,however, that all allocated,jirst, the payment pnncipal of all outstanding Notes (provided, principal Class A-I allocated the Class A-Ia until the Notes principal allocated to the Class A-1 Notes will first be allocated to the Class A-la Notes until the Class A-la Notes A-lb A-lb A Notes paid are paid in full and then to the Class A-lb Notes until the Class A-lb Notes are paid in full) until the Class A Notes second, payment principal all Notes have been paid in full, second, to the payment of principal of all outstanding Class B Notes until the Class B Notes payment principal Class have been paid in full, third, to the payment of principal of all outstanding Class C Notes until the Class C Notes been third, D have been paid in full and/our/h, to the payment of all outstanding Class D Notes until the Class D Notes have been paid payment outstanding been andfourth, "shifting permits paid in full. The foregoing "shifting principal" method permits Holders of the Class B Notes, the Class C Notes and senior the Class D Notes to receive payments of principal in accordance with the Priority of Payments while more senior accordance outstanding Proceeds Classes of Notes remain outstanding and permits distributions of Proceeds to the Holders of the Income Notes, to the extent funds are available in accordance with the Priority of Payments, while more senior Notes are outstanding. available accordance Amounts properly paid pursuant to the Priority of Payments to a junior Class of Secured Notes or to the Income more senior Notes will not be recoverable in the event of a subsequent shortfall in the amount required to pay a more'-senior recoverable Class of Secured Notes. if Subject to the availability of funds therefor in accordance with the Priority of Payments, if any of the accordance availability Secured Coverage Tests are not satisfied on any applicable Determination Date, certain of the Secured Notes (other than the Determination applicable "Class S Notes) will be subject to mandatory redemption on the related Payment Date until paid in full. See "S are which such Mandatory Redemption" and the "-Priority of Payments" for a description of the order in which such Notes are for description paid in connection with the failure of a Coverage Test Coverage Test. Scheduled Redemption of Income Notes the end of the Due Period On or prior to the date that is one (1) Business Day prior to the end of the Due Period applicable to the (1) the date that remaining Pledged dispose Maturity Date, the Liquidation Agent will sell, assign, terminate or otherwise dispose of all remaining Pledged the Liquidation Agent will sell, assign, terminate Maturity one (1) Business Day Assets. The settlement dates for any such sales or other dispositions shall be no later than one (1) Business Day dispositions shall be such sales for The settlement Agent will paid to the prior to the end of such Due Period. The proceeds of such sales or other dispositions will be paid to the Fiscal Agent of such sales or other prior to the end of such Due Period. The in the Priority of Payments for deposit into after the payment of amounts senior to the" Holders of the Income Notes in the Priority of Payments for deposit into the payment of amounts senior to the Holders the Account") and payment to the the account maintained therefore by the Fiscal Agent (the "Income Note Payment Account") and payment to the by the Fiscal Agent (the "Income Note account maintained Notes upon such payment. Upon such Holders of the Income Notes as the redemption price for the Income Notes upon such payment. Upon such of the Income Notes as the redemption price for the Holders payment, the Issuer shall redeem the Income Noles. payment, the Issuer shall redeem the Income Notes. 56 56 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912630 GS MBS-E-000912630 Footnote Exhibits - Page 5729 Auction Auction Sixty (60) days prior to the Payment Date occurring in July of each year (each, an "Auction Date") Sixty (60) days prior to the Payment Date occurring in July of each year (each, an "Auction Date") commencing on the July 2015 Payment Date, the Liquidation Agent, on behalf of the Issuer, will take steps to commencing on the July 2015 Payment Date, the Liquidation Agent, on behalf of the Issuer, will take steps to conduct an auction (the "Auction") of the Credit Default Swap, the Eligible Investments (other than caSh), the conduct an auction (the "Auction") of the Credit Default Swap, the Eligible Investments (other than cash), the Delivered Obligations and the Collateral Securities in accordance with procedures specified in the Indenture. If the Delivered Obligations and the Collateral Securities in accordance with procedures specified in the Indenture. If the Liquidation Agent receives one or more bids from Eligible Bidders not later than ten (lO) Business Days prior to the Liquidation Agent receives one or more bids from Eligible Bidders not later than ten (10) Business Days prior to the Auction Date, which, when added to the cash on deposit in the Collateral Account, equals or exceeds the Minimum Auction Date, which, when added to the cash on deposit in the Collateral Account, equals or exceeds the Minimum Bid Amount, it will sell, assign, terminate or otherwise dispose of the Credit Default Swap, Eligible Investments Bid Amount, it will sell, assign, terminate or otherwise dispose of the Credit Default Swap, Eligible Investments (other than cash), the Delivered Obligations and the Collateral Securities for settlement on or before the fifth (other than cash), the Delivered Obligations and the Collateral Securities for settlement on or before the fifth Business Day prior to such Auction Date and the Notes and the Income Notes will be redeemed in whole on such Business Day prior to such Auction Date and the Notes and the Income Notes will be redeemed in whole on such Auction Date (any such date, an "Auction Payment Date"). The Liquidation Agent and its affiliates shall be Auction Date (any such date, an "Auction Payment Date"). The Liquidation Agent and its affiliates shall be considered Eligible Bidders. If the highest single bid on the entire portfolio, or the aggregate amount of multiple considered Eligible Bidders. If the highest single bid on the entire portfolio, or the aggregate amount of multiple bids with respect to individual Collateral Securities, Eligible Investments (other than and Delivered bids with respect to individual Collateral Securities, Eligible Investments (other than cash) and Delivered Obligations, when added to the other Liquidation Proceeds and cash on deposit in the Collateral Account, does not Obligations, when added to the other Liquidation Proceeds and cash on deposit in the Collateral Account, does not equal or exceed the Minimum Bid Amount if there is a failure at settlement, the Credit Default Swap will be equal or exceed the Minimum Bid Amount or if there is a failure at settlement, the Credit Default Swap will not be terminated or assigned, Eligible Investments (other than cash), Collateral Securities and Delivered terminated or assigned, the Eligible Investments (other than cash), Collateral Securities and the Delivered Obligations will not be sold and the redemption of the Notes on the related Auction Date will not Obligations will not be sold and the redemption of the Notes on the related Auction Date will not occur. The Secured will redeemed in whole applicable Secured Redemption The Secured Notes will be redeemed in whole at the applicable Secured Note Redemption Price following distributable the final payment on a successful Auction in accordance with the Priority of Payments. The amount distributable as the final payment on successful Auction in accordance with Priority of Payments. The a the Income Notes such redemption equal the Income Note Redemption Price, which be less the Income Notes following any such redemption will equal the Income Note Redemption Price, which may be less than then current Aggregate Outstanding Amount of the Income than the then current Aggregate Outstanding Amount of the Income Notes). Tax Redemption Redemption Subject to certain conditions described herein, the Secured Notes may be redeemed by the Issuers at any lnay redeemed by Issuers Secured certain conditions part, Issuers becoming aware occurrence time, in whole but not in part, 90 days following the Issuers becoming aware of the occurrence of a Tax Event (pro\iided 90-day period if, during extended (provided that such 90-day period shall be ex1ended by another 90 days if, during the initial 90-day period, the of Issuers related expects changed Issuers have notified the Holders of the Notes that the related Issuer expects that it shall have changed its place of residence later Redemption Prices or residence by the end of the later 90-day period) at their Secured Note Redemption Prices or the Income Note Redemption written of, Redemption Price, as applicable, at the written direction of, or with the written consent of, (i) the Holders of at least a Super Majority of the Income Notes or (ii) the Holders of a Majority of any Class of Secured Notes which, as a Income Majority a or result of the occurrence of a Tax Event, has not received 100% of the aggregate amount of principal and interest or occurrence "Tax Redemption"); other amounts then due and payable on such Notes on any Payment Date (such redemption, a "Tax Redemption"); or expected provided that no such redemption shall be effected unless the eXllected Liquidation Proceeds equal or exceed the redemption provided Total Redemption Amount. If a Tax Redemption occurs, the Income Notes will be redeemed simultaneously. No Redemption such Tax Redemption will occur unless all amounts payable to the Credit Protection Buyer or any assignee in full, (including all Credit Default Swap Termination Payments) will have been paid in full, in each case, on the related Swap redemption date. Tax of Fiscal Trustee In connection wIth a Tax Redemption, the Issuers shall notify the Trustee and the Fiscal Agent, of such Tax In connection with "Tax Redemption and the Payment Date which is the date for redemption (the "Tax Redemption Date") and direct the the date for redemption and the Payment Trustee, in writing, to assign, terminate or otherwise dispose of, in the manner determined by the Liquidation Agent, of, or to in Eligible and in accordance with the Indenture, the Credit Default Swap, Collateral Securities, Eligible Investments and Default Swap, Collateral the in Trustee shall Delivered Obligations and upon any such assignment, termination or other disposition, the Trustee shall release the assigmnent, termination or other disposition, Obligations and upon any Delivered lien upon the Credit Default Swap or any such Collateral Security, Eligible Investment and Delivered Obligation Collateral Security, Eligible Investment Swap or the lien or assign, the pursuant to the Indenture; prOVided, however, that the Issuer may not direct the Trustee to assign, terminate or Indenture; provided, however, that the Issuer pursuant Swap or any lien upon) the otherwise dispose of (and the Trustee shall not be obligated to release the lien upon) the Credit Default Swap or any shall not dispose of (and the otherwise set such Collateral Security, Eligible Investment or Delivered Obligation except in accordance with the procedures set such Collateral Security, Eligible Investment or Delivered Obligation except in accordance with the that the Liquidation Agent shall have forth in the Indenture including, without limitation, the requirement that the Liquidation Agent shall have forwarded without limitation, the forth in the Indenture to the Trustee binding agreements or certificates evidencing that the Liquidation Proceeds anticipated from the Trustee binding agreements or certificates evidencing that the Liquidation Proceeds anticipated from the to disposition of the Pledged Assets will equal or exceed the Total Redemption Amount The proceeds available for disposition of the Pledged Assets will equal or exceed the Total Redemption Amount The proceeds available for distribution in connection with a Tax Redemption will be reduced by the amount of eXllected Credit Default Swap distribution in connection with a Tax Redemption will be reduced by the amount of expected Credit Default Swap Termination Payments due to the Credit Protection Buyer or any assignee. Termination Payments due to the Credit Protection Buyer or any assignee. 57 57 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912631 GS MBS-E-000912631 Footnote Exhibits - Page 5730 The amount payable to the Holders of the Secured Notes in connection with any Tax Redemption of the Secured any Redemption Secured Notes will equal the Secured Note Redemption Prices thereof. The amount distributable as a final Redemption distributable fInal Secured Secured redemption Secured redemption payment on the Income Notes following any redemption of the Secured Notes will equal the Income redemption payment Note Redemption Price. Redemption Optional Redemption Subject to certain conditions described herein, the Secured Notes may be redeemed by the Issuers and the certain conditions redeemed Redemption or Income Notes may be redeemed by the Issuer, in whole but not in part at their Secured Note Redemption Prices or the Income Note Redemption Price, as applicable, on any Payment Date on or after the July 2010 Payment Date, at Income Payment Payment Date; of, direction of, the written direction of, or with the written consent of, the Holders of a Majority of the Income Notes (including Income Notes held by the Liquidation Agent or any affiliate thereof) (such redemption, an "Optional Redemption"); "Optional Redemption"); Liquidation effected equal provided that no Optional Redemption shall be effected unless the expected Liquidation Proceeds will equal or expected Liquidation exceed exceed the Total Redemption Amount. If the Holders of the Income Notes so elect to cause an Optional Redemption, simultaneously. Redemption, the Income Notes will be redeemed simultaneously. In connection with an Optional Redemption, the Issuers shall notify the Trustee and the Fiscal Agent, as connection as to applicable, of such Optional Redemption and the Optional Redemption Date and direct the Trustee, in writing, to Optional Redemption Redemption sell, assign, terminate or otherwise dispose of, in the manner determined by the Liquidation Agent, and in determined Liquidation accordance with the Indenture, the Credit Default Swap, Collateral Securities, Eligible Investments and Delivered Delivered accordance Investments Obligations and upon any such sale, assignment, termination or other disposition, the Trustee shall release the lien Collateral Securities, upon the Credit Default Swap, Collateral Securities, Eligible Investments and Delivered Obligations pursuant to the Obligations Indenture; provided, of lnay terminate otherwise Indenture; provided, however, that the Issuer may not direct the Trustee to assign, terminate or otherwise dispose of (and the Trustee shall not be obligated to release the lien upon) the Credit Default Swap or any Collateral Security, Swap accordance Eligible Investment or Delivered Obligation except in accordance with the procedures set forth in the Indenture Delivered except procedures requirement forwarded Trustee including, without limitation, the requirement that the Liquidation Agent shall have forwarded to the Trustee binding tIlat anticipated termination or agreements or certificates evidencing that the Liquidation Proceeds anticipated from the assignment, termination or certificates other disposition of the Credit Default Swap, Collateral Securities, Eligible Investments and Delivered Obligations Obligations Credit Collateral Investments and other assets of the Issuer will equal or exceed the Total Redemption Amount. The amount payable to the Holders of the Secured Notes in connection with any Optional Redemption of Secured connection of Optional the Secured Notes will equal the Secured Note Redemption Prices thereof. The amount distributable as a final Secured Secured Note Redemption Prices fInal redemption Income redemption payment on the Income Notes following any redemption of the Secured Notes will equal the Income Note Redemption Price. Redemption Optional Redemption/Tax Redemption Procedures. To conduct an Optional Redemption or a Tax Optional RedemptionlTax Procedures. Redemption precedent procedures must Redemption, the procedures set forth in the Indenture must be followed and any conditions precedent thereto must be satisfIed. satisfied. If in the case of a Tax Redemption or an Optional Redemption of the Secured Notes and the Income Notes, Optional Redemption Secured Secured affected any Holder of an Income Note or, in the case of a Tax Redemption, any Holder of a Secured Note affected by a Tax Income Notes Event, desires to direct the Issuers with respect to the Secured Notes and the Issuer with respect to the Income Notes Secured Paying to redeem the Secured Notes and the Income Notes, such person shall notify the Principal Note Paying Agent, in the case of a Holder of Secured Notes or the Fiscal Agent, in the case of a Holder of Income Notes, which in each case will in turn notify the Trustee (with a copy to the Issuer, the Liquidation Agent and the Credit Protection Buyer) of of tum Trustee Protection such desire in writing no less than tIIirty (30) Business Days prior to such Payment Date. Such notice shall be tI1an thirty (30) Payment irrevocable. Optional Redemption mail; The Trustee will provide notice of any Optional Redemption or Tax Redemption by first-class mail: Trustee scheduled postage prepaid, mailed not less tIlan ten (10) Business Days prior to the scheduled Tax Redemption Date or (10) than Optional Redemption Date, as applicable, to the Principal Note Paying Agent, to the Fiscal Agent, to the Credit Paying Credit Optional Redemption register Protection Buyer, the Rating Agencies and to each Holder of a Secured Note at such Holder's address in the register maintained by the Note Registrar under the Indenture. The Fiscal Agent will provide the same notice to each Holder Holder of an Income Note at such Holder's address in the Income Notes Register maintained by the Income Notes Transfer Income maintained Income Transfer Agent pursuant to the Fiscal Agency Agreement. In addition, the Trustee or the Fiscal Agent will, if and for so long Trustee as ally Class of Secured Notes or the Income Notes to be redeemed is listed on the Irish Stock Excllange, direct the any redeemed Exchange, 58 58 Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912632 MBS-E-000912632 Footnote Exhibits - Page 5731 Irish Paying Agent to (i) cause notice of such Optional Redemption or Tax Redemption to be delivered to the Irish Paying Agent to (i) cause notice of such Optional Redemption or Tax Redemption to be delivered to the Company Announcements Office of the Irish Stock Exchange not less than ten (10) Business Days prior to the Company Announcements Office of the Irish Stock Exchange not less than ten (10) Business Days prior to the Redemption Date and (ii) promptly notify the Irish Stock Exchange of such Optional Redemption or Tax Redemption Date and (ii) promptly notify the Irish Stock Exchange of such Optional Redemption or Tax Redemption. The initial paying agents the Notes are LaSalle National Association, Principal Paying The initial paying agents for the Notes are LaSalle Bank National Association, as Principal Note Paying Irish Stock Exchange, Paying Agent. Agent, and, if and so long as any Notes are listed on Agent, and, if and so long as any Notes are listed on the Irish Stock Exchange, the Irish Paying Agent. called redemption than the case of Auction) be Secured Notes or Income Secured Notes or Income Notes called for redemption (other than in the case of an Auction) must be surrendered at the office of any paying agent appointed under the Indenture or the Fiscal Agency Agreement, office paying agent appointed under the Indenture Fiscal Agency Agreement, surrendered respectively, in order to receive payments on the Notes. The initial agent Secured Notes respectively, in order to receive any final payments on the Notes. The initial paying agent for the Secured Notes and LaSalle Bank National Association and and so long any are listed on Stock Income Notes is LaSalle Bank National Association and if and for so long as any Notes are listed on the Irish Stock Exchange, Paying Agent Exchange, the Irish Paying Agent Any such notice redemption deemed be withdrawn entirety by Issuers on the seventh Any such notice of redemption will be deemed to be withdrawn in its entirety by the Issuers on the seventh Day prior the scheduled redemption date the Liquidation Agent shall not have d(,:livered tlle sale Business Day prior to the scheduled redemption date if the Liquidation Agent shall not have delivered the sale agreements or certifications, required the such In such shall agreement agreement or agreements or certifications, required by the Indenture by such date. In such event, the Trustee shall notify Fiscal Agent withdrawn overnight courier guaranteeing notify the Fiscal Agent that the notice of redemption has been withdrawn by overnight courier guaranteeing next day with copy facsimile delivery later the Day prior such scheduled redemption delivery sent not later than the sixth Business Day prior to such scheduled redemption date with a copy by facsimile The Liquidation shall be the failure effect Optional Redemption or Tax transmission. The Liquidation Agent shall be liable only for the failure to effect an Optional Redemption or Tax Redemption the Liquidation Agent's negligence or willful Notice of such Redemption due to the Liquidation Agent's gross negligence or willful misconduct. Notice of any such withdrawal be expense tlle Trustee shall be given at the Issuer's expense by the Trustee or the Fiscal Agent, as applicable, to each Holder of a Note at appearing applicable register maintained Transfer Indenture the address appearing in the applicable register maintained by the Note Transfer Agent under the Indenture or the Income Transfer Agency Agreement, applicable, overnight Income Notes Transfer Agent under the Fiscal Agency Agreement, as applicable, by overnight courier guaranteeing next day delivery sent not later than the third Business Day prior to the scheduled redemption date, with a copy by delivery scheduled redemption Protection Liquidation Agent Rating facsimile transmission facsimile transmission to the Credit Protection Buyer, the Liquidation Agent and the Rating Agencies (so long as the any of the Notes are rated). The Trustee or the Fiscal Agent will also give notice to tlle Irish Paying Agent if any tlle Notes are then listed on the Irish Stock Exchange. Mandatory Redemption Mandatory Payment AlB Overcollateralization On any Payment Date on which the Class A/B Overcollateralization Test was not satisfied on the last A "Deterination Business Day of tlle immediately preceding Due Period (such Business Day, the "Determination Date"), the Class A the immediately Notes and the Class B Notes will be redeemed at par plus accrued interest as follows: redeemed accrued If the Class AlB Overcollateralization Test is not satisfied on any Detennination Date related to a Payment A/B Overcollateralization If Payment Date after giving effect to all payments of principal on such Payment Date (without giving effect to any payments payments principal pursuant to clause (vii) or clauses (Lx) and (xi) of the Priority of Payments), all Proceeds net of amounts payable (ix) (vii) of of under clauses (i) through (vi) of the Priority of Payments will be used, first, pro rata, to the payment of principal of used,first, pro rata, of the (i) through the Class A-la Notes and the Class A-Ib Notes until the Class A-Ia Notes and the Class A-lb Notes are paid in full, full, A-lb A-la A-lb the third, to Class A-2 second, to the payment of principal of the Class A-2 Notes until the Class A-2 Notes are paid in full, and third, to . second, S the payment of principal of the Class B Notes until the Class B Notes are paid in full. The Class S Notes, the Class the the C Notes, the Class D Notes and the Income Notes will not be subject to mandatory redemption as a result of the Income Class failure of tlle Class AlB Overcollateralization Test. failure of the Class A/B Overcollateralization Test. on any Determination If the Class C Overcollateralization Test is not satisfied on any Determination Date related to a Payment not If the Class C Overcollateralization any (without giving Date after giving effect to all payments of principal on such Payment Date (without giving effect to any payments of Date after giving effect all of amounts (a) Amortization pursuant to clause (ix) or clause (xi) of the Priority of Payments), (a) Amortization Proceeds only net of amounts Priority clause (xi) of pursuant clause (ix) payment of pro rata (i) payable under clauses (i) through (viii) of the Priority of Payments will be applied pro rata (i) to the payment of of (i) through payable under clauses and (iii) of all outstanding Class principal of all outstanding Class A Notes, (ii) to the payment of principal of all outstanding Class B Notes and (iii) of (ii) the outstanding principal the the Class B Notes A to the payment of principal of all outstanding Class C Notes, until the Class A Notes, the Class B Notes and the Class C Notes, until the all to the payment of Balance is less than Class C Notes are paid in full; provided that, if the Net Outstanding Portfolio Collateral Balance is less than Net Outstanding Portfolio provided that, if C Notes are paid in amount will be Payment U.s.$152,500,000 on the Determination Date with respect to the related Payment Date, then such amount will be the Date with U.S.$152,500,000 on the until the and the Class A-lb of the Class A-la applied first, pro rata (i) to the payment of principal of the Class A-Ia Notes and the Class A-lb Notes until the payment of to applied first, pro rata of the Class Class A-la Notes and the Class A-lb Notes are paid in full, second (ii) to the payment of principal of the Class A-2 A-la Notes and the Class A-lb Notes are paid in full, second (ii) to the payment of until the Notes until the Class A-2 Notes are paid in full, third (iii) to tlle payment of principal of the Class B Notes until the Class A-2 Notes are paid in full, third (iii) to the payment of principal of the Notes until 59 59 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912633 GS MBS-E-000912633 Footnote Exhibits - Page 5732 Class B Notes are paid in full and fourth (iv) to the payment of principal of the Class C Notes until th~ Class C Class B Notes are paid in full and fourth (iv) to the payment of principal of the Class C Notes until the Class C Notes are paid in full, and (b) any remaining Proceeds to the payment of principal of all outstanding Class C Notes Notes are paid in full, and (b) any remaining Proceeds to the payment of principal of all outstanding Class C Notes until the Class C Notes are paid in full. The Class S Notes, the Class D Notes and the Income Notes will not be until the Class C Notes are paid in full. The Class S Notes, the Class D Notes and the Income Notes will not be subject to mandatory redemption as result of the failure of the Class C Overcollateralization Test. subject to mandatory redemption as aa result of the failure of the Class C Overcollateralization Test. If the Class D Overcollateralization Test is not satisfied on any Determination Date related to a Payment If the Class D Overcollateralization Test is not satisfied on any Detennination Date related to a Payment Date (together with the Class NB Overcollateralization Test and the Class C Overcollateralization Test, the Date (together with the Class A/B Overcollateralization Test and the Class C Overcollateralization Test, the "Coverage Tests"), amounts available pursuant to clause (xii) of the Priority of Payments, will be applied to the "Coverage Tests"), amounts available pursuant to clause (xii) of the Priority of Payments, will be applied to the payment of principal of all outstanding Class D Notes until the Class D Notes are paid in The Class S Notes, payment of principal of all outstanding Class D Notes until the Class D Notes are paid in full. The Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes and the Income Notes will not be subject to mandatory the Class A Notes, the Class B Notes, the Class C Notes and the Income Notes will not be subject to mandatory redemption as a result of the failure of the Class D Overcollateralization Test. redemption as a result of the failure of the Class D Overcollateralization Test. The Coverage Tests will be used primarily to determine whether interest may be paid on the Class C Notes The Coverage Tests will be used primarily to determine whether interest may be paid on the Class C Notes and the Class D Notes and whether Proceeds will be distributed to the Holders of the Income Notes, and whether and the Class D Notes and whether Proceeds will be distributed to the Holders of the Income Notes, and whether Proceeds must be used to make mandatory redemptions of the Class A-Ia Notes, the Class A-Ib Notes, the Class Proceeds must be used to make mandatory redemptions of the Class A-la Notes, the Class A-lb Notes, the Class A2 Notes, the B Notes, the Class Notes and the D See "Description of the Notes-Principal" 2 Notes, the Class B Notes, the Class C Notes and the Class D Notes. See "Description of the Notes-Principal" and "-Priority Payments." The Coverage Tests will?consist of the Class NB Overcollateralization and "-Priority of Payments." The Coverage Tests will consist of the Class A/B Overcollateralization Test, the Class C Overcollateralization Test and the Class D Overcollateralization Test. For purposes of the Coverage Tests, Overcollateralization Test and the Class D Overcollateralization For purposes of the Coverage Tests, characteristics of (i) unless .otherwise specified, a CDS Transaction shall be included as a Pledged Asset having the characteristics of unless otherwise CDS Transaction shall be included as Pledged Asset having Reference Obligation and not the CDS Transaction; provided, such Protection is in default the Reference Obligation and not of the CDS Transaction; provided, that if such Credit Protection Buyer is in default the related CDS such CDS Transaction shall a Collateral Asset for purposes of under the related CDS Transaction, such CDS Transaction shall not be included as a Collateral Asset for purposes of the Coverage Tests or such CDS Transaction will be treated in such a way that will satisfy the Rating Agency Coverage Tests or? such CDS Transacti9n will be treated in such a way that will satisfy tlle Rating Agency Condition calculation of Class NB Overcollateralization the Overcollateralization Condition and (ii) the calculation of the Class A/B Overcollateralization Ratio, the Class C Overcollateralization Ratio Class D Overcollateralization Ratio any Determination such Coverage applicable Ratio and the Class D Overcollateralization Ratio on any Determination Date that such Coverage Test is applicable be made pursuant Priority of shall be made gIving effect all scheduled or expected shall be made by giving effect to all payments scheduled or expected to be made pursuant to the Priority of Payments following Determination each of NB the Payment Payments on tlle Payment Date following such Determination Date. For purposes of each of the Class A/B Overcollateralization Overcollateralization Overcollateralization Class Overcollateralization Test, the Class C Overcollateralization Test and the Class D Overeollateralization Test, Principal Balance contained tlle Principal Balance notwithstanding the definition of Principal Balance contained herein, the Principal Balance of any security that is not currently paying cash interest (excluding any security that is, in accordance with its terms, making payments due paying security accordance terms, purchased Issuer; thereon "in kind") shall be the accreted value of such security as of the date on which it was purchased by the Issuer, accreted "in kind") provided, accreted provided,that such accreted value shall not exceed the par amount of such security. The Class A/B Overcollateralization Test ClassAlB Overcollateralization A/B Overcollateralization The "Class NB Overcollateralization Ratio" as of any Determination Date will equal the ratio (expressed Determination as a percentage) obtained by dividing (i) the Net Outstanding Portfolio Collateral Balance on such Determination Balance Outstanding (i) minus Amortization Date by (ii) the Aggregate Outstanding Amount of the Class A Notes and the Class B Notes, minus the Amortization Outstanding Amount Proceeds expected to be available prior to clause (xi) of the Priority of Payments on the related Payment Date prior expected assuming that the Coverage Tests are satisfied. satisfied. Tests assuming that on Detennination The "Class NB Overcollateralization Test" will be satisfied on any Detennination Date on which any Class The "Class A/B Overcollateralization Test" A Notes or Class B Notes remain outstanding if the Class NB Overcollateralization Ratio on such Determination A/B Overcollateralization Ratio on such Determination if the Notes or A A/B Overcollateralization Ratio is Date is equal to or greater than 116.0%. As of the Closing Date, the Class NB Overcollateralization Ratio is 116.0%. As of Date is equal expected to be equal to 119.0%. expected to be equal The Class C Overcoilateralization Test Class OvercollateralizationTest (expressed a will equal the The "Class C Overcollateralization Ratio" as of any Determination Date will equal the ratio (expressed as a any Determination C Overcollateralization The Collateral Balance on such Determination percentage) obtained by dividing (i) the Net Outstanding Portfolio Collateral Balance on such Detennination Date percentage) obtained by dividing (i) the Net Outstanding and by (ii) the Aggregate Outstanding Amount of the Notes (other than tlle Class S Notes, the Class D Notes and the Notes (other than the Class S Notes, the Class of the Aggregate Outstanding by Proceeds expected to be IIi.come Notes and including Class C Deferred Interest), minus the Amortization Proceeds expected to be available minus the Incomhe Notes and including Class C Deferred Coverage Tests are assuming that prior to clause (xi) of the Priority of Payments on the related Payment Date assuming that the Coverage Tests are Payment Priority of Payments on the (xi) of prior to satisfied. satisfied. The "Class C Overcollateralization Test" will be satisfied on any Determination Date on which any Class C The "Class C Overcollateralization Test" will be satisfied on any Determination Date on which any Class C Notes remain outstanding if the Class C Overcollateralization Ratio on? such Determination Date is equal to or Notes remain outstanding if the Class C Overcollateralization Ratio on such Determination Date is equal to or 60 60 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912634 GS MBS-E-000912634 Footnote Exhibits - Page 5733 greater than As of the Date, the Class Overcollateralization Ratio eXl'ected be equal greater than 109.9%. As of the Closing Date, the Class C Overcollateralization Ratio is expected to be equal to 111.7%. 111.7%. Class D The Class D Overcollateralization Test The "Class Overcollateralization Ratio" any Detennination Date equal as The "Class D Overcollateralization Ratio" as of any Determination Date will equal the ratio (expressed as a percentage) by dividing Detennination Net Outstanding Portfolio Collateral Balance percentage) obtained by dividing (i) the 'Net Outstanding Portfolio Collateral Balance on such Determination Date Income the and (ii) Aggregate Outstanding Amount by (ii) the Aggregate Outstanding Amount of the Notes (other than the Class S Notes and Income Notes and including Class C Deferred Interest and Class D Deferred Interest), (after giving effect to the application of funds Class C Deferred Interest Class D Deferred Interest), (after giving effect application pursuant clause (xi) Priority of Payments related assuming Coverage pursuant to clause (xi) of the Priority of Payments on the related Payment Date), assuming that the Coverage Tests are satisfied. "Class D Overcollateralization will on Detennination which any Class The "Class D Overcollateralization Test" will be satisfied on any Determination Date on which any Class Determination Date is equal or D Notes remain outstanding if the Class D Overcollateralization Ratio on such Detennination Date is equal to or outstanding the Class Overcollateralization greater than lOS.9%. Date, Class Overcollateralization is expected equal to greater than 105.9%. As of the Closing Date, the Class D Overcollateralization Ratio is expected to be equal to 107.4%. Cancellation Cancellation All are redeemed surrendered cancellation described be All Notes that are redeemed or paid and surrendered for cancellation as described herein will forthwith be canceled reissued canceled and may not be reissued or resold. Payments Payments Payments principal Payments on any Payment Date in respect of principal of and interest on the Notes issued as Global Notes will be made person relevant registered will be made to the person in whose name the relevant Global Note is registered at the close of business on the issued Payment Business Day prior to such Payment Date. For the Notes issued in definitive form, payments on any Payment Date in respect of principal, interest and other distributions will be made to the person in whose name the relevant Business Payments registered Security is registered as of the close of business 10 Business Days prior to such Payment Date. Payments on the maintained Global Notes will be payable by wire transfer in immediately available funds to a U.S. Dollar account maintained by payable immediately fimds U.S. DTC or its nominee (in the case of the Global Notes) or each Holder (in the case of individual Definitive Notes) to Definitive the extent practicable or othenvise by U.S. Dollar check drawn on a bank in the United States sent by mail either to ex1ent practicable dr otherwise United to applicable DTC or its nominee (in the case of the Global Notes), or to each Holder at its address appearing in the applicable nominee address appearing register. Final payments in respect of principal on the Notes will be made only against surrender of the Notes at the surrender Intermediary, office of any paying agent. None of the Issuers, the Securities Intermediary, the Trustee, the Liquidation Agent, the aspects Credit Credit Protection Buyer or any paying agent will have any responsibility or liability for any aspects of the records maintained thereby of maintained by DTC or its nominee or any of its participants relating to, or for payments made thereby on account of . beneficial interests in, a Global Note. The Issuers eXl'ect that DTC or its nominee, upon receipt of any payment of principal or interest in respect principal respect expect participants' of a Global Note held by DTC or its nominee, will immediately credit participants' accounts with payments in proportionate amounts proportionate to their respective beneficial interests in such Global Notes as shown on the records of DTC such or its nominee. The Issuers also expect that payments by participants to owners of beneficial interests in such customary Global Notes held through such participants will be governed by standing instructions and customary practices, as is standing such now the case with securities held for the accounts of customers registered in the names of nominees for such customers. Such payments will be the responsibility of such participants. responsibility If any payment on a Note is due on a day that is not a Business Day, then payment will not be made until payment the next succeeding Business Day . Day. succeeding . .. -. -. 'Ifaild for so long as the Notes are listed on the Irish Stock Exchange and the rules oiSuch exchange so rulds of such exchange so are 'If ahd for so require, the Issuers will have a paying agent and a transfer agent in accordance with the requirements of the rules of accordance a transfer have such exchange for such Notes and payments on and transfers or exchanges of interest in such Notes may be effected such at (if any) through the Irish Paying Agent. In the event that the Irish Paying Agent (if any) is replaced at any time during such 61 Confidential Treatment Requested by Goldman Sachs Treatment Requested by GS MBS-E-000912635 MBS-E-000912635 Footnote Exhibits - Page 5734 period, notice of the appointment of any replacement will be given to the Irish Stock Exchange if and as long as any notice of appointment any replacement Stock Exchange and as Notes are listed thereon Notes are listed thereon. Amortization Amounts Amortization Amounts Business each the extent there Aggregate Amortization Two Business Days prior to each Payment Date, to the extent there is a positive Aggregate Amortization related Determination pursuant Amortization Payment Date determined Amount for such Payment Date determined as of the related Determination Date, pursuant to the Amortization Payment Liquidation Procedure, an amount "Amortization Proceeds" respect to Liquidation Procedure, an amount (such amount, the "Amortization Proceeds" with respect to such Payment Date) equal to up to the Aggregate Amortization Amount shall be withdrawn by the Trustee and deposited in the Payment Aggregate Amortization Amount shall withdrawn by the deposited Payment application accordance with the Priority Payments on Payment Account for application in accordance with the Priority of Payments on such Payment Date. If any Payment exists Amortization Shortfall Collateral Account If on any Payment Date there exists an Amortization Shortfall Amount, the Collateral Account Amount reduced by Aggregate Amortization and Trustee calculate, shall shall be deemed to be reduced by the full Aggregate Amortization Amount and the Trustee shall calculate, and maintain Amortization been on fonna basis on maintain a record of, how such Amortization Shortfall Amount would have been paid out on a pro forma basis on had the. amount such Payment accordance Priority such Payment Date in accordance with the Priority of Payments had the .amount available pursuant to the Amortization Liquidation Procedure Payment Collateral Account Amortization Liquidation Procedure from .the Collateral Account on such Payment Date been equal to the full Aggregate Amortization Amount. In each Due Period relating to the Payment Date or Payment Dates inunediately Amortization each Due relating Payment Dates immediately Date Amortization Amount occurred, received following any Payment Date on which an Amortization Shortfall Amount occurred, all principal payments received the Issuer Collateral Eligible Collateral an amount by the Issuer on the Collateral Securities and the Eligible Investments in the Collateral Account up to an amount equal to such Amortization Shortfall Amount shall be deposited by the Trustee in the Amortization Shortfall Amortization Shortfall shall Amortization Account. Amounts on deposit in the Amortization Shortfall Account shall be applied by the Trustee on the Amortization Account. Trustee immediately following Payment Date for the purposes and to the Persons that would have otherwise received such Payment Date and Persons would have otherwise received such immediately maintained of amounts in accordance with the calculations (and records) of the Trustee maintained pursuant to the first sentence of accordance calculations this paragraph. To the extent there remains any unsatisfied Amortization Shortfall Amount on the next Payment there unsatisfied Amortization Shortfall Amount Payment calculating Amortization Proceeds such Payment Date Principal Balance Date, for purposes of calculating the Amortization Proceeds on such Payment Date the Principal Balance of the Collateral Securities Collateral amount Collateral Securities and Eligible Investments on deposit in the Collateral Account shall be reduced by the amount of any unsatisfied Amortization Shortfall Amount from any prior Payment Date. unsatisfied Amortization Priority of Payments With respect to any Payment Date, all Proceeds received on the Pledged Assets during the related Due Payment Period in the Interest Collection Account will be applied by the Trustee in the priority set forth below (the "Priority Trustee of Payments"). For purposes of the Priority of Payments, amounts paid as interest, fees or distributions on the Notes rata on a "pro rata"basis shall be pro rata based on the amount due on such Class or subclass of Notes, amounts paid as "pro rata" of principal principal outstanding pro rata principal shall be made pro rata based on the amount of principal then outstanding on such Class or subclass of assumed Notes and unless stated otherwise, Proceeds not constituting Amortization Proceeds will be assumed to be applied Proceeds applied prior prior to any Amortization Proceeds. Termination Defaulted Amounts due in respect of Defaulted Credit Default Swap Termination Payments shall be deposited into the Payment Account and paid in accordance with the Priority of Payments on each Payment Date. Credit Protection Protection accordance of Amounts due to the Credit Protection Buyer (or any assignee thereof) will be paid when due pursuant to the terms of Protection pursuant the Credit Default Swap. On the Business Day prior to each Payment Date (other than a Final Payment Date), the Trustee will transfer all funds then on deposit in the Interest Collection Account (other than amounts received after the end of the Account related Due Period) into the Payment Account. On each Payment Date (other than a Final Payment Date), amounts Payment Report in the Payment Account will be applied by the Trustee pursuant to the Note Valuation Report in the manner and order of priority set forth below: i. .to i. limitation, annual to the payment of taxes and filing and registration fees (including, without limitation, annual and return fees) owed by the Issuers, if any; . if any; on Trustee to the payment of accrued and unpaid fees of the Trustee up to a maximum amount on any payment Amount 0.00208% Payment Date equal to the greater ofU.S.$2,083 and 0.00208% of the Monthly Asset Amount for of U.S.$2,083 ii. ii. 62 Confidential Treatment Requested by Goldman Sachs Requested by Goldman GS MBS-E-000912636 GS MBS-E-000912636 Footnote Exhibits - Page 5735 the related Due Period (or, in the case of the fIrst Due such amounts are adjusted based the related Due Period (or, in the case of the first Due Period, as such amounts are adjusted based on the number of days in such Due Period); on the number of days in such Due Period); iii. iii. (a) jirst, to the payment of any remaining accrued and unpaid Administrative Expenses of the (a) first, to the payment of any remaining accrued and unpaid Administrative Expenses of the Issuers, excluding indemnities (and legal expenses related thereto) payable Issuersjirst, Issuers, excluding any indemnities (and legal expenses related thereto) payable by the Issuersfirst, to the Trustee, the Collateral the Fiscal Agent and the Income Transfer to the Trustee, the Collateral Administrator, the Fiscal Agent and the Income Notes Transfer rata, to other parties entitIed thereto; (b) second, to the payment of any Agent and Agent and second, pro rata, to any other parties entitled thereto; (b) second, to the payment of any indemnities (and legal expenses related thereto) payable by Issuers jirst, to Trustee, tile indemnities (and legal expenses related thereto) payable by the Issuers first, to the Trustee, the Collateral Administrator and the Fiscal Agent and second, pro rata, other parties entitled Collateral Administrator and the Fiscal Agent and second, pro rata, to any other parties entitled third, the Expense Reserve Account lesser U.S.$50,000 and amount thereto; and thereto; and (c) third, to the Expense Reserve Account the lesser of U.S.$50,000 and the amount necessary briIig the balance such account U.S.$200,000; provided, that necessary to bring the balance of such account to U.S.$200,000; provided, however, that the through of clause (iii) on any Payment Date aggregate payments pursuant to subclauses aggregate payments pursuant to subclauses (a) through (c) of this clause (iii) on any Payment Date shall not exceed U.S.$250,000 the aggregate payments subclauses(a) and (b) of shall not exceed U.S.$250,000 and the aggregate payments pursuant to subclauses (a) and (b) of clause (iii) and the prior 11 Payment Dates shall exceed U.S.$300,000; this clause (iii) and the prior 11 Payment Dates shall not exceed U.S.$300,000; payment jirst, accrued unpaid interest Defaulted to the payment of, (a) first, accrued and unpaid interest on the Class S Notes (including Defaulted Interest interest thereon) beginning Payment Date occurring Interest and interest thereon) and beginning with the Payment Date occurring in August 2007, the Class amount the Class Amortizing Principal principal principal of the Class S Notes in an amount equal to the Class S Notes Amortizing Principal Amount Notes second, if Default Tax Amount until the Class S Notes are paid in full, and (b) second, if an Event of Default or Tax Event have occurred Optional Redemption Auction occurred Event shall have occurred and is continuing or an Optional Redemption or Auction has occurred and tile Pledged are being liquidated pursuant tile tenns of Indenture, payment and the Pledged Assets are being liquidated pursuant to the terms of the Indenture, to the payment of Class of principal to the Class S Notes until the Class S Notes are paid in full; payment tile Liquidation Agent of unpaid Liquidation to the payment to the Liquidation Agent of the accrued and unpaid Liquidation Agent Fee; to the payment of, (a). first, pro rata, accrued and unpaid interest on the Class A Notes (including payment (a) fIrst, (including rata, any Defaulted Interest and interest thereon) and (b) second, accrued and unpaid interest on the interest (b) accrued Interest Class B Notes (including any Defaulted Interest and any interest thereon); iv. v. vi. vii. Determination if tile Class AlB Overcollateralization Test is not satisfied on the Detennination Date with respect satisfIed respect A/B Overcollateralization the Payment payments to the related Payment Date after giving effect to all payments of principal on such Payment Date payments to' clauses (without giving effect to any payments pursuant to this clause (vii) or clauses (ix) and (xi) below); below), Athenjirst, pro rata, to the payment of principal of all outstanding Class A-la Notes and Class Aoutstanding A-Ia thenfirst, pro rata, second, A-lb the A-la lb Notes until the Class A-Ia Notes and tile Class A-Ib Notes are paid in full, second, to the payment A-2 payment of principal of all outstanding Class A-2 Notes until the Class A-2 Notes are paid in full, third, and third, to the payment of principal of all outstanding Class B Notes until the Class B Notes are paid in full; viii. ix. to the payment of accrued and unpaid interest on the Class C Notes (including Defaulted Interest and any interest thereon but not including Class C Deferred Interest); including to Determination satisfied if the Class C Overcollateralization Test is not satisfIed on the Detennination Date with respect to Overcollateralization prihcipal the related Payment Date after giving effect to all payments of principal on such Payment Date Payment (a) or clause clause (without giving effect to any payments pursuant to this clause (ix) or clause (xi) below), then (a) to pro rata, Amortization Proceeds only (i) to tile payment of principal of all outstanding Class A (i) the pro rata, payment of Notes, (ii) to the payment of principal of all outstanding Class B Notes and (iii) to the payment.of (ii) Class A principal of all outstanding Class C Notes, until the Class A Notes, the Class B Notes and the C Notes, until of all Class C Notes are paid in full; provided, however, tImt if the Net Outstanding Portfolio Collateral provided,however, that paid Class related to Determination Balance is less than U.S.$152,500,000 on the Detennination Date with respect to the related U.S.$152,500,000 is of principal of all paid first (i) pro rata, to Payment Date then such amount will be paidjirst (i) pro rata, to the payment of principal of all such Date payment second are paid outstanding Class A-I Notes until the Class A-I Notes are paid in full, second (ii) to the payment A-1 A-1 Notes until the paid in full, third (iii) Class A-2 of principal of all outstanding Class A-2 Notes until the Class A-2 Notes are paid in full, third (iii) outstanding Class A-2 Notes until principal paid in B Notes to the payment of principal of all outstanding Class B Notes until the Class B Notes are paid in full B Notes until the all outstanding of to Class C Class C andfourth (iv) to the payment of principal of all outstanding Class C Notes until the Class C Notes andfourth (iv) to the payment of principal of all outstanding payment of principal of are paid in full, and (b) any remaining Proceeds to the payment of principal of all outstanding Proceeds are paid full, and (b) any Class C Notes until the Class C Notes are paid in full; are paid in full; Class C Notes until the Class C 63 63 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912637 GS MBS-E-000912637 Footnote Exhibits - Page 5736 x. x. xi. xi. to the payment of accrued and unpaid interest on the Class D Notes (including Defaulted Interest to the payment of accrued and unpaid interest on the Class D Notes (including Defaulted Interest and any interest thereon but not including Class D Deferred Interest); and any interest thereon but not including Class D Deferred Interest); to the payment of principal of first, pro rata, the Class A Notes up to the amount specified in to the payment of principal of first, pro rata, the Class A Notes up to the amount specified in clause (b)(I) below, provided. however, that all principal allocated to the Class A-I Notes will clause (b)(1) below, provided, however, that all principal allocated to the Class A-i Notes will flrst be allocated to the Class A-la Notes until the Class A-la Notes are paid in full and then to the first be allocated to the Class A-la Notes until the Class A-la Notes are paid in full and then to the Class A-lb Notes until the Class A-lb Notes are paid in full, second, to the payment of principal Class A-lb Notes until the Class A-lb Notes are paid in full, second, to the payment of principal of the Class B Notes up to the amount specified in clause (b)(2) below, third, to the payment of of the Class B Notes up to the amount specified in clause (b)(2) below, third, to the payment of principal of the Class C Notes up to the amount specified in clause (b)(3) below, andfourth, to the principal of the Class C Notes up to the amount specified in clause (b)(3) below, andfourth, to the payment of principal of the Class D Notes up to the amount specifled in clause (b)(4) below, in an payment of principal of the Class D Notes up to the amount specified in clause (b)(4) below, in an aggregate amount equal to the lesser of (a) the Amortization Proceeds received or held during the aggregate amount equal to the lesser of (a) the Amortization Proceeds received or held during the related Due Period, and (b) the sum of (1) the amount necessary increase the Class A Adjusted related Due Period, and (b) the sum of (1) the amount necessary to increase the Class A Adjusted Overcollateralization Ratio to or maintain it at 147.1%, (2) the amount necessary to increase Overcollateralization Ratio to or maintain it at 147.1%, plus (2) the amount necessary to increase plus (3) the amount the Class B Adjusted Overcollateralization Ratio to or maintain it at the Class B Adjusted Overcollateralization Ratio to or maintain it at 121.0%, plus (3) the amount necessary to increase the Class Adjusted Overcollateralization Ratio to or maintain it at 114.7%, necessary to increase the Class C Adjusted Overcollateralization Ratio to or maintain it at. 114.7%, or (4) the amount necessary to increase the Class D Adjusted Overcollateralization Ratio plus (4) the amount necessary to increase the Class D Adjusted Overcollateralization Ratio to or maintain at 108.1%; provided that, the Net Outstanding Portfolio Collateral Balance less maintain it at 108.1%; provided that, if the Net Outstanding Portfolio Collateral Balance is less than U.S.$122,000,000 on the Determination Date with respect the related Payment Date, then than U.S.$122,000,000 on the Determination Date with respect to the related Payment Date, then only the amount described in sub-clause of clause (xi) will be applied,first, rata, to only the amount described in sub-clause (a) of this clause (xi) will be applied,first,pro rata, to the outstanding Class A-I Notes and Class A-2 Notes until the Class A-I payment principal payment of principal of all outstanding Class A-1 Notes and Class A-2 Notes until the Class A-i Notes Class A-2 Notes are paid provided. principal allocated to Notes and Class A-2 Notes are paid in full, provided, however, that all principal allocated to the Class A-Ia Notes are paid Class A-I flrst be allocated Class Class A-i Notes will first be allocated to the Class A-la Notes until the Class A-la Notes are paid in then to the A-Ib Notes until A-Ib Notes are paid second, in full and then to the Class A-lb Notes until the Class A-lb Notes are paid in full, second, to the principal outstanding until Class B Notes paid payment payment of principal of all outstanding Class B Notes until the Class B Notes are paid in full, payment of all outstanding Class C Notes Class third, third, to the payment of principal of all outstanding Class C Notes until the Class C Notes are paid payment outstanding Class D Notes in full and fourth, to the payment of principal of all outstanding Class D Notes until the Class D Notes paid Notes are paid in full; if the Class D Overcollateralization Test is not satisfied on the Determination Date with respect to D Overcollateralization satisfled the Determination with respect related Payment principal such the related Payment Date after giving effect to all payments of principal on such Payment Date clause (xii)), payment of effect (without giving effect to any payments pursuant to this clause (xii>>, then, to the payment of principal of all outstanding Class D Notes until the Class D Notes are paid in full; D outstanding principal first, equal first, to the payment of principal of the Class C Notes in an amount equal to that portion of the principal of the Class C Notes comprised of Class C Deferred Interest unpaid after giving effect to C payments payments under clauses (ix) and (xi) above (amounts will be considered unpaid for this purpose if the principal balance of the Class C Notes after giving effect to clauses (ix) and (xi) above exceeds effect payment second, any previous lowest amount outstanding) and second, to the payment of principal of the Class D principal Notes in an amount equal to that portion of the principal of the Class D Notes comprised of Class of (xi) D Deferred Interest unpaid after giving effect to payments under clauses (xi) and (xii) above (amounts will be considered unpaid for this purpose if the principal balance of the Class D Notes (xii) above exceeds after giving effect to clauses (xi) and (xii) above exceeds any previous lowest amount to outstanding); after the Payment Date occurring in July 2015,first, to the payment of principal of all outstanding Payment 2015,first, principal of principal of are paid in full and second, to Class C Notes until the Class C Notes are paid in full and second, to the payment of principal of Class Class Notes until full; all outstanding Class D Notes until the Class D Notes are paid in full; Class Notes are all outstanding Class Notes to the payment of any unpaid Defaulted Swap Termination Payments; Swap Termination Payments; to the payment xii. xiii. xiv. xv. xv. xvi. xvi. Administrative Expenses of the first (a) to the payment of any remaining accrued and unpaid Administrative Expenses of the first (a) to the payment of any remaining accrued and limitations on amounts (as the result of Issuers not paid pursuant to clauses (ii) and (iii) above (as the result of the limitations on amounts to clauses (ii) and (iii) Issuers set forth therein) in the same order of priority set forth above in clause (iii) excluding any forth therein) in the same order of priority set forth above in clause (iii) excluding any set indemnities (and legal expenses related thereto) payable by the Issuers; second, (b) to the payment, indemnities (and legal expenses related thereto) payable by the Issuers; second, (b) to the payment, pro rata, of any indemnities (and legal expenses related thereto) payable by the Issuers not paid pro rata,of any indemnities (and legal expenses related thereto) payable by the Issuers not paid pursuant to clause (iii) above (as the result of the limitation on amounts set forth therein) in the pursuant to clause (iii) above (as the result of the limitation on amounts set forth therein) in the 64 64 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912638 GS MBS-E-000912638 Footnote Exhibits - Page 5737 same order of priority set forth above in clause (iii); and third, (c) to the EX1>ense Reserve Account same order of priority set forth above in clause (iii); and third,(c) to the Expense Reserve Account until the balance of such account reaches U.S.$200,OOO (after giving effect to any deposits made until the balance of such account reaches U.S.$200,000 (after giving effect to any deposits made therein on such Payment Date under clause (iii) above); provided, however, that the aggregate therein on such Payment Date under clause (iii) above); provided however, that the aggregate payments pursuant to subclause (c) of this clause (xvi) and subclause (c) of clause (iii) on any payments pursuant to subclause (c) of this clause (xvi) and subclause (c) of clause (iii) on any Payment Date shall not exceed U.S.$250,OOO; Payment Date shall not exceed U.S.$250,000; xvii. xvii. :-.:viii. xviii. xix. xix. the payment of the Class D Notes Amortizing Principal Amount; the payment of the Class D Notes Amortizing Principal Amount; on Quarterly Payment Dates only, any remaining amount to the Fiscal Agent for deposit into the on Quarterly Payment Dates only, any remaining amount to the Fiscal Agent for deposit into the Income Note Payment Account for payment to the Holders of the Income Notes; and Income Note Payment Account for payment to the Holders of the Income Notes; and on each Payment Date, any remaining amount to be deposited to the Interest Collection Account on each Payment Date, any remaining amount to be deposited to the Interest Collection Account for distribution on the next Payment Date. for distribution on the next Payment Date. On the Business Day prior to the Final Payment Date, the Trustee will transfer all funds then on deposit in On the Business Day prior to the Final Payment Date, the Trustee will transfer all funds then on deposit in the Interest Collection Account into the Payment Account and, after the liquidation of (i) the Credit Default Swap, Interest Collection Account into the Payment Account and, after the liquidation of the Credit Default Swap, the (ii) the Collateral Securities and Eligible Investments in the Collateral Account, (iii) the Amortization Proceeds (ii) the Collateral Securities and Eligible Investments in the Collateral Account, (iii) the Amortization Proceeds drawn from the Collateral Account to the Payment Account and (iv) the Delivered Obligations and Eligible drawn from the Collateral Account to the Payment Account and (iv) the Delivered Obligations and Eligible Investments the Delivered Obligation Account, Trustee deposit all proceeds therefrom, into the Payment Investments in the Delivered Obligation Account, the Trustee will deposit all proceeds therefrom, into the Payment On Final Payment Date, amounts in the Payment Account be applied by the Trustee pursuant Account. On the Final Payment Date, amounts in the Payment Account will be applied by the Trustee pursuant to Valuation Report in manner and order of priority set forth below: the Note Valuation Report in the manner and order of priority set forth below: i. i. to the payment amounts referred to clauses through the Priority Payments to the payment of the amounts referred to in clauses (i) through (vi) of the Priority of Payments for Payment Dates are Final limitations Payment Dates which are not Final Payment Dates, in that order (without regard to the limitations Expense Reserve Account pursuant in (iii>>; provided that deposit shall in clause (iii)); provided that no deposit shall be made to the Expense Reserve Account pursuant to subclause subclause (iii); first, pro rata, to the payment of the Class A-la Notes and the Class A-lb Notes, in each case, the rata, A-lb each case, necessary outstanding principal amount Notes amount necessary to pay the outstanding principal amount of such Notes in full; ii. iii. iv. v. necessary to the payment to the Class A-2 Notes, the amount necessary to pay the outstanding principal payment outstanding A-2 amounts of such Notes, in full; necessary to the payment to the Class B Notes, the amount necessary to pay the outstanding principal amount of such Notes in full; to the payment to the Class C Notes, the amount necessary to pay accrued and unpaid interest on amount necessary and the outstanding principal amount of such Notes (including any Deferred Interest and of and Defaulted Interest and any interest thereon) in full; and any Defaulted vi. vi. on accrued and unpaid to the payment to the Class D Notes, the amount necessary to pay accrued and unpaid interest on the amount to (including any Deferred Interest and and the outstanding principal amount of such Notes (including any Deferred Interest and of such principal Defaulted Interest and any interest thereon) in full; full; and any Payment Priority of to the payment of the amounts referred to in clause (xv) of the Priority of Payments for Payment to the payment of the amounts referred in clause (xv) Dates that are not Final Payment Dates; and Dates; and Final that any remaining amount to the Fiscal Agent for deposit in the Income Note Payment Account for any remaining amount to the Fiscal Agent for deposit in the Income Note Payment Account for payment to the Holders of the Income Notes. payment to the Holders of the Income Notes. vii. vii. viii. vii. Upon payment in full of the last outstanding Secured Note, the Issuer (or the Liquidation Agent acting Upon payment in full of the last outstanding Secured Note, the Issuer (or the Liquidation Agent acting pursuant to the Liquidation Agency Agreement on behalf of the Issuer) will liquidate any remaining Pledged Assets, pursuant to the Liquidation Agency Agreement on behalf of the Issuer) will liquidate any remaining Pledged Assets, including the Credit Default Swap, the Eligible Investments, the Collateral Securities, the Delivered Obligations and including the Credit Default Swap, the Eligible Investments, the Collateral Securities, the Delivered Obligations and any other itelns comprising the Pledged Assets and deposit the proceeds thereof in the Interest Collection Account. any other items comprising the Pledged Assets and deposit the proceeds thereof in the Interest Collection Account. The net proceeds of such liquidation and all available cash (other than the U.S.$250 of capital contnbuted by the The net proceeds of such liquidation and all available cash (other than the U.S.$250 of capital contributed by the 65 65 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912639 GS MBS-E-000912639 Footnote Exhibits - Page 5738 owners of the Issuer Ordinal}' Shares in accordance with the Issuer's Memorandum and Articles of Association and owners of the Issuer Ordinary Shares in accordance with the Issuer's Memorandum and Articles of Association and U.S.$250 representing transaction fee to the Issuer and any interest income earned on such amounts) will be U.S.$250 representing aa transaction fee to the Issuer and any interest income earned on such amounts) will be distributed in accordance with the Priority of Payments for Final Payment Dates and all amounts remaining distributed in accordance with the Priority of Payments for Final Payment Dates and all amounts remaining thereafter will be distnbuted to the Holders of the Income Notes as a redemption payment whereupon all of the thereafter will be distributed to the Holders of the Income Notes as a redemption payment whereupon all of the Notes and the Income Notes will be canceled. Notes and the Income Notes will be canceled. Income Notes Income Notes The fInal payment on the Income Notes will be made by the Issuer on the Maturity Date, unless redeemed The final payment on the Income Notes will be made by the Issuer on the Maturity Date, unless redeemed or retired prior thereto in accordance with the Priority of Payments. or retired prior thereto in accordance with the Priority of Payments. The Indenture The Indenture The following summary describes certain provisions of the Indenture. The summaI}' does not purport to be The following summary describes certain provisions of the Indenture. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture. complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture. Events ofDefault. An "Event Default" under the Indenture includes: Events ofDefault. An "Event of Default" under the Indenture includes: i. default the payment, when due and payable, any interest on any Class S Note, Class A a default in the payment, when due and payable, of any interest on any Class S Note, Class A Note or Class B Note or, if there are no Class S Notes, Class A Notes or Class B Notes outstanding, any B or, if there are no Class A Notes Class outstanding, any Class C Note or, if there A B Notes Class Notes Class C Note or, if there are no Class S Notes, Class A Notes, Class B Notes or Class C Notes and continuation such each case, period of outstanding, any Class outstanding, any Class D Note and a continuation of such default, in each case, for a period of 7 administrative error or payment resulting days (or, in the case of a default in payment resulting solely from an administrative error or in the case omission Trustee, any Paying Agent Note continues omission by the Trustee, any Note Paying Agent or the Note Registrar, such default continues for period 7 Trustee made actually aware of administrative error or a period of 7 days after the Trustee is made actually aware of such administrative error or omission); default payment principal Note Stated a default in the payment of principal due on any Secured Note at its Stated Maturity or on any administrative Redemption default payment resulting Redemption Date (or, in the case of a default in payment resulting solely from an administrative Note default error or omission by the Trustee, any Note Paying Agent or the Note Registrar, such default Agent continues for a period of 7 days after the Trustee is made actually aware of such administrative continues error or omission); the failure on any Payment Date to disburse amounts (other than in payment of interest on any Payment Secured Note or principal of any Secured Note at its Stated Maturity or any date set for principal Secured Maturity $500 redemption (i) redemption as described in (i) and (ii) above) available in the Payment Account in excess of $500 in accordance with the Priority of Payments and a continuation of such failure for a period of 7 days after such failure has been recognized by the Trustee; a circumstance in which either of the Issuers becomes an investment company required to be registered or the Pledged Assets or any portion thereof becomes subject to regulation under the thereof the Investment Company Act; ii. ii. iii. iv. iv. v. v. (as Secured of a default, which has a material adverse effect on the Holders of the Secured Notes (as determined effect material of in by at least a Majority, by interest, of the Controlling Class), in the performance, or breach, of any Controlling interest, a (it covenant, representation, warranty or other agreement of the Issuers in the Indenture (it being the Issuers in agreement representation, or in any certificate understood that a failure to satisfy a Coverage Test is not a default or breach) or in any certifIcate that a failure satisfy a Coverage Test not a default or or warranty or writing delivered pursuant to the Indenture, or if any representation or warranty of the Issuers Indenture, or if pursuant to to be thereto made in the Indenture or in any certificate or writing delivered pursuant thereto proves to be Indenture or in any certificate or writing made in for a incorrect in any material respect when made, and the continuation of such default or breach for a . incorrect in any material respect when made, and the continuation such default or period of 30 days after notice thereof shall have been given to the Issuers and the Liquidation been given to the Issuers and the Liquidation shall period of 30 days after notice the Trustee by at least a Agent by the Trustee or to the Issuers, the Liquidation Agent and the Trustee by at least a Agent by the Trustee or to the Issuers, the Liquidation Agent Majority, by interest, of the Controlling Class; Majority, by interest, of the Controlling Class; 66 66 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912640 GS MBS-E-000912640 Footnote Exhibits - Page 5739 vi vi the Credit Default Swap is tenninated (without replacement) (excluding tennination, in part, in the Credit Default Swap is terminated (without replacement) (excluding a termination, in part, in . connection with the assignment, tennination or novation of a CDS Transaction); and connection with the assignment, termination or novation of a CDS Transaction); and certain events of bankruptcy, insolvency, receivership or reorgiutization of either of the Issuers. certain events of bankruptcy, insolvency, receivership or reorganization of either of the Issuers. vii. vii. If Event of Default should occur and be continuing, the Trustee may and will (i) if the Credit Protection If an Event of Default should occur and be continuing, the Trustee may and will (i) if the Credit Protection Buyer is in default under the Credit Default Swap, at the direction of not less than a Majority of the Class S Notes, is in default under the Credit Default Swap, the direction not Majority of the Notes, Buyer the Class A Notes and the Class B Notes (the Class S Notes, the Class A Notes and the Class B Notes voting as a Class A Notes and the Class B Notes (the S Notes, the Class A Notes and the Class B Notes voting the single class), for so long as any Class S Class A Notes or Class B Notes are Outstanding; if single class), for so long as any Class S Notes, Class A Notes or Class B Notes are Outstanding; if no Class S Notes, or Class B Notes are Outstanding, the Class for C Notes Class A Notes or Class B Notes are Outstanding, then the Class C Notes, for so long as any Class C Notes are Outstanding; and no Class A Notes, B Outstanding, Class Outstanding; and if no Class S Notes, Class A Notes, Class B Notes or Class C Notes are Outstanding, the Class D as Class D Notes are Outstanding; otherwise (li) at direction of Holders of least Notes, for so long as any Class D Notes are Outstanding; and otherwise (ii) at the direction of the Holders of at least Majority of Controlling declare the principal and accrued and unpaid interest on Secured a Majority of the Controlling Class, declare the principal of and accrued and unpaid interest on all Secured Notes to immediately due and payable in case of an Event of Default described (vii) be immediately due and payable (except that in the case of an Event of Default described in clause (vi) or (vii) above, acceleration will occur automatically and not require any action Trustee or Secured above, such an acceleration will occur automatically and shall not require any action by the Trustee or any Secured Noteholder). If an should occur and be continuing, Trustee retain Pledged Assets If an Event of Default should occur and be continuing, the Trustee is required to retain the Pledged Assets intact and collect all payments in respect of the Pledged Assets and continue making payments in the manner and collect payments in of the Pledged Assets continue making payments manner described under Priority of Payments unless (a) the Trustee detennines (which determination will be based upon a under Payments unless Trustee determines (which detennination will based certificate from the Liquidation Agent) that the anticipated proceeds of a sale or liquidation of the Pledged Assets anticipated proceeds of liquidation of Pledged Assets based obtained nationally recognized fIrm estimate takes based on an estimate obtained from a nationally recognized investment banking firm (which estimate takes into account the time elapsed between such estimate and the anticipated sale of the Pledged Assets) would equal the elapsed between anticipated (i) necessary deducting reasonable expenses such amount necessary to pay in full (after deducting the reasonable expenses of such sale or liquidation) the sum of (i) the principal (including any Class C Deferred Interest and Class D Deferred Interest) and accrued interest (including principal (including Deferred Interest Deferred accrued (including all Defaulted Interest, and interest thereon) and any other amounts due with respect to all the outstanding Secured Defaulted with outstanding Secured Protection unpaid Administrative Notes; (ii) all Administrative Expenses; (iii) any unpaid amounts due the Credit Protection Buyer and any unpaid Buyer amounts amounts due any assignee of a CDS Transaction net of amounts payable to the Issuer by the Credit Protection Buyer CDS Transaction Payments ranking payments on or assignee of a CDS Transaction; and (iv) all other items in the Priority of Payments ranking prior to payments on such Controlling the Secured Notes, and, in any case, the Holders of a Majority of the Controlling Class agree with such detennination or (b) the requisite Holders of Notes as determined pursuant to the Indenture or the Holders of a Super detennined determination (b) acceleration Majority pursuant Majority of the Controlling Class (whichever directed the acceleration of the Secured Notes pursuant to the preceding paragraph) direct, subject to the provisions of the Indenture, the sale and liquidation of the Pledged Assets. The Holders of a Majority of the Controlling Class will have the right to direct the Trustee in writing in the Holders conduct of any proceedings or in the sale of any or all of the Pledged Assets, but only if (i) such direction will not direction proceedings paragraph conflict with any rule of law or the Indenture (including the limitations described in the paragraph above) and (ii) the described any indemnity Trustee determines that such action will not involve it in liability (unless the Trustee has received an indemnity in which is reasonably acceptable to the Trustee against any such liability). Trustee, in Subject to the provisions of the Indenture relating to the duties of the Trustee, in case an Event of Default Indenture Subject any with respect to the Secured Notes occurs and is continuing, the Trustee is under no obligation to exercise any of the continuing, Holders unless rights or powers under the Indenture at the request of any Holders of Secured Notes, unless such Holders have any at the rights Trustee. reasonably acceptable to offered to the Trustee reasonable security or an indemnity which is reasonably acceptable to the Trustee. The Trustee offered to a Secured respect Holders of a Majority of the Controlling Class may waive any default with respect to the Secured Notes, except (a) a Class may Majority of the Holders Date to disburse any default in the payment of principal or interest on any Secured Note; (b) failure on any Payment Date to disburse Note; (b) failure on any or the amounts available in the Payment Account in accordance with the Priority of Payments and continuation of such the Payment Account accordance Issuers; insolvency failure for a period of seven (7) days; (c) certain events of bankruptcy or insolvency with respect to the Issuers; or (c) seven (7) modified or amended without the waiver cannot (d) a default in respect of a provision of the Indenture that cannot be modilled or amended without the waiver or Indenture (d) default respect of a provision of thereby. adversely consent of the Holder of each outstanding Note adversely affected thereby. of revoked the Secured Furthennore, any declaration of acceleration of maturity of the Secured Notes may be revoked and annulled of acceleration of Furthermore, the of a Majority to the Indenture or the by the requisite Holders of Notes as detennined pursuant to the Indenture or the Holders of a Majority of the determined Holders the the Controlling Class, as applicable, before a judgment or decree for the payment of money has been obtained by the or decree for the payment of money has been obtained Controlling Class, as applicable, before a Issuers and the by notice to Trustee or the Pledged Assets have been sold or foreclosed in whole or in part, by notice to the Issuers and the whole or in Trustee or the Pledged Assets have been sold or foreclosed 67 67 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912641 GS MBS-E-000912641 Footnote Exhibits - Page 5740 Trustee, if (a) the Issuer has paid or deposited with the Trustee a sum sufficient to pay, in accordance with the Trustee, if (a) the Issuer has paid or deposited with the Trustee a sum sufficient to pay, in accordance with the Priority of Payments, the principal and accrued interest (including all Defaulted Interest and the interest thereon), Priority of Payments, the principal and accrued interest (including all Defaulted Interest and the interest thereon), discount or other unpaid amounts with respect to the outstanding Secured Notes and any other administrative discount or other unpaid amounts with respect to the outstanding Secured Notes and any other administrative expenses, fees or other amounts that, under the Transaction Documents and pursuant to the Priority of Payments, are expenses, fees or other amounts that, under the Transaction Documents and pursuant to the Priority of Payments, are payable prior to the payment of the principal of and interest on the outstanding Secured Notes, and (b) the Trustee payable prior to the payment of the principal of and interest on the outstanding Secured Notes, and (b) the Trustee has determined that all Events of Default, other than the non-payment of the interest on or principal of the has determined that all Events of Default, other than the non-payment of the interest on or principal of the outstanding Secured Notes that have become due solely by such acceleration, have been cured and the Holders of a outstanding Secured Notes that have become due solely by such acceleration, have been cured and the Holders of a Majority of the Controlling Class by notice to the Trustee have agreed with such determination (which agreement Majority of the Controlling Class by notice to the Trustee have agreed with such determination (which agreement shall not be unreasonably withheld) or waived such Event of Default in accordance with the provisions set forth in shall not be unreasonably withheld) or waived such Event of Default in accordance with the provisions set forth in the Indenture. the Indenture. Only the Trustee may pursue the remedies available under the Indenture or the Secured Notes and Only the Trustee may pursue the remedies available under the Indenture or the Secured Notes and no Holder of a Secured Note will have the right to institute any proceeding with respect to the Indenture, its Note, or Holder of a Secured Note will have the right to institute any proceeding with respect to the Indenture, its Note, or otherwise unless (i) such Holder previously has given to the Trustee written notice of a continuing Event of Default; otherwise unless (i) such Holder previously has given to the Trustee written notice of a continuing Event of Default; (ii) except in the case of a default the payment of principal or interest, the Holders of at least 250/0, by Aggregate (ii) except in the case of a default in the payment of principal or interest, the Holders of at least 25%, by Aggregate institUte such Outstanding Amount, of the Controlling Class have made written request upon the Trustee Outstanding Amount, of the Controlling Class have made a written request upon the Trustee to institute such proceedings in its own name as Trustee and such Holders have offered Trustee an indemnity which is reasonably proceedings in its own name as Trustee and such Holders have offered the Trustee an indemnity which is reasonably institute any such proceeding; and (iv) no acceptable to the Trustee; (iii) the Trustee 30 days failed acceptable to the Trustee; (iii) the Trustee has for 30 days failed to institute any such proceeding; and (iv) no direction inconsistent with such written request has been given the Trustee during such 30-day period by direction inconsistent with such written request has been given to the Trustee during such 30-day period by the Holders of a Majority of the Controlling Holders of a Majority of the Controlling Class. In determining whether Holders of requisite percentage of Secured Notes have given direction, In determining whether the Holders of the requisite percentage of Secured Notes have given any direction, notice consent, Secured Notes.owned the Issuer, Co-Issuer or affiliate thereof shall be disregarded notice or consent, Secured Notes.owned by the Issuer, the Co-Issuer or any affiliate thereof shall be disregarded and deemed outstanding. In addition, of Income Notes considered to affiliates deemed not to be outstanding. In addition, Holders of Income Notes will not be considered to be affiliates of the Issuer or Co-Issuer by virtue of such ownership of Income Notes. Co-Issuer such ownership of Income Notices. Notices to the Holders of the Secured Notes shall be given by first-class mail, postage prepaid, to the Secured shall by frrst-class prepaid, Notices. Notices each Noteholder at the address appearing in the applicable note register. In addition, if and for so long as any of the Noteholder the exchange Secured are Stock Exchange Secured Notes are listed on the Irish Stock Exchange and so long as the rules of such exchange so require, notices to the Holders of such Secured Notes shall also be published by the Irish Listing Agent in the official list thereof or as Secured published by official thereof otherwise required by the rules of such exchange. otherwise required Modification of the Indenture. Without obtaining the consent of Holders of the Notes, the Issuers and the Indenture. obtaining Mliodification Trustee may enter into one or more supplemental indentures for any of the following purposes: supplemental (i) to evidence the succession of any person to either the Issuer or Co-Issuer and the to evidence (i) covenants assumption by any such successor of the covenants of the Issuer or Co-Issuer in the Notes, the Fiscal successor Agency Agreement and under the Indenture; and of (ii) to add to the covenants of the Issuers or the Trustee for the benefit of the Holders of the Trustee to add to the covenants (ii) Notes or to surrender any right or power conferred upon the Issuers; the the Trustee, or (iii) to convey, transfer, assign, mortgage or pledge any property to the Trustee, or add to the mortgage pledge conditions, limitations or restrictions on the authorized amount, terms and purposes of the issue, on the conditions, limitations authentication and delivery of the Notes; of authentication and to a (iv) to evidence and provide for the acceptance of appointment by a successor trustee and to appointment for the to evidence and (iv) be necessary facilitate the administration add to or change any of the provisions of the Indenture as shall be necessary to facilitate the administration provisions of the Indenture as change any of add of the trusts under the Indenture by more than one Trustee; Trustee; by more than the of the trusts (v) to correct orariJ.plify the description of any property at any time subject to the security or amplify the description of any property at any time subject to the to (v) the Trustee any property interest created by the Indenture, or to better assure, convey, and confirm unto the Trustee any property interest created by the Indenture, or to better assure, convey, and confirm subject or required to be subject to the security interest created by the Indenture (including, without subject or required to be subject to the security interest created by the Indenture (including, without limitation, any and all actions necessary or desirable as a result of changes in law or regulations) or subject limitation, any and all actions necessary or desirable as a result of changes in law or regulations) or subject to the security interest created by the Indenture any additional property; to the security interest created by the Indenture any additional property; 68 68 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912642 GS MBS-E-000912642 Footnote Exhibits - Page 5741 (vi) to othelWise correct any inconsistency or cure any ambiguity or manifest error or correct to otherwise correct any inconsistency or cure any ambiguity or manifest error or correct (vi) or supplement any provisions contained in the Indenture which may be defective or inconsistent with any or supplement any provisions contained in the Indenture which may be defective or inconsistent with any provision contained in the Indenture or make any modification that is of a formal, minor or technical nature provision contained in the Indenture or make any modification that is of a formal, minor or technical nature or which is made to correct a manifest error; or which is made to correct a manifest error, (vii) to take any action necessary or advisable to prevent the Issuer, the Trustee, any Note to take any action necessary or advisable to prevent the Issuer, the Trustee, any Note (vii) Paying Agents or the Fiscal Agent from becoming subject to withholding or other taxes, fees or Paying Agents or the Fiscal Agent from becoming subject to withholding or other taxes, fees or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business Or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business or othelWise being subject to United States federal, state or local income tax on a net income basis; otherwise being subject to United States federal, state or local income tax on a net income basis; (viii) (viii) to conform the Indenture to the descriptions contained in this Offering Circular; to conform the Indenture to the descriptions contained in this Offering Circular, (ix) to comply with any reasonable requests made by the Irish Stock Exchange in order to list to comply with any reasonable requests made by the Irish Stock Exchange in order to list (ix) or maintain the listing of any Notes on such stock exchange; or maintain the listing of any Notes on such stock exchange; or or (x) to make any other change the purpose of adding any provisions or changing in any to make any other change for the purpose of adding any provisions to, or changing in any (x) other Transaction Document; provided manner Cir eliminating any of the provisions of, the Indenture or manner or eliminating any of the provisions of, the Indenture or any other Transaction Document; provided however that such changes would have no material adverse effect on any of the Notes (which may be however that such changes would have no material adverse effect on any of the Notes (which may be (as hereinafter defined>>). evidenced by opinion of counselor a Noteholder evidenced by an opinion of counsel or a Noteholder Poll (as hereinafter defined)). With written consent Holders of least Majority, by Aggregate Outstanding of With the written consent of the Holders of (a) at least a Majority, by Aggregate Outstanding Amount, of the Secured Notes materially adversely affected thereby (voting together as a single class) and (b) at least a Majority of Notes materially adversely affected thereby together as single class) least Majority of Secured the Income materially adversely affected thereby, the Issuers execute a supplemental the Income Notes materially adversely affected thereby, the Trustee and the Issuers may execute a supplemental indenture to to, change manner eliminate provisions Indenture indenture to add provisions to, or change in any manner or eliminate any provisions of, the Indenture or modify in the Holders of any manner the rights of the Holders of the Notes. manner Notwithstanding Indenture the consent Noteholder contrary, Notwithstanding anything in the Indenture to the contrary, without the written consent of each Noteholder each adversely affected supplemental indenture of each Class adversely affected thereby no supplemental indenture may: (i) change the Stated Maturity principal installment of change the Stated Maturity of the principal of or the due date of any installment of (i) interest or discount on a Note; reduce the principal amount thereof or the rate of interest thereon, or the thereof applicable Secured Note Redemption Price with respect thereto; change the earliest date on which a Note earliest may be redeemed; change the provisions of the Indenture relating to the application of proceeds of any redeemed; Indenture or Pledged Asset to the payment of principal of or interest on Notes or change any place where, or the coin or payment currency in which, Notes or the principal thereof or interest thereon are payable; or impair the right to institute suit for the enforcement of any such payment on or after the Stated Maturity thereof or other due enforcement date thereof (or, in the case of redemption, on or after the Redemption Date); (or, each (ii) reduce the percentage in aggregate principal amount of Holders of the Notes of each reduce the percentage (ii) Class whose consent is required for the authorization of any? supplemental indenture or for any waiver of any supplemental compliance with certain provisions of the Indenture or certain defaults under the Indenture or their consequences; (iii) IndeJiture; Indenture; by otherwise the impair or adversely affect the Pledged Assets except as othelWise permitted by the the (iv) permit the creation of any security interest ranking prior to or on a parity with the security on parity ranking prior security permit the creation (iv) interest created by the Indenture with respect to any part of the Pledged Assets or tenninate such security part of the Pledged Assets or terminate such interest created by the Indenture with respect to Trustee Note, Holder of interest on any property at any time subject thereto or deprive the Holder of any Note, the Trustee or any interest on any property at any time subject thereto or deprive of the other Secured Party of the security afforded by the. lien of the Indenture; other Secured Party of the security afforded by the of each Class whose consent is required to (v) reduce the percentage of Holders of the Notes of each Class whose consent is required to of Holders of the reduce (v) request the Trustee to preserve the Collateral Assets or rescind the Trustee's election to preserve the request the Trustee to preserve the Collateral Assets or rescind the Trustee's election to preserve the Collateral Assets or to sell or liquidate the Collateral Assets pursuant to the Indenture; Collateral Assets or to sell or liquidate the Collateral Assets pursuant to the Indenture; 69 69 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912643 GS MBS-E-000912643 Footnote Exhibits - Page 5742 (vi) modify any of the provisions of the Indenture with respect to supplemental indentures, modify any of the provisions of the Indenture with respect to supplemental indentures, (vi) except to increase the percentage of Outstanding Notes whose Holders' consent is required for any such except to increase the percentage of Outstanding Notes whose Holders' consent is required for any such action or to provide that other provisions of the Indenture cannot be modified or waived without the action or to provide that other provisions of the Indenture cannot be modified or waived without the consent of the Holder of each outstanding Note adversely affected thereby; consent of the Holder of each outstanding Note adversely affected thereby; (vii) (vii) the Indenture; the Indenture; modify the defInition of the term "Outstanding," or the Priority of Payments set forth in modify the definition of the term "Outstanding," or the Priority of Payments set forth in (viii) modify any of the provisions of the Indenture in such a manner as to affect the calculation modify any of the provisions of the Indenture in such a manner as to affect the calculation (viii) of the amount of any payment of interest on or principal of any Secured Note or modify any amount of the amount of any payment of interest on or principal of any Secured Note or modify any amount distributable to the Fiscal Agent for payment to the Holders of the Income Notes on any Quarterly Payment distributable to the Fiscal Agent for payment to the Holders of the Income Notes on any Quarterly Payment Date or to affect the right of the Holders of the Notes or the Trustee to the benefit of any provisions for the Date or to affect the right of the Holders of the Notes or the TruStee to the benefit of any provisions for the redemption of such Notes contained therein; redemption of such Notes contained therein; (ix) amend any provision of the Indenture or any other agreement entered into by the Issuer amend any provision of the Indenture or any other agreement entered into by the Issuer (ix) with respect to the transactions contemplated by the Indenture relating to the institution of proceedings for respect to the transactions contemplated by Indenture relating the institution proceedings for with or Co-Issuer to adjudicated as bankrupt or insolvent, or the consent of Issuer Cothe the Issuer or the Co-Issuer to be adjudicated as bankrupt or insolvent, or the consent of the Issuer or the CoIssuer the institution bankruptcy or insolvency proceedings against or the fIling with respect to the Issuer to the institution of bankruptcy or insolvency proceedings against it, or the filing with respect to the Issuer or the Co-Issuer of a petition answer or consent seeking reorganization, arrangement, moratorium Issuer or the Co-Issuer of a petition or answer or consent seeking reorganization, arrangement, moratorium or liquidation proceedings, other proceedings United States Bankruptcy Code any similar or liquidation proceedings, or other proceedings under the United States Bankruptcy Code or any similar consent the or Co-Issuer such petition or appointment of laws, or the consent of the Issuer or the Co-Issuer to the filing of any such petition or the appointment of a similar official) of the or the Co-Issuer liquidator, assignee, trustee sequestrator (or receiver, liquidator, assignee, trustee or sequestrator (or other similar official) of the Issuer or the Co-Issuer or any substantial part of its property, respectively; any substantial of property, respectively; Liquidation to Liquidation (x) increase increase the amount of the Liquidation Agent Fees payable to the Liquidation Agent (x) original Liquidation Agency Agreement; beyond provided beyond the amount provided for in the original Liquidation Agency Agreement; Issuer amend any provision of the Indenture or any other agreement entered into by the Issuer provision Indenture agreement entered (xi) with respect transactions contemplated Issuers with respect to the transactions contemplated thereby that provides that the obligations of the Issuers or the Issuer,. as the case may be, are limited recourse obligations of the Issuers or the Issuer, respectively, payable case maybe, recourse obligations respectively, Issuer,, ofthe solely from the Pledged Assets in accordance with the terms of the Indenture; Pledged accordance (xii) execution supplemental at the time of execution of such supplemental indenture, cause payments made by or to (xii) Credit become the Issuer, the Credit Protection Buyer, the Liquidation Agent or any Paying Agents to become subject to withholding or other taxes, fees or assessments or cause the Issuer to be treated as engaged in a United ina States trade or business or otherwise be subject to United States federal, state or local income tax on a net subject income basis; or or (xiii) at the time of the execution of such supplemental indenture, result in a deemed sale or such of exchange of any of the Notes under Section 1001 of the Code (items (i) through (xiii) above collectively, (i) through any exchange the "Reserved Matters"). Matters"). the Notwithstanding anything to the contrary herein, no supplement or amendment to the Indenture will be contrary anything not unreasonably withheld) effective until the consent of each of the Credit Protection Buyer (which shall not be unreasonably withheld) and the Protection the consent of Liquidation Agent (which consent shall not be unreasonably withheld) has been obtained. unreasonably withheld) have a proposed amendment has or U l1der the Indenture, in making the determination of whether a proposed amendment has or would have no the determination of Under the a proposed adversely material adverse effect on any of the Notes, which Notes are materially adversely affected by a proposed of the Notes, which adverse effect on (each such determination, an amendment or which Classes of Notes are adversely affected by any Reserved Matter (each such determination, an any adversely affected or which Classes Notes "Amendment Detennination"), the Trustee may rely on an opinion of counsel. If no opinion of counsel is provided "Amendment Determination"), the Trustee may rely on an opinion of counsel. If no opinion of counsel provided with respect to a proposed amendinent, a Noteholder Poll shall be conclusively determinative of such Amendment respect a proposed amendment, a Noteholder Poll shall be conclusively determinative of such Amendment such Determination and the Trustee shall be entitled to conclusively rely on such Noteholder Poll. The results of such and the Trustee shall be entitled to conclusively rely on such Noteholder Poll. The results Noteholder Poll shall be conclusive and binding on the Issuer and all present and future Noteholders. Noteholder Poll shall be conclusive and binding on the Issuer and all present and future Noteholders. "Noteholder Poll" Witll respect to a proposed supplemental indenture means the following: "Noteholder Poll" with respect to a proposed supplemental indenture means the following: 70 70 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912644 GS MBS-E-000912644 Footnote Exhibits - Page 5743 The Trustee will (at the expense of the Issuer) give written notice of such proposed supplemental indenture The Trustee will (at the expense of the Issuer) give written notice of such proposed supplemental indenture to the Holders of the Secured Notes and to the Fiscal Agent for notification by the Fiscal Agent to the Holders of the the Holders of the Secured Notes and to the Fiscal Agent for notification by the Fiscal Agent to the Holders ofthe to Income Notes. If any Holder of Note of Class delivers a written objection to any portion of such supplemental Income Notes. If any Holder of aa Note of aa Class delivers a written objection to any portion of such supplemental indenture to Ule Trustee, in Ule case of the Secured Notes, and the Fiscal Agent, in the case of the Income Notes, indenture to the Trustee, in the case of the Secured Notes, and the Fiscal Agent, in the case of the Income Notes, within 20 Business Days after the date on which such notice was given by the Trustee or the Fiscal Agent, as within 20 Business Days after the date on which such notice was given by the Trustee or the Fiscal Agent, as applicable, each Note of such Class will be deemed to be both adversely affected and materially and adversely applicable, each Note of such Class will be deemed to be both adversely affected and materially and adversely affected. If no Holder of a Note of a Class delivers a written objection to the Trustee or the Fiscal Agent, as affected. If no Holder of a Note of a Class delivers a written objection to the Trustee or the Fiscal Agent, as applicable, within such period, all Notes of such Class shall be deemed not to be materially and adversely affected applicable, within such period, all Notes of such Class shall be deemed not to be materially and adversely affected and not to be adversely affected by such supplemental indenture. The Fiscal Agent will promptly communicate to and not to be adversely affected by such supplemental indenture. The Fiscal Agent will promptly communicate to the Trustee the receipt of any such written objection from a Holder of an Income Note or if no such written objection the Trustee the receipt of any such written objection from a Holder of an Income Note or if no such written objection is received within the prescribed time period, that no written objections were received from any Income Noteholder. is received within the prescribed time period, that no written objections were received from any Income Noteholder. Under the Indenture, the Trustee will deliver a copy of any proposed supplemental indenture to the Holders Under the Indenture, the Trustee will deliver a copy of any proposed supplemental indenture to the Holders of the Secured Notes, the Fiscal Agent, the Rating Agencies so long as any of the Notes are outstanding and of the Secured Notes, the Fiscal Agent, the Rating Agencies (for so long as any of the Notes are outstanding and rated by the Rating Agencies), the Credit Protection Buyer and the Liquidation Agent not later than 20 Business rated by the Rating Agencies), the Credit Protection Buyer and the Liquidation Agent not later than 20 Business Days prior execution of a proposed supplemental indenture. The Fiscal Agent will deliver copy of the same to Days prior to execution of a proposed supplemental indenture. The Fiscal Agent will deliver a copy of the same to the Holders of Ule Income For so long as any of Notes are outstanding and rated by the Rating Agencies, the Holders of the Income Notes. For so long as any of the Notes are outstanding and rated by the Rating Agencies, no supplemental indenture be entered into unless Rating Agency Condition provided that the no supplemental indenture shall be entered into unless the Rating Agency Condition is met; provided that the Trustee with the consent of the Holders 100% of the Aggregate Outstanding Amount of Secured Notes of Trustee shall, with the consent of the Holders of 100% of the Aggregate Outstanding Amount of Secured Notes of each Class the Income Notes, whose consent, the case of the Income Notes, be communicated each Class and the Income Notes, whose consent, in the case of the Income Notes, will be communicated to the Fiscal Agent for notice to the Trustee, the Liquidation Agent and the Credit Protection Buyer, enter into any such Agent to the Trustee, the Liquidation Agent and the Credit Protection enter into any such Fiscal supplemental indenture notwithstanding any potential reduction or withdrawal of the ratings of any outstanding supplemental indenture notwithstanding any potential reduction or withdrawal of the ratings of any outstanding of Notes. Trustee must provide any amendment modification the Indenture (whether or not Class of Notes. The Trustee must provide notice of any amendment or modification of the Indenture (whether or not required be approved parties) Holders the Secured Notes, Fiscal Agent, Liquidation required to be approved by such parties) to the Holders of the Secured Notes, the Fiscal Agent, the Liquidation the Credit Protection Buyer if Secured Notes are listed the Stock Agent, the Credit Protection Buyer and if and for so long as any Secured Notes are listed on the Irish Stock supplemental Fiscal the Paying prompUy upon the execution of Exchange, the Irish Paying Agent promptly upon the execution of such supplemental indenture. The Fiscal Agent will provide notice of any such amendment or modification of the Indenture to the Holders of the Income Notes and amendment Indenture Income Notes if and for so long as any Income Notes are listed on the Irish Stock Exchange, the Irish Paying Agent promptly upon Income listed Paying Agent promptly upon execution such supplemental the execution of such supplemental indenture. counsel In connection with any amendment, the Trustee may require the delivery of an opinion of counsel satisfactory to it (which opinion of counsel may rely on an officer's certificate from the Liquidation Agent), at the officer's satisfactory permitted expense of the Issuer, tImt such amendment is permitted under tile terms of the Indenture. the that In addition, the Issuers and the Trustee may enter into any additional agreements not expressly prohibited by the Indenture or any other Transaction Document. Document the the Co-Issuer Jurisdictions of Incorporation and Formation. Under the Indenture, the Issuer and tlle Co-Issuer will be Formation. Jurisdictions Incorporation and required to maintain their rights and franchises as a company incorporated under the laws of the Cayman Islands and incorporated a their provisions with a corporation formed under laws of the State of Delaware, respectively, to comply with the provisions of their under do respective organizational documents and to. obtain and preserve their qualification to do business as foreign and to organizational validation protect are or corporations in each jurisdiction in which such qualifications are or shall be necessary to protect the validation and corporations the Issuers Assets; provided, however, enforceability of the Indenture, the Secured Notes, or any of the Pledged Assets; provided, however, that the Issuers Notes, the shall be entitled to change their jurisdictions of incorporation from the Cayman Islands or Delaware, as applicable, Islands or of incorporation from be entitled its to any oUler jurisdiction reasonably selected by such Issuer or Co-Issuer, as applicable, and approved by its common or Co-Issuer, as applicable, and such selected other in such change is shareholders, so long as (i) the Issuer or Co-Issuer, as applicable, does not believe such change is disadvantageous in does not as Issuer or so long as (i) notice of such (ii) any nlaterial respect to such entity or the Holders of any Class of Secured Notes; (ii) written notice of such change Class of Secured Holders of entity material respect shall have been given by the Issuer or Co-Issuer, as applicable to the other of the Issuer or Co-Issuer, as applicable, as or to the other of the or Co-Issuer, as the Class of the the Trustee, the Note Paying Agent, the Liquidation Agent, the Credit Protection Buyer, the Holders of each Class of Agent, the Credit the the jurisdiction and the . Notes, and each of the Rating Agencies at least thirty (30) Business Days prior to such change of jurisdiction and the thirty (30) Business Days prior such and each of the Rating Agencies at Rating Agency Condition with respect to S&P shall have been satisfied with respect to such change; and (iii) on or to S&P shall have been satisfied with respect to such change; and (iii) on or Agency Condition with received written notice from shall not prior to the 25th Business Day following such notice the Trustee shall not have received written notice from Holders following such notice the to the 25th Business or, if and so long as any of a Majority of the Controlling Class, the Liquidation Agent or the Credit Protection Buyer or, if and so long as any Agent the Credit Protection Controlling Class, the of a Majority of Notes are listed fuereon, the Irish Stock Exchange objecting to such change. are listed thereon, the Irish Stock Exchange objecting to such change. 71 71 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912645 GS MBS-E-00091264S Footnote Exhibits - Page 5744 Petitions for Bankruptcy. The Indenture will provide that neither (i) the Paying Agents, the Liquidation Petitions for Bankruptcy. The Indenture will provide that neither (i) the Paying Agents, the Liquidation Agent, the Note Registrar, or the Trustee, in its own capacity, or on behalf of any Secured Noteholder, nor (ii) the Agent, the Note Registrar, or the Trustee, in its own capacity, or on behalf of any Secured Noteholder, nor (ii) the Secured Noteholders may, prior to the date which is one year and one day (or, if lCinger, the applicable preference Secured Noteholders may, prior to the date which is one year and one day (or, if longer, the applicable preference period then in effect) after the payment in full of all Notes, institute against, or join any other person in instituting period then in effect) after the payment in full of all Notes, institute against, or join any other person in instituting against, the Issuer or Co-Issuer any bankruptcy, reorganization, arrangement, moratorium, liquidation or similar against, the Issuer or Co-Issuer any bankruptcy, reorganization, arrangement, moratorium, liquidation or similar proceedings under the laws of any jurisdiction. proceedings under the laws of any jurisdiction. Satisfaction and Discharge of the Indenture. The Indenture will be discharged with respect to the Pledged Satisfaction and Discharge of the Indenture. The Indenture will be discharged with respect to the Pledged Assets securing the Secured Notes upon delivery to the Note Paying Agent for cancellation all of the Secured Notes Assets securing the Secured Notes upon delivery to the Note Paying Agent for cancellation all of the Secured Notes and the payment in full of the Secured Notes, or, within certain limitations (including the obligation to pay principal and the payment in full of the Secured Notes, or, within certain limitations (including the obligation to pay principal and interest), upon deposit with the Trustee of funds sufficient for the payment or redemption thereof and the and interest), upon deposit with the Trustee of funds sufficient for the payment or redemption thereof and the payment by the Issuers of all other amounts due under the Indenture. payment by the Issuers of all other amounts due under the Indenture. Trustee. LaSalle Bank National Association will be the Trustee under the Indenture. The Issuers and their Trustee. LaSalle Bank National Association will be the Trustee under the Indenture. The Issuers and their affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. The affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. The payment of the fees and ex.l'enses of the Trustee relating to the Secured Notes is solely the obligation of the Issuers. payment of the fees and expenses of the Trustee relating to the Secured Notes is solely the obligation of the Issuers. The Trustee and/or its affIliates may receive compensation in connection with the Trustee's investment of trust The Trustee and/or its affiliates may receive compensation in connection with the Trustee's investment of trust assets in certain Eligible Investments as provided in the Indenture and in connection with the Trustee's assets in certain Eligible Investments as provided in the Indenture and in connection with the Trustee's administration of any securities lending activities of the administration of any securities lending activities of the Issuer. The Indenture contains provisions indemnification Trustee for liability or expense The Indenture contains provisions for the indemnification of the Trustee for any loss, liability or expense incurred negligence, willful misconduct bad faith part, arising or connection incurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration Indenture. Trustee be to take action unless indemnified acceptance or administration of the Indenture. The Trustee will not be bound to take any action unless indemnified for such action. The Secured Noteholders shall together have the power, exercisable by the Controlling Class, to such The Secured Noteholders shall together have exercisable Controlling for remove Trustee set forth Indenture. removal of the Trustee shall effective remove the Trustee as set forth in the Indenture. The removal of the Trustee shall not become effective until the effective the appointment a successor the acceptance appointment successor later of the effective date of the appointment of a successor trustee and the acceptance of appointment by a successor trustee. If the Trustee is removed without cause, costs and expenses of the Trustee incurred in connection with the Trustee removed expenses connection trustee. If transfer to the successor Trustee shall be paid by the successor Trustee or the Issuer. Trustee be by the transfer National Agents. LaSalle Bank National Association will be the Note Paying Agent, the Note Registrar, the Note Calculation Agent and the Note Transfer Agent under the Indenture. The Issuers and their affiliates may maintain maintain Calculation other banking relationships in the ordinary course of business with LaSalle Bank. National Association. The relationships LaSalle Bank other expenses LaSalle payment of the fees and ex.~nses of LaSalle Bank National Association, as the Paying Agent, the Note Registrar, the Note Calculation Agent and the Note Transfer Agent relating to the Notes is solely the obligation of the Issuers. Calculation The Indenture contains provisions for the indemnification of LaSalle Bank National Association for any loss, provisions indemnification out misconduct, default liability or expense incurred without gross negligence, willful misconduct, default or bad faith on its part arising out incurred of or in connection with the acceptance or administration of the Indenture. . acceptance or on the Irish Paying Agent. If and for so long as any of the Secured Notes or. the Income Notes are listed on the of the Secured Notes or for If Irish in Paying an will the Irish Stock Exchange, and the rules of such exchange shall so require, the Issuers will have an Irish Paying Agent in shall so such Stock affiliates The Issuers and accordance with the requirements of the rules of such exchange for the Notes. The Issuers and their affiliates may for the such of accordance with the fees The payment of the Irish Paying maintain other relationships in the ordinary course of business with the Irish Paying Agent. The payment of the fees of the ordinary maintain of the Issuers. and expenses of the Irish Paying Agent relating to the Notes is solely the obligation of the Issuers. Notes is solely the Paying Agent relating to and expenses of respect to certain rights to vote will Income Status of the Income Notes. The Holders of the Income Notes will have certain rights to vote with respect to Notes. The Holders of Status the limitation, in including, Agency limited matters arising under the Indenture and the Liquidation Agency Agreement including, without limitation, in the Liquidation limited matters arising under the connection with certain modifications to the Indenture. However, the Holders of the Income Notes will have no connection with certain modifications to the Indenture. However, the Holders of the Income Notes will have no right to vote in connection with the realization of the Pledged Assets or certain other matters under the Indenture. right to vote in connection with the realization of the Pledged Assets or certain other matters under the Indenture. Fiscal Agency Agreement Fiscal Agency Agreement The Income Notes will be issued by the Issuer and administered in accordance with a Fiscal Agency The Income Notes will be issued by the Issuer and administered in accordance with a Fiscal Agency Agreement (the "Fiscal Agency Agreement") between LaSalle Bank National Association as fiscal agent (in such Agreement (the "Fiscal Agency Agreement") between LaSalle Bank National Association as fiscal agent (in such capacity, the "Fiscal Agent"). The following summary describes certain provisions of the Income Notes and the capacity, the "Fiscal Agent"). The following summary describes certain provisions of the Income Notes and the Fiscal Agency Agreement. This summary does not purport to be complete and is subject to, and qualified in its Fiscal Agency Agreement. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Fiscal Agency Agreement. After the closing, copies of the Fiscal entirety by reference to, the provisions of the Fiscal Agency Agreement. After the closing, copies of the Fiscal 72 72 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912646 GS MBS-E-000912646 Footnote Exhibits - Page 5745 Agency Agreement may be obtained by prospective investors upon request in writing to the Fiscal Agent at LaSalle Agency Agreement may be obtained by prospective investors upon request in writing to the Fiscal Agent at LaSalle Bank National Association, 181 W. Madison Street, 32nd Floor, Chicago, Illinois 60602, Attention: CDO Trust Bank National Association, 181 W. Madison Street, 32nd Floor, Chicago, Illinois 60602, Attention: CDO Trust (telephone number (312) 992-5312). Services Group -Anderson Mezzanine Funding 2007-1, Services Group -Anderson Mezzanine Funding 2007-1, Ltd. (telephone number (312) 992-5312). Fiscal Agency Agreement, Fiscal Agent and the Income Notes Transfer Agent will Pursuant Pursuant to the Fiscal Agency Agreement, the Fiscal Agent and the Income Notes Transfer Agent will Income The payment of the fees and expenses perform various fiscal services on behalf of the Holders perform various fiscal services on behalf of the Holders of the Income Notes. The payment of the fees and expenses of Fiscal Agent Income Notes Transfer Agent solely the obligation of Issuer. The Fiscal Agency of the Fiscal Agent and Income Notes Transfer Agent is solely the obligation of the Issuer. The Fiscal Agency the indemnification of Fiscal Agent and Income Notes Transfer Agent for any Agreement contains provisions Agreement contains provisions for the indemnification of the Fiscal Agent and Income Notes Transfer Agent for any liability or e"-pense incurred without gross negligence, willful misconduct or bad oil part, arising of loss, liability or expense incurred without gross negligence, willful misconduct or bad faith oft its part, arising out of or connection with the acceptance or administration the Fiscal Agency Agreement. or in connection with the acceptance or administration of the Fiscal Agency Agreement. Status. The Income secured Pledged Assets securing the Secured There be Status. The Income Notes are not secured by the Pledged Assets securing the Secured Notes. There can be assurance that, after payment principal and interest the Secured Notes expenses the no assurance that, after payment of principal and interest on the Secured Notes and other fees and expenses of the Issuers in accordance with Priority of the remaining payments in Issuers in accordance with the Priority of Payments, the Issuer will have funds remaining to make payments in respect the Income As result, the rights Income Note holders to receive payments will (i) respect of the Income Notes. As a result, the rights of the Income Note holders to receive payments will rank (i) of all secured creditors of whether including Holders of behind the rights of all secured creditors of the Issuer, whether known or unknown, including the Holders of the Secured Liquidation Agent the Protection Buyer (ii) pari with unsecured Secured Notes, the Liquidation Agent and the Credit Protection Buyer and (ii) pari passu with all unsecured creditors whether pursuant Indenture, pledged creditors of the Issuer, whether known or unknown. The Issuer, pursuant to the Indenture, has pledged substantially the Secured Notes certain other obligations proceeds assets all of its assets to secure the Secured Notes and certain other obligations of the Issuer. The proceeds of such assets be available make payments the Income Notes when such released will only be available to make payments in respect of the Income Notes as and when such proceeds are released ofthe Priority Payments. See "-Priority accordance from the lien of the Indenture in accordance with the Priority of Payments. See "-Priority of Payments." Secured Payment. On each Quarterly Payment Date, to the extent funds are available therefor, and after the Secured Payment. On each Quarterly Quarterly Payment senior payments on Notes certain payable Notes and certain other amounts due and payable on such Quarterly Payment Date that rank senior to payments on the Income Notes have been paid in full, Proceeds will be released from the lien of the Indenture in accordance with Proceeds released of Indenture accordance with paid Fiscal Quarterly Holders of the Priority of Payments and paid to the Fiscal Agent on such Quarterly Payment Date for payment to the Holders of the Income Notes. See "-Status and Security", "-Interest on the Secured Notes" and "-Principal." Security", Payments registered Payments on any Income Note will be made to the person in whose name such Income Note is registered 10 Business Days' priorio the applicable Quarterly Payment Date. Payments will be made by wire transfer in Business Days' prior to applicable Quarterly immediately available U.S. Dollar maintained thereof immediately available funds to a U.S. Dollar account maintained by the Holder thereof appearing in the Income or Register transfer Holder Notes Register in accordance with wire transfer instructions received from such Holder by the Fiscal Agent on or received before the Record Date or, if no wire transfer instructions are received by the Fiscal Agent, by a U.S. Dollar check instructions drawn on a bank in the United States. Final distributions or payments made in the course of a winding up of the Income Issuer will be made only against surrender of the certificate representing such Income Notes at the office of the communications of Income Notes Transfer Agent. The Income Notes Transfer Agent will communicate or cause communications of Transfer Payment such distributions and payments and the related Payment Date to the Issuer, the Fiscal Agent, Euroclear and Clearstreaul Clearstream. Agency Agreement. Modification of the Fiscal Agency Agreement. The Fiscal Agency Agreement may be amended by the Modification the Fiscal Noteholders Issuer and the Fiscal Agent without the consent of any of the Income Noteholders for any of the following purposes: the such and or (i) to. evidence the succession of any person to either the Issuer or Co-Issuer and the assumption by any such of any (i) to and the successor of the covenants of the Issuer or Co-Issuer in the Notes, the Fiscal Agency Agreement and the Indenture; the covenants to for the benefit (ii) to add to the covenants of the Issuers or the Fiscal Agent for the benefit of the Holders of the Notes or to the to add to the covenants or any surrender any right or power conferred upon the Issuers; (iii) to cure any ambiguity or manifest error or correct or Issuers; (iii) to contained any supplement any provisions contained herein which may be defective or inconsistent with any provision contained which contained any correct manifest or herein or make any modification that is of a formal, minor or technical nature or which is made to correct a manifest is a or or the Paying any to prevent the Issuer, error; (iv) to take any action necessary or advisable to prevent the Issuer, the Trustee, any Note Paying Agents or the necessary to prevent the Issuer from fees or or Fiscal Agent from becoming subject to withholding or other taxes, fees or assessments or to prevent the Issuer from subject being treated as engaged in a United States trade or business or otherwise being subject to United States federal, engaged in a United trade or business or otherwise being subject to United federal, the descriptions Fiscal Agency Agreement state or local income tax on a net income basis; (v) to confonn the Fiscal Agency Agreement to the descriptions . income basis; (v) to conform local income tax on state by the Irish contained in this Offering Circular, (vi) to comply with any reasonable requests made by the Irish Stock Exchange to comply with any reasonable Offering Circular, in for in order to list or maintain the listing of any Notes on such stock exchange; or (vii) to make any other change for the on such stock exchange; or (vii) make any other maintain the listing of in order provisions of, the Fiscal any purpose of adding any provisions to, or changing in any manner or eliminating any of the provisions of, the Fiscal or changing purpose of adding any provisions no material adverse effect on Agency Agreement; provided, however that such changes would have no material adverse effect on any of the Agency Agreement; provided, however that such changes would Notes. Notes. 73 73 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912647 GS MBS-E-000912647 Footnote Exhibits - Page 5746 The Fiscal Agency Agreement may also be amended from time to time by the Issuer and the Fiscal Agent The Fiscal Agency Agreement may also be amended from time to time by the Issuer and the Fiscal Agent with the consent of a Majority of Income Noteholders for the purpose of adding any provisions to or changing in any with the consent of a Majority of Income Noteholders for the purpose of adding any provisions to or changing in any manner or eliminating any of the provisions of the Fiscal Agency Agreement, or of modifying in any manner the manner or eliminating any of the provisions of the Fiscal Agency Agreement, or of modifying in any manner the rights of the Income Noteholders; provided, that no such amendment shall (i) reduce in any manner the amount of, rights of the Income Noteholders, provided, that no such amendment shall (i) reduce in any manner the amount of, or delay the timing of, or change the allocation of, the payments on the Income Notes or (ii) reduce the voting or delay the timing of, or change the allocation of, the payments on the Income Notes or (ii) reduce the voting percentage of the Income Noteholders required to consent to any amendment to the Fiscal Agency Agreement, in percentage of the Income Noteholders required to consent to any amendment to the Fiscal Agency Agreement, in each case without the consent of the Income Noteholders of all of the Income Notes. each case without the consent of the Income Noteholders of all of the Income Notes. Income Notes Register. The Fiscal Agent will initially be appointed as Income Notes Transfer Agent (in Income Notes Register. The Fiscal Agent will initially be appointed as Income Notes Transfer Agent (in such capacity, the "Income Notes Transfer Agent") for the purpose of registering and administrating the transfer of capacity, the "Income Notes Transfer Agent") for the purpose of registering and administrating the transfer of such Income Notes. The Income Notes Transfer Agent shall maintain at its offices, a register (the "Income Notes Income Notes. The Income Notes Transfer Agent shall maintain at its offices, a register (the "Income Notes Register") in which shall provide for the registration of Income Notes and the registration of transfers of Income Register") in which it shall provide for the registration of Income Notes and the registration of transfers of Income Notes accordance with the Fiscal Agency Agreement. Notes in accordance with the Fiscal Agency Agreement. Notices. Notices to the Income Note holders will be given by first class mail, postage prepaid, to the Notices. Notices to the Income Note holders will be given by first class mail, postage prepaid, to the registered holders of the Income their addresses appearing the Income Notes Register. In addition, if registered holders of the Income Notes at their addresses appearing in the Income Notes Register. In addition, if and for so long as any of the Income Notes Irish Stock Exchange so long as the of such for so long as any of the Income Notes are listed on the Irish Stock Exchange and so long as the rules of such exchange so notices the Holders of such Income Notes shall also be published by the Irish Listing Agent exchange so require, notices to the Holders of such Income Notes shall also be published by the Irish Listing Agent the official thereof as otherwise required by rules such exchange. in the official list thereof as otherwise required by the rules of such exchange. Governing Law of the Transaction Documents Governing Law of the Transaction Documents The Agency Credit Default the Liquidation The Indenture, the Fiscal Agency Agreement, the Notes, the Credit Default Swap and the Liquidation Agency Agreement governed by, accordance laws State New York Agency Agreement will be governed by, and construed in accordance with, the laws of the State of New York regard to conflict of laws principles applicable to agreements made and be performed therein applicable to agreements made and to be performed therein without regard to the conflict of laws principles thereof. Under the Indenture, Agency Agreement the Liquidation Issuers have Under the Indenture, the Fiscal Agency Agreement and the Liquidation Agency Agreement, the Issuers have submitted irrevocably to the non-exclusive jurisdiction of the courts of the State of New York and the courts of the irrevocably State America New County New United United States of America in the State of New York (in each case sitting in the County of New York) for the purposes of hearing and determining any suit, action or proceedings or settling any disputes arising out of or in hearing determining proceedings arising in connection Indenture, Fiscal Agreement Liquidation Agency Agreement. connection with the Indenture, the Notes, the Fiscal Agency Agreement and the Liquidation Agency Agreement. Form of the Notes The Notes. Each Class of Notes (other than the Income Notes) sold in reliance on Rule 144A under the Notes. reliance Securities Act will be represented by one or more Rule 144A Global Notes and will be deposited with LaSalle Bank of Association National Association as custodian for DTC and registered in the name of Cede & Co., a nominee of DTC. Each of defined the Income Notes which are sold either to (I) a qualified institutional buyer as defmed in Rule 144A under the (1) the case of in or Securities Act purchasing for its own account or for the account of a Qualified Institution Buyer or (2) in the case of of for $10 the Income Notes only, an Accredited Investor who has a net worth of not less than U.S. $10 million will be issued has a an Accredited Notes 144A The ("Definitive in definitive, fully registered fonn, registered in the name of the owner thereof ("Definitive Notes"). The Rule 144A exchange Global Notes and the Defmitive Notes (and any Notes issued in exchange therefor) will be subject to certain Definitive and restrictions on transfer as set forth under "Notice to Investors." set represented S Each Class of Notes sold in offshore transactions in reliance on Regulation S will initially be represented on in in Each Class of Bank by a Temporary Regulation S Global Note deposited on the Closing Date with LaSalle Bank National Association as deposited S Global of DTC, for custodian for DTC and registered in the name of Cede & Co., a nominee of DTC, for the respective accounts of Cede & Co., a and registered in custodian for S Global Note may be Euroclear and Clearstrearn. Beneficial interests in a Temporary Regulation S Global Note may be held only through in a Temporary Clearstream. Euroclear be exchanged S Global Note Euroclear or Clearstream. Beneficial interests in a Temporary Regulation S Global Note will be exchanged for a Euroclear or Clearstream. Beneficial interests Class for the beneficial interests in a permanent Regulation S Global Note (the "Regulation S Global Note") for the related Class Regulation S Global Note (the "Regulation S beneficial interests in a Compliance Period of Notes in defmitive, fully registered form upon the later of (i) the expiration of the Distribution Compliance Period fully registered form upon the later of (i) the expiration of the of Notes in definitive, to the Indenture) are and (li) the first date on which the requisite certifications (in the form provided in the Indenture) are provided to the the form provided in which the requisite certifications and (ii) the first DTC, and Trustee. The Regulation S Global Note will be registered in the name of Cede & Co., a nominee of DTC, and. registered in the name of Cede & Co., a nominee will Trustee. The Regulation S Global deposited with LaSalle Bank National Association as custodian for DTC for credit to the accounts of Euroclear and deposited with LaSalle Bank National Association as custodian for DTC for credit to the accounts of Euroclear and Clearstream for the respective accounts of the Holders of such Notes. Beneficial interests in a Regulation S Global Clearstream for the respective accounts of the Holders of such Notes. Beneficial interests in a Regulation S Global Note may be held only through Euroclear or Clearstream. Note may be held only through Euroclear or Clearstream. 74 74 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912648 GS MBS-E-000912648 Footnote Exhibits - Page 5747 A beneficial interest in a Regulation S Global Note or a Temporary Regulation S Global Note may be A beneficial interest in a Regulation S Global Note or a Temporary Regulation S Global Note may be transferred, whether before or after the expiration of the Distribution Compliance Period, to U.S. person only, with transferred, whether before or after the expiration of the Distribution Compliance Period, to aa U.S. person only, with respect to the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes or the Class D Notes, in the respect to the Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes or the Class D Notes, in the form of a beneficial interest in a Rule 144A Global Note, and, with respect to any Regulation S Income Notes, in the form of a beneficial interest in a Rule 144A Global Note, and, with respect to any Regulation S Income Notes, in the form of a definitive Income Note, as applicable, and only upon receipt by the Note Transfer Agent or Income Notes form of a definitive Income Note, as applicable, and only upon receipt by the Note Transfer Agent or Income Notes Transfer Agent, as applicable, of a written certification from the transferor (in the form provided in the Indenture or Transfer Agent, as applicable, of a written certification from the transferor (in the form provided in the Indenture or the Fiscal Agency Agreement, as applicable) to the effect that the transfer is being made to a person the transferor the Fiscal Agency Agreement, as applicable) to the effect that the transfer is being made to a person the transferor reasonably believes is (a) a Qualified Institutional Buyer or, solely in the case of the Income Notes, an Accredited reasonably believes is (a) a Qualified Institutional Buyer or, solely in the case of the Income Notes, an Accredited Investor who has a net worth of not less than U.S. $10 million and (b) a Qualified Purchaser. In addition, transfers Investor who has a net worth of not less than U.S. $10 million and (b) a Qualified Purchaser. In addition, transfers of a beneficial interest in a Regulation Global Note or Temporary Regulation Global Note to a person who takes of a beneficial interest in a Regulation S Global Note or Temporary Regulation S Global Note to a person who takes delivery in the form of an interest in a Rule 144A Global Note or, a Definitive Note in the case of the Income Notes, delivery in the form of an interest in a Rule 144A Global Note or, a Definitive Note in the case of the Income Notes, may occur only in denominations greater than or equal to the minimum denominations applicable the Rule 144A may occur only in denominations greater than or equal to the minimum denominations applicable to the Rule 144A Global Notes or in a principal amount of not less than $250,000. Global Notes or in a principal amount of not less than $250,000. A beneficial interest in Rule 144A Global Note may be transferred to a person who takes delivery in A beneficial interest in a Rule 144A Global Note may be transferred to a person who takes delivery in the of interest in a Temporary Regulation Global Note or Regulation S Global as the case may be, fonn of an interest in a Temporary Regulation S Global Note or a Regulation S Global Note, as the case may be, . whether during or after the expiration of the Distribution Compliance only upon receipt by the Note whether during or after the expiration of the Distribution Compliance Period, only upon receipt by the Note Registrar or Income Notes Transfer as applicable, of a written certification from the transferor the Registrar or Income Notes Transfer Agent, as applicable, of a written certification from the transferor (in the form provided in the Indenture) to the effect that such transfer is being made to a non U.S. Person in accordance with in the Indenture) to the effect that such transfer is being made non U.S. Person in accordance with provided or Regulation S. Rule 903 or 904 of Regulation S. Any beneficial interest one of the is transferred to the person who in the Any beneficial interest in one of the Global Notes that is transferred to the person who takes delivery in the fonn of an interest in another Global Note will, upon transfer, cease to be an interest in such Global Note and interest another Note will, upon cease be interest such Note form become interest accordingly, thereafter subject transfer become an interest in the other Global Note and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable beneficial interests such Global long remains such other procedures applicable to beneficial interests in such other Global Note for as long as it remains such interest. Except the circumstances owners beneficial any Note Except in the limited circumstances described below, owners of beneficial interests in any Global Note will receive Definitive issuable bearer not be entitled to receive a Definitive Note. The Notes are not issuable in bearer form. Each issued denominations of U.S.$250,000 case 144A Each Note will be issued in minimum denominations ofU.S.$250,000 (in the case of Rule 144A Notes and in the case of Income Notes sold to Accredited Investors) and U.S.$lOO,OOO (in the case of Regulation S Notes) and case oflncome U.S.$ 100,000 Accredited integral ofU.S.$1 integral multiples ofU.S.$1 in excess thereof. custodian Global Notes. Upon the issuance of the Global Notes, DTC or its custodian will credit, on its internal Global Notes. system, the respective aggregate original principal amount of the individual beneficial interests represented by such beneficial such system, Global Notes to the accounts of persons who have accounts with DTC. Such accounts initially will be designated by accounts or on behalf of the Initial Purchaser. Ownership of beneficial interests in Global Notes will be limited to persons Purchaser. on of through who have accounts with DTC ("participants") or persons who hold interests through participants. Ownership of persons ("participants") beneficial interests in a Global Note will be shown on, and the transfer of that ownership will be effected only transfer on, a beneficial of and through, records maintained by DTC or its nominee (with respect to interests of participants) and the records of through, participants (with respect to interests of persons other than participants). or such So long as DTC, or its nominee, is the registered owner or Holder of the Global Notes, DTC or such owner DTC, or So by Class the of nominee, as the case may be, will be considered tlle sole owner or Holder of each Class of the Notes represented by the sole owner the case may it is the such Global Notes for all purposes under the Indenture and such Notes. Unless DTC notifies the Issuers that it is and such Notes. purposes under Notes under a "Clearing Agency" unwilling or unable to continue as depositary for a global note or ceases to be a "Clearing Agency" registered under note ceases a or unable to continue as depositary of to have any the Exchange Act, owners of the beneficial interests in the Global Notes will not be entitled to have any portion of in the Global Notes the beneficial Act, Exchange be entitled to receive physical delivery such Global Notes registered in their names, will not receive or be entitled to receive physical delivery of Notes in names, Notes such Notes under the Indenture. In Holders of certificated form and will not be considered to be the owners or Holders of any Notes under the Indenture. In form and will not be considered to be the owners in addition, no beneficial owner of an interest in the Global Notes will be able to transfer that interest except in will be able to transfer that interest addition, no beneficial owner of an interest in the Global Notes if and, to herein referred acCordance with DTC's applicable procedures (in addition to those under the Indenture referred to herein and, if Indenture the under to those addition (in procedures applicable DTC's with accordance applicable, those of Euroclear and Clearstream). applicable, those of Euroclear and Clearstream). Investors may hold their interests in a Regulation S Global Note or a Temporary Regulation S Global Note Investors may hold their interests in a Regulation S Global Note or a Temporary Regulation S Global Note directly through Clearstream or Euroclear, if they are participants in these systems, or indirectly tlrrough directly through Clearstreamn or Euroclear, if they are participants in these systems, or indirectly through organizations which are participants in these systems. Clearstream and Euroclear will hold interests in the organizations which are participants in these systems. Clearstream and Euroclear will hold interests in the 75 75 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912649 GS MBS-E-000912649 Footnote Exhibits - Page 5748 Regulation S Global Notes on behalf of their participants through their respective depositaries, which in turn will Regulation S Global Notes on behalf of their participants through their respective depositaries, which in turn will hold the interests the Regulation Global Notes and Temporary Regulation S Global Notes in customers' hold the interests in the Regulation S Global Notes and Temporary Regulation S Global Notes in customers' securities accounts in the depositories' names on the books of DTC. Investors may hold their interests a Rule securities accounts in the depositories' names on the books of DTC. Investors may hold their interests in a Rule 144A Global Note directly through DTCif they are participants in the system,. or indirectly through organizations 144A Global Note directly through DTC if they are participants in the system, or indirectly through organizations which are participants the system which are participants in the system. or nominee, as the Payments of the principal of and interest on the Global Notes will be made to Payments of the principal of and interest on the Global Notes will be made to DTC or its nominee, as the registered owner thereof. Neither the Issuers, the Trustee nor any paying agent will have any responsibility or owner Neither tlle the Trustee any paying agent will have any responsibility or registered liability for any aspect of the records relating or payments made account of beneficial ownership interests in liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in Global Notes or notice permitted required to Holders of Notes or any consent given or the Global Notes or for any notice permitted or required to be given to Holders of Notes or any consent given or actions taken by DTC as Holder of The Issuers expect DTC or upon receipt of payment actions taken by DTC as Holder of Notes. The Issuers expect that DTC or its nominee, upon receipt of any payment principal or interest in respect Note representing Notes held it its nominee, will immediately of principal or interest in respect of a Global Note representing any Notes held by it or its nominee, will immediately credit participants' accounts with payments proportionate their respective interests principal credit participants' accounts with payments in amounts proportionate to their respective interests in the principal amount such Global Notes on records of DTC or its Issuers also expect payments amount of such Global Notes as shown on the records of DTC or its nominee. The Issuers also expect that payments interests in such Global Notes through participants will be governed by by participants to owners of interests in such Global Notes held through such participants will be governed by participants owners now the securities the accounts standing instructions and customary practices, as is now the case with securities held for the accounts of customers customary practices, registered in the names of nominees for such customers. Such payments will be the responsibility of such Such responsibility such registered participants. Transfers between participants will be effected tlle ordinary accordance and will Transfers between participants will be effected in the ordinary way in accordance with DTC rules and will of some jurisdictions that certain persons take physical delivery of settled same-day be settled in same-day funds. The laws of some jurisdictions require that certain persons take physical delivery of securities Consequently, transfer beneficial Notes securities in definitive form. Consequently, the ability to transfer beneficial interests in Global Notes to these persons may be limited. Because DTC can only act on behalf of participants, who in turn act on behalf of indirect linuted. Because behalf participants, indirect participants and certain tlle having beneficial interest participants and certain banks, the ability of a person having a beneficial interest in Global Notes to pledge its system, otherwise t3ke actions in interest entities in interest to persons or entities that do not participate in the DTC system,. or otherwise take actions in respect of its interest Transfers between account physical interest, may be affected by the lack of a physical certificate of the interest Transfers between account holders in affected by accordance Euroclear Clearstream effected Euroclear and Clearstream will be effected in the ordinary way in accordance with their respective rules and operating operating procedures. applicable cross-market Subject to compliance with the transfer restrictions applicable to the Notes described above, cross-market compliance through Euroclear Clearstream transfers between the transfers between DTC participants, on tlle one hand, and, directly or indirectly tlrrough Euroclear or Clearstream account holders; on the other, will be effected in DTC in accordance with DTC rules on behalf of Euroclear or accordance or Clearstream,. as the case may be, by its respective depositary; however, these cross-market transactions will require cross-market Clearstream, the counterparty delivery of instructions to Euroclear or Clearstream, as tile case may be, by tile counterparty in the system in instructions the Clearstream, accordance with its rules and procedures and within its established deadlines (Brussels time). Euroclear or witil Clearstream, as tile case may be, will, if the transaction meets its settlement requirements, deliver instructions to its tile settlement the Clearstream, respective depositary to take action to effect final settlement on its behalf by delivering or receiving interests in a and making Temporary Regulation S Global Note or a Regulation S Global Note in DTC, and making or receiving payment in Regulation Global Euroclear accordance Witll normal procedures for a same-day funds settlement applicable to DTC. Clearstream and Euroclear same-day accordance with account holders may not deliver instructions directly to the depositaries for Clearstream or Euroclear. Clearstream Euroclear. directly Because of time zone differences, the securities account of a Euroclear or Clearstream participant Because settlement the purchasing an interest in a Global Note from a DTC participant will be credited during the securities settlement DTC purchasing the processing day (which must be a Business Day for Euroclear or Clearstream, as the case may be) immediately for Euroclear or Clearstream, be a Business processing Note in following the DTC settlement date and the credit of any transactions in interests in a Global Note settled during the any following the DTC settlement in day. participant on processing day will be reported to tile relevant Euroclear or Clearstream participant on that day. Cash received in the relevant Euroclear or processing day Clearstream or Euroclear or Clearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream Global result or Clearstream will available in the participant to a DTC participant will be received with value on tile DTC settlement date but will be available in tile with value the DTC will a Business relevant Euroclear or Clearstream cash account only as of the Business Day following settlement in DTC. Clearstream the a permitted to be taken DTC has advised the Issuers that it will take any action permitted to be taken by a Holder of the Notes has advised the Issuers that will take any or of the as described below) (including the presentation of the applicable Notes for exchange as described below) only at tile direction of one or Notes presentation of the are credited and only respect of more participants to whose account witil DTC interests in a Global Note are credited and only in respect of that whose account with DTC interests in a Global given portion of tile aggregate principal amount of the Notes as to which the participant or participants has or have given of the aggregate principal amount of the Notes as which the participant or direction. 76 76 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912650 GS MBS-E-000912650 Footnote Exhibits - Page 5749 The giving of notices and other communications by DTC to participants, by participants to persons who The giving of notices and other communications by DTC to participants, by participants to persons who hold accounts with them and by such persons to Holders of beneficial interests in Global Note will be governed by hold accounts with them and by such persons to Holders of beneficial interests in aaGlobal Note will be governed by arrangements between them, subject to any statutory or regulatory requirements as may exist from time to time. arrangements between them, subject to any statutory or regulatory requirements as may exist from time to time. DTC has advised the Issuers as follows: DTC is a limited purpose trust company organized under the laws DTC has advised the Issuers as follows: DTC is a limited purpose trust company organized under the laws of the State of New York, member of the Federal Reserve System, "clearing corporation" within the meaning of of the State of New York, aa member of the Federal Reserve System, aa "clearing corporation" within the meaning of the Uniform Commercial Code and "Clearing Agency" registered pursuant to the provisions of Section 17 A of the the Uniform Commercial Code and aa "Clearing Agency" registered pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold securities for its participants and facilitate the clearance and settlement of Exchange Act. DTC was created to hold securities for its participants and facilitate the clearance and settlement of securities transactions between participants through electronic book-entry changes in accounts of its participants, securities transactions between participants through electronic book-entry changes in accounts of its participants, thereby eliminating the need for physical movement of certificates. Participants include securities brokers and thereby eliminating the need for physical movement of certificates. Participants include securities brokers and dealers, banks, trust companies and clearing corporations and may include certain other organizations. Indirect dealers, banks, trust companies and clearing corporations and may include certain other organizations. Indirect access to the DTC system is available to others such as banks, brokers, dealers and trust companies that clear access to the DTC system is available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a participant, either directly or indirectly ("indirect participants"). through or maintain a custodial relationship with a participant, either directly or indirectly ("indirect participants"). Clearstream. Clearstream Banking, societe anonyme, was incorporated as a limited liability company Clearstream. Clearstream Banking, socidt6 anonyme, was incorporated as a limited liability company under Luxembourg law. Clearstream is owned by Cedel International, socidtd anonyme, and Deutsche Bcrse AG. Luxembourg law. Clearstream is owned by Cedel International, societe anonyme, and Deutsche Borse AG. under The shareholders of these two entities are banks, securities dealers and financial institutions. The shareholders of these two entities are banks, securities dealers and financial institutions. Clearstream holds securities its customers and facilitates the clearance and settlement of securities Clearstream holds securities for its customers and facilitates the clearance and settlement of securities transactions between Clearstream customers through electronic book-entry changes in accounts of Clearstrean between Clearstream customers through electronic book-entry changes in accounts of Clearstream transactions customers, customers, eliminating need for physical movement of certificates. Clearstream provides to customers, thus eliminating the need for physical movement of certificates. Clearstream provides to its customers, among other services administration, clearance and settlement of internationally traded among other things, services for safekeeping, administration, clearance and settlement of internationally traded securities, securities lending borrowing collateral management. Clearstream interfaces with domestic securities, securities lending and borrowing and collateral management. Clearstream interfaces with domestic countries. Clearstream has established electronic bridge Bank S.A.IN. v., markets in a number of countries. Clearstream has established an electronic bridge with Euroclear Bank S.A./N.V., a Euroclear. the operator settlement of between Clearstream Euroclear Systeln, the operator of the Euroclear System. to facilitate settlement of trades between Clearstream and Euroclear. . As a registered bank in Luxembourg, Clearstream is subject to regulation by the Luxembourg Coimnission registered tlle Luxembourg COImnission Luxembourg, Clearstrean subject for the Supervision of the Financial Sector. Clearstream customers are recognized financial institutions around the the Supervision Financial recognized institutions Clearstream customers world, including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations. In including underwriters, securities brokers dealers, and clearing the United States, Clearstrean customers are limited to securities brokers and dealers and banks and may include the Clearstream customers obtain Initial Purchaser. Other institutions that maintain a custodial relationship with a Clearstream customer may obtain institutions Clearstream Clearstream Cleatstream indirect participant indirect access to Clearstrean. Clearstrean is an indirect participant in DTC. Clearstream Distributions with respect to tlle Notes held beneficially through Clearstream will be credited to cash the the accounts of Clearstream customers in accordance with its rules and procedures, to tlle extent received by in Clearstrean accounts Clearstream. of The Euroclear System. The Euroclear System was created in 1968 to hold securities for participants of the System Euroclear simultaneous participants Euroclear System and to clear and settle transactions between Euroclear participants through simultaneous electronic and Euroclear System and movement of for book-entry delivery against payment, tllus eliminating tlle need for physical movement of certificates and risk from thus eliminating the including be settled many may lack of simultaneous transfers of securities and cash. Transactions may now be settled in many currencies, including securities and cash. lack of services, including securities other services, including securities lending U.S. Dollars and Japanese Yen. The Euroclear System provides various otller Euroclear System provides Yen. for similar the and borrowing and interfaces with domestic markets in several countries generally similar to tlle arrangements for several with domestic borrowing and cross-market transfers with DTC described above. transfers with DTC described above. The Euroclear System is operated by Euroclear Bank S.A.IN.V. (tlle "Euroclear Operator"), under contract The Euroclear System is operated by Euroclear Bank S.A./N.V. (the "Euroclear Operator"), under contract witll Euroclear Clearance System pic, a UK corporation (tile "Euroclear Clearance System"). The Euroclear with Euroclear Clearance System plc, a U.K. corporation (the "Euroclear Clearance System"). The Euroclear Operator conducts all operations, and all Euroclear securities clearance accounts and Euroclear cash accounts are Operator conducts all operations, and all Euroclear securities clearance accounts and Euroclear cash accounts are accounts with tlle Euroclear Operator, not tlle Euroclear Clearance System The Euroclear Clearance System accounts with the Euroclear Operator, not the Euroclear Clearance System. The Euroclear Clearance System establishes policy for the Euroclear System on behalf of Euroclear participating organizations. Euroclear establishes policy for the Euroclear System on behalf of Euroclear participating organizations. Euroclear participants include banks (including central banks), securities brokers and dealers and oilier professional financial participants include banks (including central banks), securities brokers and dealers and other professional financial intermediaries and may include tlle Initial Purchaser. Indirect access to the Euroclear System is also available to intermediaries and may include the Initial Purchaser. Indirect access to the Euroclear System is also available to other firms that clear through or maintain a custodial relationship wiili a Euroclear participant, either directly or other firms that clear through or maintain a custodial relationship with a Euroclear participant, either directly or indirectly. Euroclear is an indirect participant in DTC. indirectly. Euroclear is an indirect participant in DTC. 77 77 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912651 GS MBS-E-000912651 Footnote Exhibits - Page 5750 The Euroclear Operator is Belgian bank. The Belgian Banking Commission regulates and examines the The Euroclear Operator is aa Belgian bank. The Belgian Banking Commission regulates and examines the Euroclear Operator. Euroclear Operator. The Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the The Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System and applicable Belgian law govern securities clearance accounts and cash accounts with the Euroclear System and applicable Belgian law govern securities clearance accounts and cash accounts with the Euroclear Operator. Specifically, these terms and conditions govern: Euroclear Operator. Specifically, these terms and conditions govern: (a) (a) (b) (b) transfers of securities and cash within the Euroclear System; transfers of securities and cash within the Euroclear System; withdrawal of securities and cash from the Euroclear System; and withdrawal of securities and cash from the Euroclear System; and receipts of payments with respect to securities in the Euroclear System. receipts of payments with respect to securities in the Euroclear System. (c) (c) All securities in the Euroclear System are held on fungible basis without attribution of specific certificates All securities in the Euroclear System are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts. The Euroclear Operator acts under the terms and conditions only on behalf to specific securities clearance accounts. The Euroclear Operator acts under the terms and conditions only on behalf of Euroclear participants and has no record of relationship with persons securities through Euroclear of Euroclear participants and has no record of or relationship with persons holding securities through Euroclear participants . participants. Distributions respect to Notes held beneficially through Euroclear credited to the cash accounts Distributions with respect to Notes held beneficially through Euroclear will be credited to the cash accounts of Euroclear participating organizations in accordance with the Euroclear Terns and Conditions, to the extent Euroclear participating organizations in accordance with the Euroclear Tenns and Conditions, the extent of received by the Euroclear Operator and by Euroclear. by Euroclear Operator . received . Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate Although DTC, Clearstream and Euroclear to the procedures interests Regulation Global Notes and in 144A Notes participants of transfers of interests in the Regulation S Global Notes and in the Rule 144A Global Notes among participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform these procedures, Clearstream and obligation perform or continue perform procedures, procedures may discontinued Neither Issuers Trustee will have and the procedures may be discontinued at any time. Neither the Issuers nor the Trustee will have any responsibility Euroclear respective participants indirect participants their performance for the performance by DTC, Clearstream, Euroclear or their respective participants or indirect participants of their respective obligations respective obligations under the rules and procedures governing their operations. Payments; Certifications by Holders Temporary Regulation Global Notes. beneficial Payments; Certifications by Holders of Temporary Regulation S Global Notes. A Holder of a beneficial Temporary Regulation provide Clearstream interest in a Temporary Regulation S Global Note must provide Clearstream or Euroclear, as the case may be, with a certificate in the form required by the Indenture certifying that the beneficial owner of the interest in such Global Indenture certifying beneficial Clearstrearn Note is not a U.S. Person (as defilled in Regulation S), and Clearstream or Euroclear, as the case may be, must S), defined U.S. interest or provide to the Trustee a certificate in the form required by the Indenture prior to (i) the payment of interest or Indenture prior.to (i) required S principal.with respect to such Holder's beneficial interest in the Temporary Regulation S Global Note and (ii) any beneficial Temporary principal with exchange of such beneficial interest for a beneficial interest in a Regulation S Global Note. beneficial the B Individual Definitive Notes. The Class S Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Individual Definitive Notes. form. The Income the Class D Notes and the Regulation S Income Notes will be initially issued in global form. The Income Notes S (other than the Regulation S Income Notes) will not be global and will be represented by one or more Definitive Regulation Income (other to Notes. If PTC or any successor to DTC advises the Issuer in writing that it is at any time unwilling or unable to DTC appointed continue as a depositary for the reasons described in "-Global Notes" and a successor depositary is not appointed described "-Global for as of the Cayman by the Issuers within 90 days or as a result of any amendment to or change in, the laws or regulations of the Cayman or or thereof Islands or the State of Delaware, as applicable, or of any authority therein or thereof having power to tax or in the or of any Delaware, as Islands or the Closing effective on inteIpretation or adIninistration of such laws or regulations which become effective on or after the Closing Date, the or interpretation administration from Issuers, the Note Paying Agent or the Fiscal Agent is or will be required to make any deduction or withholding from be required to make any deduction or or the Fiscal Agent or Paying Issuers, the the Issuers any payment in respect of the Notes which would not be required if the Notes were in definitive form and the Issuers be required if the Notes were in definitive which would any payment respect 144A will issue Definitive Notes in registered fonn in exchange for the Regulation S Global Notes and the Rule 144A for the Regulation S Global Notes form in will to Global Notes, as the case may be. Upon receipt of such notice from DTC, the Issuers will use their best efforts to from DTC, the Issuers will use as the case may be. Upon receipt of such Global make arrangements with DTC for the exchange of interests in the Global Notes for individual Definitive Notes and DTC for the exchange of interests in the Global Notes for individual Definitive Notes and make arrangements Registrar Income cause the requested individual Definitive Notes to be executed and delivered to the Note Registrar or Income Notes delivered to the cause the requested individual Definitive Notes to executed Transfer Agent, as applicable, in sufficient quantities and authenticated by or on behalf of the Note Transfer Agent authenticated by or on behalf the Note Transfer Agent Transfer Agent, applicable, in sufficient quantities .or Income Notes Transfer Agent, as applicable, for delivery to Holders of the Notes. Persons exchanging interests in or Income Notes Transfer Agent, as applicable, for delivery to Holders of the Notes. Persons exchanging interests in a Global Note for individual Definitive Notes will be required to provide to the Note Transfer Agent or the Income a Global Note for individual Definitive Notes will be required to provide to the Note Transfer Agent or the Income Notes Transfer Agent, as applicable, through DTC, Clearstream or Euroclear, (i) written instructions and other Notes Transfer Agent, as applicable, through DTC, Clearstream or Euroclear, (i) written instructions and other 78 78 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912652 GS MBS-E -000912652 Footnote Exhibits - Page 5751 infonnation required by the Issuers, the Note Transfer Agent and the Income Notes Transfer Agent to complete, information required by the Issuers, the Note Transfer Agent and the Income Notes Transfer Agent to complete, execute and deliver such individual Definitive Notes, (ii) in the case of an exchange of an interest in a Rule 144A execute and deliver such individual Definitive Notes, (ii) in the case of an exchange of an interest in a Rule 144A Global Note, such certillcation as to (a) Qualilled Institutional Buyer status or, solely in the case of the Income Global Note, such certification as to (a) Qualified Institutional Buyer status or, solely in the case of the Income Notes, as to Accredited Investor status and that such Holder is a Qualilled Purchaser, as the Issuers shall require Notes, as to Accredited Investor status and (b) that such Holder is a Qualified Purchaser, as the Issuers shall require exchange an interest in a Regulation Global Note, such certillcation as the Issuers and in case of and (iii) in the case of an exchange of an interest in a Regulation S Global Note, such certification as the Issuers exchange for require to Person status. In all cases, individual Definitive Notes delivered shall require as to non-U.S. Person status. In all cases, individual Definitive Notes delivered in exchange for any Global Note or beneficial interests therein will be registered in the names, and issued in denominations Global Note or beneficial interests therein will be registered in the names, and issued in denominations in compliance the minimum denominations specilled for the applicable Global requested by DTC. compliance with the minimum denominations specified for the applicable Global Notes, requested by DTC. Individual Definitive Notes will bear, and be subject to, such legend the Issuers require in order to assure Individual Definitive Notes will bear, and be subject to, such legend as the Issuers require in order to assure compliance with any applicable Individual will transferable the minimum compliance with any applicable law. Individual Definitive Notes will be transferable subject to the minimum whole or part, and denomination applicable RuIe 144A Global and ReguIation Global denomination applicable to the Rule 144A Global Notes and Regulation S Global Notes, in whole or in part, and exchangeable individual Definitive Notes of the same Class at the office Note Paying exchangeable for individual Definitive Notes of the same Class at the. office of the Note Paying Agent, Note any transfer upon compliance the Transfer Agent, Income Notes Transfer Agent or office Transfer Agent, Income Notes Transfer Agent or the office of any transfer agent, upon compliance with the requirements in the Indenture Fiscal Agency Agreement, applicable. Individual Definitive Notes requirements set forth in the Indenture or the Fiscal Agency Agreement, as applicable. Individual Definitive Notes transferred through any delivery duly completed assignment may be transferred through any transfer agent upon the delivery and duly completed assignment of such Notes. Upon transfer of any individual Definitive Note in part, the Note Transfer Agent or Income Notes Transfer Agent, as individual Definitive Note part, Transfer Income Transfer Upon transfer of transferee one more amount exchange therefor applicable, will issue in exchange therefor to the transferee one or more individual Definitive Notes in the amount being transferred issue to transferor one or individual Notes the remaining amount being so transferred and will issue to the transferor one or more individual Definitive Notes in the remaining amount payment being charge will be registration of transfer or exchange, not being transferred. No service charge will be imposed for any registration of transfer or exchange, but payment sum sufficient to any other governmental charge The restricted of a sum sufficient to cover any tax or other govermuental charge may be required. The Holder of a restricted individual Definitive transfer such compliance legend individual Definitive Note may transfer such Note, subject to compliance with the provisions of the legend thereon. upon specillc removal exchange replacement Upon the transfer, exchange or replacement of Notes bearing the legend, or upon specific request for removal of the legend Notes remove as legend on a Note, the Issuer will deliver only Notes that bear such legend, or will refuse to remove such legend, as case may delivered may include of satisfactory evidence, the case lnay be, unless there is delivered to the Issuer such satisfactory evidence, which may include an opinion of reasonably neither legend transfer counsel, as may reasonably be required by the Issuer that neither the legend nor the restrictions on transfer set forth Securities provisions therein are required to ensure compliance with the provisions of the Securities Act and the Investment Company principal individual Act. Payments of principal and interest on individual Definitive Notes shall be payable by the Note Paying Agents U.S. applicable, or the Fiscal Agent, as applicable, by U.S. Dollar check drawn on a bank in the United States of America and sent available Holder thereof,.by by mail to the registered Holder thereof, .by wire transfer in immediately available funds. In addition, if and for so exchange long as any Notes are listed on the Irish Stock Exchange and the rules of such exchange shall so require, in the case Exchange require, of a transfer or exchange of individual Definitive Notes, a Holder thereof may effect such transfer or exchange by Definitive thereof exchange presenting such Notes at, and obtaining a new individual Definitive Note from the office of the Irish Paying Agent, in the case of a transfer of only a part of an individual Definitive Note, a new individual Definitive Note in respect transferred of the balance of the principal amount of the individual Definitive Note not transferred will be delivered at the office of the Irish Stock Exchange and in the case of a replacement of any lost, stolen, mutilated or destroyed individual replacement Agent. Definitive Notes, a Holder thereof may obtain a new individual Definitive Note from the Irish Paying Agent. Definitive The Income Notes. The Regulation S Income Notes will initially be in global form. The Income Notes S Notes. (other than Regulation S Income Notes) will not be global and will be represented by one or more Income Note global will S set Certillcates in definitive form. All Income Notes will be subject to certain restrictions on transfer as set forth under to certain Income Certificates "Notice to Investors." "Notice Agent of Notes and Income Notes may be transferred only (i) upon receipt by the Issuer and Income Notes Transfer Agent of be transferred only (i) Income to Qualified transfer effect that an Income Notes Purchase and Transfer Letter to the effect that the transfer is being made (a) to a Qualilled Letter Notes Purchase of in in the Income Institutional Buyer that has acquired an interest in the Income Notes in a transaction meeting the requirements of acquired an than U.S.$10 million of Rule 144A or (b) to an Accredited Investor having a net worth of not less than U.S.$l0 million in a transaction a Accredited Investor (b) Rule or (ii) to non-U.S. Person an exempt from registration under the Securities Act, who is a Qualilled Purchaser or (ii) to a non-U.S. Person in an a Qualified from registration under the Securities S. The transferee of Income 904 offshore transaction complying with Rule 903 or Rule 904 of Regulation S. The transferee of an Income Note (other Rule 903 or transaction as set representations applicable to such than a Regulation S Income Note) must also make certain other representations applicable to such transferee, as set. a Regulation S Income Note) must forth in the Income Notes Purchase and Transfer Letter. Purchase and Transfer Letter. forth in the Income and to have its deemed Each Purchaser of a Regulation S Income Note will be deemed by its purchase to have represented and Purchaser of a Regulation S Income Note warranted as set forth under "Notice to Investors." "Notice to set forth 79 79 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912653 GS MBS-E-000912653 Footnote Exhibits - Page 5752 Payments on the Income Notes on any Payment Date will be made to the person in whose name the Payments on the Income Notes on any Payment Date will be made to the person in whose name the relevant Income Note is registered in the Income Notes Register as of the close of business 10 Business Days prior relevant Income Note is registered in the Income Notes Register as of the close of business 10 Business Days prior to such Payment Date. to such Payment Date. USE OF PROCEEDS USE OF PROCEEDS The gross proceeds associated with the offering of the Notes are expected to equal approximately The gross proceeds associated with the offering of the Notes are expected to equal approximately U.S.$308,400,OOO. Approximately U.S.$1,655,000 of such gross proceeds will be applied by the Issuer to pay U.S.$308,400,000. Approximately U.S.$1,655,OOO of such gross proceeds will be applied by the Issuer to pay upfront fees and e>..-penses associated with the offering of the Notes. On the Closing Date or promptly thereafter as upfront fees and expenses associated with the offering of the Notes. On the Closing Date or promptly thereafter as is consistent with customary settlement procedures, pursuant to agreements to purchase entered into on or before the is consistent with customary settlement procedures, pursuant to agreements to purchase entered into on or before the Closing Date, the Issuer will apply the net proceeds to purchase the Collateral Securities and Eligible Investments Closing Date, the Issuer will apply the net proceeds to purchase the Collateral Securities and Eligible Investments descnbed herein having an aggregate Principal Balance of approximately U.S.$305,OOO,OOO and will have entered described herein having an aggregate Principal Balance of approximately U.S.$305,000,000 and will have entered into the Credit Default Swap. In addition, on the Closing Date, approximately U.S.$200,OOO of the net proceeds into the Credit Default Swap. In addition, on the Closing Date, approximately U.S.$200,000 of the net proceeds from the issuance of the Notes will be deposited into the Expense Reserve Account. from the issuance of the Notes will be deposited into the Expense Reserve Account. RATINGS THE RATINGS OF THE NOTES It a condition to issuance of tlle Notes that the Class A-Ia Notes, the Class A-Ib It is a condition to the issuance of the Notes that the Class S Notes, the Class A-la Notes, the Class A-lb Notes and the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, that the Class B Notes be rated at and the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" by S&P, the Class B Notes rated Notes least "Aa2" by Moody's and at least "AX' by S&P, that the Class C Notes be rated at least "A2" by Moody's and at "Aa2" by Moody's least "AA" by S&P, that Notes be rated least "A2" by least least "A" S&P Class D Notes rated least "Baa2" by Moody's least "BBB" The least "A"by S&P and that the Class D Notes be rated at least "Baa2" by Moody's and at least "BBB" by S&P. The or hold Income Notes not by Rating Agency. A rating is not recommendation buy, Income Notes will not be rated by either Rating Agency. A rating is not a recommendation to buy, sell or hold securities subject revision withdrawal any securities and may be subject to revision or withdrawal at any time. If and as any of listed the Stock Exchange, Trustee If and for so long as any Class of Notes is listed on the Irish Stock Exchange, the Trustee will inform the if any rating any Notes reduced Paying Irish Paying Agent if any rating assigned to any Class of Notes is reduced or withdrawn. Moody's Ratings The assigned by Moody's based probability that The ratings assigned to the Secured Notes by Moody's are based upon its assessment of the probability that the Credit Default Swap and the Collateral Assets will provide sufficient funds to pay such Secured Notes, based Swap sufficient based Collateral expected obligations largely upon Moody's statistical analysis of historical default rates on debt obligations with various ratings, expected largely recovery Obligations Collateral required recovery rates on the Reference Obligations and the Collateral Assets, the asset and interest coverage required for diversification achieved subordination such Secured Notes (which is achieved through the subordination of more junior Notes), and the diversification Secured requirements that the Pledged Assets must satisfy. Moody's rating of (i) the Class S Notes, the Class A Notes and the Class B Notes addresses the ultimate of cash receipt of all required principal payments and the timely cash receipt of all interest or premium payments as all Class D provided in the governing documents and (ii) the Class C Notes and the Class D Notes addresses the ultimate cash documents. receipt of all required interest and principal payments as provided in the governing documents. Moody's ratings are of based on the expected loss posed to the Holders of the Notes relative to the promise of receiving the present value, expected loss on payments. calculated using a discounted rate equal to the promised interest rate of such payments. Moody's analyzes the rate of using discounted rate equal to on historical likelihood tlmt each debt obligation included in the portfolio will default, based on historical default rates for similar debt that increases debt obligations, the historical volatility of such default rates (which increases as securities with lower ratings are default Moody's fluctuations added to the portfolio) and an additional default assumption to account for future fluctuations in defaults. Moody's account default added the the expected then determines the level of credit protection necessary to achieve the expected loss associated with the rating of the necessary to achieve the structured securities, taking into account the potential recovery value of the Pledged Assets and the expected value of the Pledged Assets and the expected into structured securities, industry. issuer volatility of the default rate of the portfolio based on the level of diversification by issuer and industry. default rate of the portfolio based on the level of diversification of a into account In addition to these quantitative tests, Moody's ratings take into account qualitative features of a quantitative tests, Moody's ratings In addition the risks associated with such . transaction, including the experience of the Liquidation Agent, the legal structure and the risks associated with such the experience of the Liquidation Agent, the legal structure transaction, including relevant. structure, its view as to the quality of the participants in the transaction and other factors that it deems relevant. participants in the transaction and other factors that it quality view as to structure, 80 80 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912654 GS MBS-E-000912654 Footnote Exhibits - Page 5753 S&P Ratings S&P Ratings S&P will rate the Secured Notes in a manner similar to the manner in which it rates other structured issues. S&P will rate the Secured Notes in a manner similar to the manner in which it rates other structured issues. The ratings assigned to the Class S Notes, the Class A Notes and the Class B Notes by S&P address the likelihood ratings assigned to the Class S Notes, the Class A Notes and the Class B Notes by S&P address the likelihood The of the timely payment of interest and the ultimate payment of principal on such Secured Notes. The ratings assigned of the timely payment of interest and the ultimate payment of principal on such Secured Notes. The ratings assigned to the Class C Notes and the ClaSs D Notes by S&P address the likelihood of the ultimate payment of interest and to the Class C Notes and the Class D Notes by S&P address the likelihood of the ultimate payment of interest and principal on such Secured Notes. This requires an analysis of the following: (i) credit quality of the Pledged Assets principal on such Secured Notes. This requires an analysis of the following: (i) credit quality of the Pledged Assets securing the Secured Notes; (ii) cash flow used to pay liabilities and the priorities of these payments; and (iii) legal securing the Secured Notes; (ii) cash flow used to pay liabilities and the priorities of these payments; and (iii) legal considerations. Based on these analyses, S&P determines the necessary level of credit enhancement needed to considerations. Based on these analyses, S&P determines the necessary level of credit enhancement needed to achieve a desired rating. achieve a desired rating. S&P's analysis includes the application of its proprietary default expectation computer model, the Standard S&P's analysis includes the application of its proprietary default expectation computer model, the Standard used to estimate the default rate the & Poor's CPO Momtor (which will be provided to the Issuer), which & Poor's CDO Monitor (which will be provided to the Issuer), which is used to estimate the default rate the portfolio is likely e"l>erience. The Standard Poor's CDO Momtor calculates the projected cumulative default portfolio is likely to experience. The Standard & Poor's CDO Monitor calculates the projected cumulative default rate of a pool of collateral consistent with a specified benchmark rating level based upon S&P's proprietary rate of a pool of collateral consistent with a specified benchmark rating level based upon S&P's proprietary corporate debt default studies. The Standard & Poor's CDO Monitor takes into consideration the rating of each Standard Poor's CDO Monitor takes into consideration the of each corporate debt default studies. issuer or obligor indusll)' concentration and the remaining issuer or obligor, the number issuers or obligors, issuer or obligor, the number of issuers or obligors, the issuer or obligor industry concentration and the remaining the Reference Portfolio. The risks weighted average maturity of each of the Reference Obligations included weighted average maturity of each of the Reference Obligations included in the Reference Portfolio. The risks posed by these variables are accounted for by effectively adjusting the necessary default level needed to achieve a by these variables are accounted by effectively adjusting the necessary default level needed achieve posed desired The desired the level defaults withstand. desired rating. The higher the desired rating, the higher the level of defaults the portfolio must withstand. Credit enhancement to support particular rating provided based, part, of Credit enhancement to support a particular rating is then provided based, in part, on the results of the Standard & Poor's CDO Monitor, as well as other more qualitative considerations such as legal issues and CDO well other more qualitative considerations such legal issues and Standard a combination of management capabilities. Credit enhancement is typically provided Credit enhancement is typically provided by a combination of management capabilities. overcollateralizationlsubordination, collateral/reserve excess spread/interest overcollateralization/subordination, cash collateral/reserve account, excess spread/interest and amortization. A transaction-specific model "Transaction-Specific Model") evaluate transaction-specific cash flow model (the "Transaction-Specific Cash Flow Model") is used to evaluate the portfolio and determine whether it can withstand an estimated level of default while fully repaying the class of debt under determine whether withstand estimated repaying under consideration. There can be no assurance that actual loss on the Pledged Assets will not exceed those assumed in the can Pledged the assurance Standard & recovery respect application of the Standard & Poor's CDO Monitor or that recovery rates and the timing of recovery with respect application Transaction-Specific thereto will not differ from those assumed in the Transaction-Specific Cash Flow Model. The Issuers make no expected defaults representation as to the expected rate of defaults on the portfolio or as to the expected timing of any defaults that representation may occur. S&P's rating of the Notes will be established under various assumptions and scenario analyses. There can representation no assurance, be no assurance, and no representation is made, that actual defaults on the Pledged Assets will not exceed those in S&P's analysis, or that recovery rates with respect thereto (and, consequently, loss rates) will not differ from those in S&P's analysis. THE CREDIT DEFAULT SWAP General of the of certain a The following description of tlle Credit Default Swap is a summary of certain provisions of the Credit Default the description The Swap refer the Credit Default Swap but does not purport to be complete and prospective investors must refer to the Credit Default Swap and prospective not purport to be Swap and Master for more detailed information regarding the Credit Default Swap. Copies of the Master Agreement and the Master Swap. Copies of Credit regarding information more terms not otherwise defined in Confirmations will be available to investors from the Trustee. Capitalized terms not otherwise defined in this investors from the available Confirmations will Master Confirmation. section will have the meanings set forth in the Master Agreement and related Master Confinnation. in the Master Agreement and section will have the meanings and will be default The Credit Default Swap will be structured as a "pay-as-you-go" credit default swap and will be "pay-as-you-go" structured as The Credit Default Swap documented pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Border), including the Schedule documented pursuant to a 1992 ISDA Master Agreement (Multicurrency-Cross Border), including the Schedule thereto (the "Master Agreement"), between the Issuer and the Credit Protection Buyer along with two confirmations thereto (the "Master Agreement"), between the Issuer and the Credit Protection Buyer along with two confirmations (each a "Master Confirmation") evidencing a transaction with respect to each Reference Obligation in the Reference (each a "Master Confirmation") evidencing a transaction with respect to each Reference Obligation in the Reference Portfolio thereunder (each such transaction, a "CDS Transaction"). Portfolio thereunder (each such transaction, a "CDS Transaction"). 81 81 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912655 GS MBS-E-000912655 Footnote Exhibits - Page 5754 Each CDS Transaction is expected to have specified Reference Obligation Notional Amount which Each CDS Transaction is expected to have aa specified Reference Obligation Notional Amount which represents the dollar amount of the credit exposure which the Issuer is assuming thereunder with respect to the represents the dollar amount of the credit exposure which the Issuer is assuming thereunder with respect to the Reference Obligation related to such CDS Transaction. The "Aggregate Reference Obligation Notional Amount" is Reference Obligation related to such CDS Transaction. The "Aggregate Reference Obligation Notional Amount" is the sum of the Reference Obligation Notional Amounts of all CDS Transactions. On the Closing Date, the Issuer the sum of the Reference Obligation Notional Amounts of all CDS Transactions. On the Closing Date, the Issuer Credit Default Swap willi an Aggregate Reference Obligation Notional Amount of expects to enter into aa Credit Default Swap with an Aggregate Reference Obligation Notional Amount of expects to enter into approximately U.S.$30S,OOO,000. In accordance with the tenus of the CDS Transactions, the Reference Obligation approximately U.S.$305,000,000. In accordance with the terms of the CDS Transactions, the Reference Obligation Notional Amount of each CDS Transaction is expected after the Closing Date to be: (i) decreased on each day on Notional Amount of each CDS Transaction is expected after the Closing Date to be: (i) decreased on each day on which a Reference Obligation Principal Payment is made by the relevant Reference Obligation Principal which a Reference Obligation Principal Payment is made by the relevant Reference Obligation Principal Amortization Amount; (ii) decreased on each day on which Failure to Pay Principal occurs by the relevant Amortization Amount; (ii) decreased on each day on which aa Failure to Pay Principal occurs by the relevant Principal Shortfall Ampunt; (iii) decreased on each day on which Writedown occurs by the relevant Writedown Principal Shortfall Amount; (iii) decreased on each day on which aa Writedown occurs by the relevant Writedown Amount; (iv) increased on each day on which a Writedown Reimbursement occurs by any Writedown Amount; (iv) increased on each day on which a Writedown Reimbursement occurs by any Writedown Reimbursement Amount in respect of a Writedown Reimbursement within paragraphs (ii) or (iii) of the deftnition of Reimbursement Amount in respect of a Writedown Reimbursement within paragraphs (ii) or (iii) of the definition of "Writedown Reimbursement"; and (v) decreased on each Delivery Date by an amount equal to the relevant Exercise "Writedown Reimbursement"; and (v) decreased on each Delivery Date by an amount equal to the relevant Exercise Amount minus the relevant amount detennined pursuant to paragraph (b) under the heading, "Physical Settlement Amount minus the relevant amount determined pursuant to paragraph (b) under the heading, "Physical Settlement Amount" in tlle related Master Conftrmation; provided that, in accordance with the related Master Conftrmation, if Amount" in the related Master Confirmation; provided that, in accordance with the related Master Confirmation, if any Relevant Amount is applicable, the Exercise Amount also be deemed to be decreased by such Relevant any Relevant Amount is applicable, the Exercise Amount will also be deemed to be decreased by such Relevant Amount (or increased by the absolute value of such Relevant Amount if such Relevant Amount is negative) with Amount (or increased by the absolute value of such Relevant Amount if such Relevant Amount is negative) with effect such Delivery effect from such Delivery Date. The effective date the Credit Default Swap will be Closing Date and the Credit Default Swap will The effective date of the Credit Default Swap will be the Closing Date and the Credit Default Swap will 12, 2042 "Scheduled Tennination Date") unless a Credit Event occurs with terminate by tenus on terminate by its terms on July 12, 2042 (the "Scheduled Termination Date") unless a Credit Event occurs with respect to the Credit Default Swap and the physical settlement scheduled occur after such respect to the Credit Default Swap and the physical settlement date is scheduled to occur after such date. Credit Protection Buyer Payments Protection Pursuant Credit Default on Detennination Credit Protection Buyer will make Pursuant to the Credit Default Swap, on each Determination Date, the Credit Protection Buyer will make a ftxed rate payment (minus any related Interest Shortfall Amounts as described below and in the related Master (minus Shortfall described below related Master fixed aggregate Conftrmation) (the "Fixed Amount") to the Issuer, representing the aggregate Fixed Amounts which became due "Fixed Amount") representing Confirmation) respect Reference tlle related The Buyer with respect to the Reference Obligation Payment Dates during the related Due Period. The Credit Protection Buyer will make certain other paymentS under the Credit Default Swap to the Issuer at the times and in the amounts payments Reimbursement described herein, including any Interest Shortfall Reimbursement Payment Amounts, Writedown Reimbursement Reimbursement Payment "Additional Payment Amounts and any Principal Shortfall Reimbursement Payment Amounts (together "Additional Fixed Principal Shortfall Payment Amounts"). In connection with any termination or assignment of a CDS Transaction, proceeds from such connection Account . tennination or assignment, if any, will be deposited into the Interest Collection Account termination the Upon the occurrence of any Interest Shortfall with respect to any Reference Obligation, tlle Fixed Amount respect Upon the occurrence amount payable under a CDS Transaction by the Credit Protection Buyer to the Issuer will be reduced by an amount equal to payable the related Interest Shortfall Payment Amount, such reduction amount not to exceed the Fixed Amount. Interest will Payment the related the fixed rate LIBOR accrue on any Interest Shortfall Payment Amount at a rate equal to LmOR plus the ftxed rate as specified in the at a rate accrue on any applicable CDS Transaction. Interest Shortfall Payment Amounts are subject to the Interest Shortfall Cap as are Transaction. applicable gave rise to Shortfall described in the Credit Default Swap. If any amount in satisfaction of the Interest Shortfall which gave rise to any in satisfaction of the Default Swap. any described in the a Reference with respect thereon, later Interest Shortfall Payment Amount, including interest accrued thereon, is later paid with respect to a Reference interest Amount, Interest Shortfall Obligation, the Credit Protection Buyer will pay such amount, or in certain circumstances a portion of such amount such amount, or in certain circumstances a portion of such will Obligation, the Amounts to tlle Issuer as an Interest Shortfall Reimbursement Payment. Interest Shortfall Reimbursement Payment Amounts Payment. Interest Shortfall Reimbursement Shortfall to the Issuer as will not exceed the cumulative Interest Shortfall Payment Amounts (including any interest thereon) previously exceed the cumulative Interest Shortfall Payment Amounts (including any interest thereon) will witllheld from the Issuer relating to such Reference Obligation. withheld from the Issuer relating to such Reference Obligation. So long as the long-term ratings (or, in the case of clause (ii)(b) of this paragraph only, the short-term So long as the long-term ratings (or, in the case of clause (ii)(b) of this paragraph only, the short-term rating) of the Credit Protection Buyer or any guarantor of the Credit Protection Buyer's obligation under the Credit rating) of the Credit Protection Buyer or any guarantor of the Credit Protection Buyer's obligation under the Credit Default Swap are equal to or higher than (i) "Aa3" by Moody's (and, if rated "Aa3" by Moody's, is not on watch for Default Swap are equal to or higher than (i) "Aa3" by Moody's (and, if rated "Aa3" by Moody's, is not on watch for possible downgrade) and (ii)(a) "AA-" by S&P (and, if rated "AA-" by S&P, is not on watch for possible possible downgrade) and (ii)(a) "AA-" by S&P (and, if rated "AA-" by S&P, is not on watch for possible downgrade) or (b), if Goldman Sachs International is not the Credit Protection Buyer, "A-1+" by S&P (and, if rated downgrade) or (b), if Goldman Sachs International is not the Credit Protection Buyer, "A-1+" by S&P (and, if rated "A-l+" by S&P, is not on watch for possible downgrade), the ftxed payment due by the Credit Protection Buyer will "A-l+" by S&P, is not on watch for possible downgrade), the fixed payment due by the Credit Protection Buyer will be payable in arrears. However, if the long-term ratings (or the short-term rating, as applicable) of the Credit be payable in arrears. However, if the long-term ratings (or the short-term rating, as applicable) of the Credit Protection Buyer or any guarantor fall below any such levels, the Credit Protection Buyer will be required to pay the Protection Buyer or any guarantor fall below any such levels, the Credit Protection Buyer will be required to pay the ftxed payment due under the Credit Default Swap in advance. The failure of the Credit Protection Buyer to make fixed payment due under the Credit Default Swap in advance. The failure of the Credit Protection Buyer to make 82 82 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912656 GS MBS-E-000912656 Footnote Exhibits - Page 5755 the fixed payment in advance if such rating levels are no longer satisfied will constitute termination event under the fixed payment in advance if such rating levels are no longer satisfied will constitute aa termination event under the terms of the Credit Default Swap with the Credit Protection Buyer as the sole" Affected Party" under the Credit the terms of the Credit Default Swap with the Credit Protection Buyer as the sole "Affected Party" under the Credit Default Swap: Default Swap. Credit Protection Seller Payments Credit Protection Seller Payments Under the Credit Default Swap, the Issuer will be required to pay certain Floating Amounts to the Credit Under the Credit Default Swap, the Issuer will be required to pay certain Floating Amounts to the Credit Protection Buyer following the occurrence of a Floating Amount Event with respect to a Reference Obligation as Protection Buyer following the occurrence of a Floating Amount Event with respect to a Reference Obligation as described herein. The Issuer will pay to the Credit Protection Buyer all Floating Amounts which became due during described herein. The Issuer will pay to the Credit Protection Buyer all Floating Amounts which became due during each Due Period, if any, on the related Determination Date. each Due Period, if any, on the related Determination Date. Upon the occurrence of a Credit Event with respect to Reference Obligation, the Credit Protection Buyer Upon the occurrence of a Credit Event with respect to aa Reference Obligation, the Credit Protection Buyer may deliver such Reference Obligation to the Issuer, in exchange for which the Issuer will pay to the Credit may deliver such Reference Obligation to the Issuer, in exchange for which the Issuer will pay to the Credit Protection Buyer an amount (a "Physical Settlement Amount"), which amount shall be calculated in accordance Protection Buyer an amount (a "Physical Settlement Amount"), which amount shall be calculated in accordance with the related CDS Transaction. The Issuer will pay to the Credit Protection Buyer all Physical Settlement with the related CDS Transaction. The Issuer will pay to the Credit Protection Buyer all Physical Settlement Amounts which became due during the related Due Period, if any, on the related Determination Date. Amounts which became due during the related Due Period, if any, on the related Determination Date. Delivered Obligations delivered to the Issuer will be credited to the Delivered Obligation Account. Delivered Obligations delivered to the Issuer will be credited to the Delivered Obligation Account. Any Delivered Obligation delivered to the Issuer shall be sold by the Liquidation Agent within twelve (12) months of the the Delivered Obligation delivered to the Issuer shall be sold by the Liquidation Agent within twelve (12) months date on which the Liquidation Agent receives notice of such delivery in accordance with the Liquidation Agency on which Liquidation Agent receives notice of such delivery accordance the Liquidation Agency date continuing. The proceeds sale will be Agreement; prOVided no Event of Default has occurred Agreement; provided that no Event of Default has occurred and is continuing. The proceeds of such sale will be deposited by Trustee Collateral Account in Eligible Investments Collateral Securities deposited by the Trustee into the Collateral Account and invested in Eligible Investments and Collateral Securities Liquidation In addition, principal proceeds received such selected at the direction selected at the direction of the Liquidation Agent. In addition, any principal proceeds or interest received on such Delivered Obligations prior such will Trustee Collateral Delivered Obligations prior to such sale, will be deposited by the Trustee into the Collateral Account. Credit connection termination assignment Transaction, the Issuer In connection with any termination or assignment of a CDS Transaction, the Issuer may owe a Credit any Credit obligated Default Swap Termination Payment; provided however, that the Issuer will not be obligated to make any Credit Termination Default Default Credit event tennination of Default Swap Termination Payments to the Credit Protection Buyer in the event of a termination or assignment of Credit Protection Buyer "Defaulting Party" sole the Credit Default Swap in respect of which the Credit Protection Buyer is the "Defaulting Party" or the sole "Affected Party" (each as defmed in the Credit Default Swap). Credit Default Swap Termination Payments due to Default Default Tennination due to defined "Affected the accordance the Credit Protection Buyer will be paid directly and outside of the Priority of Payments in accordance with the the paid in Protection following paragraph. Defaulted Swap Tennination Payments due to the Credit Protection Buyer will be paid in Termination Payments following accordance Witll the Priority of Payments. Credit Default Swap Tennination Payments due to an assignee of a CDS Termination Payments accordance with funds. Transaction will be paid as and when they become due to the extent of available funds. Transaction Amounts The Liquidation Agent, on behalf of the Issuer, will obtain the funds to pay Credit Protection Amounts Liquidation withdrawing (which, for the avoidance of doubt, shall not include Defaulted Swap Termination Payments) by withdrawing Termination shall (which, for the avoidance Credit Procedure. In amounts from the Collateral Account pursuant to the Collateral Liquidation Procedure. In the event the Credit Account pursuant amounts occurrence of a "credit event" or a "floating Default Swap is tenninated prior to its scheduled maturity without the occurrence of a "credit event" or a "floating Swap terminated Collateral Liquidation Procedure with amount event," the Liquidation Agent, on behalf of the Issuer, shall apply the Collateral Liquidation Procedure with apply Issuer, of on amount Termination respect to Collateral having a par amount equal to the amount of the Credit Default Swap Termination Payment, if amount the Credit Default to respect Collateral having a par amount Protection be paid any, owed to the Credit Protection Buyer and any such tennination payment will be paid to the Credit Protection termination payment and any Buyer any, owed to The Credit Buyer. The Credit Protection Buyer will bear any market risk on the liquidation of such Collateral. The Credit bear any market risk on the liquidation of such Credit Protection Buyer. Default Swap will also provide for cash settlement upon the occurrence of a "floating amount event" or physical the occurrence of a "floating amount event" or Default Swap will also provide for cash settlement from the Credit Swap settlement upon the occurrence of a "credit event" under such Credit Default Swap upon notice from the Credit under such Credit of a "credit settlement upon the on behalf of the Protection Buyer. If the Credit Protection Buyer has chosen cash settlement, the Liquidation Agent, on behalf of the Protection Buyer has chosen cash settlement, the Liquidation Credit Protection Buyer. If Issuer, shall apply the Collateral Liquidation Procedure with respect to Collateral having a par amount equal to the Issuer, shall apply the Collateral Liquidation Procedure with respect to Collateral having a par amount equal to the amount of any related Credit Protection Amounts owed to the Credit Protection Buyer and any such related Credit amount of any related Credit Protection Amounts owed to the Credit Protection Buyer and any such related Credit Protection Amolints owed to the Credit Protection Buyer will be paid by the Liquidation Agent, on behalf of the Protection Amounts owed to the Credit Protection Buyer will be paid by the Liquidation Agent, on behalf of the Issuer, from the liquidation proceeds of such Collateral. In the event such liquidation proceeds are less than par, the Issuer, from the liquidation proceeds of such Collateral. In the event such liquidation proceeds are less than par, the Credit Protection Buyer will accept tlle liquidation proceeds applicable to the face amount of Collateral sold which Credit Protection Buyer will accept the liquidation proceeds applicable to the face amount of Collateral sold which is equal to the loss or writedown amount. In the event a "credit event" or a "floating amount event" has occurred is equal to the loss or writedown amount. In the event a "credit event" or a "floating amount event" has occurred and the Issuer is required to liquidate Collateral and deliver cash to the Credit Protection Buyer, the Credit and the Issuer is required to liquidate Collateral and deliver cash to the Credit Protection Buyer, the Credit Protection Buyer will bear any market risk on the liquidation of such Collateral. If the Credit Protection Buyer has Protection Buyer will bear any market risk on the liquidation of such Collateral. If the Credit Protection Buyer has chosen physical settlement, the Collateral chosen by the Credit Protection Buyer will be delivered to the Credit chosen physical settlement, the Collateral chosen by the Credit Protection Buyer will be delivered to the Credit Protection Buyer in exchange for a Delivered Obligation. Protection Buyer in exchange for a Delivered Obligation. 83 83 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912657 GS MBS-E-000912657 Footnote Exhibits - Page 5756 The obligations of the Issuer to make payments under CDS Transaction will exist irrespective of whether The obligations of the Issuer to make payments under aaCDS Transaction will exist irrespective of whether the Credit Protection Buyer suffers loss on the related Reference Obligation upon the occurrence of a Credit Event. the Credit Protection Buyer suffers aaloss on the related Reference Obligation upon the occurrence of a Credit Event. The Issuer will have no rights of subrogation under the Credit Default Swap. The Issuer will have no rights of subrogation under the Credit Default Swap. Credit Events Credit Events A Credit Event with respect to the Credit Default Swap and any Reference Obligation means the A Credit Event with respect to the Credit Default Swap and any Reference Obligation means the occurrence of any of the events specified in the Credit Default Swap as aa Credit Event on or before the scheduled occurrence of any of the events specified in the Credit Default Swap as Credit Event on or before the scheduled termination date for such CDS Transaction. The Credit Events are eXllected to be Failure to Pay Principal, termination date for such CDS Transaction. The Credit Events are expected to be Failure to Pay Principal, Writedown and Distressed Ratings Downgrade. Each Master ConfIrmation may alter the standard defInitions of Writedown and Distressed Ratings Downgrade. Each Master Confirmation may alter the standard definitions of such terms and the actual CDS Transactions should be consulted for the details of the Credit Events applicable such terms and the actual CDS Transactions should be consulted for the details of the Credit Events applicable thereto. The capitalized terms used in this section and not otherwise defIned, have the meanings set forth in the thereto. The capitalized terms used in this section and not otherwise defined, have the meanings set forth in the related CDS Transactions. related CDS Transactions. A "Credit Event" is the occurrence of any of the following (however caused, directly or indirectly), as A "Credit Event" is the occurrence of any of the following (however caused, directly or indirectly), as . applicable: . applicable: (i) Failure to Pay Principal Failure to Pay Principal "Failure to Pay Principal" means (i) failure Reference Entity any to pay an Expected "Failure to Pay Principal" means (i) a failure by the Reference Entity (or any Insurer) to pay an Expected the case be or (ii) Principal Amount on the Final Amortization Date or the Legal Final Maturity Date, as the case may be or (ii) on the Amortization Date Legal Maturity Date, Principal payment on any such day of an Actual Principal that is less than EXllected Principal provided payment on any such day of an Actual Principal Amount that is less than the Expected Principal Amount; provided Insurer) pay any such amount in respect of principal in accordance that by the Reference Entity that the failure by the Reference Entity (or any Insurer) to pay any such amount in respect of principal in accordance with foregoing shall constitute a Failure Principal if been remedied grace with the foregoing shall not constitute a Failure to Pay Principal if such failure has been remedied within any grace if no period applicable to such payment obligation under the underlying instruments or, if no such grace period is applicable under instruments such payment period applicable, within three Business Days after day on tlle Expected Amount was scheduled be applicable, within three Business Days after the day on which the Expected Principal Amount was scheduled to be .. paid. paid. (ii) (ii) Writedown Writedown (i)(A) "Writedown" "Writedown" means the occurrence at any time on or after the Effective Date of: (i) (A) a writedown or applied loss (however described in the underlying instruments) resulting in a reduction in the Outstanding Principal instruments) Outstanding Principal applied attribution payment principal); than Amount (other than as a result of a scheduled or unscheduled payment of principal); or (B) the attribution of a instruments) principal defIciency or realized loss (howsoever described in the underlying instrunlents) to the Reference principal deficiency of Obligation resulting in a reduction oftlle current interest payable on the Reference Obligation; (ii) the forgiveness of Reference payable of the in Obligation any amount of principal by the holders of the Reference Obligation pursuant to an amendment to the underlying Reference any amount instruments if instruments resulting in a reduction in the Outstanding Principal Amount; or (iii) if the underlying instrunlents do Principal instruments resulting in to occur losses not provide for writedowns, applied losses, principal defIciencies or realized losses as described in (i) above to occur losses, principal deficiencies for not determined in respect the in respect of the Reference Obligation, an Implied Writedown Amount being detennined in respect of the Reference Obligation, an the in Obligation by the Calculation Agent. Obligation (iii) (iii) Distressed Ratings Downgrade: Downgrade: Reference Obligation: "Distressed Ratings Downgrade" means, with respect to a Reference Obligation: "Distressed Ratings Downgrade" means, with respect or (B) has below by (i) . if publicly rated by Moody's, (A) is downgraded to "Caa2" or below by Moody's or (B) has the (A) is downgraded to "Caa2" if publicly rated by (i) rating assigned to it by Moody's withdrawn and, in either case, not reinstated within fIve Business Days of such rating assigned to it by Moody's withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of at least "Baa3" downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of at least "Baa3" or higher by Moody's immediately prior to the occurrence of such withdrawal,. it shall not constitute a Distressed or higher by Moody's immediately prior to the occurrence of such withdrawal,. it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "Caal" by Moody's within Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "Caal" by Moody's within three calendar months after such withdrawal; or three calendar months after such withdrawal; or . (ii) if publicly rated by Standard & Poor's, (A) is downgraded to "CCC" or below by Standard & if publicly rated by Standard & Poor's, (A) is downgraded to "CCC" or below by Standard & (ii) Poor's or (B) has the rating assigned to it by Standard & Poor's withdrawn and, in either case, not reinstated within Poor's or (B) has the rating assigned to it by Standard & Poor's withdrawn and, in either case, not reinstated within fIve Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned aa five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned 84 84 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912658 GS MBS-E-000912658 Footnote Exhibits - Page 5757 public rating of at least "BBB-" or higher by Standard & Poor's immediately prior to the occurrence of such public rating of at least "BBB-" or higher by Standard & Poor's immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "CCC+" by S~andard & Poor's within three calendar months after such withdraWal; or rating of at least "CCC+" by Standard & Poor's within three calendar months after such withdrawal; or (iii) if publicly rated by Fitch, (A) is downgraded to "CCC") or below by Fitch or (B) has the rating if publicly rated by Fitch, (A) is downgraded to "CCC") or below by Fitch or (B) has the rating (iii) assigned to it by Fitch withdrawn and, in either case, not reinstated within five Business Days of such downgrade or assigned to it by Fitch withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of at least "BBB-" or higher by withdrawal; provided that if such Reference Obligation was assigned a public rating of at least "BBB-" or higher by Fitch inunediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade Fitch immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "CCC+" by Fitch within three calendar months if such Reference Obligation is assigned a public rating of at least "CCC+" by Fitch within three calendar months after such withdrawal. after such withdrawal. (iv) (iv) Failure to Pay Interest Failure to Pay Interest "Failure to Pay Interest" means with respect to any Reference Obligation, the occurrence of an Interest "Failure to Pay Interest" means with respect to any Reference Obligation, the occurrence of an Interest . Shortfall Amount or Interest Shortfall Amounts (calculated on a cumulative basis) in excess of the relevant Payment Shortfall Amount or Interest Shortfall Amounts (calculated on a cumulative basis) in excess of the relevant Payment Requirement Requirement. Interest, if the Reference Obligation is a PIK shall be a Condition In respect of the Failure In respect of the Failure to Pay Interest, if the Reference Obligation is a PIK Bond, it shall be a Condition Settlement a period of at least 360 calendar days elapsed since the occurrence of Credit Event without to Settlement that a period of at least 360 calendar days has elapsed since the occurrence of the Credit Event without the Interest Shortfall having been reimbursed in the relevant Interest Shortfall having been reimbursed in full. Reference Portfolio The Reference Portfolio Reference Obligation Notional on the expected be The Aggregate Reference Obligation Notional Amount on the Closing Date is expected to be categories issues across RMBS Securities U.S.$305,000,000. The Reference Obligations will consist of 61 issues across two categories of RMBS Securities U.S.$305,000,000. The Reference Obligations CDO The Reference Portfolio RMBS Midprime Mortgage Securities, category and one category of CDO Securities. The Reference Portfolio will include RMBS Midprime Mortgage Securities, RMBS Subprime RMBS Subprime Mortgage Securities and CDO RMBS Securities. Midprime Mortgage Securities are expected As of the Closing Date, (i) RMBS Midprime Mortgage Securities are expected to make up approximately 4l.0% Aggregate Reference Obligation Notional Mortgage Securities 41.0% of the Aggregate Reference Obligation Notional Amount, (iii) RMBS Subprime Mortgage Securities are (iv) Reference Obligation expected to make up approximately 57.4% of tile Aggregate Reference Obligation Notional Amount and (iv) CDO approximately 57.4% the the Aggregate RMBS Securities are ex-pected to make up approximately 1.6% of tile Aggregate Reference Obligation Notional Obligation approximately l.6% expected with Amount. See Appendix B to this Offering Circular for certain summary information witIl respect to the Reference Offering Circular Reference Portfolio. Removal of Reference Obligations from the Reference Portfolio Reference Reference Obligations Settlement Following a Writedown and the satisfaction of the Conditions to Settlement relating thereto, the Reference a Obligation that is tile subject of such Credit Event will not be removed from the Reference Portfolio, and such removed that the Events (including Reference Obligation may experience one or more subsequent Credit Events (including a Writedown). or experience (ii) a Following (i) the scheduled maturity, redemption or anlortization in full of a Reference Obligation or (ii) a amortization in full a Reference (i) the scheduled Reference Obligation Settlement, Credit Event other than a Writedown and the satisfaction of the Conditions to Settlement, the Reference Obligation of the Credit Event the that matured, redeemed or anlortized in full or that is the subject of such Credit Event will be removed from the that amortized that matured, of Reference Reference Portfolio. Subject to the foregoing, if tile Reference Obligation Notional Amount of a Reference if the Reference Reference Portfolio. Subject the Scheduled time on Obligation that suffered one or more Writedowns is reduced to Zero at any time on or prior to the Scheduled zero at Writedowns is reduced Obligation that suffered one such Termination Date and remains at zero for a period of one calendar year, such Reference Obligation shall be removed a period remains zero Termination Aggregate Reference from the Reference Portfolio as of the last day of such one calendar year period. The Aggregate Reference day of such one calendar of from the Reference Portfolio Notional Amount of each Reference Obligation Notional Amount shall be decreased by tile Reference Obligation Notional Amount of each Reference shall be decreased by the Reference Obligation Notional Obligation removed from the Reference Portfolio. Reference Portfolio. Obligation The Issuer will not have the authority to assign, terminate or otherwise dispose of any CDS Transaction on authority to assign, terminate or otherwise dispose of any CDS Transaction on The Issuer will not a discretionary basis. The only CDS Transactions that shall be assign, terminated or otherwise disposed of by the a discretionary basis. The only CDS Transactions that shall be assign, terminated or otherwise disposed of by the Issuer are CDS Transactions that reference Reference Obligations that are determined pursuant to the Collateral Issuer are CDS Transactions that reference Reference Obligations that are determined pursuant to the Collateral Administration Agreement by the Collateral Administrator, on behalf of the Issuer, to be Credit Risk Obligations. Administration Agreement by the Collateral Administrator, on behalf of the Issuer, to be Credit Risk Obligations. 85 85 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912659 GS MBS-E-000912659 Footnote Exhibits - Page 5758 Pursuant to the tenns of the Indenture and subject to the restrictions contained therein and in the Liquidation Agency Pursuant to the terms of the Indenture and subject to the restrictions contained therein and in the Liquidation Agency Agreement, the Liquidation Agent shall assign, terminate or otherwise dispose of, on behalf of the Issuer, any such Agreement, the Liquidation Agent shall assign, terminate or otherwise dispose of, on behalf of the Issuer, any such CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation within CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation within one (1) year from the date on which the Collateral Administrator, on behalf of the Issuer, pursuant to the Collateral one (1) year from the date on which the Collateral Administrator, on behalf of the Issuer, pursuant to the Collateral Administration Agreement, identifies to the Liquidation Agent such Reference Obligation as a Credit Risk Administration Agreement, identifies to the Liquidation Agent such Reference Obligation as a Credit Risk Obligation. The assignment, tennination or disposition price for any such assignment, termination or disposition of Obligation. The assignment, termination or disposition price for any such assignment, termination or disposition of a CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation will a CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation will equal the fair market value of such CDS Transaction The fair market value of any such CDS Transaction will be equal the fair market value of such CDS Transaction. The fair market value of any such CDS Transaction will be the highest bid received by the Liquidation Agent after attempting to solicit bid from up to three independent third the highest bid received by the Liquidation Agent after attempting to solicit a bid from up to three independent third parties making a market in such CDS Transaction that references a Reference Obligation that is so determined to be parties making a market in such CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation, at least one of which is not from the Liquidation Agent or an affiliate thereof; provided a Credit Risk Obligation, at least one of which is not from the Liquidation Agent or an affiliate thereof; provided that, if upon commercially reasonable efforts of the Liquidation Agent, bids three independent third parties that, if upon commercially reasonable efforts of the Liquidation Agent, bids from three independent third parties making market in such CDS Transaction are not available, the higher of the bids from two such tilird parties may making a market in such CDS Transaction are not available, the higher of the bids from two such third parties may if upon commercially reasonable efforts of the Liquidation Agent, bids from two be used; provided, further be used; provided,further that, if upon commercially reasonable efforts of the Liquidation Agent, bids from two independent tinrd parties making market in such CDS Transaction that references a Reference Obligation that is so independent third parties making a market in such CDS Transaction that references a Reference Obligation that is so See "Risk FactoTS-Notesdeternlined to be Credit Risk Obligation are not available, one such bid may be determined to be a Credit Risk Obligation are not available, one such bid may be used. See "Risk Factors-NotesStatic Transaction" and Collateral Manager." The proceeds from any such disposition of a CDS Transaction Static Transaction" and "-No Collateral Manager." The proceeds from any such disposition of a CDS Transaction that references a Reference Obligation that is so determined to be a Credit Risk Obligation (exclusive of any accrued references Reference Obligation that is so determined be Credit Risk Obligation (exclusive of any accrued be deposited the Collateral Account for investment in Eligible Investments or Collateral Securities, interest) will be deposited to the Collateral Account for investment in Eligible Investments or Collateral Securities, Aggregate Amortization Amount. be applied Amortization Proceeds pursuant the calculation and may be applied as Amortization Proceeds pursuant to the calculation of the Aggregate Amortization Amount. In the Credit Default terminated prior scheduled maturity without the occurrence of "credit In the event the Credit Default Swap is terminated prior to its scheduled maturity without the occurrence of a "credit event" "floating event," Liquidation Agent., on behalf of shall apply the Collateral event" or a "floating amount event," the Liquidation Agent, on behalf of the Issuer, shall apply the Collateral Credit Default Liquidation Procedure respect Collateral a par equal the amount Liquidation Procedure with respect to Collateral having a par amount equal to the amount of the Credit Default any, owed Credit Protection Buyer and ternlination payment be Termination Swap Termination Payment, if any, owed to the Credit Protection Buyer and any such termination payment will be paid to Credit Protection Credit Protection Buyer bear on the liquidation of paid to the Credit Protection Buyer. The Credit Protection Buyer will bear any market risk on the liquidation of Collateral. a Reference Obligation which has been "Credit Risk Obligation" such Collateral. A "Credit Risk Obligation" is a Reference Obligation (i) the rating of which has been (a) downgraded to below "B-" or "B3" by any Rating Agency (but not including any Reference Obligations which are "B3" any Obligations wInch "B-" on watch possible (b) withdrawn Defaulted rated "B-" or "B3" and on credit watch for possible downgrade) or (b) withdrawn or, (ii) that is a Defaulted "B-" or "B3" (iii) deferring interest consecutive Obligation or (iii) that is a PIK Bond that has been deferring interest for at least twelve consecutive months. terminate Liquidation (i) The Liquidation Agent, on behalf of the Issuer, may also (i) in the case of an Auction tenninate the Credit liquidate provided, criteria Default Swap and liquidate the remaining Pledged Assets; provided, that the criteria for an Auction can be e:-"l>ected Proceeds demonstrably demonstrably met prior to any such disposition and that the expected Liquidation Proceeds equal or exceed the Minimum Bid Amount; (ii) in the case of a Tax Redemption on any Payment Date, dispose of the Credit Default Minimum Swap and liquidate the remaining Pledged Assets in connection with a Tax Redemption; provided that the criteria Redemption; in connection Liquidation for a Tax Redemption can be demonstrably met prior to any such disposition and that the expected Liquidation Optional Proceeds equal or exceed the Total Redemption Amount; and (iii) in the case of an Optional Redemption, dispose of (iii) Optional connection the Credit Default Swap and liquidate the remaining Pledged Assets in connection with an Optional Redemption; and provided that the criteria for an Optional Redemption can be demonstrably met prior to any such disposition and that the provided NotesAmount. the el\.~cted Liquidation Proceeds equal or exceed the Total Redemption Amount. See "Description of the Notesthe expected Liquidation Auction," "-Tax Redemption" and "-Optional Redemption" and "--Optional Redemption." "-Tax Credit Default Swap Early Termination Default the occurrence of an "Event of The Issuer will have the right to tenninate the Credit Default Swap upon the occurrence of an "Event of Default terminate the Issuer the Credit Protection Buyer Default" or "Termination Event.," including, but not limited to, (a) payment defaults by the Credit Protection Buyer (a) limited but or "Termination Event," any and any guarantor lasting a period of at least three business days, (b) a default by the Credit Protection Buyer or any by the (b) any guarantor lasting a period of at least bankruptcy-related Swap, guarantor on specific fmancial transactions as specified in the Credit Default Swap, (c) bankruptcy-related events financial transactions as specified in the Credit guarantor (e) a the Notes in applicable to the Credit Protection Buyer or any guarantor, (d) any redemption of the Notes in whole, (e) a any guarantor, (d) any Credit Protection applicable to liquidation of all the Pledged Assets following the occurrence of an Event of Default under the Indenture, (f) it Pledged Assets following the occurrence of an Event of Default under the Indenture, (f) it liquidation of all able Default Swap and the Issuer is becomes unlawful for the Issuer to perfonn its obligations under the Credit Default Swap and the Issuer is not able unlawful for the Issuer to perform its obligations under the illegality another entity in its place so that to transfer its obligations to a different jurisdiction or substitute another entity in its place so that such illegality or substitute to transfer its obligations to a different ceases to apply, (g) because of (x) any action taken by a taxing authority, or brought in a court, on or after the ceases to apply, (g) because of (x) any action taken by a taxing authority, or brought in a court, on or after the Closing Date or (y) a change in tax law, there is a substantial likelihood that the Issuer will be required to (1) malce a Closing Date or (y) a change in tax law, there is a substantial likelihood that the Issuer will be required to (1) make a "gross-up" payment or (2) receive a payment subject to withholding for which another party is not required to make "gross-up" payment or (2) receive a payment subject to withholding for which another party is not required make a "gross-up" payment or (h) the unsecured, unsubordinated debt rating of the Credit Protection Buyer or any a "gross-up" payment or (h) the unsecured, unsubordinated debt rating of the Credit Protection Buyer or any 86 86 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912660 GS MBS-E-000912660 Footnote Exhibits - Page 5759 guarantor of the Credit Protection Buyer, whichever is higher, assigned by S&P or Moody's at any time falls below guarantor of the Credit Protection Buyer, whichever is higher, assigned by S&P or Moody's at any time falls below "AA-" (or is on downgrade watch at "AA-") or "Aa3" (or is on downgrade watch at "Aa3"), the Credit Protection "AA-" (or is on downgrade watch at "AA-") or "Aa3" (or is on downgrade watch at "Aa3"), the Credit Protection Buyer fails to make an EX1JeCted Fixed Payment as set forth in the Credit Default Swap and the Credit Protection Buyer fails to make an Expected Fixed Payment as set forth in the Credit Default Swap and the Credit Protection Buyer, or its guarantor, fails to either (a) transfer all of its rights and obligations under the Credit Default Swap to Buyer, or its guarantor, fails to either (a) transfer all of its rights and obligations under the Credit Default Swap to another entity which has such ratings or (b) cause an entity which has such ratings to guarantee or to provide an another entity which has such ratings or (b) cause an entity which has such ratings to guarantee or to provide an indemnity in respect of the Credit Protection Buyer's or its guarantor's, obligations under the Credit Default Swap indemnity in respect of the Credit Protection Buyer's or its guarantor's, obligations under the Credit Default Swap which satisfies the Rating Agency Condition. which satisfies the Rating Agency Condition. The Credit Protection Buyer will have the right to terminate the Credit Default Swap upon the occurrence The Credit Protection Buyer will have the right to terminate the Credit Default Swap upon the occurrence of an "Event of Default" or "Termination Event" under the Credit Default Swap, including, but not limited to (a) an of an "Event of Default" or "Termination Event" under the Credit Default Swap, including, but not limited to (a) an Event of Default under the Indenture caused by a payment default by the Issuer lasting a period of at least three Event of Default under the Indenture caused by a payment default by the Issuer lasting a period of at least three business days, (b) any redemption of the Notes in whole, (c) bankruptcy-related events applicable to the Issuer, and business days, (b) any redemption of the Notes in whole, (c) bankruptcy-related events applicable to the Issuer, and (d) a liquidation of all the Pledged Assets following the occurrence of an Event of Default under the Indenture, (e) (d) a liquidation of all the Pledged Assets following the occurrence of an Event of Default under the Indenture, (e) it becomes unlawful for the Credit Protection Buyer to perform its obligations under the Credit Default Swap and the becomes unlawful for the Credit Protection Buyer to perform its obligations under the Credit Default Swap and the. Credit Protection Buyer is not able to transfer its obligations to a different jurisdiction or substitute another entity in Credit Protection Buyer is not able to transfer its obligations to a different jurisdiction or substitute another entity in its place so that such illegality ceases to apply, or (f) because of (x) any action taken by a taxing authority, or such illegality ceases to apply, or (f) because of (x) any action taken by a taxing authority, or its place brought in a court, on or after the Closing Date or change in tax law, there is a substantial likelihood that the brought in a court, on or after the Closing Date or (y) a change in tax law, there is a substantial likelihood that the a "gross-up" payment or receive a payment subject to Credit Protection Buyer will be required to make Credit Protection Buyer will be required to make (1) a "gross-up" payment or (2) receive a payment subject to Master Agreement and the withholding for which another party is not required to make "gross-up" payment. If withholding for which another party is not required to make a "gross-up" payment. If the Master Agreement and the CDS Transactions made thereunder are terminated, the Issuer will longer receive payments from the Credit CDS Transactions made thereunder are terminated, the Issuer will no longer receive payments from the Credit Protection Buyer have sufficient funds make payments when due on Notes may not Protection Buyer and will likely not have sufficient funds to make payments when due on the Notes and may not have sufficient funds to redeem the Notes in full. sufficient to redeem the Notes in the having knowledge the occurrence of event that of Upon the Trustee having actual knowledge of the occurrence of any event that gives rise to the right of the terminate Credit Default the as applicable, as promptly Issuer to terminate the Credit Default Swap, the Trustee or the Fiscal Agent, as applicable, will as promptly as practicable Noteholders of such event terminate any such agreement on behalf tile Issuer practicable notify the Noteholders of such event but will only tenninate any such agreement on behalf of the Issuer Secured (i) at the direction of a Majority of the Income Notes or (ii) (a) upon the redemption of the Secured Notes in full, (b) Majority redemption (b) acceleration Secured Secured if the principal balance of the Secured Notes is reduced to zero or (c) upon the acceleration of the Secured Notes in accordance required Agency prior accordance with the terms of the Indenture. The Issuer is required to satisfy the Rating Agency Condition prior to assignment connection with any (i) replacement of the Credit Protection Buyer or (ii) assignment of the Credit Default Swap. In connection with (i) replacement Protection any Noteholder vote to terminate the Credit Default Swap, any Notes held by or on behalf of the Credit Protection Noteholder tlleir respective outstanding Buyer or any of their respective Affiliates will have no voting rights and will be deemed not to be outstanding in connection with any such vote. If an Event of Default or a Termination Event occurs under the Credit Default Swap and (i) the Credit Temlination (i) and Protection Buyer is the Defaulting Party or Affected Party, "Market Quotation" and "First Method" will apply and "Market Defaulting Protection Default case in otherwise (ii) "Market Quotation" and "Second Method" will apply, in each case as set forth in the Credit Default "Second "Market Swap, to value the CDS Transactions under tile Credit Default Swap. the Transactions CDS Payments on Credit Default Swap Early Tennination . Termination. Swap Issuer Default Swap Payments by the Issuer. Upon the occurrence of a Credit Default Swap Early Termination, the Issuer will Payments the Issuer. Upon the be required to pay to the Credit Protection Buyer the following amounts: following Buyer Credit to required to be (i) (i) any Physical Settlement Amounts owed by the Issuer to the Credit Protection Buyer for any Credit the Issuer to the Credit Protection Buyer for any Credit any Physical Settlement Amounts owed which the Credit Default Swap Early Termination Events that occur on or prior to the Credit Default Swap Early Tennination Date for which the occur on or prior to the Events Conditions to Settlement have been satisfied; and Conditions to Settlement have been satisfied; and any Credit Default Swap Termination Payment due to the Credit Protection Buyer. any Credit Default Swap Termination Payment due to the Credit Protection Buyer. (ii) (ii) - Payments by the Credit Protection Buyer. Upon the occurrence of a Credit Default Swap Early Payments by the Credit Protection Buyer. Upon the occurrence of a Credit Default Swap Early Termination, the Credit Protection Buyer will be required to pay to tile Issuer the following amounts: Termination, the Credit Protection Buyer will be required to pay to the Issuer the following amounts: (i) (i) any accrued but unpaid Fixed Amounts and.Additional Fixed Amounts; and any accrued but unpaid Fixed Amounts and Additional Fixed Amounts; and 87 87 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912661 GS MBS-E-000912661 Footnote Exhibits - Page 5760 (ii) (ii) any Credit Default Swap Tennination Payment due to the Issuer. any Credit Default Swap Termination Payment due to the Issuer. There can be no assurance that, upon early tennination by the Issuer or the Credit Protection Buyer, either There can be no assurance that, upon early termination by the Issuer or the Credit Protection Buyer, either the Credit Protection Buyer would be required to make any termination payment to the Issuer or, if it did make such Credit Protection Buyer would be required to make any tennination payment to the Issuer or, if it did make such the a payment, the amount of the termination payment made by the Credit Protection Buyer would be sufficient to pay a payment, the amount of the termination payment made by the Credit Protection Buyer would be sufficient to pay any amounts due in respect of the Notes. If the Issuer is required to make a Credit Default Swap Termination any amounts due in respect of the Notes. If the Issuer is required to make a Credit Default Swap Termination Payment to the credit Protection Buyer, such termination payment may be substantial and may result in losses to the Payment to the Credit Protection Buyer, such termination payment may be substantial and may result in losses to the holders of the Notes. holders of the Notes. Amendment Amendment The Credit Default Swap may be amended only with (i) the satisfaction of the Rating Agency Condition, The Credit Default Swap may be amended only with (i) the satisfaction of the Rating Agency Condition, (ii) the consent of the Noteholders (in a percentage as would have been required had such amendment been taken the consent of the Noteholders (in a percentage as would have been required had such amendment been taken (ii) pursuant to this Indenture) and (iii) the consent of the Liquidation Agent (which consent shall not be unreasonably pursuant to this Indenture) and (iii) the consent of the Liquidation Agent (which consent shall not be unreasonably withheld); provided however, that (A) with respect to (i), such Rating Agency Condition with respect to Moody's withheld); provided however, that (A) with respect to (i), such Rating Agency Condition with respect to Moody's need not be satisfied with respect to any amendment that corrects a manifest error and (B) with respect to (ii) and need not be satisfied with respect to any amendment that corrects a manifest error and (B) with respect to (ii) and in reliance on an opinion of counselor an officer's certificate of the (iii), such consent shall not be required, (iii), such consent shall not be required, if, in reliance on an opinion of counsel or an officer's certificate of the Liquidation Agent, the Issuer detennines that such amendment would not have material adverse effect on such Liquidation Agent, the Issuer determines that such amendment would not have a material adverse effect on such party. party. Guarantee Guarantee The GS Group will guarantee the obligations of the Credit Protection Buyer the Credit Default Swap. The GS Group will guarantee the obligations of the Credit Protection Buyer under the Credit Default Swap. BUYER THE CREDIT PROTECTION BUYER initial Protection Credit Default International. The initial Credit Protection Buyer under the Credit Default Swap will be Goldman Sachs International. The swap guarantor with respect to the Credit Default Swap is The Goldman Sachs Group, Inc., a Delaware swap guarantor respect Credit Swap Group', Inc., Protection International corporation (the which an affiliate corporation (the "GS Group"), which is an affIliate of the Credit Protection Buyer. Goldman Sachs International is located Peterborough located at Peterborough Court 133 Fleet Street, London EC4A 2BB. with the filed November The Annual Report on Form lO-K for the fiscal year ended November 30, 2006 fIled by GS Group with the Annual 10-K filed SEC (other than, in each case, documents or information deemed to have been furnished and not fIled in accordance with SEC rules) will not fonn part of a prospectus prepared for the purposes of admission to the official list of the form with SEC Irish Stock Exchange and to trading on its regulated market should any Notes be listed on such exchange. any to Irish Stock and GS Group, together with its subsidiaries, is a global investmerit banking, securities and investment investment GS Group, together with include corporations, management fmn that provides financial services worldwide to clients that include corporations, financial financial management firm institutions, governments and high net-worth individuals. individuals. and or deemed to be incorporated by reference into this Any statement contained in a document incorporated or deemed to be incorporated by reference into this contained a document Any or superseded for purposes Offering Circular, or contained in this Offering Circular, will be deemed to be modified or superseded for purposes will deemed Offering contained Offering of this Offering Circular to the extent that a statement' contained herein or in any other subsequently fIled document a statement contained herein or in any other subsequently filed to of this Offering which also is or is deemed to be incorporated by reference herein, modifies or supersedes such statement. Any such herein, modifies or supersedes such statement. Any such by to which also is or is a part of or superseded, to statement so modified or superseded will not be deemed, except as so modified or superseded, to constitute a part of be deemed, except as so modified or superseded will statement through the SEC's Internet site at this Offering Circular. GS Group's fIlings with the SEC are available to the public through the SEC's Internet site at filings with the SEC are available to the this Offering Circular. 10005, on http://www.sec.gov, and through the New York Stock Exchange; 20 Broad Street, New York, New York 10005, on http://www.sec.gov, and through the New York Stock Exchange; 20 Broad Street, New York, New which GS Group's common stock is listed. which GS Group's common stock is listed. The Notes do not represent an obligation of, and will not be insured or guaranteed by, GS Group or any of The Notes do not represent an obligation of, and will not be insured or guaranteed by, GS Group or any of its subsidiaries and investors will have no rights or recourse against GS Group or any of its subsidiaries. its subsidiaries and investors will have no rights or recourse against GS Group or any of its subsidiaries. 88 88 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912662 GS MBS-E-000912662 Footnote Exhibits - Page 5761 THE COLLATERAL SECURITIES THE COLLATERAL SECURITIES The Initial Collateral Securities The Initial Collateral Securities Pursuant to the Credit Default Swap, the Issuer will use the net proceeds from the offering of the Notes to Pursuant to the Credit Default Swap, the Issuer will use the net proceeds from the offering of the Notes to purchase Collateral Securities and Eligible Investments (having an initial principal amount as of the Closing Date of purchase Collateral Securities and Eligible Investments (having an initial principal amount as of the Closing Date of approximately U.S.$305,000,000) approximately U.S.$305,000,000). .. The Collateral Securities or Eligible Investments for deposit after the Closing Date in the Collateral The Collateral Securities or Eligible Investments for deposit after the Closing Date in the Collateral Account, as applicable, are required to satisfy the following "Collateral Securities EligIbility Criteria": Account, as applicable, are required to satisfy the following "Collateral Securities Eligibility Criteria": (i) it (a) is rated "Aaa" by Moody's and, if such asset has a short-term rating from Moody's, "P-l", it (a) is rated "Aaa" by Moody's and, if such asset has a short-term rating from Moody's, "P-1", (i) and "AAA" by S&P, and, if such asset has a short-term rating from S&P, "A-1+" and (b) does not have a "t", "p", "AAA" by S&P, and, if such asset has short-term rating from S&P, "A-l+" and does not have "p", and "q", "pi" or "r" subscript; "q", "pi" or "r" subscript; in all cases, the payments with respect to which are not payable a currency other . (ii) (ii) (a) in all cases, the payments with respect to which are not payable in a currency other than Dollars and (b) it is expected to have an outstanding principal balance of less than U.S.$1,000 after the Stated and is expected to have an outstanding principal balance less than U.S.$I,OOO after Stated Dollars Class B Notes, assuming constant prepayment rate since the date of purchase equal to the constant Maturity of Maturity of the Class B Notes, assuming a constant prepayment rate since the date of purchase equal to the constant prepayment reasonably expected the Liquidation Agent as of purchase; prepayment rate reasonably expected by the Liquidation Agent as of the date of purchase; (iii) (iii) (iv) (iv) be entered by, sold or assigned it is eligible to be entered into by, sold or assigned to, the Issuer; it is not subject to an Offer, it is not subject to an Offer, (v) it obligation upon payments subject withholding imposed any it is an obligation upon which no payments are subject to withholding tax imposed by any jurisdiction obligor thereof required cover the amount "gross-up" payments jurisdiction unless the obligor thereof is required to make "gross-up" payments that cover the full amount of any taxes an after-tax such withholding taxes on an after-tax basis; 40% (vi) after taking into consideration the addition of any such security (a) at least 40% of the Collateral into consideration of such Collateral Securities and Eligible Investments by principal balance have an expected average life (calculated by the EligIble principal an expected (calculated by Securities Liquidation market prepayment (2) Liquidation Agent (1) based on market prepayment assumptions and (2) assuming that Eligible Investments have a equal 1.0 Collateral Securities weighted (b) 100% weighted average life of zero) of less than or equal to 1.0 year, (b) 100% of the Collateral Securities and Eligible Investments by principal balance has an expected average life (calculated by the Liquidation Agent based on market expected average Investments prepayment assumptions) of less than or equal to 2.0 years, and (c) after Closing Date, the expected weighted Date, prepayment average life (calculated by the Liquidation Agent (1) based on market prepayment assumptions and (2) assuming (1) (2) Investments that Eligible Investments have a weighted average life of zero) of the Collateral Securities and Eligible Investments weighted average Reference does not exceed the expected weighted average life of the Reference Portfolio at such time; exceed expected does not (vii) after taking into consideration the addition of any such security, the aggregate of the weighted aggregate any (vii) least equal LIBOR average spread and the rate of the related index of the Collateral, in the aggregate, is at least equal to LIBOR or if the the average related prior to the acquisition of such Collateral Security or EligIble Investment the spread and the rate of the related index Eligible acquisition prior the aggregate of the Collateral was less than LIBOR, such acquisition would maintain or improve the aggregate of the weighted or would LIBOR, such was less of average spread and the rate of the related index of the Collateral; the of average spread and the 50% (viii) any into consideration the (viii) after taking into consideration the addition of any such security, no more than 50% of the exposure including Collateral Securities and Eligible Investments by principal balance has single counterparty e>..l'osure including single Collateral Securities and Eligible Investments by principal servicer, issuer and put swap counterparty exposure; counterparty exposure; put servicer, issuer (ix) it provides for payments of monthly periodic interest in cash at a floating rate and for a payment of provides for payments monthly periodic interest in cash at a floating rate and for a payment of (ix) principal in full and in cash at its final maturity; in cash at its principal in full (x) each such security satisfies the definition of an "Eligible Investment" or is a Residential Mortgageeach such security satisfies the definition of an "Eligible Investment" or is a Residential Mortgage(x) Backed Security, a Commercial Mortgage-Backed Security, an Asset-Backed Security or a CDO Security; Backed Security, a Commercial Mortgage-Backed Security, an Asset-Backed Security or a CDO Security; (xi) (xi) shall not have a maturity later than the Stated Maturity of the Notes (other than the Class S Notes) shall not have a maturity later than the Stated Maturity of the Notes (other than the Class S Notes) 89 89 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912663 GS MBS-E-000912663 Footnote Exhibits - Page 5762 (xii) if it is a CDO Security, such CDO Security must (a) be a CDO S Note Security and (b) as of the if it is a CDO Security, such CDO Security must (a) be a CDO S Note Security and (b) as of the (xii) time of purchase by the Issuer, be in compliance with the applicable eligibility criteria, profile tests and quality tests time of purchase by the Issuer, be in compliance with the applicable eligibility criteria, profile tests and quality tests set forth in the related Underlying Instruments; set forth in the related Underlying Instruments; (xiii) at least 87.5% of the Collateral Securities by principal balance consists of Asset-Backed at least 87.5% of the Collateral Securities by principal balance consists of Asset-Backed (xiii) Securities, Residential Mortgage-Backed Securities or Commercial Mortgage-Backed Securities; and Securities, Residential Mortgage-Backed Securities or Commercial Mortgage-Backed Securities; and (xiv) (xiv) the purchase price thereof is equal to at least 98% of the par value of such security. the purchase price thereof is equal to at least 98% of the par value of such security. The Collateral Securities are e:-..'pected to be purchased in a face amount equal to the initial Aggregate The Collateral Securities are expected to be purchased in a face amount equal to the initial Aggregate Notional Amount of the Credit Default Swap. Under the terms of the Indenture, all Collateral Securities are Notional Amount of the Credit Default Swap. Under the terms of the Indenture, all Collateral Securities are required to be deposited in the Collateral Accountfor the benefit of the Credit Protection Buyer. The Issuer will required to be deposited in the Collateral Account for the benefit of the Credit Protection Buyer. The Issuer will also grant to the Trustee for the benefit of the Secured Parties, a security interest in the Collateral Securities, subject also grant to the Trustee for the benefit of the Secured Parties, a security interest in the Collateral Securities, subject to the lien of the Credit Protection Buyer, and shall notify the Credit Protection Buyer of such security interest The to the lien of the Credit Protection Buyer, and shall notify the Credit Protection Buyer of such security interest. The . any initial Collateral Securities Issuer must obtain the consent of the Credit Protection Buyer with respect Issuer must obtain the consent of the Credit Protection Buyer with respect to any initial Collateral Securities purchased by the Issuer and any Collateral Securities purchased thereafter. purchased by the Issuer and any Collateral Securities purchased thereafter. Principal payments the Collateral Securities prior to termination of the Credit Default Swap shall be Principal payments on the Collateral Securities prior to the termination of the Credit Default Swap shall be held in accordance with the Credit Default Swap in the Collateral Account and invested in Eligible Investments until accordance with Credit Default Swap in the Collateral Account invested in Eligible Investments until held the reinvested Collateral Securities satisfy the Collateral Securities Eligibility Criteria with reinvested in Collateral Securities which satisfy the Collateral Securities Eligibility Criteria with the consent of the Protection Credit Protection Buyer. the will obtain funds to pay Credit Amounts The Liquidation Agent, on behalf of the Issuer, will obtain the funds to pay Credit Protection Amounts Liquidation Defaulted Termination Payments) applying avoidance (which, for the avoidance of doubt, will not include Defaulted Swap Termination Payments) by applying the Collateral Liquidation Procedure. Collateral Liquidation Procedure. (i) If become Optional If the Notes become due in connection with an Optional Redemption, Tax Redemption or Auction, (i) the Liquidation behalf assign Default liquidate Liquidation Agent, on behalf of the Issuer, will assign or terminate the Credit Default Swap and liquidate all of the Obligations Collateral Securities and Eligible Investments in the Collateral Account and all Delivered Obligations in the Eligible Investments all Collateral Delivered Obligations Account and (ii) the Issuer will pay to the Credit Protection Buyer (and/or one or more (and/or Delivered Obligations assignees thereof) any Credit Default Swap Termination Payments the Issuer is required to pay to the Credit required Termination Payments Protection assignment Protection Buyer (if any) in connection with any assignment or termination of the Credit Default Swap. Certain amounts will be held back if (and/or such assignees) one or more outstanding Credit Events or Floating Amounts outstanding Credit Floating assignees) remain due as of a Redemption Date. remain If the Credit Default Swap is terminated in connection with the occurrence of an Event of Default or tenninated connection Termination Event (each as defined in the Master Agreement), the Liquidation Agent, on behalf of the Issuer, will Liquidation Termination avoidance of for pay to the Credit Protection Buyer any Credit Default Swap Termination Payments (which, for the avoidance of Termination Buyer doubt, will not include Defaulted Swap Termination Payments) owed by the Issuer to the Credit Protection Buyer by applying the Collateral Liquidation Procedure. Certain amounts will be held back if one or more outstanding Credit Liquidation Events exist or Floating Amounts remain due as of any tennination date. termination exist Swap determining whether Credit For purposes of the Coverage Tests and for purposes of detennining whether a Credit Default Swap is a and of characteristics Credit Risk Obligation, a Credit Default Swap shall be included as a Pledged Asset having the characteristics of the as Pledged Asset Swap Credit if Reference Obligation and not of the Credit Default Swap; provided, that if such Credit Protection Buyer is in default of Reference Obligation Tests or shall under the related Credit Default Swap, such Credit Default Swap shall not be included in the Coverage Tests or such Swap, such under the related Credit Default Swap will be treated in such a way that will satisfy the Rating Agency Condition. Rating Agency Condition. that will satisfy treated such a Credit Default Swap Substitution of Collateral Securities Securities Substitution of Trustee or the submit to From time to time following the Closing Date, any Holder of any Note may submit to the Trustee or the From time to time following the Closing Date, any Holder of substitution of one or Notice Fiscal Agent, as applicable, a Collateral Securities Substitution Request Notice requesting substitution of one or Substitution Fiscal Agent, as applicable, a Collateral more securities for one or more existing Collateral Securities, in whole or in part. Following receipt of such request, more securities for one or more existing Collateral Securities, in whole or in part. Following receipt of such request, . pursuant to the Collateral Administration Agreement, the Collateral Administrator, on behalf of the Issuer, will pursuant to the Collateral Administration Agreement, the Collateral Administrator, on behalf of the Issuer, will determine the BIE Transaction Cost. Upon such determination by the Collateral Administrator, the Trustee or the determine the BIE Transaction Cost. Upon such determination by the Collateral Administrator, the Trustee or the 90 90 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912664 GS MBS-E-000912664 Footnote Exhibits - Page 5763 Fiscal Agent, as applicable, will deliver a Collateral Securities Substitution Information Notice to the Originating Fiscal Agent, as applicable, will deliver a Collateral Securities Substitution Information Notice to the Originating Noteholder. Noteholder. Within five Business Days of receiving a Collateral Securities Substitution Information Notice, Within five Business Days of receiving a Collateral Securities Substitution Information Notice, the the Trustee or the Fiscal Agent, as applicable, whether wishes to proceed Originating Noteholder must Originating Noteholder must (i) notify the Trustee or the Fiscal Agent, as applicable, whether it wishes to proceed with the proposed substitution and, if so (ii) agree to pay any BIE Transaction Cost (regardless of whether the the proposed substitution so (ii) agree to pay any BIE Transaction (regardless of whether Holders a Majority of the Notes of each Class consent to such proposed substitution) occurrence of Holders of a Majority of the Notes of each Class consent to such proposed substitution) (the occurrence of subclauses (i) (ii), "Substitution Confirmation"). If Substitution Confmnation is not received by the Trustee subclauses (i) and (ii), a "Substitution Confirmation"). If a Substitution Confirmation is not received by the Trustee or Fiscal Agent, as applicable, within the time period specified the related request will be deemed to be or the Fiscal Agent, as applicable, within the time period specified above, the related request will be deemed to be and of no effect receipt of Substitution Confmnation, the Trustee or the Fiscal Agent, as void and of no further effect Upon the receipt of a Substitution Confirmation, the Trustee or the Fiscal Agent, as applicable, will deliver BIE Consent Solicitation Notice to Notes, including Originating applicable, will deliver a BIE Consent Solicitation Notice to all Holders of Notes, including the Originating Noteholder with a copy Credit Protection receipt of such BIE Consent Solicitation Notice, each Noteholder with a copy to the Credit Protection Buyer. Upon receipt of such BIE Consent Solicitation Notice, each Holder Note lnay, or prior the BIE Notification notice the Trustee or Fiscal Holder of a Note may, on or prior to the BIE Notification Date, submit written notice to the Trustee or the Fiscal applicable, indicating either (1) approval (2) disapproval any proposed BIE Consent Solicitation Agent, as applicable, indicating either (1) approval or (2) disapproval of any proposed BIE Consent Solicitation Notice by the BIE Notification If the BIE Consent Solicitation Notice to receive affmnative approval Notice by the BIE Notification Date. If the BIE Consent Solicitation Notice fails to receive the affirmative approval the? Holders Majority each of Notes by the BIE Notification Date, Trustee or Fiscal Agent of the Holders of a Majority of each Class of Notes by the BIE Notification Date, the Trustee or the Fiscal Agent will deliver a Collateral Securities Substitution Noteholder Refusal Notice to the Originating Noteholder and the deliver Collateral Securities Substitution Noteholder Refusal Notice to the Originating Noteholder Notice void of no effect. If the BIE related Collateral Sec~rities Substitution related Collateral Securities Substitution Request Notice will be deemed void and of no further effect. If the BIE or approval Majority of each Notes, Consent Solicitation Notice Consent Solicitation Notice receives the approval of the Holders of a Majority of each Class of Notes, the Trustee or Fiscal applicable, deliver BIE Acceptance Notice the Originating Noteholder the Fiscal Agent, as applicable, will deliver a BIB Acceptance Notice to the Originating Noteholder and the Liquidation Liquidation Agent. (1) Upon receipt of the BIE Acceptance Notice and confirmation from the Trustee (I) that the Originating Acceptance confmnation Trustee and that Securities have Noteholder Transaction Cost Noteholder has paid the BIE Transaction Cost to the Trustee and (2) that the relevant BIE Collateral Securities have amount Collateral Securities been been delivered to the Trustee, and the par amount of such delivered BIE Collateral Securities (which, for the avoidance of doubt, will meet the Collateral Securities Eligibility Criteria at the time of such acquisition by the Collateral Eligibility acquisition Collateral Issuer) is at least equal to each of the par amount of each of the Collateral Securities to be substituted, the Trustee shall release its lien on the par amount of the relevant existing Collateral Securities to be substituted and deliver the relevant Securities substituted par amount of such substituted Collateral Securities to such Originating Noteholder. If (i) any BIE Collateral Security is not delivered to the Issuer or (ii) the Issuer is not paid the BIE BIE Collateral Security (i) Acceptance Notice, Transaction Transaction Cost, in each case by the end of the BIE Exercise Period identified in the BIE Acceptance Notice, the BIE Acceptance Notice and the Collateral Securities Substitution Request Notice will be deemed void and of no Acceptance further effect. Voting and Other Matters Relating to Collateral Securities and Delivered Obligations Delivered Under the Indenture, where the Issuer, as the beneficial owner of a Collateral Security or Delivered beneficial Under to Obligation, or the Trustee, as the registered owner of a Collateral Security or Delivered Obligation, has the right to owner of as terns exercise a vote or consent to (or otherwise approve of) (i) any action, or inaction, pursuant to the terms of such (or issuer of Collateral Security or Delivered Obligation and its related underlying documentation or (ii) an offer by the issuer of such such Collateral Security or Delivered Obligation or by any other person to purchase or otherwise acquire such Obligation Collateral Security Collateral Security or Delivered Obligation or to convert or exchange such Collateral Security or Delivered Security its acting . Obligation for cash or any other consideration, the Trustee, as directed by the applicable holders, acting in its directed by the Trustee, other for the Issuer's Obligation, capacity as registered owner of such Collateral Security or Delivered Obligation, shall direct the Issuer's vote be Collateral Security registered owner of or of which such cast in the following manner: (x) if other holders of the class of which such Collateral Security or Delivered (x) if other following in of same manner as the votes Obligation is a part respond to such solicitation for vote or consent, in the same manner as the votes of a plurality of vote solicitation respond is of such Collateral Security the other voting holders of such class (based on the Principal Balance of such Collateral Security or Delivered the (based holders other holders Obligation), (y) if no other holders of such class exercise a vote or if there are no other holders of such class, but vote or if there class other (y) manner as the holders of different classes issued under the same governing instrument respond, in the same .manner as the votes of same governing instrument classes holders of the governing instrument pursuant to which such a plurality of the voting holders of all classes issued under the governing instrument pursuant to which such all of a all such classes Balance Collateral Security or Delivered Obligation was issued (based on the Principal Balance of all such classes and was issued (based Delivered Collateral governing instrument respond or if the treated as a single class) or (z) if no holders of any class issued under the same governing instrument respond or if class issued or (z) if no holders treated action inaction. there are no other holders, the Issuer's vote shall be exercised against such action or inactioll other holders, the Issuer's vote shall be exercised against there are 91 91 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912665 GS MBS-E-000912665 Footnote Exhibits - Page 5764 LIQUIDATION AGENCY AGREEMENT THE LIQUIDATION AGENCY AGREEMENT The following describes certain provisions of Liquidation Agency The does not The following summary describes certain provisions of the Liquidation Agency Agreement. The summary does not purport to be complete and subject andqualified in its entirety reference provisions the purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Agency Liquidation Agency Agreement. General General The Liquidation Agent will, on behalf of the pursuant Liquidation Agency Agreement, The Liquidation Agent will, on behalf of the Issuer, pursuant to the Liquidation Agency Agreement, (i) assign, terminate or otherwise dispose of (a) CDS Transactions the Reference Obligations of which are determined terminate or otherwise diSpose of (a) CDS Transactions Reference Obligations of which are determined the pursuant Collateral Administration Agreement, be by Collateral by the Collateral Administrator, on behalf of the Issuer, pursuant to the Collateral Administration Agreement, to be Delivered Obligations, (ii) sell, terminate or otherwise of CDS Credit Obligations Credit Risk Obligations or (b) Delivered Obligations, (ii) sell, assign, terminate or otherwise dispose of the CDS Transactions, Collateral Securities, Delivered Obligations and Investments of in cOlUlection with Transactions, Collateral Securities, Delivered Obligations and Eligible Investments of the Issuer in connection with Notes as result of Optional Redemption, a Tax Redemption, Auction or (a) a redemption of the Notes as a result of an Optional Redemption, a Tax Redemption, an Auction or as otherwise redemption required under the Indenture as described therein (b) an acceleration the as of an of required under the Indenture as described therein and (b) an acceleration of the Notes as a result of an Event of Default as required Indenture described (iii) on behalf available Default as required under the Indenture as described therein, (iii) invest, on behalf of the Issuer, available funds in the Indenture perform certain Collateral Securities in accordance the Collateral Securities and Eligible Investment in accordance with the terms of the Indenture and (iv) perform certain other functions, as described herein. The Liquidation Agent will have twelve (12) months to assign, terminate or described Liquidation twelve (12) months terminate or other Reference Obligations otherwise dispose CDS Transactions which determined pursuant to otherwise dispose of (a) CDS Transactions the Reference Obligations of which are determined pursuant to the Collateral Administration Agreement the Collateral behalf Collateral Administration Agreement by the Collateral Administrator, on behalf of the Issuer, to be Credit Risk Obligations (b) Delivered Obligations accordance Liquidation Agency Agreement (such Obligations and (b) Delivered Obligations in accordance with the terms of the Liquidation Agency Agreement (such either twelve measured date Liquidation twelve months measured from the date the Liquidation Agent is notified of either (1) such determination by the Delivered Obligation applicable). Collateral Administrator (2) Collateral Administrator or (2) the receipt of such Delivered Obligation by the Issuer, as applicable). The proceeds of such sale of Delivered Obligations will be deposited into the Collateral Account and invested in Eligible the Collateral Account invested in Delivered Obligations Investments Investments and Collateral Securities selected at the direction of the Liquidation Agent. In addition, any principal proceeds received on such Delivered Obligations prior to such sale, will be deposited into the Collateral Account. Delivered Obligations prior sale, deposited Collateral proceeds received The Liquidation Agent will have no ability or authority to direct the assignment, termination or other disposition of Liquidation Transactions. Liquidation provide Issuer any CDS Transactions. The Liquidation Agent will not provide investment advisory services to the Issuer or act as the "collateral manager" for the Credit Default Swap. The Liquidation Agent will not have fiduciary duties to the "collateral holders Issuer or to the holders of the Notes. The Liquidation Agent York The Liquidation Agent is Goldman, Sachs & Co. ("GS&Co."). GS&Co. is a New Yolk limited partnership partnership of, represent and a registered U.S. broker-dealer. The Notes do not represent an obligation of, and will not be insured or registered U.S. or guaranteed by GS&Co., its parent or any of its subsidiaries or its affiliates and investors will have no rights or recourse against GS&Co., its parent or any of its subsidiaries or affiliates. Compensation Compensation As compensation for the performance of its obligations under the Liquidation Agency Agreement, the compensation on Liquidation Agent will be entitled to receive a fee in accordance with the Priority of Payments, payable in arrears on accordance each Payment Date, of 0.05% per annum (the "Liquidation Agent Fee") times the Aggregate Outstanding Portfolio "Liquidation such Payment Amount, measured as of the begiIining of the Due Period preceding such Payment Date. the beginning of the Due Amount, Payments If amounts distributable on any Payment Date in accordance with the Priority of Payments are insufficient any Payment If payable will be to pay the Liquidation Agent Fee in full, then the shortfall will be deferred and will be payable on subsequent Agent to Priority to Payment Dates on which funds are available therefor according to the Priority of Payments. therefor funds Payment 30-day day of a the The Liquidation Agent Fee will be calculated on the basis qf a 360 day year consisting of twelve 30-day calculated Agent Fee The only in accordance subject to months. All fees payable to the Liquidation Agent on a Payment Date are subject to payment only in accordance a Payment Agent the All fees ?with the Priority of Payments. of with Trustee, direct for a Issuer and notice to and The Liquidation Agent may, at its election and upon notice to the Issuer and the Trustee, direct for a Agent may, is due to it the Liquidation Agent Fee be predetermined period of time that all or a portion of the amount that is due to it as the Liquidation Agent Fee be paid the amount a that predetermined 92 92 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912666 GS MBS-E-000912666 Footnote Exhibits - Page 5765 directly to a third party; provided, that the Liquidation Agent will not (unless is assigning all of its rights and directly to a third party; provided, that the Liquidation Agent will not (unless it is assigning all of its rights and obligations in accordance with the Liquidation Agency Agreement) be relieved of any of its duties under the obligations in accordance with the Liquidation Agency Agreement) be relieved of any of its duties under the Liquidation Agency Agreement or the Indenture a result of the redirection of right to receive all or a portion of Liquidation Agency Agreement or the Indenture as a result of the redirection of its right to receive all or a portion of the Liquidation Agent Fee. the Liquidation Agent Fee. Procedure for Disposition CDS Transaction, Eligible Investments, Collateral Securities Delivered Procedure for Disposition of CDS Transaction, Eligible Investments, Collateral Securities and Delivered Obligations Obligations Pursuant the Liquidation Agency Agreement, whenever the assignment, termination or other disposition Pursuant to the Liquidation Agency Agreement, whenever the assignment, termination or other disposition of CDS Transactions, Eligible Investments, Collateral Securities Delivered Obligations is required of CDS Transactions, Eligible Investments, Collateral Securities and Delivered Obligations is required under the Indenture, as described under "The Credit Default SwaJr-Removal Reference Obligations from the Reference Indenture, as described under "The Credit Default Swap--Removal of Reference Obligations from the Reference Portfolio", the Liquidation Agent will use commercially reasonable efforts to bids from least three Portfolio", the Liquidation Agent will use commercially reasonable efforts to solicit bids from at least three independent market makers, least of which the Liquidation or an affiliate thereof. If after such independent market makers, at least one of which is not the Liquidation Agent or an affiliate thereof. If after such three independent market makers are not available, the of two commercially reasonable efforts, bids commercially reasonable efforts, bids from three independent market makers are not available, the higher of two from two such independent market makers one such bid may be such bids may be used and such bids may be used and if bids from two such independent market makers are not available, one such bid may be used. Assuming at least one bid is received in accordance with the preceding sentence, the applicable CDS Assuming received in accordance with preceding sentence, applicable CDS Transactions, Eligible Investments, Collateral Securities Delivered Obligations Transactions, Eligible Investments, Collateral Securities and Delivered Obligations shall be disposed of at the provided. in the disposition CDS Transaction, CDS Transaction highest highest bid price; provided, however, that in the case of a disposition of a CDS Transaction, such CDS Transaction shall disposed of Market Quotation term Credit Default Swap) obtained shall only be disposed of if the Market Quotation (as such term is defined in the Credit Default Swap) obtained terms tlle Credit expressed percentage the related initial Reference pursuant pursuant to the terms of the Credit Default Swap expressed as a percentage of the related initial Reference equal than The affiliate Obligation Notional Amount Obligation Notional Amount should be equal to or less than 60%. The Liquidation. Agent or an affiliate of the Collateral Delivered Liquidation Agent may Liquidation Agent may purchase a CDS Transaction, Eligible Investment, Collateral Security or Delivered Obligation terminated otherwise described Notwithstanding Obligation assigned, terminated or otherwise disposed as described above. Notwithstanding the foregoing, any the auction procedures Auction conducted accordance Auction shall be conducted in accordance with the auction procedures set forth in the Indenture. Termination, Removal and Resignation Resignation Termination, If the Liquidation Agency Agreement is tenninated for any reason or the entity then serving as Liquidation Agreement tenninated Agent resigns or is removed, the Liquidation Agent Fee owing to such entity will be prorated for any partial periods Liquidation owing partial between Payment prorated between Payment Dates and such prorated amount will be due and payable on the first Payment Date following the date of such termination, subject to the priority of payments. The Liquidation Agent may resign, upon 60 days' (or such shorter notice as is acceptable to the Issuer) acceptable Liquidation written notice to the Issuer, tIle Trustee and the Rating Agencies. If the Liquiill!tion Agent resigns, the Issuer agrees the Tmustee effectiveness to use its best efforts to appoint a successor Liquidation Agent, and the effectiveness of such resignation will be conditioned upon the appointment of such successor. provided that "cause" The Liquidation Agent may be removed for "cause" (i) by the Issuer or the Trustee; provided that written Agent The each notice thereof shall have been given to the holders of the Notes and each Rating Agency stating that such given to notice, within termination shall be effective only if directed in writing witI1in 30 days after the date of such notice. by, the holders in effective termination any of at least a Super Majority of the Income Notes and a Super Majority of the Controlling Class, but excluding in any over or any such calculation any Notes held by the Liquidation Agent or any Notes over which the Liquidation Agent has any or the (3) described discretionary voting authority, (ii) in the case of an event descnbed in clause (3) below, by the Issuer or the Trustee case voting authority, a Super Majority of the holders or upon 10 days' prior written notice to the Liquidation Agent, or (iii) by holders of at least a Super Majority of the Liquidation days' such excluding Income Notes and a Super Majority of the Controlling Class, but excluding in any such calculation any Income Controlling Class, and which the Liquidation Notes or Notes held by the Liquidation Agent or any Notes over which the Liquidation Agent has discretionary Agent or Agent. voting authority, upon 10 days' prior written notice to the Liquidation Agent. notice to 10 days' prior voting authority, Agency any For purposes of determining "cause" with respect to any such termination of the Liquidation Agency with respect purposes of (1) the following any one of Agreement, such term shall mean the occurrence and continuation of any one of the following events: (1) the occurrence and such term shall mean Liquidation any provision of that knows Liquidation Agent willfully violates, or takes any action that it knows breaches, any provision of the Liquidation or Agent any Agency Agreement or the Indenture applicable to it; (2) the Liquidation Agent breaches in any material respect any Liquidation Agent to it; (2) Agreement the to it, which breach (i) has a of the Indenture provision of the Liquidation Agency Agreement or any terms of the Indenture applicable to it, which breach (i) has a of the Liquidation Agency Agreement any notice (or material adverse effect on the holders of the Notes and (ii) within 30 days of its becoming aware (or receiving notice and (ii) within days of adverse Liquidation Agent is from the Trustee) of such breach, the Liquidation Agent fails to cure such breach; (3) the Liquidation Agent is the Trustee) of such breach, the Liquidation Agent fails cure such breach; (3) wound up or dissolved or there is appointed over it or over all or substantially all of its assets a receiver, wound up or dissolved or there is appointed over it or over all or substantially of its assets a receiver, 93 93 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912667 GS MBS-E-000912667 Footnote Exhibits - Page 5766 administrator, administrative receiver, trustee or similar officer; or the Liquidation Agent (w) ceases to, or admits in administrator, administrative receiver, trustee or similar officer, or the Liquidation Agent (w) ceases to, or admits in writing its inability to, pay its debts as they become due and payable, or makes a general assignment for the benefit writing its inability to, pay its debts as they become due and payable, or makes a general assignment for the benefit of or enters into any composition or arrangement with, its creditors generally; (x) applies for or consents (by of or enters into any composition or arrangement with, its creditors generally; (x) applies for or consents (by admission of material allegations of a petition or otherwise) to the appointment of a receiver, trustee, assignee, admission of material allegations of a petition or otherwise) to the appointment of a receiver, trustee, assignee, custodian, liquidator or sequestrator (or other similar official) of the Liquidation Agent or of all or substantially all custodian, liquidator or sequestrator (or other similar official) of the Liquidation Agent or of all or substantially all of its properties or assets, or authorizes such an application or consent, or proceedings seeking such appointment are of its properties or assets, or authorizes such an application or consent, or proceedings seeking such appointment are commenced without such authorization, consent or application against the Liquidation Agent and continue commenced without such authorization, consent or application against the Liquidation Agent and continue undismissed for 60 consecutive days; (y) authorizes or fIles a voluntary petition in bankruptcy, or applies for or undismissed for 60 consecutive days; (y) authorizes or files a voluntary petition in bankruptcy, or applies for or consents (by admission of material allegations of a petition or otherwise) to the application of any bankruptcy, consents (by admission of material allegations of a petition or otherwise) to the application of any bankruptcy, reorganization, arrangement, readjustment of debt, insolvency or dissolution, or authorizes such application or reorganization, arrangement, readjustment of debt, insolvency or dissolution, or authorizes such application or consent, or proceedings to such end are instituted against the Liquidation Agent without such authorization, consent, or proceedings to such end are instituted against the Liquidation Agent without such authorization, application or consent and are approved as properly instituted and remain undismissed 60 consecutive days or application or consent and are approved as properly instituted and remain undismissed for 60 consecutive days or result in adjudication of bankruptcy or insolvency; or permits or suffers all or substantially all of its properties or result in adjudication of bankruptcy or insolvency; or (z) permits or suffers all or substantially all of its properties or assets to be sequestered or attached by court order and the order remains undismissed for 60 consecutive days; or (4) assets to be sequestered or attached by court order and the order remains undismissed for 60 consecutive days; or (4) the the Co-Issuer or the Pledged Assets have become required to be registered as an investment company the Issuer, the Co-Issuer or the Pledged Assets have become required to be registered as an investment company the Liquidation Agent in the provisions the Investment Company Act, as a result of a material breach under the provisions of the Investment Company Act, as a result of a material breach by the Liquidation Agent in Liquidation Agency The Liquidation Agent shall notify Trustee, each Rating violation violation of the Liquidation Agency Agreement. The Liquidation Agent shall notify the Trustee, each Rating Agency (to the extent Secured Notes outstanding are rated by such Rating Agency), the Fiscal Agent Agency (to the extent any Secured Notes outstanding are rated by such Rating Agency), the Fiscal Agent and the holders of the Income Notes if a "cause" an event which with giving of notice or the lapse of (or holders of the Income Notes if a "cause" event, or an event which with the giving of notice or the lapse of time (or becomes "cause," both) becomes "cause," occurs. resignation or removal of Liquidation Agent will be effective only upon appointment by Any resignation or removal of the Liquidation Agent will be effective only upon (i) the appointment by the a SuperMajority Income (including any Income owned the Liquidation holders of a Super Majority of the Income Notes (including any Income Notes owned by the Liquidation Agent, any Affiliate Liquidation account which Liquidation Agent discretionary authority) Affiliate of the Liquidation Agent, and any account over which the Liquidation Agent has discretionary authority) such holders make appointment within resignation or (or if such holders fail to make such appointment within 30 days after any such resignation or removal, by the Issuer, as directed by a Super Majority of the Controlling Class) of a successor Liquidation Agent that is an directed Super Majority of the of successor Liquidation Agent demonstrated established institution with experience servicing assets similar to the Pledged Assets that (1) has demonstrated an experience servicing similar Pledged established ability professionally perform duties imposed the Liquidation Agent under ability to professionally and competently perform duties similar to those imposed upon the Liquidation Agent under legally qualified capacity Liquidation under Liquidation the Liquidation Agency Agreement, (2) is legally qualified and has the capacity to act as Liquidation Agent under the Liquidation Agency Agreement as successor to the Liquidation Agent under the Liquidation Agency Agreement, Liquidation Agency Agreement successor Liquidation under Liquidation Agreement, (3) has agreed in writing to assume all of the responsibilities, duties and obligations of the Liquidation Agent under agreed Agent under responsibilities, (3) Agency Agreement the the Liquidation Agency Agreement and under the applicable terms of the Indenture, (4) shall not cause tlle Issuer, investment the Co-Issuer or the pool of Pledged Assets to become required to register as an investment company under the become Majority of Investment Company Act and (5) has been approved by the Issuer, upon the direction of a Majority of each Class of (5) Notwithstanding Notes and (ii) satisfaction of the Rating Agency Condition witil respect to such appointment. Notwithstanding the Agency with foregoing, if no successor has been appointed as aforesaid within 120 days after resignation of the Liquidation tile Agent, the Liquidation Agent may appoint a successor satisfying the requirements of the Liquidation Agency Agreement without consent of any other party or confirmation by the Rating Agencies. The Issuer, the Trustee and confirmation any Agreement the successor Liquidation Agent shall take such action (orcause tile outgoing Liquidation Agent to take such action) (or cause the outgoing successor to the Liquidation consistent with the Liquidation Agency Agreement and the terms of the Indenture applicable to-the Liquidation If Agent as shall be necessary to effectuate any such succession. If the Liquidation Agent shall resign or be removed such necessary and but a successor Liquidation Agent shall not have assumed all of the Liquidation Agent's duties and obligations all of have Agent shall then the Issuer, under the Liquidation Agency Agreement within 90 days after such resignation or removal, ~en the Issuer, the within under Trustee, any holder of Notes or the resigning or terminated Liquidation Agent may petition any court of competent Liquidation or holder payable to a successor jurisdiction for the appointment of a successor Liquidation Agent. The compensation payable to a successor Liquidation Agent. the the compensation Liquidation Agent from payments on the Pledged Assets shall not exceed the compensation payable to the shall not exceed the Pledged Liquidation of approval the holders a Liquidation Agent under the Liquidation Agency Agreement without the approval of the holders of a Majority of the under the Liquidation Aggregate Outstanding Amount of each Class of Notes. Outstanding Amount the Liquidation Agent has discretionary Any Notes held by the Liquidation Agent or any Notes over which the Liquidation Agent has discretionary the Liquidation Agent or any Notes over Notes held with the removal of voting autllOrity, in each case will have no voting rights with respect to any vote in connection with the removal of respect to any vote in have no voting voting authority, in each case the Liquidation Agent or the disposition of any CDS Transaction or Eligible Investment and will be deemed not to of any CDS Transaction or Eligible Investment and will be deemed not to Liquidation Agent or the be outstanding in connection with any such vote; provided, however, that any such Notes will have voting rights and be outstanding in connection with any such vote; provided, however, that any such Notes will have voting rights and are entitled to vote. will be deemed outstanding with respect to all other matters as to which holders of Notes are entitled to vote. will be deemed outstanding with respect to all other matters as to which holders of 94 94 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912668 GS MBS-E-000912668 Footnote Exhibits - Page 5767 The Liquidation Agent may assign the Liquidation Agency Agreement, in whole or in part, to an affiliate of The Liquidation Agent may assign the Liquidation Agency Agreement, in whole or in part, to an affiliate of the Liquidation Agent without the consent of the Issuer, any Class of Secured Notes or the Income Notes and the Liquidation Agent without the consent of the Issuer, any Class of Secured Notes or the Income Notes and without satisfaction of the Rating Agency Condition. In the event of any such assignment, Goldman, Sachs & Co. without satisfaction of the Rating Agency Condition. In the event of any such assignment, Goldman, Sachs & Co. will have no further obligations to the Issuer. will have no further obligations to the Issuer. Except for the assignment to an affiliate, the Liquidation Agency Agreement may not be assigned by the Except for the assignment to an affiliate, the Liquidation Agency Agreement may not be assigned by the Liquidation Agent, in whole or in part, without (i) the prior written consent of the Issuer, (ii) the prior written Liquidation Agent, in whole or in part, without (i) the prior written consent of the Issuer, (ii) the prior written consent of or affmnative vote by a Majority of the Controlling Class and the holders of Majority of the Income consent of or affirmative vote by a Majority of the Controlling Class and the holders of aa Majority of the Income Notes and (iii) satisfaction of the Rating Agency Condition with respect to such assignment or delegation. Notes and (iii) satisfaction of the Rating Agency Condition with respect to such assignment or delegation. The Liquidation Agency Agreement will terminate when the earliest of the following occurs: (i) the The Liquidation Agency Agreement will terminate when the earliest of the following occurs: (i) the payment in full of the Notes; (ii) the liquidation of the Pledged Assets and the final distribution of the proceeds of payment in full of the Notes; (ii) the liquidation or" the Pledged Assets and the final distnbution of the proceeds of such liquidation to the Holders of the Notes or (iii) the termination thereof due to the resignation or removal of the such liquidation to the Holders of the Notes or (iii) the termination thereof due to the resignation or removal of the Liquidation Agent in accordance with the Liquidation Agency Agreement. Liquidation Agent in accordance with the Liquidation Agency Agreement. The Liquidation Agency Agreement may not be amended or modified or any provision thereof waived The Liquidation Agency Agreement may not be amended or modified or any provision thereof waived (other than in connection with an assignment to an affiliate of the Liquidation Agent) except by (i) an instrument in (other than in connection with an assignment to an affiliate of the Liquidation Agent) except by (i) an instrument in writing signed by the parties thereto, (ii) the prior written consent of a Majority of the Controlling Class and (iii) writing signed by the parties thereto, (ii) the prior written consent of a Majority of the Controlling Class and (iii) writtenconfmnation each Rating Agency to the effect that such amendment, modification waiver will not written confirmation from each Rating Agency to the effect that such amendment, modification or waiver will not cause a qualification, downgrade or withdrawal of its then current ratings of any Class of Notes rated by such Rating qualification, downgrade or withdrawal of then current ratings of Class of Notes rated by such cause 100% of each Class of that would be qualified, reduced or withdrawn due an Agency unless the holders Agency unless the holders of 100% of each Class of Notes that would be qualified, reduced or withdrawn due to an amendment, modification waiver approves such amendment, modification amendment, modification or waiver approves such amendment, modification or waiver. The Liquidation Agent, its affiliates and their respective members, principals, partners, managers, directors, Liquidation affiliates their respective members, managers, directors, Co-Issuers, liable Trustee, Fiscal employees stockholders, officers, stockholders, partners, agents and employees will not be liable to the Co-Issuers, the Trustee, the Fiscal Notes any other Person any losses, claims, damages, charges, judgments, holders Agent, the holders of the Notes or any other Person for any losses, claims, damages, demands, charges, judgments, by Trustee, holders the assessments, costs assessments, costs or other liabilities incurred by the Co-Issuers, the Trustee, the Fiscal Agent, the holders of the arise out connection performance the Liquidation its Notes or any other Person that arise out of or in connection with the performance by the Liquidation Agent of its Notes Pledged decrease under Agency Agreement duties under the Liquidation Agency Agreement or the Indenture, or for any decrease in the value of the Pledged provided omissions Liquidation Assets; provided that the Liquidation Agent shall be subject to liability by reason of acts or omissions of the reckless performance, Liquidation Agent constituting negligence Liquidation Agent constituting bad faith, willful misconduct or gross negligence in the performance, or reckless Liquidation Agency Agreement disregard, of obligations disregard, of the obligations of the Liquidation Agent under the Liquidation Agency Agreement and under the terms of provided Liquidation of the Indenture applicable to the Liquidation Agent; providedthat in no event shall the Liquidation Agent or any of the payments its affIliates be liable for consequential, special, exemplary or punitive damages. Subject to the priority of payments its affiliates described herein, the Liquidation Agent will be entitled to indemnification by the Issuer under certain circumstances. indemnification described Liquidation Various potential and actual conflicts of interest may arise from the overall activities of the Liquidation actual with respect holders the Agent and its affiliates. In certain circumstances, the interests of the Issuer and the holders of the Notes with respect In certain Agent and its the Liquidation the may to matters as to which the Liquidation Agent is advising the Issuer may conflict with the interests of the Liquidation advising which to matters and "-The Agent or its affiliates. See "Risk Factors-Other Considerations-Certain Conflicts of Interest" and "-The Factors-Other Considerations-Certain See its Agent Liquidation Agent." Liquidation Agent." ACCOUNTS ACCOUNTS Pursuant to the Indenture, the Issuer shall cause there to be opened and at all times maintained the Interest the Indenture, the Issuer shall cause there to be opened and at all times maintained the Interest the Collection Account, the Payment Account, the Expense Reserve Account, the Collateral Account (including the Expense Reserve Account, the Collateral Account Collection Account, the Payment Account, Cash Collateral Account), the Delivered Obligation Account and, to the extent required, the Amortization Shortfall Obligation Account and, to the extent required, the Amortization Shortfall Cash Collateral Account), the Delivered Account and the CDS Countetparty Collateral Account (each as hereinafter defined), each of which shall be a Account and the CDS Counterparty Collateral Account (each as hereinafter defined), each of which shall be a segregated account or sub-account established with the Securities Intermediary in the name of the Trustee for the segregated account or sub-account established with the Securities Intermediary in the name of the Trustee for the benefit of the Secured Parties as further described in the Indenture. Each Account is required to be maintained by benefit of the Secured Parties as further described in the Indenture. Each Account is required to be maintained by the Trustee or by another financial institution that is an Eligible Depositary. the Trustee or by another financial institution that is an Eligible Depositary. Certain distributions on the Pledged Assets, including Fixed Amounts received by the Issuer under the Certain distributions on the Pledged Assets, including Fixed Amounts received by the Issuer under the Credit Default Swap will be remitted to aa single, segregated account established and maintained under the Indenture Credit Default Swap will be remitted to single, segregated account established and maintained under the Indenture (the "Interest Collection Account") and will be available, to the e,,1ent described herein, for application in the (the "Interest Collection Account") and will be available, to the extent described herein, for application in the manner and for the putposes described herein. Funds held in the Interest Collection Account will be invested by the manner and for the purposes described herein. Funds held in the Interest Collection Account will be invested by the 95 95 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912669 GS MBS-E-000912669 Footnote Exhibits - Page 5768 Trustee in Eligible Investments in accordance with the tenus of the Indenture. All Fixed Amounts and Interest Trustee in Eligible Investments in accordance with the terms of the Indenture. All Fixed Amounts and Interest Shortfall Reimbursement Payment Amounts paid by the Credit Protection Buyer to the Issuer under a CDS Shortfall Reimbursement Payment Amounts paid by the Credit Protection Buyer to the Issuer under a CDS Transaction and any investment income on the Collateral will be remitted to the Interest Collection Account. If Transaction and any investment income on the Collateral will be remitted to the Interest Collection Account. If Expected Fixed Amounts (as defined in the related Master Confirmation) are paid by the Credit Protection Buyer to Expected Fixed Amounts (as defined in the related Master Confirmation) are paid by the Credit Protection Buyer to the Issuer in accordance with the Credit Default Swap following a downgrade or placement on watch for downgrade the Issuer in accordance with the Credit Default Swap following a downgrade or placement on watch for downgrade of the Credit Protection Buyer, on the Payment Date immediately thereafter, the Expected Fixed Amount (as defined of the Credit Protection Buyer, on the Payment Date immediately thereafter, the Expected Fixed Amount (as defined in the related Master Confirmation) will not be transferred to the Payment Account to be distributed in accordance in the related Master Confirmation) will not be transferred to the Payment Account to be distributed in accoidance with the Priority of Payments for such Payment Date but will instead be held in the Interest Collection Account until with the Priority of Payments for such Payment Date but will instead be held in the Interest Collection Account until the next Payment Date. the next Payment Date. On the Closing Date, the net proceeds of the offering of the Notes issued on .such date will be used to On the Closing Date, the net proceeds of the offering of the Notes issued on.such date will be used to purchase Collateral Securities and Eligible Investments with an initial principal balance of $305,000,000 which will purchase Collateral Securities and Eligible Investments with an initial principal balance of $305,000,000 which will be deposited to a single, segregated account established and maintained under the Indenture (the "Collateral be deposited to a single, segregated account established and maintained under the Indenture (the "Collateral Account"). The "Cash Collateral Account" shall be a subaccount of the Collateral Account. Termination payments Account"). The "Cash Collateral Account" shall be a subaccount of the Collateral Account. Termination payments . paid by the Credit Protection Buyer to the Issuer, any amounts paid by an assignee of a CDS Transaction to the paid by the Credit Protection Buyer to the Issuer, any amounts paid by an assignee of a CDS Transaction to the Sale Proceeds from Collateral Securities, Delivered Obligations and Eligible Investments (other than Issuer, Sale Proceeds from Collateral Securities, Delivered Obligations and Eligible Investments (other than (i) proceeds of Collatenll Securities and Eligible Investments applied to pay Credit Protection Amounts and (ii) Sale proceeds of Collateral Securities and Eligible Investments applied to pay Credit Protection Amounts and (ii) Sale Proceeds Eligible Investments purchased with principal payments on the Collateral Securities diverted Proceeds from Eligible Investments purchased with principal payments on the Collateral Securities diverted into the Amortization Shortfall Account) received by the will be remitted the Trustee to the Collateral Account Amortization Shortfall Account) received by the Issuer will be remitted by the Trustee to the Collateral Account and invested in Eligible The Collateral Securities and any Eiigible Investments on deposit in the invested in Eligible Investments. The Collateral Securities and any Eligible Investments on deposit in the Collateral Credit Protection Amounts and to redeem the Notes as described In if Account may be used Account may be used to pay Credit Protection Amounts and to redeem the Notes as described herein. In addition, if Amortization Shortfall Amount respect of a Payment Date, principal payments received the Issuer an Amortization Shortfall Amount exists in respect of a Payment Date, all principal payments received by the Issuer Collateral Securities Eligible Investments (other on deposit in Collateral Account on Collateral Securities and Eligible Investments (other than cash) on deposit in the Collateral Account shall be deposited by Trustee in Amortization Shortfall Account amount required to satisfy outstanding deposited by the Trustee in the Amortization Shortfall Account up to the amount required to satisfy all outstanding Amortization Shortfall Amounts. All investment earnings from the Collateral Securities and Eligible Investments in Amounts. All investment Collateral Securities in Amortization included Collateral Collateral Account will remitted the Interest Collection Account (and the Collateral Account will be remitted to the Interest Collection Account (and will not be included in the Collateral Collateral Account Account All principal Collateral Securities invested Account Amount). All principal payments on Collateral Securities in the Collateral Account will be invested in Collateral Securities Eligible Investments invested Eligible Investments at the direction of the Liquidation Agent until invested in Collateral Securities satisfying the Collateral Securities Eligibility direction Agent. Collateral Securities Eligibility Criteria at the direction of the Liquidation Agent Payment Payment "Transfer On the Business Day prior to each Payment Date other than a Final Payment Date (each a "Transfer Date"), the Trustee will deposit into a separate account (the "Payment Account") all funds (including any reinvestment separate "Payment Account") income) in the Interest Collection Account (to the extent received prior to the end of the related Due Period) for extent application in accordance with the Priority of Payments. Principal Proceeds shall be deposited in the Collateral Account and subject to the calculation of the Proceeds Aggregate Amortization Amount. On each Transfer Date, the Trustee will deposit all Amortization Proceeds into the Transfer Amortization Payment Account for the application in accordance with the Priority of Payments. be On the Closing Date, U.S.$200,000 from the net proceeds of the offering of the Notes will be deposited by Date, U.S.$200,000 the Trustee into a single, segregated account established and maintained by the Trustee under the Indenture (the segregated account a such purpose "Exllense Reserve Account"). On each Payment Date, to the extent that funds are available for such purpose in "Expense Expense the of accordance with and subject to the limitations of the Priority of Payments, the Trustee will deposit into the Expense limitations and (after Expense Reserve deposit Reserve Account an amount from Proceeds such that the amount on deposit in the Expense Reserve Account (after such from Reserve Account deposit in giving effect to such deposit) will equal U.S.$200,000. Amounts on deposit in the Expense Reserve Account may U.S.$200,000. effect such deposit) will to Expenses of the Issuers. be withdrawn from time to time to pay accrued and unpaid Administrative Expenses of the Issuers. With respect to and from time to time to pay U.S.$200,000 will be the first Payment Date, funds on deposit in the Expense Reserve Account in excess of U.S.$200,000 will be Account Expense first Payment deposit the transferred by the Trustee to the Payment Account for application as interest proceeds. All funds on deposit in the for application as interest proceeds. All funds transferred by the Trustee to sold have Expense Reserve Account at the time when substantially all of the Issuer's assets have been sold or otherwise when substantially all of the Issuer's at the Reserve for application as Proceeds on the disposed of will be transferred by the Trustee to the Payment Account for application as Proceeds on the Trustee to the Payment disposed of will be transferred immediately succeeding Payment Date. . immediately succeeding Payment Date. be Buyer the Credit Under certain conditions described in the Credit Default Swap, the Credit Protection Buyer may be Under certain conditions described in the Credit required to post collateral ("CDS Counterparty Collateral") under the tenus of the Credit Default Swap. The CDS required to post collateral ("CDS Counterparty Collateral") under the terms of the Credit Default Swap. The CDS Counterparty Collateral pledged by the Credit Protection Buyer will be deposited by the Trustee into a segregated Counterparty Collateral pledged by the Credit Protection Buyer will be deposited by the Trustee into a segregated 96 96 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912670 GS MBS-E-000912670 Footnote Exhibits - Page 5769 account (the "CDS Counterparty Collateral Account") established in the name of the Trustee and held therein account (the "CDS Counterparty Collateral Account") established in the name of the Trustee and held therein pursuant to the tenns of the Credit Default Swap. pursuant to the terms of the Credit Default Swap. On or before the first date on which there exists an Amortization Shortfall Amount, the Trustee will On or before the first date on which there exists an Amortization Shortfall Amount, the Trustee will establish maintain single, segregated account established maintained under the Indenture establish and maintain a single, segregated account established and maintained under the Indenture (the "Amortization Shortfall Account") into which certain principal payments and interest received by the Issuer on "Amortization Shortfall Account") into which certain principal payments and interest received by the Issuer on Collateral Securities and Eligible Investments in the Collateral Account shall deposited up the Amortization Collateral Securities and -Eligible Investments in the Collateral Account shall be deposited up to the Amortization Shortfall Amount. Shortfall Amount. or before first Delivered Obligation received the Trustee establish On or before the first date that a Delivered Obligation is received by the Issuer, the Trustee will establish and maintain under the Indenture a segregated collateral account (the "Delivered Obligation Account") which and maintain under the Indenture a segregated collateral account (the "Delivered Obligation Account") into which Each Delivered Obligation will Delivered Obligation Delivered Obligations shall be all Delivered Obligations shall be deposited. Each Delivered Obligation will be held in the Delivered Obligation Account until such Delivered Obligation sold Liquidation behalf the pursuant to Account until such Delivered Obligation is sold by the Liquidation Agent, on behalf of the Issuer, pursuant to the tenns of terms of the Indenture. Accounts Period will be invested Eligible Investments. Amounts retained Amounts retained in the Accounts during a Due Period will be invested in Eligible Investments. REPORTS report Holders the Secured Notes Holders Income Notes and A report will be made available to the Holders of the Secured Notes and Holders of the Income Notes and payments will provide information on the Pledged Assets as well as information with respect to payments made on the related well information with Payment Date (each, a "Note Valuation Report"), beginning in July, 2007. "Note Valuation beginning July, prepared Determination preceding Valuation Report infonnation each The infonnation in each Note Valuation Report will be prepared as of the Determination Date preceding other the amounts accordance Priority the related Payment Date and will set out, among other things, the amounts payable in accordance with the Priority such amounts set Payments Payment Trustee of Payments on such Payment Date. The Issuer will instruct the Trustee to transfer the anlOunts set forth in such manner specified accordance Note Valuation Report in the manner specified in, and in accordance with, the Priority of Payments. Valuation AND AVERAGE CONSIDERATIONS WEIGHTED AVERAGE LIFE AND YIELD CONSIDERATIONS S The Stated Maturity of the Notes (other than the Class S Notes) is the Payment Date in July 2042. Stated expected However, the principal of the Notes (other than the Class S Notes) is expected to be paid in full prior to the Stated Maturity. Average life refers to the average amount of time that will elapse from the date of delivery of a security until each dollar of the principal of such security will be paid to the investor. The average lives of the Notes will be determined by the amount of principal payments which are dependent on a number of factors, including when the payments Reference Obligations are repaid. Obligations from amount Weighted Average Life. Weighted average life refers to the average amount of time that will elapse from Weighted the date of delivery of a security until each dollar of the principal of such security will be paid to the investor. The principal delivery weighted average lives of the Notes of each Class will be determined by the amount and frequency of principal or amount payments payments, which are dependent upon, among other things, the amount of payments received at or in advance of the default maturity, redemption, scheduled maturity of the Reference Obligations (whether through sale, maturity, redemption, prepayment, default Reference maturity of maturities or other liquidation or disposition). The actual weighted average lives and actual maturities of the Notes will be The obligors of Reference affected by the financial conditions of the obligors on or the issuers of the Reference Obligations or the obligors on obligors of the financial affected of and assets, the underlying assets, and the characteristics of such securities and assets, including the existence and frequency of securities characteristics assets, the level of interest exercise of any optional or mandatory redemption features, the prevailing level of interest rates, the redemption the or any exercise and the or penalties, price, prepayment rates, any lockout periods or -prepayment premiums or penalties, the actual default rate and the prepayment periods price, such or exchange of actual level of recoveries on any Defaulted Obligations, and the frequency of tender or exchange offers for such Obligations, of actual characteristics composition change Reference Obligations. Any disposition of a CDS Transaction will change the composition and characteristics of the disposition of a CDS Reference Reference Portfolio and Collateral Securities and the scheduled payments and payment characteristics thereon, and, Reference Portfolio and Collateral Securities and the payments payment and, of future defaults and the Notes. The lives accordingly, may affect the actual weighted average lives of the Notes. The rate of future defaults and the amount accordingly, may affect the actual weighted are determined be Reference Obligations of and timing of any cash realization from CDS Transactions the Reference Obligations of which are determined to be CDS any cash realization and average average lives of the Notes. The Credit Risk Obligations also will affect the maturity and weighted average lives of the Notes. The weighted average the will Risk Obligations redeemed. The weighted the Notes whether depending life of the Notes of each Class may also vary depending on whether or not the Notes are redeemed. The weighted life of the Notes of each Class 97 97 Confidential Treatment Requested by Goldman Sachs Requested by Goldman Sachs Confidential GS MBS-E-000912671 GS MBS-E-000912671 Footnote Exhibits - Page 5770 average lives of the Notes are ex-pected to be shorter, and may be substantially shorter, than the Stated Maturity of average lives of the Notes are expected to be shorter, and may be substantially shorter, than the Stated Maturity of the Notes. the Notes. The table set forth below indicates the percentage of the initial balance of each Class of Notes that would The table set forth below indicates the percentage of the initial balance of each Class of Notes that would be outstanding on each Payment Date assuming no prepayments or losses and the weighted average life of each outstanding on each Payment Date assuming no prepayments or losses and the weighted average life of each be Class of Notes and principal window of each Class based on the assumptions (the "Collateral Assumptions") set Class of Notes and principal window of each Class based on the assumptions (the "Collateral Assumptions") set forth below. The table set forth below is included only for illustrative purposes, and none of the Issuers, the forth below. The table set forth below is included only for illustrative purposes, and none of the Issuers, the Liquidation Agent, the Trustee or the Initial Purchaser makes any representation as to whether such assumptions will Liquidation Agent, the Trustee or the Initial Purchaser makes any representation as to whether such assumptions will be realized. be realized. i. ii. ii. Forward I-month LIBOR curve as of March 12, 2007 are assumed; Forward 1-month LIBOR curve as of March 12, 2007 are assumed; the Closing Date is March 20, 2007 and the first Payment Date is July 12, 2007 and the first the Closing Date is March 20, 2007 and the first Payment Date is July 12, 2007 and the first Quarterly Payment Date is July 12,2007; Quarterly Payment Date is July 12, 2007; of the proceeds of offering the Notes invested as of the Closing Date in all of the net proceeds of the offering of the Notes are invested as of the Closing Date in the Collateral Securities; Collateral Securities; the Coverage Tests are satisfied as of Date; the Coverage Tests are satisfied as of the Closing Date; expenses due clauses (i), (ii) (iii) the Priority Payments are paid on each Payment expenses due under clauses (i), (ii) and (iii) of the Priority of Payments are paid on each Payment Date and is to 0.06172% per annum Aggregate Outstanding Portfolio Amount. Date and is equal to 0.06172% per annum of the Aggregate Outstanding Portfolio Amount. the Liquidation Agent Fee 0.05% Aggregate Outstanding Amount; the Liquidation Agent Fee is 0.05% per annum of the Aggregate Outstanding Portfolio Amount; each CDS Transaction will pay monthly on the 25th day of the month in which such payment is CDS Transaction will pay monthly the 25th which payment receipts reinvested rate equal LIB OR due and receipts will be reinvested for 12 days at a rate equal to one-month LIBOR minus 0.25%; amounts Collateral paid accordance of amounts due on the Collateral Securities are fully paid out in accordance with the Priority of Payments 12th which received which Payments on the 12th day of the month in which they are received (each of which is assumed to be receipts one-month LIBOR a Business Day) and receipts will be reinvested for 12 days at a rate equal to one-month LIBOR . minus 0.25%; failure to pay interest to the Holders of the Class S Notes, the Class A Notes and the Class B Notes is not an Event of Default; all unpaid Class C Note and Class D Note interest is Deferred Interest; there are no dispositions of CDS Transactions; iii. iii. iv. v. vi. vii. viii. ix. x. x. xi. xii. xii. xiii. Notes; no rating change occurs on any Reference Obligation or the Notes; the the computation there is no Optional Redemption, Tax Redemption or Auction (except in the computation of the or is no DEC table and Sensitivity of Reference Obligation Principal Payments to CDR table below); DEC and Reference Obligation to to each are applied defaults are incurred at the constant annual default rates and are applied on each Payment Date to annual defaults are incurred at the of Reference of the outstanding Reference Obligation Notional' Amount of the Reference Portfolio as of such Obligation Notional outstanding 2008; and Payment Date commencing on the Payment Date in July 2008; and in commencing on the Payment Payment to stay fully funded at $200,000 on each Payment Date. the Expense Reserve Account is assumed to stay fully funded at $200,000 on each Payment Date. is the Expense x"V. xv. xvi. xvi. 98 98 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912672 GS MBS-E-000912672 Footnote Exhibits - Page 5771 Class A-la Class A-lb Class A-la Class A-lb Date Date Closing Date Closing Date July 12,2007 July 12, 2007 July 12, 2008 July 12, 2008 July 12,2009 July 12, 2009 July 12,2010 July 12, 2010 July 12,2011 July 12, 2011 July 12,2012 July 12, 2012 July 12,2013 July 12, 2013 July 12,2014 July 12, 2014 Expected Principal Expected Principal Window(l) Window(1) 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 76.6% 76.6% 31.0% 31.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 91.2% 91.2% 31.3% 31.3% 0.0% 0.0% 0.0% 0.0% June 12, June 12, 2011 2011 to December December 12,2012 12, 2012 5.0 years 5.0 years Class A-2 Class A-2 100.0% 100.0%. . Class B Class B 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 89.9% 89.9% 55.0% 55.0% 44.9% 44.9% 44.9% 44.9% 3.0% 3.0% 0.0% 0.0% January 12, January 12, 2009 to 2009 August 12, August 12, 2013 2013 4.3 years 4.3 years Class C Class C 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 80.0% 80.0% 43.3% 43.3% 35.4% 35.4% 35.4% 35.4% 35.4% 35.4% 0.0% 0.0% February February 12, 2009 to 12,2009 to December December 12, 2013 12,2013 4.1 years years Class D Class D 100.0% 100.0% 98.4% 98.4% 93.5% 93.5% 88.9% 88.9% 76.5% 76.5% .61.5% .61.5% 58.5% 58.5% 57.6% 57.6% 0.0% 0.0% July 12, July 12, 2007 to 2007 to April 12, April 12, 2014 2014 5.3 years 5.3 years 100.0% 100.0% 100.0% 100.0% 83.4% 83.4% 51.0% 51.0% 26.4% 26.4% 9.1% 9.1% 0.0% 0.0% 0.0% 0.0% 0.0% November November 12,2008 12, 2008 to June 12, June 12, 2011 2011 3.0 3.0 years November November 12, 2008 to 12,2008 to December December 12,2012 12, 2012 3.5 years Expected Weighted Expected Weighted Life(2) Average Life(2) (1) The "Expected Principal Window" principal payment the Class is (1) The "Expected Principal Window" for a Class of Notes is the period in which (a) the initial principal payment of the Class is expected to be made and (b) the final payment principal expected under Collateral (assuming expected to be made and (b) the final payment of principal of the Class is expected to be made under the Collateral Assumptions (assuming no defaults). defaults). (2) The "Expected Weighted Average Life" of each Class of Notes is determined by (i) multiplying the amount of each principal mUltiplying (2) The "Expected Weighted Average Life" from the date of defaults) by distribution on such Class that would result under the Collateral Assumptions (assuming no defaults) by the number of years from the date of Collateral distribution on such Class that dividing the sum (ii) determination to the related Payment Date (assuming 30 days in each month and a 360-day year), (ii) adding the results and (iii) dividing the sum Date (assuming 30 determination to the related by the aggregated principal distributions referred to in clause (i). (i). by the aggregated principal distributions referred "Expected Principal Window" and The following table shows the "Expected Weighted Average Life" and the "Expected Principal Window" the "Expected Weighted Average of each for each Class of Notes under various constant default rates. The "Expected Weighted Average Life" of each Class "Expected Weighted Average rates. constant for each Class of Notes under would result on such Class of Notes is determined by (i) multiplying the amount of each principal distribution on such Class that would result principal of amount of Notes is determined by (i) multiplying under the Collateral Assumptions by the number of years from the Closing Date to the related Payment Date years from the Closing Date to the related Payment Assumptions by the number under the Collateral sum by the (iii) dividing (assuming 30 days in each month and a 360-day year), (ii) adding the results and (iii) dividing the sum by the (ii) adding the results (assuming 30 days in each month and a 360-day for a Class of Notes is Window" for a Class of Notes is aggregated principal distributions referred to in clause (i). The "Expected Principal Window" aggregated principal distributions referred to in clause (i). The "Expected Principal when the fIrst and bist payments of principal are expected to be made under the Collateral Assumptions. The loss when the first and last payments of principal are expected to be made under the Collateral Assumptions. The loss severity is assumed to be 65%. severity is assumed to be 65%. 99 99 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912673 GS MBS-E-000912673 Footnote Exhibits - Page 5772 Sensitivity of Reference Obligation Principal Payments to CDR Sensitivity of Reference Obligation Principal Payments to CDR 0.0% CDR 0.0% CDR Exper year losses) in income (as ordinary income and long-term capitaI gain, respectively) each taxable year and prior year losses) in income (as ordinary income and long-term capital gain, respectively) for each taxable year and pay tax thereon even if income and gain distributed the U.S. Holder by In addition, pay tax thereon even if such income and gain is not distributed to the U.S. Holder by the Issuer. In addition, any U.S. Holder that makes may, losses of the Issuer will not be deductible by such U.S. Holder. A U.S. Holder that makes the QEF election, may, Issuer deductible by such U.S. general) defer the payment tax undistributed income such income distributed or however (in general) elect to defer the payment of tax on undistributed income (until such income is distributed or such deferred liability. For Income Note transferred), the Income Note is transferred), provided it agrees to pay interest on such deferred tax liability. For this purpose, a U. S. Holder uses an Income as security obligation treated transferred such Income U.S. Holder that uses an Income Note as security for an obligation may be treated as having transferred such Income If Issuer distributes tlle income on the U. S. Holder already taxes, amounts Note. If the Issuer later distributes the income or gain on which the U.S. Holder has already paid taxes, amounts so U.S. Holder's in Income U.S. distributed to the U.S. Holder will not be further taxable to the U.S. Holder. A U.S. Holder's tax basis in the Income the included U.S. income by amount of Notes will be increased by the amount included in such U.S. Holder's income and decreased by the amount of of nontaxable U.S. Election recognize, nontaxable distributions. In general, a U.S. Holder making the QEF Election will recognize, on the disposition of Income capital equal the difference, if any, between realized the Income Notes, capital gain or loss equal to the difference, if any, between the amount realized upon such redemption disposition (including redemption or retirement) and its adjusted tax basis in such Income Notes. Such gain or loss Income generally will be long term capital gain or loss if the U.S. Holder held the Income Note for more than one year at the U.S. preferential time of disposition. In certain circumstances, U.S. Holders tllat are individuals may be entitled to preferential that circumstances, riet term against treatment for net long term capital gains; however, the ability of U.S. Holders to offset capital losses against ordinary income is limited. In general, a QEF election should be made on or before the due date for filing a U.S. Holder's federal income tax return for tlle first taxable year for which it held an Income Note. the first taxable the The QEF election is effective only if certain required infomlation is made available by the Issuer to the information if effective IRS. The Issuer will undertake to comply with the IRS infomlation requirements necessary to be a QEF, which will information requirements The such absolute assurance can be permit U.S. holders to make the QEF election. Nonetheless, there can be no absolute assurance that such QEF election. Nonetheless, make infoffilation will always be available or presented. or always information Income it Where a QEF election is not timely made by a U.S. Holder for the year in which it acquired its Income for the U.S. made not to recognize avoided Notes, but is made for a later year, the excess distribution rules can be avoided by making an election to recognize Notes, but is made for a later year, the becomes the gain from a deemed sale of the Income Notes at the time when the QEF election becomes effective. time Income deemed sale of gain (and, if a whether it A U.S. Holder should consult its own tax advisors regarding whether it should make a QEF election (and, if own tax in a subsequent taxable year). it failed to make an initial election, whether it should make an election in a subsequent taxable year). an make an initial election, whether it should it failed with controlled foreign Status of the Issuer as a CFC. U.S. tax law also contains special provisions dealing with controlled foreign Status of the Issuer as a CFC. U.S. tax law also contains special provisions corporations ("CFC"). A U.S. holder (or any otller holder of an interest treated as voting equity in the foreign of an interest treated as voting equity in the foreign corporations ("CFC"). A U.S. holder (or any other holder corporation that would meet the definition of U.S. Holders but for the fact that such holder does not hold Income corporation that would meet the definition of U.S. Holders but for the fact that such holder does not hold Income Notes) that owns (directly or indirectly) at least 10 percent of tlle voting stock of a foreign corporation, the U.S. Notes) that owns (directly or indirectly) at least 10 percent of the voting stock of a foreign corporation, the U.S. Holder is considered a "U.S. Shareholder" with respect to the foreign corporation If U.S. Shareholders in the Holder is considered a "U.S. Shareholder" with respect to the foreign corporation. If U.S. Shareholders in the 108 108 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912682 GS MBS-E-000912682 Footnote Exhibits - Page 5781 aggregate own (directly or indirectly) more than 50% of the voting power or value of the stock of such corporation, aggregate own (directly or indirectly) more than 50% of the voting power or value of the stock of such corporation, the foreign corporation will be classified as a CFC. Complex attribution rules apply for purposes determining the foreign corporation will be classified as a CFC. Complex attribution rules apply for purposes of determining ownership of stock in a foreign corporation such as the Issuer. ownership of stock in a foreign corporation such as the Issuer. If the Issuer is classified a a U.S. Shareholder (and possibly U.S. Holder that a direct or If the Issuer is classified as a CFC, a U.S. Shareholder (and possibly any U.S. Holder that is a direct or indirect holder of grantor trust that is considered to a U.S. Shareholder) that is a shareholder of the Issuer as of indirect holder of a grantor trust that is considered to be a U.S. Shareholder) that is a shareholder of the Issuer as of end of the Issuer's taxable year generally would be subject current U.S. tax on the income of Issuer, the end of the Issuer's taxable year generally would be subject to current U.S. tax on the income of the Issuer, regardless cash distributions Earnings subject to tax generally as income of U.S. Holder regardless of cash distributions from the Issuer. Earnings subject to tax generally as income of the U.S. Holder taxed again when are distributed to the U.S. Holder. In addition, income that would generally will not generally will not be taxed again when they are distributed to the U.S. Holder. In addition, income that would sale of the CFC's stock by a U.S. Shareholder the otherwise characterized as capital gain and gain otherwise be characterized as capital gain and gain on the sale of the CFC's stock by a U.S. Shareholder (during the period corporation a thereafter five-year period) would be classified whole or in part as period that the corporation is a CFC and thereafter for a five-year period) would be classified in whole or in part as dividend income. dividend income. insurance, or other similar Certain income generated by a corporation conducting banking, Certain income generated by a corporation conducting a banking, financing, insurance, or other similar business would includible in a holder's income each holder of business would not be includible in a holder's income under the CFC rules. However, each holder of an Income Note will agree, acquisition Income the that Issuer engaged Note will agree, by its acquisition of the Income Notes, not to take the position that the Issuer is engaged in such a if rules apply, aU .S. Shareholder would generally subject on share of business. Accordingly, if the CFC rules apply, a U.S. Shareholder would generally be subject to tax on its share of all of the Issuer's income. Information Reporting. general, U.S. any Notes any Notes Information Reporting. In general, U.S. Holders that acquire any Income Notes (or any Class of Notes recharacterized as equity in the Issuer) for cash may be required to file an IRS Form 926 with the IRS and to supply equity the be the recharacterized certain additional information U.S. (directly immediately after certain additional information to the IRS if (i) such U.S. Holder owns (directly or indirectly) immediately after the related by (ii) aggregated transfer, at least 10% by vote or value of the Issuer or (ii) the transfer when aggregated with all related. transfers applicable regulations, U.S.$100,OOO. U.S. Holder required file under applicable regulations, exceeds U.S.$100,000. In the event a U.S. Holder that is required to fIle such form fIle tlle U.S. could subject a penalty U.S.$IOO,OOO (computed 10% fails to file such form, the U.S. Holder could be subject to a penalty of up to U.S.$100,000 (computed as 10% of the gross amount paid for the Income Notes) or more if the failure to file was due to intentional disregard of its tlle Income disregard 10% obligation). Other important information reporting requirements apply to persons that acquire 10% or more of a Other information reporting requirements foreign corporation's equity. corporation's Prospective investors should consult with their own tax advisors with respect to whether they are required consult with (Reportable Transaction to fIle IRS Form 8886 (Reportable Transaction Disclosure Statement). file Tax-Exempt Investors. Special considerations apply to pension plans and other investors ("Tax-Exempt Investors. ("UBTI"). Investors") that are subject to tax only on their "unrelated business taxable income" ("UBTf'). A Tax-Exempt UBTI Investor's income from an investment in tlle Issuer generally should not be treated as resulting in UBn under investment the current law, so long as such investor's acquisition of stock in the Issuer is not debt-financed, and such investor does not own more than 50% of the Issuer's equity (here, the Income Notes and any Class of Secured Notes (if any) that 50% is recharacterized as equity). recharacterized Issuer. Tax-Exempt Investors should consult their own tax advisors regarding an investment in the Issuer. of, sale, exchange Taxation of Non- u.s. Holders. Dividends on, and gain from the sale, exchange or redemption of, Income from U.S. Holders. Taxation of a tax federal Notes generally should not be subject to United States federal income tax in the hands of a Non-U.S. Holder that has Income no connection with the United States other than the holding of the Income Notes. connection with Cayman Islands Tax Considerations Islands of Islands The following discussion of certain Cayman Islands income tax consequences of an investment in the discussion discussion a general summary Notes is based on the advice of Maples and Calder as to Cayman Islands law. The discussion is a general summary the advice that the of present law, which is subject to prospective and retroactive change. It assumes that tlle Issuer will conduct its retroactive to present as is not affairs in accordance with assumptions made by, and representations made to, counsel. It is not intended as tax representations made to, counsel. made in tax consequences other than advice, does not consider any investor's particular circumstances, and does not consider tax consequences other than and does not consider any investor's advice, those arising under Cayman Islands law. Cayman Islands law. those 109 109 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912683 GS MBS-E-000912683 Footnote Exhibits - Page 5782 Under Cayman Islands Under existing Cayman Islands laws: (i) payments principal and interest respect of Notes not be subject payments of principal and interest in respect of the Notes will not be subject to taxation in the (i) Cayman Islands withholding be required on such payments any Holder and gains derived Cayman Islands and no withholding will be required on such payments to any Holder of a Note and gains derived sale Notes not subject Cayman Islands income corporation The from the sale of Notes will not be subject to Cayman Islands income or corporation tax. The Cayman Islands income, corporation capital gains and estate duty, inheritance tax currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax; and have (ii) issue of Notes themselves be No stamp duty is payable in respect of the issue of the Notes. The Notes themselves will be (ii) executed brought the Cayman An instrument of in respect stampable stampable if they are executed in or brought into the Cayman Islands. An instrument of transfer in respect of a Note executed brought Cayman is stampable if executed in or brought into the Cayman Islands. of Cayman'Islands as an exempted company has been incorporated under The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company and, as the Cayman Islands in such, applied and obtained undertaking Governor In Cabinet such, has applied for and obtained an undertaking from the Governor In Cabinet of the Cayman Islands in the . following form: THE TAX CONCESSIONS LAW THE TAX CONCESSIONS LAW (1999 REVISION) (1999 UNDERTAKING AS TAX CONCESSIONS UNDERTAKING AS TO TAX CONCESSIONS In accordance with Section 6 of the Tax Concessions Law (1999 Revision) the Governor in Cabinet accordance Section 6 of Concessions Law (1999 Governor Cabinet undertakes Anderson Mezzanine Funding 2007-1, "Company"): undertakes with Anderson Mezzanine Funding 2007-1, Ltd. (the "Company"): enacted tax (a) that no law which is hereafter enacted in the Islands imposing any tax to be levied on profits, appreciations Company operations.; income, gains or appreciations shall apply to the Company or its operations; and income, appreciations (b) in addition. that no tax to be levied on profits, income, gains or appreciations or which is in the addition, (b) inheritance payable nature of estate duty or inheritance tax shall be payable (i) (i) or on or in respect of the shares, debentures or other obligations of the Company; or obligations on or in respect 6(3) (ii) by way of the withholding in whole or in part of any relevant payment as defined in Section 6(3) relevant by way of the withholding (ii) Concessions (1999 of the Tax Concessions Law (1999 Revision). These concessions shall be for a period of twenty years from the 3rd day of October, 2006 ERISA CONSIDERATIONS CONSIDERATIONS The United States Employee Retirement Income Security Act of 1974, as amended ("ERISA"), imposes Retirement including entities certain requirements on "employee benefit plans" as defined in and subject to Title I of ERISA, including entities "employee such as collective investment funds and separate accounts whose underlying assets include the assets of such plans collective investment (collectively, "ERISA Plans"), and on those persons who are fiduciaries with respect to ERISA Plans. Investments (collectively, by ERISA Plans are subject to ERISA's general fiduciary requirements, including the requirement of investment including accordance investments prudence and diversification and the requirement that an ERISA Plan's investments be made in accordance with the requirement diversification documents governing such ERISA Plan. The prudence of a particular investment must be determined by the of responsible responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan's particular circumstances and all of discussed circumstances the facts and circumstances of the investment including, but not limited to, the matters discussed above under "Risk or Factors" and the fact that in the future there may be no market in which such fiduciary will be able to sell or otherwise dispose of the Notes: Notes. the Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an Section ERISA Plan (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the Code, (as that subject "Plans")) such as individual retirement accounts (together with ERISA Plans, "Plans">> and certain persons (referred to as individual "disqualified (collectively, "Parties Interest")) "parties in interest" under ERISA or "disqualified persons" under the Code (collectively, "Parties in Interest">> applicable having certain relationships to such Plans, unless a statutory, regulatory or administrative exemption is applicable to statutory, certain 110 110 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by GS MBS-E-000912684 GS MBS-E-000912684 Footnote Exhibits - Page 5783 the transaction. Party in Interest who engages in prohibited transaction may be subject to excise taxes and other the transaction. A Party in Interest who engages in a prohibited transaction may be subject to excise taxes and other . penalties and liabilities under ERISA and Section 4975 of the penalties and liabilities under ERISA and Section 4975 of the Code. The United States Department of Labor ("DOL") has promulgated a regulation, 29 C.F.R. Section 2510.3The United States Department of Labor ("DOL") has promulgated a regulation, 29 C.F.R. Section 2510.3101 (the "Plan Asset Regulation"), as modified by Section 3(42) of ERISA, describing what constitutes the assets of (the "Plan Asset Regulation"), modified by Section 3(42) of ERISA, describing what constitutes the assets of 101 Plan Assets") respect the Plan's investment in an entity purposes applying ERISA and Section a Plan ("Plan Assets") with respect to the Plan's investment in an entity for purposes of applying ERISA and Section Under the Plan Asset Regulation, if a Plan invests in an "equity interest" of entity that is 4975 4975 of the Code. Under the Plan Asset Regulation, if a Plan invests in an "equity interest" of an entity that is neither "publicly offered security" nor a security issued by an investment company registered under the Investment neither a "publicly offered security" nor a security issued by an investment company registered under the Investment entity's Company the Plan's include both the equity interest and an undivided interest in each Company Act, the Plan's assets include both the equity interest and an undivided interest in each of the entity's underlying unless it is established that the entity an "operating company" or that equity participation in underlying assets, unless it is established that the entity is an "operating company" or that equity participation in the . entity by Benefit Plan Investors not "significant." entity by Benefit Plan Investors is not "significant." . Prohibited transactions may arise Section 406 of ERISA Section 4975 of the Code if Prohibited transactions may arise under Section 406 of ERISA or Section 4975 of the Code if Notes are acquired with Assets respect to which Liquidation Trustee, acquired with Plan Assets with respect to which the Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee, Fiscal or of respective affiliates, is Party Certain exemptions the prohibited the Fiscal Agent or any of their respective affiliates, is a Party in Interest. Certain exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, however, Section ERISA and Section be transaction provisions Plan making decision acquire Security circumstances depending in part on the type of Plan fiduciary making the decision to acquire a Security and the circumstances part Included among these exemptions are: DOL Prohibited Transaction which such decision under which such decision is made. Included among these exemptions are: DOL Prohibited Transaction Class Exemption ("PTCE") 96-23, regarding transactions effected by "in-house asset managers"; PTCE 95-60, regarding 96-23, regarding transactions effected "in-house asset managers"; 95-60, regarding Exemption investments insurance company general accounts; 91-38, regarding investments by bank collective investments by insurance company general accounts; PTCE 91-38, regarding investments by bank collective investment 90-1, regarding investments by insurance separate and investment funds; PTCE 90-1, regarding investments by insurance company pooled separate accounts; and PTCE 84-14, regarding transactions effected "qualified managers;" service provider 84-14, regarding transactions effected by "qualified professional asset managers;" and the service provider "Service Provider exemption Section 408(b)(l7) new 4975(d)(20) exemption under new Section 408(b)(17) of ERISA and new Section 4975(d)(20) of the Code (the "Service Provider Exemption"). There can be no assurance that any class or other exemption will be available with respect to any There other exemption be available respect assurance Exemption"). prohibited would cover particular involving particular transaction involving the Notes, or that, if available, the exemption would cover all possible prohibited transactions. transactions. Governmental plans and certain church and other plans, while not necessarily subject to the fiduciary church Governmental responsibility provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless be subject to provisions state or other federal laws that are substantially similar to the foregoing provisions of ERISA and the Code. similar purchasing Fiduciaries of any such plans should consult with their counsel before pw:chasing any Notes. counsel insurance Any insurance company proposing to invest assets of its general account in the Notes should consider the requirements extent to which such investment would be subject to the requirements of ERISA in light of the U.S. Supreme U.S. (1993), Bank, InsuranceCo. HarrisTrust and John Hancock Court's decision in John Hancock Mutual Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993), insurance company and the enactment of Section 401(c) of ERISA. In particular, such an insurance company should consider the enactment retroactive retroactive and prospective exemptive relief granted by the DOL for transactions involving insurance company general accounts in PTCE 95-60 and the regulations issued by the DOL, 29 C.F.R. Section 2550.401c-1 (January 5, 5, 2550.401c-i 2000). Certain additional infonnation regarding general accounts is set forth below. information consult purchase Any Plan fiducial)' or other person who proposes to use Plan Assets to purchase any Notes should consult fiduciary or of prohibited with its counsel regarding the applicability of the fiduciary responsibility and prolubited transaction provisions of confirm investment, ERISA and Section 4975 of the Code to such an investment, and to confinn that such investment will not constitute Code of of or result in a non-exempt prohibited transaction or any other violation of an applicable requirement of ERISA. violation of applicable transaction or or Security, is of The sale of any Security to a Plan, or to a person using Plan Assets to effect its purchase of any Security, is Plan, to a person The the the in no respect a representation by the Issuers, the Initial Purchaser, the Liquidation Agent, the Trustee or the Fiscal Issuers, the no Agent that such an investment meets all relevant legal requirements with respect to investments by Plans generally all relevant an investment Plan. or or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan. for or that such investment is C Notes and Class Notes . Class S Notes, Class A Notes, Class B Notes, Class C Notes and Class D Notes Class Notes, S Notes, other than an in an interest includes For purposes of the Plan Asset Regulation, an equity interest includes any interest in an entity other than an Asset Regulation, an purposes of which instrument that is treated as indebtedness under applicable local law and which has no substantial equity features. applicable local that is treated Because the Secured Notes (a) are expected to be treated as indebtedness under local law and for federal tax are expected to be treated as indebtedness under local law and for federal tax Notes the deemed to have any "substantial equity purposes (see "Income Tax Considerations" herein), and (b) should not be deemed to have any "substantial equity and (b) should not "Income Tax 111 III Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912685 GS MBS-E-000912685 Footnote Exhibits - Page 5784 features," purchases of the Secured Notes with Plan Assets should not be treated as equity investments and, features," purchases of the Secured Notes with Plan Assets should not be treated as equity investments and, therefore, the Pledged Assets should not be deemed to be Plan Assets of the investing Plans. Those conclusions are therefore, the Pledged Assets should not be deemed to be Plan Assets of the investing Plans. Those conclusions are based, in part., upon the traditional debt features of the Secured Notes, including the reasonable expectation of based, in part, upon the traditional debt features of the Secured Notes, including the reasonable expectation of purchasers of the Secured Notes that the Secured Notes will be repaid when due, as well as the absence of purchasers of the Secured Notes that the Secured Notes will be repaid when due, as well as the absence of conversion rights, warrants and other typical equity features. However, if the Secured Notes were nevertheless conversion rights, warrants and other typical equity features. However, if the Secured Notes were nevertheless treated as equity interests for purposes of the Plan Asset Regulation and if the assets of the Issuers were deemed to treated as equity interests for purposes of the Plan Asset Regulation and if the assets of the Issuers were deemed to constitute Plan Assets of an investing Plan, (i) transactions involving the assets of the Issuers could be subject to the constitute Plan Assets of an investing Plan, (i) transactions involving the assets of the Issuers could be subject to the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets of the Issuers could be subject to ERISA's reporting and disclosure requirements, and (iii) the fiduciary causing the of the Issuers could be subject to ERISA's reporting and disclosure requirements, and (iii) the fiduciary causing the Plan to make an investment in the Notes could be deemed to have delegated its responsibility to manage Plan Plan to make an investment in the Notes could be deemed to have delegated its responsibility to manage Plan Assets. Assets. By its purchase of any Class Note, Class A Note, Class B Note, Class Note or Class D Note, the By its purchase of any Class S Note, Class A Note, Class B Note, Class C Note or Class D Note, the purchaser thereof will be deemed to have represented and warranted either that (i) it is not and will not be a Plan or thereof will be deemed to have represented arid warranted either that (i) it not and will not be a Plan or purchaser an entity whose underlying assets include Plan Assets by reason of any Plan's investment in the entity, or an an entity whose underlying assets include Plan Assets by reason of any Plan's investment in the entity, or an employee benefit plan which is subject to any federal, state, local or foreign law ("Similar Law") that is substantially employee benefit plan which is subject to any federal, state, local or foreign law ('Similar Law") that is substantially similar the provisions of Section 406 of ERISA Section 4975 of the Code; or (ii) purchase and holding of similar to the provisions of Section 406 of ERISA or Section 4975 of the Code; or (ii) its purchase and holding of a .Class S Note, Class A Note, Class B Note, Class C Note or Class D Note are eligible for the exemptive relief Class Note, Class A Note, Class B Note, Class C Note Class D Note eligible for the exemptive relief similar exemption available under 84-14, 90-1, 91-38, 95-60, 96-23, Service Provider Exemption, available under PTCE 84-14, 90-1, 91-38, 95-60, 96-23, the Service Provider Exemption, or a similar exemption or, constitute result prohibited trnnsaction under the case of plan subject Similar Law, do not in the case of a plan subject to Similar Law, do not and will not constitute or result in a prohibited transaction under Similar Law for which exemption not Similar Law for which an exemption is not available. Income Income Notes Equity participation in an entity by Benefit Plan Investors is "significant" under the Plan Asset Regulation participation Benefit Investors "significant" under Regulation more the equity interest by Benefit above) 25% (see above) if 25% or more of the total value of any class of equity interest in the entity is held by Benefit Plan Investors. If equity participation in either Issuer by Benefit Plan Investors is "significant," the assets of such Issuer participation Issuer Investors "significant," such Issuer deemed t6 equity. were deemed could be deemed to be Plan Assets of Plans investing in the equity. If the assets of either Issuer were deemed to constitute Plan Assets of an investing Plan, (i) trnnsactions involving the assets of such Issuer could be subject to the Plan (i) transactions 4975 responsibility prohibited transaction provisions ERISA fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets of the Issuer could be subject to ERISA's reporting and disclosure requirements, and (iii) the fiduciary causing the Plan to make an equity investment in the Issuer could be deemed to have delegated its responsibility to manage Plan equity investment responsibility Assets. The term "Benefit Plan Investor" includes (i) an employee benefit plan as defined in and subject to the Investor" includes employee "Benefit described 4975(e)(l) tlle provisions I provisions of Title I of ERISA, (ii) a plan as described in and subject to Section 4975(e)(1) of the Code and (iii) any plan's entity whose underlying assets include Plan Assets by reason of ariy such employee benefit plan's or plan's any entity investment in the entity. For purposes of making the 25% determination, the value of any equity interests in the purposes to Issuer held by a person (other than a Benefit Plan Investor) who has discretionary authority or control with respect to discretionary the assets of the Issuer, any person who provides investment advice for a fee (direct or indirect) with respect to such investment Issuer, the are assets, or any affiliate of such a person (any of the foregoing, a "Controlling Person"), are disregarded. Under the foregoing, "Controlling any directly Plan Asset Regulation, an "affiliate" of a person includes any person, directly or indirectly through one or more a "affiliate" "control" intermediaries, controlling, controlled by or under common control with the person, and "control" with respect to a intermediaries, controlling person, other than an individual, means the power to exercise a controlling influence over the management or to an individual, means significant, then the Benefit Plan policies of such person If the equity participation in an entity by Benefit Plan Investors is significant, then the an person. If the equity of entity. interest of entity's assets will be deemed to constitute Plan Assets to the extent of such investor's interest in the entity. Assets to will entity's of the of applying ERISA and Section The Income Notes will be equity interests for purposes of applying ERISA and Section 4975 of the Code. for equity Notes will The value 25% of Accordingly, purchases and transfers of Income Notes will be limited, so that less than 25% of the total value of all will be limited, so that less transfers Accordingly, transferee of an requiring each the Income Notes will be held by Benefit Plan Investors, by requiring each purchaser or transferee of an Income Investors, Benefit held Notes the Income Note, be Note (other than a Regulation S Income Note) to make (or, in the case of a Regulation S Income Note, to be deemed to make (or, in the case of Regulation S Note (other than a Regulation S Income under "Notice to to have made) certain representations and agree to additional transfer restrictions described under "Notice to made) certain representations and agree to additional transfer restrictions to that has represented that it a Investors." No purchase of an Income Note by, or proposed transfer to, a person that has represented that it is a transfer to, a by, or proposed Income No purchase Benefit Plan Investor or a Controlling Person will be permitted to the extent that such purchase or trnnsfer would be permitted to the extent that such purchase or transfer would Person or a Benefit Plan or more of the total value of result in persons that have represented that they are Benefit Plan Investors owning 25% or more of the total value of are Benefit Plan represented that result in persons that the outstanding Income Notes immediately after such purchase or proposed trnnsfer (determined in accordance with the outstanding Income Notes immediately after such purchase or proposed transfer (determined in accordance with the Plan Asset Regulation and the Fiscal Agency Agreement), based upon the representations made by investors. In the Plan Asset Regulation and the Fiscal Agency Agreement), based upon the representations made by investors. In addition, the Initial Purchaser, the Liquidation Agent, the Trustee and the Fiscal Agent agree that neitller tlley nor addition, the Initial Purchaser, the Liquidation Agent, the Trustee and the Fiscal Agent agree that neither they nor 112 112 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912686 GS MBS-E-000912686 Footnote Exhibits - Page 5785 any of their respective affiliates will acquire any Income Notes unless such acquisition would not, determined by any of their respective affiliates will acquire any Income Notes unless such acquisition would not, as determined by the Trustee or the Fiscal Agent, result in persons that have acquired Income Notes and represented that they are the Trustee or the Fiscal Agent, result in persons that have acquired Income Notes and represented that they are Benefit Plan Investors owning 25% or more of the total value of the outstanding Income Notes immediately after Benefit Plan Investors owning 25% or more of the total value of the outstanding Income Notes immediately after . such acquisition by the Initial Purchaser, the Liquidation Agent, the Trustee or the Fiscal Agent. Income Notes held such acquisition by the Initial Purchaser, the Liquidation Agent, the Trustee or the Fiscal Income Notes held as principal by the Initial the Liquidation Agent, the Trustee, Fiscal Agent, any their respective as principal by the Initial Purchaser, the Liquidation Agent, the Trustee, the Fiscal Agent, any of their respective affiliates persons that have represented are Controlling Persons will be disregarded and will not be affiliates and persons that have represented that they are Controlling Persons will be disregarded and will not be treated outstanding purposes of determining compliance with the 25% limitation the extent that such treated as outstanding for purposes of determining compliance with the 25% limitation to the extent that such a Controlling Person is not a Benefit Plan Any Benefit Plan Investor acquires Income Notes (other than Controlling Person is not a Benefit Plan Investor. Any Benefit Plan Investor that acquires Income Notes (other than the Regulation Income Notes) be required represent and agree (or, in the case of the Regulation S Income the Regulation S Income Notes) will be required to represent and agree (or, in the case of the Regulation S Income Notes, will be deemed have represented agreed) that the acquisition and holding the Income Notes will not Notes, will be deemed to have represented and agreed) that the acquisition and holding of the Income Notes will not constitute prolubited transaction under Section 4975 Code, which exemption not constitute a prohibited transaction under ERISA or Section 4975 of the Code, for which an exemption is not available. If any purchaser transferee of Income employee benefit plan subject Similar Law, such available. If any purchaser or transferee of Income Notes is an employee benefit plan subject to Similar Law, such purchaser or transferee be deemed represented and warranted that its purchase and holding of the purchaser or transferee will be deemed to have represented and warranted that its purchase and holding of the Notes not constitute result a violation any which exemption Income Notes will not constitute or result in a violation of any Similar Law for which an exemption is not available. Any entity using Plan Assets to purchase Notes, including an insurance company using general account entity Plan to purchase Notes, including insurance company general account assets, may be asked (i) to identify the maximum percentage of the assets of such entity or general account that may asked maximum percentage the assets entity general account be Plan whether "Controlling Person" (defmed above), (iii) without limiting be or become Plan Assets, (ii) whether it is a "Controlling Person" (defined above), and (iii) without limiting the remedies may available event the maximum percentage is thereafter exceeded, agree remedies that may be available in the event that the maximum percentage is thereafter exceeded, to agree to notify dispose of certain Notes instructed by specified maximum percentage the Issuer, and dispose of certain Notes as instructed by the Issuer, before the specified maximum percentage is exceeded. CERTAIN INVESTMENT CONSIDERATIONS CERTAIN LEGAL INVESTMENT CONSIDERATIONS Institutions activities are Institutions whose investment activities are subject to legal investment laws and regulations or to review by investments certain regulatory authorities subject restrictions Secured Income certain regulatOly authorities may be subject to restrictions on investments in the Secured Notes and the Income consult advisors determining Notes. Any such institution should consult its legal advisors in determining whether and to what extent there may be restrictions on its ability to invest in the Secured Notes and the Income Notes. Without limiting the foregoing, restrictions Income Secured jurisdiction Currency, Governors of any financial institution that is subject to the jurisdiction of the Comptroller of Currency, the Board of Governors of Federal Federal Deposit Insurance the Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of Thrift Supervision, the National Credit agencies National Credit Union Administration, any state insurance commission, or any other federal or state agencies with Secured similar authority should review any applicable rules, guidelines and regulations prior to purchasing the Secured review applicable purchasing guidelines Notes or the Income Notes. Depository institutions should review and consider the applicability of the Federal been Financial Examination Financial Institutions Examination Council Supervisory Policy Statement on Securities Activities, which has been adopted by the respective federal regulators. characterization None of the Issuers or the Initial Purchaser make any representation as to the proper characterization of the representation Secured particular Secured Notes or Income Notes for legal investment or other purposes, or as to the ability of particular investors to ability particular as or purchase the Secured Notes or Income Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Secured Notes or Income Notes under applicable investment restrictions. The Issuers under understand that certain state insurance regulators, in response to a request for guidance, may be considering the that certain collateralized characterization (as U.S. domestic or foreign (non-U.S.>> of certain collateralized debt obligation securities co-issued (non-U.S.)) characterization (as guidance other action of as no by a non-U.S. issuer and a U.S. co-issuer. There can be no assurance as to the nature of any guidance or other action U.S. co-issuer. future any uncertainties described that may result from such consideration. The uncertainties descnbed above (and any unfavorable future from characteristics determinations concerning legal investment or financial institution regulatory characteristics of the Secured Notes or investment Accorlingly, all Income Notes) may affect the liquidity of the Secured Notes or Income Notes. Accordingly, all institutions whose the liquidity Notes) capital requirements activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulations, investment are subject the and determining regulatory authorities should consult their own legal advisors in determining whether and to what extent the Secured should regulatory or other Notes or Income Notes are subject to investment, capital or other restrictions. are subject investment, MATTERS LEGAL MATTERS Austin by the Issuer and Certain legal matters will be passed upon for the Issuer and the Initial Purchaser by Sidley Austin LLP. passed upon Certain legal Maples the will passed Certain matters with respect to Cayman Islands law will be passed upon for the Issuer by Maples and Calder, Grand with respect to Cayman Islands Certain Cayman, Cayman Islands. Cayman, 113 113 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912687 GS MBS-E-000912687 Footnote Exhibits - Page 5786 UN~DERWRITING UNDERWRITING The Offered Notes will be offered by Goldman, Sachs & Co. (the "Initial Purchaser"), from time to time at The Offered Notes will be offered by Goldman, Sachs & Co. (the "Initial Purchaser"), from time to time at val)'ing prices in negotiated transactions subject to prior sale, when, as and if issued. Subject to the terms and varying prices in negotiated transactions subject to prior sale, when, as and if issued. Subject to the terms and conditions set forth in the Purchase Agreement (the "Purchase Agreement") dated as of March 12, 2007 among conditions set forth in the Purchase Agreement (the "Purchase Agreement") dated as of March 12, 2007 among Goldman, Sachs & Co. and the Issuers, the Issuers have agreed to sell to Goldman, Sachs & Co. and Goldman, Goldman, Sachs & Co. and the Issuers, the Issuers have agreed to sell to Goldman, Sachs & Co. and Goldman, Sachs & Co. has agreed to purchase all of the Secured Notes and the Income Notes. Sachs & Co. has agreed to purchase all of the Secured Notes and the Income Notes. Under the terms and conditions of the Purchase Agreement, the Initial Purchaser is committed to take and Under the terms and conditions of the Purchase Agreement, the Initial Purchaser is committed to take and pay for all the Offered Notes to be offered by if any are taken. Furthermore, under the terms and conditions of pay for all the Offered Notes to be offered by it, if any are taken. Furthermore, under the terms and conditions of the Purchase Agreement, the Initial Purchaser will be entitled to an underwriting discount on the Offered Notes Purchase Agreement, the Initial Purchaser will be entitled to an underwriting discount on the Offered Notes purchased by it and a fIxed structuring fee based upon the aggregate principal anlount of the Notes. purchased by it and a fixed structuring fee based upon the aggregate principal amount of the Notes. The Offered Notes purchased from the Issuers by the Initial Purchaser will be offered by it time to The Offered Notes purchased from the Issuers by the Initial Purchaser will be offered by it from time to time for sale in negotiated transactions or otherwise at varying prices to be determined at the time of sale plus for sale in negotiated transactions or otherwise val)'ing prices to be detennined at the time of sale plus time accrued interest, if any, from the Closing Date. accrued interest, if any, from the Closing Date. The Notes have not been and will not registered under the Securities for offer or sale part of their The Notes have not been and will not be registered under the Securities Act for offer or sale as part of their distribution and may not be offered or sold within the United States or to, or for the account or benefit of, a U.S. account benefIt of, U.S. distribution and may not be offered or sold within the United States or to, or for Person or U.S. resident determined purposes of the Investment Company "U.S. Resident") except Person or a U.S. resident (as determined for purposes of the Investment Company Act, a "U.S. Resident") except in not subject to, the registration requirements the Securities certain transactions exempt certain transactions exempt from, or not subject to, the registration requirements of the Securities Act. Purchaser proposes to resell Offered Notes The Issuers have been The Issuers have been advised by (a) the Initial Purchaser that it proposes to resell the Offered Notes (a) offshore transactions in outside the United Sachs & Co., tllTOugh outside the United States (in part, by Goldman, Sachs & Co., through its selling agent) in offshore transactions in reliance on Regulation accordance applicable the United to Qualified reliance on Regulation S and in accordance with applicable law and (b) in the United States only to (1) Qualified reliance 144A purchasing tlleir own accounts accounts QualifIed Institutional Buyers Institutional Buyers in reliance on Rule 144A purchasing for their own accounts or for the accounts of Qualified Institutional Buyers or (2) in the case of the Income Notes only, Accredited Investors, which have a net worth of not have not Accredited (2) Institutional U.S.$l0 which purchasers QualifIed Initial Purchaser's less than U.S.$10 million, each of which purchasers or accounts is a Qualified Purchaser. The Initial Purchaser's discount same Regulation hereby 144A discount will be the same for the Regulation S Notes and the Rule 144A Notes offered hereby and for the Income Notes within each Notes within each Class of Notes. The Initial Purchaser has acknowledged and agreed that it will not offer, sell or deliver any Regulation S deliver acknowledged Notes purchased by it to, or for the account or benefit of, any U.S. Person or U.S. Resident (as determined for benefIt of, U.S. U.S. determined Notes each purposes of the Investment Company Act) as part of its distribution at any time and that it will send to each purposes S distributor, dealer or person receiving a selling concession, fee or otller remuneration to which it sells Regulation S other distributor, prohibition Notes purchased by it a confIrmation or other notice setting forth the prolubition on offers and sales of the confirmation Notes benefit U.S. Resident. Regulation S Notes within the United States or to, or for the account or benefIt of, any U.S. Person or U.S. Resident expiration S, With respect to the Notes initially sold pursuant to Regulation S, until the expiration of (x) forty (40) days initially & Secured after the commencement of the distribution of the offering of the Secured Notes by Goldman, Sachs & Co., with commencement of commencement respect to offers or sales of the Secured Notes and (y) one year after the commencement of the distribution of the Purchaser, by the Income Notes, with respect to offers or sales of the Income Notes purchased by the Initial Purchaser, an offer or sale the Income offers or Income offering of Notes within the United States by a dealer that is not participating in the offering may violate the registration in not dealer of Notes within Rule 144A accordance requirements of the Securities Act if such offer or sale is made otherwise than in accordance with Rule 144A or otherwise or such Securities requirements pursuant to another exemption from registration under the Securities Act. Securities exemption from registration pursuant it has only communicated or caused to The Initial Purchaser has represented, warranted and agreed that: (i) it has only communicated or caused to agreed that: has represented, Initial inducement to engage be communicated and will only communicate or cause to be communicated any invitation or inducement to engage or cause be communicated any be communicated and will only in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000 (as the Financial Services investment activity (within the meaning of section 21 amended) ("FSMA") to persons who have professional experience in matters relating to investments falling within professional experience in matters relating to investments falling ("FSMA") to persons Article 19(5) of the FSMA (Financial Promotion) Order 2005 or in.circumstances in which section 21 of the FSMA 19(5) the FSMA (Financial Promotion) Order 2005 or in.circumstances which section 21 of the FSMA does not apply to the Issuer; and (ii) it has complied and will comply with all applicable provisions of tlle FSMA (ii) it has complied and Will comply with all applicable provisions of the FSMA not apply to the Issuer, Witll respect to anything done by it in relation to the Notes in, from or otherwise involving the United Kingdom. with respect to anything done by it in relation to the Notes in, from or otherwise involving the United Kingdom. 114 114 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912688 GS MBS-E-000912688 Footnote Exhibits - Page 5787 The Notes may not be offered or sold by means of any document other than to persons whose ordinaIy The Notes may not be offered or sold by means of any document other than to persons whose ordinary business is to buy or sell shares or debentures, whether as principal? or or in circumstances which do not business is to buy or sell shares or debentures, whether as principal or agent, or in circumstances which do not constitute an offer to the public within the meaning of the Companies Ordinance (Cap. 32) of Hong Kong, and no constitute an offer to the public within the meaning of the Companies Ordinance (Cap. 32) of Hong Kong, and no advertisement, invitation or document relating to the Notes may be issued, whether in Hong Kong or elsewhere, advertisement, invitation or document relating to the Notes may be issued, whether in Hong Kong or elsewhere, to be accessed or read by, public in Hong (except if which directed at, or the contents which are which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if pennitted to do so under the securities laws of Hong Kong) other than with respect to Notes which are or are to do under the securities laws of Hong Kong) other than with respect to Notes which are are permitted disposed of only persons outside Hong Kong or only "professional investors" within intended to intended to be disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of the Securities Futures Ordinance 571) of Hong Kong any rules made meaning of the Securities and Futures Ordinance (Cap. 571) of Hong Kong and any rules made thereunder. This Offering not been registered prospectus with Monetary Authority of Singapore. This Offering Circular has not been registered as a prospectus with the Monetary Authority of Singapore. material connection with offer sale, or Accordingly, Offering Circular and any other document Accordingly, this Offering Circular and any other document or material in connection with the offer or sale, or invitation subscription or purchase, of Notes may be circulated or distributed, may Notes be invitation or subscription or purchase, of the Notes may not be circulated or distributed, nor may the Notes be offered be made the subject of invitation subscription purchase, whether or indirectly, to offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons Singapore than institutional investor under Section the Securities and Futures persons in Singapore other than (i) to an institutional investor under Section 274 of the Securities and Futures Act, "SFA"), relevant person pursuant 275(lA), and in Chapter 289 of Singapore Chapter 289 of Singapore (the "SFA"), (ii) to a relevant person, or any person pursuant to Section 275(lA), and in accordance the conditions, specified in Section 275 of SFA otherwise accordance accordance with the conditions, specified in Section 275 of the SFA or (iii) otherwise pursuant to, and in accordance with tlle conditions other applicable SFA. with the conditions of, any other applicable provision of the SFA. . Where the Notes are subscribed or purchased under Section 275 by a relevant person which is: (a) a Where tlle Notes subscribed purchased under Section 275 by person corporation (which is not an accredited investor) the sole business of which is to hold investments and the entire not accredited business hold investments corporation individuals, whom an accredited investor; a trust share capital of which is owned by one or more individuals, each of whom is an accredited investor; or (b) a trust capital which owned accredited each beneficiary (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is an corporation accredited investor, shares, debentures and units of shares and debentures of that corporation or the beneficiaries' shares debentures beneficiaries' accredited trust months corporation acquired transferable rights and interest in that trust shall not be transferable for 6 months after that corporation or that trust has acquired under except: institutional under SFA relevant the Notes under Section 275 except: (1) to an institutional investor under Section 274 of the SFA or to a relevant 275(lA), accordance with specified person, or any person pursuant to Section 275(1A), and in accordance with the conditions, specified in Section 275 of the SF A; (2) where no consideration is given for the transfer, or (3) by operation of law. transfer; (3) operation consideration SFA; (2) The Notes have not been and will not be registered under the Securities and Exchange Law of Japan (the or Securities and Exchange Law) and the Initial Purchaser has agreed that it will not offer or sell any Notes, directly or Exchange person indirectly, in Japan or to, or for the benefit of, any resident of Japan (which term as used herein means any person of, resident in Japan, including any corporation or other entity organized under the laws of Japan), or to others for reincluding organized under offering or resale, directly or indirectly, in Japan or to a resident of Japan, except pursuant to an exemption from the indirectly, registration requirements of, and otherwise in compliance with. the Securities and Exchange Law and any other otherwise compliance with, of, applicable laws, regulations and ministerial guidelines of Japan. ministerial the Prospectus Economic In relation to each Member State of the European Economic Area which has implemented tlle Prospectus Directive (each, a "Relevant Member State"), the lnitialPurchaser has represented and agreed that with effect from Initial Purchaser implemented and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the on make "Relevant Implementation Date") it has not made and will not make an offer of Notes to the public in that Relevant Member State prior to the publication of a prospectus in relation to the Notes which has been approved by the a Member appropriate, competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State accordance State and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus State offer of the Directive, except that it may, with effect from and including ilie Relevant Implementation Date, make an offer of effect from and may, Notes to the public in tlmt Relevant Member State at any time: State any time: that the or, if not so the (a) to legal entities which are authorized or regulated to operate in the financial markets or, if not so or regulated are entities (a) authorized or regulated, whose corporate purpose is solely to invest in securities; corporate purpose solely authorized employees during of at (1) has two (b) to any legal entity which has two or more of (1) an average of at least 250 employees during the entity any (b) more than net turnover (3) last financial year; (2) a total balance sheet of more than EUR43,000,OOO and (3) an annual net turnover of more than C43,000,000 balance sheet last financial year, (2) EUR50,OOO,OOO, as shown in its last annual or consolidated accounts; or or consolidated ?50,000,000, as shown in its last a prospectus (c) in any other circumstances which do not require the publication by the Issuer of a prospectus by the Issuer circumstances which do in any (c) pursuant to Article 3 of the Prospectus Directive. pursuant to Article 3 of the Prospectus Directive. 115 115 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912689 GS MBS-E-000912689 Footnote Exhibits - Page 5788 For the purposes of this provision, the expression an "offer of Notes to the public" in relation to any Notes For the purposes of this provision, the expression an "offer of Notes to the public" in relation to any Notes in any Relevant Member State means the communication in any fon and by any means of sufficient information on any Relevant Member State means the communication in any form and by any means of sufficient information on in the terms of the offer and the Notes to be offered so as to enable an investor to decide to purchase or subscribe the the terms of the offer and the Notes to be offered so as to enable an investor to decide to purchase or subscribe the Notes, as the same may be varied in that Relevant Member State by any measure implementing the Prospectus Notes, as the same may be varied in that Relevant Member State by any measure implementing the Prospectus Directive in that Relevant Member State and the expression Prospectus Directive means Directive 2003171/EC and Directive in that Relevant Member State and the expression Prospectus Directive means Directive 2003/7 1/EC and includes any relevant implementing measure in each Relevant Member State. includes any relevant implementing measure in each Relevant Member State. The Initial Purchaser has agreed that it has not made and will not make any invitation to the public in the The Initial Purchaser has agreed that it has not made and will not make any invitation to the public in the Cayman Islands to purchase any of the Offered Notes.' Cayman Islands to purchase any of the Offered Notes. Buyers of Regulation S Securities sold by the selling agent of Goldman, Sachs & Co. may be required to Buyers of Regulation S Securities sold by the selling agent of Goldman, Sachs & Co. may be required to pay stamp taxes and other charges in accordance with the laws and practice of the country of purchase in addition to pay stamp taxes and other charges in accordance with the laws and practice of the country of purchase in addition to .the purchase price. . the purchase price. No action has been will be taken in any jurisdiction that would permit a public offering of the Notes, or No action has been or will be taken in any jurisdiction that would permit a public offering of the Notes, or the possession, circulation or distribution of this Offering Circular any other material relating to the Issuers or the possession, circulation or distribution of this Offering Circular or any other material relating to the Issuers or the Notes, in any jurisdiction where action such purpose Accordingly, the Notes be offered or Notes, in any jurisdiction where action for such purpose is required. Accordingly, the Notes may not be offered or sold, directly or indirectly, and neither this Offering Circular nor any other offering material or advertisements in directly indirectly, and neither this Offering Circular any other offering material or advertisements in connection with the Notes may be distributed or in or from any country jurisdiction except under connection with the Notes may be distributed or published, in or from any country or jurisdiction except under circumstances will compliance with any applicable regulations of such country or circumstances that will result in compliance with any applicable rules and regulations of any such country or jurisdiction. jurisdiction. The issue of securities with established trading The Issuers have been advised The Notes are a new issue of securities with no established trading market. The Issuers have been advised Sachs & market is offering obligated may by Goldman, Sachs & Co. that it may make a market in the Notes it is offering but is not obligated to do so and may discontinue market making at any time without notice. No assurance can be given as to the liquidity of the trading without notice. No assurance to liquidity discontinue market making at any market Notes. There can assurance secondary market any Notes will if market for the Notes. There can be no assurance that any secondary market for any of the Notes will develop, or, if a secondary market does develop, that it will provide the Holders of the Notes with liquidity of investment or that it provide Holders Notes with it secondary market life will continue for the life of the Notes. of Application Stock Notes admitted Application may be made to the Irish Stock Exchange for the Notes to be admitted to the official list of the application assurance Exchange regulated Irish Stock Exchange and to trading on its regulated market. There can be no assurance that any such application will be made or that any such listing will be obtained. The Issuers have agreed to indemnify the Initial Purchaser, the Liquidation Agent, the Administrator and agreed Liquidation Administrator indemnify the Trustee and their respective directors, officers,employees and agents against certain liabilities, including in the officers, employees case of the Initial Purchaser, liabilities under the Securities Act, or to contribute to payments they may be required to the representations make in respect thereof: In addition, tlle Issuers have made certain representations and warranties to tlle Initial the thereof. of Purchaser and have agreed to reimburse the Initial Purchaser for certain of its expenses. reimburse and investment The Initial Purchaser may, from time to time as principal or through one or more investment funds that it time Purchaser of manages, make investments in the equity securities of one or more of the issuers of Reference Obligations and one the Initial controlled may Collateral Securities with the result that one or more of such issuers may be or may become controlled by the Initial issuers of that one Securities Purchaser. 116 116 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912690 GS MBS-E-000912690 Footnote Exhibits - Page 5789 INDEX OF DEFINED TERMS INDEX OF DEFINED TERMS $ ................................................................................ .4 ................... 4 $...................... ABS Securities ...................................................... A-3 ........ A-3 ABS Securities................ 3,A-1 Accounts 53, A-I ............ Accounts ......................................................... 53....... Accredited Investor..............................................6, 15 ................. 6, 15 Accredited Investor.. Actual Interest Amount ........................................ A-i ..... ................. A-I Actual Interest Amount .... Actual Principal Amount... .. ........... A-I Actual Principal Amount.... ................................... A-i Actual Rating ........................................................ A-1 A-I Actual Rating..................... Additional Fixed Amounts ...................................... 82 ......... 82 Additional Fixed Amounts ....... .............. A-I Additional Floating Amonnt... Additional Floating Amount.... .............................. A-I Outstanding Portfolio Collateral Adjusted Net Outstanding Portfolio Collateral Balance ................................................................ A-i A-I Balance.............................. ....... 104 Administration Agreement .................................... 104 Administration Agreement ........ ..... A-I Administrative ........... Administrative Expenses ...................................... A-1 Administrator ........................................................... Administrator....................................21 21 .......... 3,23 Agents .................................................................. 3, 23 Agents.................. Aggregate Amortization Amount ......................... Aggregate Amortization Amount......................... A-2 Aggregate Calculation Amount of Aggregate Calculation Amount of Defaulted Obligations Deferred Interest Bonds ..... A-2 Obligations and Deferred Interest PIK Bonds..... A-2 Aggregate Recovery Value ................... Aggregate Moody's Recovery Value ................... A-2 Aggregate Outstanding Amount... ........................ Aggregate Outstanding Amount........................... A-2 Aggregate Outstanding Amount... ......... A-2 Aggregate Outstanding Portfolio Amount............ A-2 Aggregate Reference Aggregate Reference Obligation Notional Amount. .................................................................. Amount............................82 82 Aggregate S&P Recovery .......................... Aggregate S&P Recovery Value .......................... A-2 ........ Amendment Determination ..................................... 70 Determination ........ Amortization Liquidation Procedure .................... A-2 Liquidation Procedure .................... A-2 Amortization Proceeds ................... Proceeds ............................................ 62 Amortization Shortfall Account .............................. 97 ............. 97 . . Amortization Shortfall Amount... ......................... A-2 Amount............................ Applicable Percentage .......................................... A-3 Percentage .................... Applicable Recovery Rate .................................... A-3 Recovery Rate........... ....... Asset-Backed Securities ....................................... A-3 ..... ............ Asset-Backed Auction .............................................................. 26,57 Auction.......................... AuctionDate ...................................................... 26,57 ...26, 57 .................... Auction Date A-3 Auction Payment Date..... Date ............................... 27, 57, A-3 ........ Balance ................................................................. A-3 ......... .......... .................. .... 112 Benefit Plan Irtvestor ...................................... ;...... 112 ....... Investor ............ Benefit Plan Investors ................................................ 7 ...... .................... Investors....... BIE Acceptance Notice ........................................ A-3 ..... ............ .......... BIE Collateral Security ......................................... A-3 Security.......... BIE Consent Solicitation Notice .... ;...................... A-3 Solicitation Notice..................... BIE Exercise Period .............................................. A-3 ........... Period............. BIE Notification Date ........................................... A-3 Date..................... BIE Transaction Cost... ......................................... A-3 ........... A-3 Cost............ ........ Board of Directors ................................................ A-4 ............. Business Day ................ ........................................................... 55 .............. 55 Calculation Amount. .................................. ~ .......... A-4 Calculation Amount....................... A-4 -Cash Collateral Account .......................................... 96 ................. 96 ... Account Cash Cash Proceeds ....................................................... A-4 Cash Proceeds....................... A-4 CDO Collateral ....................................................... .45 ........ 45 ............... CDO CDO RMBS Securities ......................................... A-4 ...... A-4 ........... CDO Securities ..................................................... A-4 A-4 .............................. CDO CDO Structured Product Securities ...................... A-4 Product Securities...................... A-4 CDO ............ A-4 CDO Trust Preferred Securities CDO Trust Preferred Securities ............................ A-4 ............. 100 CDR................. CDR ....................................................................... 100 -CDS Counterparty Collateral.................96 CDS Connterparty COllateral ................................... 96 CDS Counterparty Collateral Account....................97 CDS Counterparty Collateral Account... ........... , 97 ..... 28, 81 CDS Transaction ............... CDS Transaction ...............................................28, 81 ............... CFC ............... ....................................................................... 108 108 ........ A-4 Class .................... ...................................................................... A-4 Class A Adjusted Overcollateralization Ratio...... A-4 Class A Adjusted Overcollateralization Ratio ...... A-4 ...... A-5 Class A Note Redemption Price ...... Class A Note Redemption Price ........................... A-5 .............................. 2, 23 Class A Notes Class A Notes .......................................................2, 23 Class AJB Overcollateralization Ratio ..................... 60 Class A/B Overcollateralization Ratio................60 Class A/B Overcollateralization Test ................. 60 Class AJB Overcollateralization Test ...................... 60 ....... A-5 Class A-i Note Interest Rate ........ Class A-I Note Interest Rate ................................ A-5 Redemption Price ........................ A-5 Class A-I Note Redemption Price........................ A-5 A-I ......... 2,23 Class A-i Notes............ A-I Notes ................................................... 2, 23 Class A-la Note Interest Amount........................ 54 A-la Note Interest Amount... .............o........... ........ 2,23 Class A-la Notes ................................................. 2, 23 A-1a Notes ............. ...... 54 Class A-lb Note Interest Amount..... A-1b Interest Amount... ........................ .54 ........ 2, 23 ............. Class A-lb Notes ................................................. 2,23 A-lb ........ 55 Class A-2 Note Interest Amount.... A-2 Interest Amount... ........................... 55 ........ A-5 Class A-2 Note Interest Rate ...... A-2 Interest ................................ A-5 Class A-2 Note Redemption Price........................ A-5 A-2 Note Redemption Price ........................ A-5 ........... Class A-2 Notes ............... ,......................................... 2 Notes ............. ...... Overcollateralization Class B Adjusted Overcollateralization Ratio ...... A-5 B ........ 55 Class B Note Interest Amount ...... B Note Interest Amount.. ............................... 55 ............... A-5 Class B Note Interest Rate .................................... A-5 B Interest Class B Note Redemption Price ....................... A-5 B ........................... .............................. 23 Class B Notes ...................................................... 2,23 2, ...... Class C Adjusted Overcollateralization Ratio ...... A-5 Adjusted Overcollateralization 53 ......... Class C Deferred Interest... ................................ 25, 53 Deferred Interest...... ........ 55 Amount ...... Class C Note Interest Amount.. ............................... 55 ............... A-5 Class C Note Interest Rate .... .................................... A-5 ............ Class C Note Redemption Price ........................... A-5 .......... ............. Class C Notes ...................................................... 2, 23 Overcollateralization Ratio....................60 Class C OvercoIIateralization Ratio ......................... 60 ..................... Overcollateralization Class C OvercoIIateraIization Test .......................... 60 Overcollateralization Ratio...... A-6 Class D Adjusted OvercoIIateralization Ratio ...... A:.fJ ....... .......... Class D Deferred Interest .................................. 25, 53 ....... 55 Interest Amount ....... Class D Note Interest Amount... ............................. .55 ........... A-6 Interest Rate........... Class D Note Interest Rate .................................... A-6 Note Redemption Premium..................... A-6 Class D Note Redemption Premium ..................... A:.fJ ...... A-6 ...... D Note Class DNote Redemption Price ........................... A:.fJ ........... .............. D Class D Notes ............................................................ 2 Amount....... A-6 D Notes Amortizing Class D Notes Amortizing Principal Amount... .... A:.fJ .................... 61 D Overcollateralization Class D OvercoIIateralization Ratio ........................ 61 D Overcollateralization Test.....................61 Class D OvercoIIateralization Test .......................... 61 ......... 54 Amount ..... Class Class S Note Interest Amount... .............................. .54 ................ A-6 Interest Class Class S Note Interest Rate .........o.......................... A:.fJ Redemption Price............................ A-6 Class Class S Note Redemption Price ............................ A:.fJ ...... ................. Class Class S Notes ....................................................... 2,23 Amount....... A-6 Class Class S Notes Amortizing Principal Amount.. ..... A:.fJ ........ 1,32 Clearstream ................ Clearstream .......................................................... 1. 32 ...... 1, A-6 ................. Closing Date Closing Date ...................................... :.............. 1, A:.fJ 117 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912691 GS MBS-E-000912691 Footnote Exhibits - Page 5790 CMBS ................................................................... A -8 . A-8 CMBS................................... CMBS Conduit Securities A-7 .................... CMBS Conduit Securities ..................................... A-7 CMBSCredit Tenant Lease Securities................. A-7 Credit Tenant Lease Securities ................. A-7 CMBS CMBS Large Loan Securities ............................... A-7 ....... A-7 CMBS Large Loan Securities ........ CMBS Repackaging Securities ............................. A-7 CMBS Repackaging Securities............................ A-7 Code ...................................................................7, 104 7, 104 ............... Code............. Co-IssuedNotes.....................2, 2,23 Notes ................................................... 23 Co-Issued Co-Issuer ......... 2, 21 ................. Co-Issuer. ..............................................................2, 21 Collateral ..........................o................................?..2,21 ..... 2, 21 Collateral..................... Collateral Account.....................96 96 Account. .................................................. Collateral Collateral Account Amount... ................ A-7 Collateral Account Amount... ............................... A-7 Collateral Administration Agreement... ................ A-7 Collateral Administration Agreement................... A-7 Collateral Administrator ........... ..... A-7 Collateral Administrator ....................................... A-7 Collateral Asset .................................................... A-7 Asset ............ ......... A-7 Collateral Collateral Assumptions ............................................ Collateral Assumptions..................9898 Collateral Liquidation Procedure .......................... Collateral Liquidation Procedure.... ....... A-7 Collateral Securities .............................................. A-7 ........... A-7 Collateral Securities ........... Collateral Securities Eligibility Criteria .............. 89 Securities Eligibility Criteria .................. 89 Collateral Collateral Securities Substitution Information Collateral Securities Substitution Information Notice .................................................................. A-8 ............ A-8 Notice................ Collateral Securities Substitution Noteholder Securities Substitution Noteholder Collateral Refusal Notice ..................................................... A-8 A-8 ............... Refusal Notice.......... Collateral Securities Substitution Request Notice A-8 Collateral Securities Substitution Request Notice A-8 Collateralized Loan Securities ....... ....... A-7 Collateralized Loan Securities .............................. A-7 Commercial Mortgage-Backed Securities........... A-8 Mortgage-Backed Securities ............ A-8 Commercial Controlling Class ...... ............... Controlling Class ............o..................................... A-8 Controlling Person ............................................. 8, 112 112 ....................... Corporate Trust Office .......................................... A-8 Office ..... . .. .................. Corporate Coverage .................... 60 Coverage Tests ........................................................60 CPDIs .................................................................... 106 ...... 106 CPDIs ........................ .... 2, ..................... Credit Default Swap ......................................... 2, A-8 Credit .................. 30 Credit Default Swap Calculation Agent .............. 30 Credit Default Swap Early Termination.............30 Termination .................. 30 Credit Credit Default A-15 Credit Default Swap Early Termination DateA-8, A-15 Credit Default Swap Termination Payment... ....... A-8 Payment.......... Credit Event.. ..................................................... 29, 84 ................... Credit Event.... Credit Protection Amounts ................................... A-8 ............... Credit Credit Protection Buyer.. .................................. 2, A-8 ...... 2, A-8 Credit Protection Buyer....... Credit Protection Seller ............................................. 2 ................... 2 Seller Credit Credit Risk Obligation ............................................. 86 ....... 86 Obligation............ Credit Default .................................................................. A-9 .......... Default........................ Defaulted Interest .................................................... 54 .......... 54 Defaulted Interest............ Defaulted Obligation ............................................ A-9 Defaulted Obligation................... A-9 Defaulted Swap Termination Payment... .............. A-9 Defaulted Swap Termination Payment....... A-9 DefeITed Interest PIK Bond .................................. A c9 ..................... A-9 Deferred Interest PK Bond Deflnitive Note ........................................................ 33 Definitive Note .............................33 Deflnitive Notes ....................................................... 74 .............................. 74 Definitive Notes A-9 Deliverable Obligation ......................................... A-9 Deliverable Obligation .................. Delivered Obligation ............................................ A-9 ........ A-9 Delivered Obligation ............ Delivered Obligation Account... .............................. 97 Delivered Obligation Account.............. 97 Delivery Date ........................................................ A-9 ....... A-9 ................. Delivery Date Determination Date .................................................. 59 ............. 59 Determination Date............. Distressed Ratings Downgrade ................................ 84 ....... 84 Distressed Ratings Downgrade ...... Distnbution Compliance Period ......................... A-lO Distribution Compliance Period ..................... A-10 DOL ....................................................................... 111 111 DOL ......... ...................... Double B Calculation Amount ........................... A-lO Double B Calculation Amount . ............ A-10 ...... Double B Rated Asset...... Double B Rated Asset... ......................................A-1 A-lO ........... 3, 10,32 DTC.................... DTC ...............................................................3, 10,32 ............. 53 Due Period.............. Due Period ...............................................................53 ..................... Eligible Bidders ..................................................A-1 Eligible Bidders A-lO ................... A-I0 Eligtble Depositary Eligible Depositary .............................................A-1 Eligible Investment.............A-1 Eligible Investment... .......................................... A-lO ............ 7, 110 ERISA ............... ERISA ................................................. ;.............7,110 ERISA Plans........................11011 0 ERISA Plans .......................................................... ............ 1, 32 ................. Euroclear ..............................................................1,32 Euroclear Euroclear Clearance System................... 77 Euroclear Clearance System .................................... 77 Euroclear Operator......................7777 Euroclear Operator .................................................. ........... 30 Event of Default............ Event of Default ......................................................30 ....... 25 ................ Excess Amounts ......................................................25 Excess Amounts Exchange Act .......................................... 16 Exchange Act.. ......................................................... 16 Exercise Amount............................ A-i Exercise AIDOunt ................................................ A-II .... A-II Expected Fixed Payment .................................... A-I1 Expected Fixed Payment ........... ............ A-II Expected Interest Amount... Expected Interest Amount .................................. A-11 I Expected Principal Amount..............A-1A-II Expected Principal Amount... ............................. ....... Expected Principal Window....... Expected Principal Window ....................................99 99 ............ 99 Expected Weighted Average Life ............................ 99 Expected Weighted Average Life ................ 96 Expense Reserve Account .......................................96 Expense Reserve Account .................. 84 Failure to Pay Principal ...........................................84 Failure to Pay Principal . Final Amortization Date................A-i Final Amortization Date ..................................... A-ll ................... A-II Final Payment Date ............................................ A- 1 Final Payment Date . Fiscal Agency Agreement .................... 2, 23, 72 Fiscal Agency Agreement... ........................... 2, 23, 72 Agent ..................................................2, 23, 72 Fiscal Agent..................................... 2,23, 72 ........................ 82 Amount Fixed Amount ..........................................................82 Fixed ................ A-il Floating Amount Event ...................................... A-II Floating Amount Event ..........A-I Floating Amounts ............................................... A-II Floating Amounts Wi........... ........................ 22 Floating Period ........................................................ 22 Floating Period .............. 37 Forward Purchase Agreement. ............................... 37 Forward Purchase Agreement... ..... 114 ........................ FSMA .................................................................... 114 FSMA ........... 32 ................. Global Notes Global Notes ........................................................... .32 ...... ..................... GS Group .................................................................88 88 GS&Co..............................31,92 GS&Co .............................................................. 31, 92 ............. 28 ...................... GSI GSI. ..........................................................................28 A-11 Holder........................... Holder ................................................................. A-II Rating ............................ Implied Rating .................................................... A-12 A-12 ........... 56 Income Note Payment Account.. Income Note Payment Account.. ............................. 56 and Transfer Letter.......... 6 Income Note Purchase and Transfer Letter ............... 6 ............. 27 Income Note Redemption Price Income Note Redemption Price ............................... 27 Notes..............................2,23 Income Notes ............................................ :.......... 2, 23 Income .... A-12 Income Notes Documents........... Income Notes Documents ................................... A-12 ................... 74 Income Notes Register.... Income Notes Register............................................. 74 Agent ................... 23, 74 Income Notes Income Notes Transfer Agent... ......................... 23, 74 .............. 2,23 ................. Indenture Indenture .............................................................. 2,23 ... 1,114 .................. Initial Purchaser Initial Purchaser ................................................. 1, 114 53 ...... Accrual Period ............. Interest Accrual Period ............................................ 53 Interest Calculations................................. 55 Interest Calculations ................................................ 55 Interest ............... 95 Interest Collection Account. Interest Collection Account ..................................... 95 Interest Proceeds..................... A-12 Interest Proceeds ................................................. A-12 A- 12 Interest Shortfall ................................... Interest Shortfall ................................................. A-12 ............... A- 12 Shortfall Amount Interest Shortfall Amount ................................... A-12 Interest A- 12 Interest Shortfall Cap .............................. Interest Shortfall Cap .......................................... A-12 ............ A-12 Interest Shortfall Cap Amount Interest Shortfall Cap Amount... ......................... A-12 Interest Shortfall Payment Amount ......... A-12 Interest Shortfall Payment Amount .................... A-12 118 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912692 GS MBS-E-000912692 Footnote Exhibits - Page 5791 Interest Shortfall Reimbursement... .................... A-12 ..... A-I2 Interest Shortfall Reimbursement ..... Interest Shortfall Reimbursement Payment... ..... A-12 Interest Shortfall Reimbursement Payment........ A-12 Interest Shortfall Reimbursement Payment Interest Shortfall Reimbursement Payment Amount ............................................................. A-12 .................. A-12 Amount.................. Investment Company Act ..........................................1 ........ 1 Investment Company Act ........ Investments ............................................................. 499 ........... .4 Investments............... Irish Listing Agent. .................................................. 33 Irish Listing Agent...............33 Irish Paying Agent ................................................... 33 Irish Paying Agent....................33 IRS .........................................................................104 ........... 104 IRS .......................... ISDA ........................................................................42 ........... 42 ISDA....................... Issue A-12 ............. ................ Issue. .................................................................... A.12 Issuer ............... 2,21 ................... Issuer .................................. :................................ 2, 21 IssuerOrdiruuy Shares ............ ... 21, 101 Issuer Ordinary Shares ..................................... 21,101 2, 21 Issuers ................................. Issuers ............................................................ :.....2,21 LIBOR ......... 54 .................... LIBOR .................................................................... .54 LIBOR Detennination Date ..................................... LIBOR Determination Date................5454 Liquidation Agency Agreement .............................. 31 .......... 31 Liquidation Agency Agreement... Liquidation Agent.. ...................... 31 Liquidation Agent .................................................. 31 Liquidation Agent Fee ............................................. 92 Liquidation Agent Fee...............92 Liquidation Proceeds .................. A-13 Liquidation Proceeds .......................................... A-13 Majority .............................................................. A-13 ......... A-13 Majority........................ Mandatory Redemption ....................... 27 Mandatory Redemption. ...........................................27 MaIket Value .............. A-13 .............. Market Value ...................................................... A-13 Master Agreement ............................................. 28, 81 Master Agreement........................... 28,81 Master Confinnation ................... 28,81 Master Confiation .......................................... 28, 81 Maximum Principal Amount... .. ;........................ A-3 ........... A-13 Maximum Principal Amount.......... Minimum ................. A-13 Minimum Bid Amount ....................................... A-13 Monthly Asset Amount..............A-13 Amount ...................................... A-13 Monthld Monthly Payment Date.............. Payment Date ........................................ 2, 24 ...... 2,24 Moody's ..................................................................... 1 I Moody's ................................................. Moody's Rating ... ............. A-13 Pro Moody'sRating .................................................. A-13 ................ A-13 Moody's Recovery Rate ..................................... A-13 Recovery Rate .... A-14 Collateral Outstanding Net Outstanding Portfolio Collateral Balance .... A-14 A-14 Period.................................... Non-Call Period .................................................. A-14 Non-U.S. Holder .................................................... 105 105 Holder ..................................... Note Agents ............................................................. 23 Agents..........................23 Note Calculation Agent ..................................... 23, 54 ...... 23,54 Note Calculation Agent....... ......... 55 Note Interest Amounts .. ............................................. 55 .. Note Interest Note Interest Rates .............................................. A-14 ............................ Note Interest Note Paying Agent .................................................. 23 23 ........................... Note Paying Agen ............. Note Paying Agents ................................................. 23 ....... Note Paying Agents. Note Registrar .......................................................... 23 23 .............................. Note Registrar ........ 23 Note Transfer Agent ................................................ 23 Note Transfer Agent............ Note Valuation Report ....................................... 32, 97 Note Valuation Report.................32,97 Noteholder ................................................ A-II, A-I4 ..A-i., A-14 .................. Noteholder Noteholder Communication Notice .................... A-14 Noteholder Communication Notice.............. A-14 Noteholder Poll ........................................................ 70 Noteholder Poll .......................... Notes .................................................................... 2,23 .......... 2, 23 ................... Notes. 1,23 Offered Notes ...................................................... 1, 23 ........................... Offered Notes Offering Circular ....................................................... 3 ............ 3 .... Offering Circular......... ...... 106 OlD ........................................................................ 106 ........................ OIl ............ 106 OlD lD interest payments........ O interest payments ........................................... 106 OlD Note ............................................................... 106 .. ........................ 106 OI Note ............... 27 ...... Optional Redemption ............................................... 27 Optional Redemption ............. 27 Optional Redemption Date ...................................... 27 ........... Optional Redemption Date...... Originating Noteholder.. ..................................... A-14 ....................A-14 Originating Noteholder .......... outstanding .........................................................A-14 outstanding A-I4 Outstanding......................... A-14 Outstanding......................................................... A-14 ........ A-IS Outstanding Principal Amount..... Outstanding Principal Amount ...........................A-15 ............. A-IS Overcollateralization Ratios ............................... A-15 Overcollateralization Ratios Overcollateralization Tests................................. A-15 Overcollateralization Tests ................................. A-IS participants..........................75 75 participants .............................................................. ...................... 110 Parties in Interest .................................................110 Parties in Interest.. ......... 23 Paying Agents .......................................................... 23 Paying Agents.................. .......... 96 Payment Account............ Payment Account. .................................................... 96 ........... 2, 24 Payment Date............ Payment Date .......................................................2,24 .................................... PFIC .......................................................................107 PFIC 107 Physical Settlement Amount..................8383 Physical Settlement Amount.................................... ............... A-IS ................ PKBond ............................................................ APIK Bond Plan Asset Regulation...........................96111 Plan Asset Regulation ............................................ 24 ................ 111 Plan Assets ............................... ;............................. 1 Plan Assets ............... ..................... 110 Plans ............. Plans ...................................................................... 110 ........... 2, 21, 53 Pledged Assets...t.Am......... Pledged Assets ........................................... , ... 2,21,53 .......... A-IS Principal Balance ................................................ A-15 Principal Balance ............ ............... 23 Principal Note Paying Agent ................................... 23 Principal Note Paying Agent ...... A-I6 ............... Principal Pceeds .............................................. A-16 Principal Proceeds Principal Shortfall Amount .............................. A-16 Principal Shortfall Amount... ............... A-I6 ....... A-I6 Principal Shortfall Reimbursement.. .................. A-16 Principal Shortfall Reimbursement... Principal Shortfall Reimbursement Payment...... ... A-16 Principal Shortfall Reimbursement Payment... A-I6 Principal Shortfall Reimbursement Payment Principal Shortfall Reimbursement Payment .. A-I6 Amount............................ Amount. ............................................................. A-16 ....... 62 of Payments ............. Priority of Payments ................................................ 62 .......................... A-I6 Proceeds................... Proceeds .............................................................. A -16 ..... 114 .............. Agreement Purchase ?Agreement .............................................. 114 ..................... 106, 108 QEF election .................................................. 106, 108 election Buyer....................... 3, 6, IS Qualified Qualified Institutional Buyer ........................... 3, 6, 15 ...3, 7, 15 Qualified Purchaser .............. Qualified Purchaser ......................................... 3, 7, 15 ..... 2, 24, A-16 Quarterly Payment Date ....... Quarterly ............................ 2, 24, A-I6 ........................... 1 Agencies.. Rating Agencies ......................................................... 1 .... A-16 ........... Rating Agency Condition ................................... A-16 ..... A-16 ................... Record Date RecordDate ........................................................ A-I6 ..... A-17 Redemption Date............... Redemption Date ................................................ A -17 ......... 54 .............. Reference Banks ...................................................... 54 ........... A-17 Reference Entity .............. .. :.............................................. A-I7 ......... A-17 Obligation........... Reference Obligation .......................................... A-I7 Period ........... A-17 Reference Obligation Calculation Period ........... A-17 .......A-17 Coupon ..... Reference Obligation Coupon ............................ A-17 Amount....... 28, A-17 Obligation Reference Obligation Notional Amount... .... 28, A-I7 Date................... A-17 Obligation Reference Obligation Payment Date ................... A-17 Obligation Principal Amortization Reference Obligation Principal Amortization A-17 Amount............................ Atnount ............................................................. A-I7 Payment............ A-17 Obligation Reference Obligation Principal Payment... ......... A-17 ........................ A-17 Reference Obligor Reference Obligor............................................... A-I7 2, 29 Reference Portfolio .............................................. 2, 29 Reference Portfolio ................... A-17 ...... A-17 Price................ Reference Reference Price ................................................... Registered.........................A17 Registered ........................................................... A-17 .......................... Regulation S Regulation S .............................................................. 1 1 ...... 15 Regulation S Co-Issued Notes..... Regulation S Co-Issued Notes ................................. 15 ................. 74 Regulation S Global Note ........................................ 74 Regulation S Global Note .... 3,10,15 Regulation S Income Notes ........................... 3, 10, 15 Regulation S Income Notes..... ....... 3,7,15 Regulation S Notes .......................................... 3, 7,15 Regulation S Notes...... REIT Debt Security.......................... A-17 REIT Debt Security ............................................ A-I7 119 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912693 GS MBS-E-000912693 Footnote Exhibits - Page 5792 Relevant Amount. .................................. ..... A-17 Relevant Amount................. ?.............. A-17 Relevant Implementation Date .............................. 115 Relevant Implementation Date .............................. 115 Relevant Member State .........................................115 ........... 115 Relevant Member State ......... Relief Act. .............................................................. .44 Relief Act...........................44 Reserved Matters ............. ......... 70 Reserved Matters .....................................................70 Residential Mortgage-Backed Securities ............ A-18 Residential Mortgage-Backed Securities........... A-18 RJ\,ffiS 43, A-18 ........................ RMvBS. ........................................................... 43, A-18 RJ\,ffiS Midprime Mortgage Securities ............... A-18 RMBS Midprime Mortgage Securities............... A-18 RJ\,ffiS Prime Mortgage Securities ..................... A-18 RMBS Prime Mortgage Securities ..................... A-18 RJ\,ffiS Subprime Mortgage Securities ............... A-18 RMBS Subprime Mortgage Securities............... A-18 RSA 421-B 4 ............................. RSA 421-B ............................................................... .4 Rule 144A ..................................................................3 ............. Rule 144A............... Rule 144A Global Notes ............................................ 3 Rule 144A Global Notes.............3 Rule 144A Notes ....................................................... 6 Rule 144A Notes.......................6 S&P .. :............................................... 1 1 S&P ................................... S&P Rating ......................................................... A-18 S&P Rating........................A-18 S&P Recovery Rate ............................................ A-18 ...... A-18 S&P Recovery Rate........ Sale Proceeds ....................... A-18 Sale Proceeds ...................................................... A18 Scheduled Termination Date ............... 82 Scheduled Termination Date ...................................82 SEC ......................................................................... .47 .......... 47 SEC.............................. Secured Note Redemption ........... A-18 Secured Note Redemption Price ......................... A-18 Secured Notes ....................... 2,23 Secured Notes ...................................................... 2, 23 Secured Obligations ................................................. 24 Secured Obligations..............24 Secured Parties ..................................................24,53 ..................... 24, 53 Secured Parties Securities Act............... Act ............................................................. 1 ................. Securities Intermediary ................. 2, 23 Securities Intermediary ........................................2,23 Servicer ............................................................... A-19 ........... A-19 Servicer................... SFA ........................................................................115 ............ 115 SFA..................... Trustee.........................21 Share Trustee ........................................................... 21 Sinrilar Law ............................................................... 7 Similar Law...........................7 Single B Calculation Amount............................. A-19 B Amount.. ...... A-19 Single .................... A-19 Asset.... Single B Rated Asset .......................................... A-19 d o o o o o: ooooooooooooooooo ........................... Stated Maturity ..................................................25,56 Stated Maturity 25, 56 Statistical Loss Amount..........A-19 Statistical Loss Amount... ................................... A-19 ..................... A-19 Step-Down Bond ................................................ A19 Step-Down Bond ................ 91 Substitution Confirmation Substitution Confirmation .......................................91 ...................... A-19 Super Majority Super Majority ....................................................A-19 ........... A-19 Tax Event ..........................................................A-19 Ta" Event.. ................. .................. 57 Tax Redemption........... Tax Redemption ......................................................57 57 Tax Redemption Date .............................................. 57 Tax Redemption Date ............................. Tax-Exempt Investors..................9.....9 109 Tax-Exempt Investors ... ,........................................ Temporay Regulation S Global Note.............. 32 Temporary Regulation S Global Note ..................... 32 ..... 30 ................ Terination Event ................................................... 30 Termination Event ...... A-19 Total Redemption Amount....... Total Redemption Amount ................................. A-19 Transaction Documents........... Transaction Documents ................... .............. :.......................23 23 Transaction-Specific Cash Flow Model.................8181 Transaction-Specific Cash Flow Model .................. S Ge..............................23 Transfer Agents ....................................................... 23 Transfer Agents ..................... Transfer Daten............ Transfer Date ...........................................................96 96 t...............51, A-19 Amon.......... Treasuy ........................................................ 51, A-19 Treasury ............. A-19 Triple C Calculation Amount ............................. A-19 Triple C Calculation Amount Triple C Rated Asset Ce..............................A-19 Triple CRated Asset... ........................................ A-19 .......................................23 Trustee .................................................................2,23 Trustee 2, 4 U.S. Dollars .............................................................. .4 U.S. Dollars ................................... U.S. Holder......................... 105 U.S. Holder ............................................. :.............. 105 ............ 32 t................. U.S Person ..............................................................32 U.S. Person ........................ -1 14 U.ST Resident ......................................................... 114 U.S. Resident .......... ............2 2 ust U.S.$ ...................................................... :.................. .4 ..... I09 ........................ U.BT. ......................................................................109 UBTI ...................... USA PATRIOT Act...... USA PATRIOT Act.................................................51 51 ........ .................. Writedown ...............................................................84 Writedown 84 Writedown Amount ............................................ A-19 Writedown Amount.....................A-19 Writedown Reimbursement...............A-20 Writedown Reimbursement.. .............................. A-20 Writedown Reimbursement Amount.................. A-20 Reimbursement Amount.. ................ A-20 Writedown Reimbursement Payment Amount ... A-20 Reimbursement Amount ... A-20 120 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912694 GS MBS-E-000912694 Footnote Exhibits - Page 5793 APPENDIX A APPENDIX A Certain Defined Terms Certain Defined Terms "Accounts" means collectively, the Interest Collection Account, the Payment Account, the Ex-pense "Accounts" means collectively, the Interest Collection Account, the Payment Account, the Expense Reserve Account, the Collateral Account (including the Cash Collateral Account), the CDS Counterparty Collateral Reserve Account, the Collateral Account (including the Cash Collateral Account), the CDS Counterparty Collateral Account, the Amortization Shortfall Account and the Delivered Obligation Account. Account, the Amortization Shortfall Account and the Delivered Obligation Account. "Actual Interest Amount" means with respect to any Reference Obligation Payment Date, payment by or "Actual Interest Amount" means with respect to any Reference Obligation Payment Date, payment by or on behalf of the Reference Entity of an amount in respect of interest due under the Reference Obligation (including, behalf of the Reference Entity of an amount in respect of interest due under the Reference Obligation (including, on without limitation, any deferred interest or defaulted interest relating to the CDS Transaction but excluding without limitation, any deferred interest or defaulted interest relating to the CDS Transaction but excluding payments in respect of prepayment penalties, yield maintenance provisions or principal, except that the Actual payments in respect of prepayment penalties, yield maintenance provisions or principal, except that the Actual Interest Amount shall include any payment of principal representing capitalized interest) the holder(s) of the Interest Amount shall include any payment of principal representing capitalized interest) to the holder(s) of the ReferenCe Obligation in respect of the Reference Obligation. Reference Obligation in respect of the Reference Obligation. "Actual Principal Amount" means, with respect the Final Amortization Date legal maturity "Actual Principal Amount" means, with respect to the Final Amortization Date or the legal final maturity amount paid on such day by or behalf of Reference Entity in respect of date of any Reference Obligation, date of any Reference Obligation, the amount paid on such day by or on behalf of the Reference Entity in respect of principal (excluding any capitalized interest) holder(s) of the Reference Obligation respect the Reference principal (excluding any capitalized interest) to the holder(s) of the Reference Obligation in respect of the Reference Obligation. respect to any Reference . "Actual Rating" means Delivered Obligation or Eligible ."Actual Rating" means with respect to any Reference Obligation, Delivered Obligation or Eligible Investment, the actual expressly monitored outstanding public rating assigned by a Rating Agency without reference Rating Agency without reference Investment, the actual expressly monitored outstanding public rating assigned by another Rating Agency, and which its addresses scope the payment to any other rating by another Rating Agency, and which rating by its terms addresses the full scope of the payment Reference Delivered Obligation Eligible Investment, promise promise of the obligor on such Reference Obligation, Delivered Obligation or Eligible Investment, after taking into account any applicable guarantee insurance policy or rating available Agency, any account any applicable guarantee or insurance policy or if no such rating is available from a Rating Agency, any of rating "credit estimate" "shadow assigned by Rating Agency. For "credit estimate" or "shadow rating" assigned by such Rating Agency. For purposes of this definition, (i) the rating of" Aaa" assigned Delivered Obligation placed on Reference of "Aaa" assigned by Moody's to a Reference Obligation, Delivered Obligation or an Eligible Investment placed on Moody's downgraded Moody's watch downgrade watch for possible downgrade by Moody's will be deemed to have been downgraded by Moody's by one subcategory and any other rating assigned by Moody's to a Reference Obligation, Delivered Obligation or an by Moody's Reference Delivered Obligation subcategory downgraded Eligible Investment placed on watch for possible downgrade by Moody's will be deemed to have been downgraded watch downgrade Investment Delivered Obligation by Moody's by two subcategories, (ii) the rating assigned by S&P to a Reference Obligation, Delivered Obligation (ii) S&P or an Eligible Investment placed on watch for possible downgrade by S&P will be deemed to have been downgraded Investment downgrade be' deemed have been downgraded Moody's Delivered by S&P by one subcategory, (iii) the rating of "Aal" assigned by Moody's to a Reference Obligation, Delivered "Aal" subcategory, watch possible Obligation Obligation or Eligible Investment placed on watch for possible upgrade by Moody's will be deemed to have been Reference Moody's upgraded by Moody's by one subcategory and any other rating assigned by Moody's to a Reference Obligation, Investment Delivered Obligation or an Eligible Investment placed on watch for possible upgrade by Moody's will be deemed to Reference have been upgraded by Moody's by two subcategories and (iv) the rating assigned by S&P to a Reference Obligation, Delivered Obligation or Eligible Investment placed on watch for possible upgrade by S&P will be deemed to have been upgraded by S&P by one subcategory. subcategory. been to of (b) described in "Additional Floating Amount" means any Floating Amount descnbed in clause (a), (b) or (c) of the "Additional definition of Floating Amounts. definition Floating "Adjusted Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, the Net "Adjusted Net Outstanding Portfolio Statistical Loss of (a) (i) the if Outstanding Portfolio Collateral Balance reduced by the excess, if any, of (i) the product of (a) the Statistical Loss the Balance reduced Portfolio of Amount and (b) the lesser of 1 and a fraction the numerator of which is U.S.$305,OOO,OOO and the denominator of which U.S.$305,000,000 and the of I and a fraction the and (b) product of (a) Determination which is the Net Outstanding Portfolio Collateral Balance as of such Determination Date over (ii) the product of (a) Net Outstanding Portfolio Collateral Balance of is Outstanding U.S.$3,187,OOO and (b) the lesser ofl1 and a fraction the numerator of which is the Net Outstanding Portfolio numerator of which is fraction (b) the lesser of U.S.$3,187,000 of which is U.S.$305,000,000. Collateral Balance as of such Determination Date and denominator of which is U.S.$305,OOO,OOO. as of such Determination Date and Collateral to any with "Administrative Expenses" means amounts (including indemnities) due or accrued with respect to any means amounts (including indemnities) due or "Administrative pursuant to the Indenture or any coto (i) the Payment Date and payable by the Issuer and/or the Co-Issuer to (i) the Trustee pursuant to the Indenture or any coIssuer and/or the Payment Date and payable by Agreement (iii) trustee appointed pursuant to the IndentUre; (ii) the Administrator pursuant to the Administration Agreement; (iii) trustee appointed pursuant to the Indenture; (ii) the Administrator pursuant to the the independent accountants, agents (including the Note Agents under the Indenture, the Fiscal Agent and Income the independent accountants, agents (including the Note Agents under the Indenture, the Fiscal Agent and Income Notes Transfer Agent as defmed under the Fiscal Agency Agreement and the Collateral Administrator under the Notes Transfer Agent as defined under the Fiscal Agency Agreement and the Collateral Administrator under the Collateral Administration Agreement) and counsel of the Issuer for fees and expenses (including amounts payable in Collateral Administration Agreement) and counsel of the Issuer for fees and expenses (including amounts payable in A-I A-I Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912695 GS MBS-E-000912695 Footnote Exhibits - Page 5794 cormection with the preparation of tax fonns on behalf of the Issuers); (iv) the Liquidation Agent pursuant to the connection with the preparation of tax forms on behalf of the Issuers); (iv) the Liquidation Agent pursuant to the Liquidation Agency Agreement (other than the Liquidation Agent Fee); (v) the Rating Agencies for fees and Liquidation Agency Agreement (other than the Liquidation Agent Fee); (v) the Rating Agencies for fees and expenses in cormection with any rating or credit estimate (including the fees payable to the Rating Agencies for the expenses in connection with any rating or credit estimate (including the fees payable to the Rating Agencies for the monitoring of any rating or credit estimate) of the Notes, including fees and expenses, if any, due or accrued in monitoring of any rating or credit estimate) of the Notes, including fees and expenses, if any, due or accrued in cormection with any rating of the Reference Obligations; (vi) any other person in respect of any governmental fee, connection with any rating of the Reference Obligations; (vi) any other person in respect of any governmental fee, charge or tax in relation to the Issuer or the Co-Issuer, (vii) to the liquidator(s) of the Issuer for the fees and charge or tax in relation to the Issuer or the Co-Issuer, (vii) to the liquidator(s) of the Issuer for the fees and expenses of liquidating the Issuer following the redemption of all of the Notes; (viii) the Irish Stock Exchange expenses of liquidating the Issuer following the redemption of all of the Notes; (viii) the Irish Stock Exchange listing any Notes at the request of the Issuer, and (ix) any other person in respect of any other fees or expenses listing any Notes at the request of the Issuer, and (ix) any other person in respect of any other fees or expenses (including indemnities and fees relating to the provision of the Issuer's registered office) permitted under the (including indemnities and fees relating to the provision of the Issuer's registered office) permitted under the Transaction Documents; provided that Administrative Expenses shall not include (a) any amounts due or accrued Transaction Documents; provided that Administrative Expenses shall not include (a) any amounts due or accrued with respect to the actions taken on or in cormection with the Closing Date, (b) amounts payable in respect of the with respect to the actions taken on or in connection with the Closing Date, (b) amounts payable in respect of the Secured Notes and the Income Notes and (c) any Liquidation Agent Fee payable pursuant to the Liquidation Agency Secured Notes and the Income Notes and (c) any Liquidation Agent Fee payable pursuant to the Liquidation Agency Agreement. Agreement. any, of the Maximum Principal Amount such date over (ii) the sum of the Aggregate Reference Obligation any, of (i) the Maximum Principal Amount on such date over (ii) the sum of (a) the Aggregate Reference Obligation Notional Amount and (b) the par value of any Delivered Obligations, Eligible Investments and any such amounts on Notional Amount and (b) the par value of any Delivered Obligations, Eligible Investments and any such amounts on deposit in the Delivered Obligations Account, which amount will be drawn from the Collateral Account pursuant to deposit in the Delivered Obligations Account, which amount will be drawn from the Collateral Account pursuant to the Amortization Liquidation Procedure deposited in Payment Account for distribution in accordance with the Amortization Liquidation Procedure and deposited in the Payment Account for distribution in accordance with the Priority of Payments such Payment the Priority of Payments on such Payment Date. "Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest Bonds" means "Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Bonds" means the the Aggregate Moody's Recovery Value of all Defaulted Obligations and Deferred Interest PIK least of (a) the Aggregate Moody's Recovery Value of all Defaulted Obligations and Deferred Interest PIK Bonds, (b) Aggregate Recovery all Defaulted Obligations Deferred Interest and (c) (b) the Aggregate S&P Recovery Value of all Defaulted Obligations and Deferred Interest PIK Bonds, and (c) the the Matket Values Defaulted Obligations and Deferred aggregate of the Market Values of all Defaulted Obligations and Deferred Interest PIK Bonds. aggregate Deferred Interest "Aggregate Recovery Value" respect Defaulted Obligations "Aggregate Moody's Recovery Value" means, with respect to Defaulted Obligations and Deferred Interest (b) Moody's Recovery Rate each such multiplied Principal PIK Bonds, the aggregate of (a) the Moody's Recovery Rate for each such asset multiplied by (b) the Principal aggregate Balance of such asset. Balance "Aggregate Outstanding Income "Aggregate Outstanding Amount" means, with respect to any of the Secured Notes or Income Notes on any date of determination, the aggregate principal amount of such Secured Notes or Income Notes outstanding on such aggregate principal amount Income outstanding date date. "Aggregate Amortization Amount" means, with respect Payment Date calculations, the excess, if "Aggregate Amortization Amount" means, with respect to any Payment Date calculations, the excess, if Obligation Aggregate (i) "Aggregate Outstanding Portfolio Amount" means the sum of (i) the Aggregate Reference Obligation "Aggregate Outstanding Notional Amount and (ii) the Principal Balance of the Delivered Obligations and any Eligible Investments in the Obligations Notional Delivered Obligations Account. "Aggregate S&P Recovery Value" means the sum of, with respect to each Defaulted Obligation and each sum of, "Aggregate S&P Interest or Deferred Interest PIK Bond of the lesser of (a) the Market Value for such Defaulted Obligation or Deferred Interest for Market PIK Bond, as applicable, and (b) the S&P Recovery Rate for such Defaulted Obligation or Deferred Interest PIK Rate (b) as Bond. Bond multiplied by the Principal Balance of such Defaulted Obligation or Deferred Interest PIK Bond. such Principal Bond multiplied by any "Amortization Liquidation Procedure" means, in cormection with the payment of any Aggregate connection with the "Amortization Liquidation received Amortization Amount, (i) first, by applying each amount on deposit in the Collateral Account received as principal in the Collateral each (i) first, Amount, on deposit in the any on the Collateral Securities and Eligible Investments and (ii) second, once any such cash on deposit in the Collateral (ii) second, and Eligible Investments on in each case, up to in the Account has been reduced to zero, by liquidating Eligible Investments in the Collateral Account, in each case, up to liquidating Eligible has been reduced to the lesser of (a) such Aggregate Amortization Amount or (b) amounts available in the Collateral Account pursuant or (b) amounts available in the lesser (a) such Aggregate to subclause (i) above and, if necessary, (ii). (ii). subclause (i) above and, if drawn where sufficient funds "Amortization Shortfall Amounf'- means, on any Payment Date where sufficient funds cannot be drawn any Payment "Amortization Shortfall Amount" Procedure, the difference between the from the Collateral Account pursuant to the Amortization Liquidation Procedure, the difference between the the Collateral Account pursuant to the Aggregate Amortization Amount for such Payment Date and the amount available from the Collateral Account on Aggregate Amortization Amount for such Payment Date and the amount available from the Collateral Account on such Payment Date pursuant to the Amortization Liquidation Procedure. such Payment Date pursuant to the Amortization Liquidation Procedure. A-2 A-2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912696 GS MBS-E-000912696 Footnote Exhibits - Page 5795 "Applicable Percentage" means, on any day, a percentage equal to A divided by B, where "A" means the "Applicable Percentage" means, on any day, a percentage equal to A divided by B, where "A" means the product of the Initial Face Amount (as such term is defined in the related CDS Transaction) and the Initial Factor (as of the Initial Face Amount (as such tenn is defined in the related CDS Transaction) and the Initial Factor (as product such tenn is defmed in the related CDS Transaction) as decreased on each Delivery Date by an amount equal to (a) such term is defined in the related CDS Transaction) as decreased on each Delivery Date by an amount equal to (a) the outstanding principal balance of Delivered Obligations delivered to the Issuer (as adjusted by the Relevant the outstanding principal balance of Delivered Obligations delivered to the Issuer (as adjusted by the Relevant Amount, if any) divided by the Current Factor (as such tenn is defmed in the related CDS Transaction) on such day Amount, if any) divided by the Current Factor (as such term is defined in the related CDS Transaction) on such day multiplied by (b) the Initial Factor (as such tenn is defined in the related CDS Transaction) and where "B" means multiplied by (b) the Initial Factor (as such term is defined in the related CDS Transaction) and where "B" means the product of the Original Principal Amount of the related Reference Obligation and the Initial Factor (as such tenn the product of the Original Principal Amount of the related Reference Obligation and the Initial Factor (as such term .is defmed in the related CDS Transaction); (a) as increased by the outstanding principal balance of any further issues is defined in the related CDS Transaction); (a) as increased by the outstanding principal balance of any further issues by the Reference Entity that are fungible with and fonn part of the same legal series as the Reference Obligation; by the Reference Entity that are fungible with and form part of the same legal series as the Reference Obligation; and (b) as decreased by any cancellations of some or all of the outstanding principal amount of the related Reference and (b) as decreased by any cancellations of some or all of the outstanding principal amount of the related Reference Obligation resulting from purchases of the Reference Obligation by or on behalf of the Reference Entity. Obligation resulting from purchases of the Reference Obligation by or on behalf of the Reference Entity. "Applicable Recovery Rate" means, with respect to any Reference Obligation or Collateral Asset on "Applicable Recovery Rate" means, with respect to any Reference Obligation or Collateral Asset on any Detennination Date, the lesser of the Moody's Recovery Rate and the S&P Recovery Rate. Determination Date, the lesser of the Moody's Recovery Rate and the S&P Recovery Rate. "Asset-Backed Securities" "ABS Securities" means structured fmance securities which have the benefit "Asset-Backed Securities" or "ABS Securities" means structured finance securities which have the benefit of a financial guarantee insurance policy, or surety bond or corporate guarantee insuring or guaranteeing the timely a financial guarantee insurance policy, or surety bond or corporate guarantee insuring or guaranteeing the of payment interest ultimate payment interest and the ultiInate payment principal. payment of interest or the ultimate payment of interest and the ultimate payment of principal. Auction Date which Secured and Income Notes are "Auction Payment Date" means "Auction Payment Date" means the Auction Date on which the Secured Notes and Income Notes are redeemed in connection with a successful Auction. redeemed in connection with successful Aucqon. "Balance" means, respect Collateral Delivered Obligations Eligible "Balance" means, on any date, with respect to cash, Collateral Securities, Delivered Obligations or Eligible Investments in aggregate (i) current balance deposits, Investments in any account, the aggregate of the (i) current balance of cash, demand deposits, time deposits, corporate interest govenunent certificates (ii) principal amount certificates of deposit and federal funds; (ii) principal amount of interest bearing corporate and govermment securities, money market repurchase obligations; and purchase accreted value not securities, money market accounts and repurchase obligations; and (iii) purchase price or accreted value (but not non-interest bearing commercial greater greater than the face amount) of non-interest bearing government and corporate securities and commercial paper. "BIE Acceptance Notice" means a notice from the Trustee or the Income Notes Transfer Agent, as Acceptance Notice" Trustee Income applicable, to an Originating Noteholder specifying (i) each BIE Collateral Security that will be substituted for an Originating Noteholder each BIE Collateral existing Collateral Security, (ii) each such Collateral Security to be substituted, (iii) the BIE Exercise Period, (iv) the Collateral Security, Collateral Security BIE Transaction Cost and (v) account information of the Issuer for such Originating Noteholder to deliver such BIE information BIE Transaction Collateral Collateral Security to the Issuer and to present payment of the BIE Transaction Cost to the Issuer. "BIE Collateral Security" means any security that any Holder of a Note proposes to substitute for part or all . Security" of an existing Collateral Security pursuant to the Indenture. "BIE Consent Solicitation Notice" means a notice from the Trustee or the Fiscal Agent, as applicable, to Solicitation each Holder of a Note, including the Originating Noteholder with a copy to the Credit Protection Buyer specifying (i) each proposed BIE Collateral Security and its par amount, (ii) each Collateral Security to be substituted and its each (i) par amount and (iii) the BIE Notification Date. a BIE Acceptance "BIE Exercise Period" means the period from and including the delivery of a BIE Acceptance Notice to but from the "BIE excluding the day that is three Business Days thereafter. three the BIE a Note must Holder by "BIE Notification Date" means the Business Day by which a Holder of a Note must respond to a BIE means the Business "BIE such BIE Consent Consent Solicitation Notice, which date shall be 20 Business Days from the date of such BIE Consent Solicitation 20 Business Days from the date date shall Solicitation Notice, Notice. Collateral determined "BIE Transaction Cost" means an amount, as determined pursuant to the Collateral Administration Transaction Cost" means an Agreement, by the Collateral Adriiinistrator, oil behalf of the Issuer, equal to the aggregate amount of the expenses the Collateral Administrator, on behalf of the Issuer, equal to the aggregate amount the expenses Agreement, proposed substitution of each BIE of the Issuer and the Trustee that would be incurred as a result of the proposed substitution of each BIE Collateral result of be incurred the Issuer and the Trustee that Security for part or all of an existing Collateral Security including the purchase price of any such BIE Collateral Security for part or all of an existing Collateral Security including the purchase price of any such BIE Collateral Security. Security. A-3 A-3 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912697 GS MBS-E-000912697 Footnote Exhibits - Page 5796 "Board of Directors" means, with respect to the Issuer or the Co-Issuer, the directors of the Issuer or the "Board of Directors" means, with respect to the Issuer or the Co-Issuer, the directors of the Issuer or the Co-Issuer, as applicable, duly appointed by the shareholders or the directors of the Issuer or the Co-Issuer, as Co-Issuer, as applicable, duly appointed by the shareholders or the directors of the Issuer or the Co-Issuer, as applicable. applicable. "Calculation Amount" means, with respect to any Defaulted Obligation or Deferred Interest PIK Bond at "Calculation Amount" means, with respect to any Defaulted Obligation or Deferred Interest PIK Bond at any time, the lesser of (a) the Market Value of such Defaulted Obligation or Deferred Interest PIK Bond or (b) the time, the lesser of (a) the Market Value of such Defaulted Obligation or Deferred Interest PIK Bond or (b) the any Applicable Recovery Rate multiplied by the Principal Balance of such Defaulted Obligation or Deferred Interest Applicable Recovery Rate multiplied by the Principal Balance of such Defaulted Obligation or Deferred Interest PIK Bond. For purposes of detennining the Calculation Amount, the Principal Balance of a Defaulted Obligation PIK Bond. For purposes of determining the Calculation Amount, the Principal Balance of a Defaulted Obligation shall be deemed to be its outstanding principal amount or Reference Obligation Notional Amount, as applicable, and shall be deemed to be its outstanding principal amount or Reference Obligation Notional Amount, as applicable, and the Principal Balance of a Deferred Interest PIK Bond shall be deemed to be its outstanding principal amount or the Principal Balance of a Deferred Interest PIK Bond shall be deemed to be its outstanding principal amount or Reference Obligation Notional Amount, as applicable, without regard to any deferred or capitalized interest. Reference Obligation Notional Amount, as applicable, without regard to any deferred or capitalized interest. "Cash Proceeds" means, with respect to any Due Period, the amount on deposit or expected to be on "Cash Proceeds" means, with respect to any Due Period, the amount on deposit or expected to be on deposit in the Payment Account on the related Payment Date (as calculated by the Trustee two Business Days prior in the Payment Account on the related Payment Date (as calculated by the Trustee two Business Days prior deposit to such Payment Date); without taking into account any Aggregate Amortization Amount or amounts calculated in to such Payment Date); without taking into account any Aggregate Amortization Amount or amounts calculated in relation thereto that may be available on such Payment Date. relation thereto that may be available on such Payment Date. "CDO RMBS Securities" means CDO Securities that entitle the holders thereof to receive payments that "CDO RMBS Securities" means CDO Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to (except for rights other assets designed to assure the servicing or timely distribution of proceeds depend from (and the market value of) portfolio least 80% holders of such CDO Securities) on the cash holders of such CDO Securities) on the cash flow from (and not the market value of) a portfolio of at least 80% by principal balance of RMBS Securities. principal balance of RMBS Securities. Note Securities" means CDO Securities pursuant to terms of the related Underlying "CDO S Note Securities" means CDO Securities that, pursuant to the terms of the related Underlying Instruments, senior issued related transaction and are entitled principal Instruments, are senior to all other securities issued in the related transaction and are entitled to principal payments in accordance payment which principal payments paid by applying, first, interest proceeds in accordance with a fixed payment schedule, which principal payments are paid by applying, first, interest proceeds available, and second, principal proceeds available. and second, principal proceeds available, "CDO Securities" means collateralized debt obligations (including, without limitation, any synthetic Securities" collatemlized obligations without any Structured collateralized loan which categorized collateralized debt obligations or collateralized loan obligations) which may be categorized as CDO Structured obligations collateralized Preferred Product Securities, CDO RMBS Securities, Collateralized Loan Securities and CDO Trust Preferred Securities. Collateralized Loan Securities Product "CDO Structured Product Securities" means CDO Securities that entitle the holders thereof to receive Securities" thereof of payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of payments categories of proceeds to holders of such CDO Securities) on the cash flow from a portfolio diversified among categories of REIT Residential Mortgage-Backed Securities, Commercial Mortgage-Backed Securities, REIT Debt Securities, AssetMortgage-Backed Residential Mortgage-Backed CDO Backed Securities and CDO Securities or any combination of more than one of the foregoing or solely of CDO combination Backed Securities (and which may include liInited amounts of corpomte securities),? generally having the following corporate securities), generally limited Securities schedule contractual chamcteristics: (i) repayment thereof can vary substantially from the contractual payment schedule (if any), with thereof characteristics: (i) issuers or specific early prepayment of individual debt securities depending on numerous factors specific to the particular issuers or individual early prepayment rate, such at obligors and upon whether, in the case of loans or securities bearing interest at a fixed mte, such loans or securities or securities whether, in the obligors and include an effective prepayment premium, and (ii) proceeds from such repayments can for a limited period and premium, and (ii) proceeds from such repayments can for a limited period and include an loans and/or debt securities. subject to compliance with certain eligibility criteria be reinvested in additional loans andlor debt securities. eligibility criteria be reinvested in compliance with subject that entitle the holder thereof receive payments "CDO Trust Preferred Securities" means CDO Securities that entitle the holder thereof to receive payments Securities" means CDO "CDO Trust of proceeds to that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to to assure the servicing or timely for rights or other assets designed that depend holders of such CDO Securities) on the cash flow from a portfolio of trust preferred securities issued by bank, thrift, issued by bank, a portfolio of trust CDO Securities) on the cash flow of such other depository institutions or trust subsidiaries. other depository institutions or trust subsidiaries. "Class" means each class of Secured Notes having the same Stated Maturity and same alphabetical (but not "Class" means each class of Secured Notes having the same Stated Maturity and same alphabetical (but not necessarily numerical) designation of any of"S", "A", "B", "C", or "D" as a single class and the Income Notes as a necessarily numerical) designation of any of "S", "A", "B", "C", or "D" as a single class and the Income Notes as a single class. single class. "Class A Adjusted Overcollatemlization Ratio" means, with respect to any Detennination Date, the "Class A Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the Adjusted Net Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class Adjusted Net Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class A-4 A-4 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912698 GS MBS-E-000912698 Footnote Exhibits - Page 5797 A Notes after giving effect to payments to be made on the succeeding Payment Date in accordance with the Priority A Notes after giving effect to payments to be made on the succeeding Payment Date in accordance with the Priority of Payments. of Payments. "Class A Note Redemption Price" shall equal (i) in the case of the Class A-Ia Notes, the Class A-laNote "Class A Note Redemption Price" shall equal (i) in the case of the Class A-la Notes, the Class A-la Note Redemption Price, (ii) in the case of the Class A-lb Notes, Class A-lb Note Redemption Price and (iii) in the case Redemption Price, (ii) in the case of the Class A-lb Notes, Class A-lb Note Redemption Price and (iii) in the case of the Class A-2 Notes, the Class A-2 Note Redemption Price. of the Class A-2 Notes, the Class A-2 Note Redemption Price. "Class A-I Note Redemption Price" shall equal (i) in the case of the Class A-la Notes, the Class A-Ia Note "Class A-1 Note Redemption Price" shall equal (i) in the case of the Class A-la Notes, the Class A-la Note Redemption Price and (ii) in the case of the Class A-lb Notes, the Class A-lb Note Redemption Price. Redemption Price and (ii) in the case of the Class A-Ib Notes, the Class A-lb Note Redemption Price. "Class A-Ia Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR "Class A-la Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR for such Interest Accrual Period plus 0.32%. for such Interest Accrual Period plus 0.32%. "Class A-Ia Note Redemption Price" shall equal (i) the outstanding principal amount of the Class A-Ia "Class A-la Note Redemption Price" shall equal (i) the outstanding principal amount of the Class A-la Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) but excluding Redemption Date. any) to but excluding the Redemption Date. "Class A-Ib Note Interest Rate" means, each Interest Accrual Period, per annum rate equal to LIBOR "Class A-lb Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LBOR such Interest Accrual Period plus . for such Interest Accrual Period plus 0.65%. "Class A-lb Note Redemption Price" shall equal the outstanding principal amount of the A-lb "Class A-lb Note Redemption Price" shall equal (i) the outstanding principal amount of the Class A-lb (ii) accrued unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if Notes plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if to but excluding the Redemption any) to but excluding the Redemption Date. "Class A-2 Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR Interest Rate" means, each Interest Accrual per annum LIBOR "Class A-2 for such Interest Accrual Period plus 0.90%. such Accrual A-2 Notes "Class A-2 Redemption the outstanding principal "Class A-2 Note Redemption Price" shall equal (i) the outstanding principal amount of the Class A-2 Notes Defaulted plus (ii) accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) accrued unpaid interest Defaulted Interest excluding to but excluding the Redemption Date. Determination "Class B Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the respect Overcollateralization Adjusted Net Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class Collateral Balance divided applicable A Notes and the Class B Notes, after giving effect to payments or reductions, as applicable to be made on the payments succeeding Payment Date in accordance with the Priority of Payments. accordance succeeding LIBOR "Class B Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIB OR for "Class such Interest Accrual Period plus 1.75%. 1.75%. "Class B Note Redemption Price" shall equal (i) the outstanding principal amount of the Class B Notes, the (i) shall "Class if plus (ii) accrued interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) to, but plus (ii) accrued excluding, the Redemption Date. the any Determination Date, "Class C Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the Overcollateralization Ratio" C A Outstanding Adjusted Net Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class A Balance divided Adjusted as applicable, to Notes, the Class B Notes and the Class C Notes, after giving effect to payments or reductions, as applicable, to be after giving effect payments Class and Class B Notes, of Payments. made on the succeeding Payment Date in accordance with the Priority of Payments. the Payment Date accordance made on "Class C Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR for Accrual Period, a per annum rate equal to LIBOR for Rate" means, for each "Class such Interest Accrual Period plus 5.50%. Period plus 5.50%. such Interest principal amount the Class C "Class C Note Redemption Price" shall equal the sum of (i) the outstanding principal amount of the Class C the sum of (i) the "Class Note Redemption Price" shall Notes (including any Class C Deferred Interest) plus (ii) accrued interest thereon (including any Defaulted Interest Notes (including any Class C Deferred Interest) plus (ii) accrued interest thereon (including any Defaulted Interest and any interest on Defaulted Interest, if any) to but excluding the Redemption Date. and any interest on Defaulted Interest, if any) to but excluding the Redemption Date. A-5 A-5 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912699 GS MBS-E-000912699 Footnote Exhibits - Page 5798 "Class D Adjusted Overcollateralization Ratio" means, with respect to any Detennination Date, the "Class D Adjusted Overcollateralization Ratio" means, with respect to any Determination Date, the AdjustedNet Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class A Adjusted Net Outstanding Portfolio Collateral Balance divided by the Aggregate Outstanding Amount of the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes, after giving effect to payments or reductions, as Notes, the Class B Notes, the Class C Notes and the Class D Notes, after giving effect to payments or reductions, as applicable, to be made on the succeeding Payment Date in accordance with the Priority of Payments. applicable, to be made on the succeeding Payment Date in accordance with the Priority of Payments. "Class D Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR for "Class D Note Interest Rate" means, for each Interest Accrual Period, a per annum rate equal to LIBOR for such Interest Accrual Period plus 4.00%. such Interest Accrual Period plus 4.00%. "Class D Note Redemption Premium" means on each Payment Date commencing with the Payment date in "Class D Note Redemption Premium" means on each Payment Date commencing with the Payment date in July 2010, the product of (i) the Aggregate Outstanding Amount of the Class D Notes and (ii) the percentage 2010, the product of (i) the Aggregate Outstanding Amount of the Class D Notes and (ii) the percentage July corresponding to the related Payment Date according to the table below: corresponding to the related Payment Date according to the table below: July 2010 July 2010 August 2010 August 2010 September 2010 September 2010 October 2010 October 2010 November 2010 November 2010 December 2010 December 2010 January 2011 January 2011 February 2011 February 2011 March 2011 March 2011 April 2011 May 2011 May 2011 June 2011 Each Payment Date after June 2011 after 2011 1.10% 1.10% 1.01% 1.01% 0.92% 0.92% 0.83%' 0.83% 0.73% 0.73% 0.64% 0.64% 0.55% 0.55% 0.46% 0.46% 0.37% 0.28% 0.18% 0.09% 0.00% "Class D Note Redemption Price" shall equal the sum of (i) the outstanding principal amount of the Class Redemption Price" principal "Class Deferred (ii) accrued (including D Notes (including any Class D Deferred Interest) plus (ii) accrued interest thereon (including any Defaulted Defaulted any) Redemption (iii) Interest and any interest on Defaulted Interest, if any) to but excluding the Redemption Date plus (iii) the Class D Interest Note Redemption Premium (if any). "Class D Notes Amortizing Principal Amount" means an amount equal to the lesser of (a) with respect to under the first Payment Date the excess, if any, of any Proceeds remaining after payment of all amounts payable Under clauses (i) through (,."Vi) of the Priority of Payments and (b) the product of the remaining principal balance of the (b) product (xvi) (i) (calculated 5% Class D Notes after giving effect to clauses (i) through (xvi) in the priority of payments, 5% per annum (calculated of in giving Class D based upon a 360-day year and the actual number of days in each Interest Accrual Period) with respect to each of the actual based Interest Accrual Period. plus Class S "Class S Note Redemption Price" means (i) the outstanding principal amount of the Class S Notes pIllS (ii) amount of (i) the "Class S Defaulted Interest, any) to but and accrued and unpaid interest thereon (including Defaulted Interest and interest on Defaulted Interest, if any) to but (including excluding the Redemption Date. equal LIBOR for a per annum "Class S Note Interest Rate" means, for each Interest Accrual Period, a per anrium rate equal to LIB OR for Interest Accrual means, for "Class S Note Interest such Interest Accrual Period plus 0.20%. 0.20%. Period such (i) "Class S Notes Amortizing Principal Amount" means an amount equal to the lesser of (a) the sum of (i) an amount equal'to the lesser of (a) the Principal Amount" "Class S Notes subsequent Payment Date, U.S.$34,583.33 with respect to the first Payment Date, U.S.$O and with respect to each subsequent Payment Date, U.S.$34,583.33 with respect to first Payment Date, U.S.$0 with respect to were due on any prior and (ii) the aggregate amount of any Class S Notes Amortizing Principal Amounts that were due on any prior S Notes Amortizing Principal Amounts and (ii) the aggregate amount of any of the remaining principal Payment Date and not paid on one or more prior Payment Dates, and (b) the remaining principal balance of the and (b) and not paid on one or more prior Payment Payment Class S Notes. Class S Notes. "Closing Date" means March 20, 2007. "Closing Date" means March 20, 2007. A-6 A-6 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912700 GS MBS-E-000912700 Footnote Exhibits - Page 5799 "CMBS Conduit Securities" means Commercial Mortgage Backed Securities that entitle the holders thereof "CMBS Conduit Securities" means Commercial Mortgage Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely receive payments that depend (except for rights or other assets designed to assure the servicing or timely to distribution of proceeds to holders of such Commercial Mortgage Backed Securities) on the cash from a pool distribution of proceeds to holders of such Commercial Mortgage Backed Securities) on the cash flow from a pool of commercial mortgage loans. of commercial mortgage loans. "CMBS Credit Tenant Lease Securities" means Commercial Mortgage Backed Securities (other than "CMBS Credit Tenant Lease Securities" means Commercial Mortgage Backed Securities (other than CMBS Large Loan Securities and CMBS Conduit Securities) that entitle the holders thereof receive payments CMBS Large Loan Securities and CMBS Conduit Securities) that entitle the holders thereof to receive payments assets designed to assure the servicing timely distribution of proceeds that depend (except rights that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Commercial Mortgage Backed Securities) on the cash flow from a pool of commercial mortgage holders of such Commercial Mortgage Backed Securities) on the cash flow from a pool of commercial mortgage on loans to fInance the construction and improvement of properties leased to corporate tenants loans made to finance the acquisition, construction and improvement of properties leased to corporate tenants (or on cash such leases). the cash flow from such leases). "CMBS Large Securities" means Commercial Mortgage Backed Securities (other CMBS "CMBS Large Loan Securities" means Commercial Mortgage Backed Securities (other than CMBS Conduit Securities and CMBS Credit Tenant Lease Securities) that entitle the holders thereof to receive payments CMBS Tenant Lease Securities) entitle the holders thereof to receive payments Conduit Securities that depend (except rights or other assets designed to assure servicing or timely distribution proceeds to that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to of Commercial Mortgage the cash flow commercial mortgage Securities) holders of such Commercial Mortgage Backed Securities) on the cash flow from a commercial mortgage loan or a commercial mortgage made the construction improvement properties. pool of conunercial mortgage loans made to finance the acquisition, construction and improvement of properties. commercial loans shall account more than 20% of aggregate principal Generally, five or fewer commercial mortgage loans shall account for more than 20% of the aggregate principal fIve or Generally, balance the entire pool commercial mortgage supporting balance of the entire pool of commercial mortgage loans supporting payments on the securities. "CMBS Repackaging Securities" means entitles holders thereof to payments "CMBS Repackaging Securities" means a security that entitles the holders thereof to receive payments that Securities depend on the cash flow from a portfolio of all (100%) CMBS Securities, REIT Debt Securities and other interests cash (100%) CMBS Securities, interests commercial mortgage similar commercial in commercial mortgage loans or similar colmnercial real estate interests Eligible Investments, Collateral "Collateral Amount" amount "Collateral Account Amount" means, the par amount of Eligible Investments, Collateral Securities, deposit Collateral Account; provided. Principal principal payments thereon Principal Proceeds and principal payments received thereon on deposit in the Collateral Account; provided, Collateral Account Interest however, that the Collateral Account Amount shall not include any Interest Proceeds. "Collateral Administration Agreement" means the Collateral Administration Agreement, dated as of the Administration Agreement" "Collateral supplemented Closing Date, between the Issuer and the Collateral Administrator, as the same may be amended, supplemented or between otherwise modified from time to time in accordance with its terms. accordance successor "Collateral Administrator" means LaSalle Bank National Association, or any successor? Collateral LaSalle "Collateral Administrator" Administrator under the Collateral Administration Agreement Collateral Administration Agreement "Collateral Asset" means a Collateral Security, Eligible Investment or Delivered Obligation. Investment Delivered "Collateral "Collateralized Loan Securities" means CDO Securities that entitle the holders thereof to receive payments Securities Securities" means "Collateralized to or that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to of at market holders of such securities) on the cash flow from (and not the mruket value of) a portfolio of at least 80% by such principal balance of commercial loans. "Collateral Liquidation Procedure" means, where specified in connection with the payment of any amount, with specified in Procedure" "Collateral the applying such. amount shall be drawn from the Collateral Account (i) first, by applying cash amounts on deposit in the the Collateral Account (i) first, drawn such amount Collateral Account that were received as principal payments on the Collateral Securities and Eligible Investments, Investments, the to zero, by the Collateral Account (ii) second, once the amount of such cash on deposit in the Collateral Account has been reduced to zero, by on the amount (ii) second, balance of third, once the liquidating Eligible Investments in the Collateral Account and (iii) third, once tlle principal balance of Eligible Collateral in Eligible liquidating reduced Investments on deposit in the Collateral Account has been reduced to zero, by liquidating Collateral Securities on the Collateral Account has Investments (b) amount specified for such payment lesser of deposit in the Collateral Account; in each case, up to the lesser of (a) the anlount specifIed for such payment and (b) in each case, Collateral in to the extent (i) pursuant to the amount and principal balance available in the Collateral Account pursuant to subclause (i) and, to the extent in available amount and . . necessary, subclause (ii), then subclause (iii). necessary, subclause (ii), meeting the "Collateral Securities" means securities or other collateral purchased by the Issuer meeting the Collateral means securities or other collateral purchased "Collateral using the principal payments time to Securities Eligibility Criteria using the proceeds of the Notes and from time to time using the principal payments Eligibility Criteria using the proceeds of the Notes Indenture. thereon and securing the Issuer's obligations under the Credit Default Swap and the Indenture. Default Swap under the thereon and securing the Issuer's A-7 A-7 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912701 GS MBS-E-000912701 Footnote Exhibits - Page 5800 "Collateral Securities Substitution Information Notice" means notice from the Trustee or the Fiscal "Collateral Securities Substitution Information Notice" means aa notice from the Trustee or the Fiscal Agent, as applicable, to an Originating Noteholder notifying such Originating Noteholder of the BIE Transaction as applicable, to an Originating Noteholder notifying such Originating Noteholder of the BlE Transaction Agent, Cost relating to each proposed BlE Collateral Security Cost relating to each proposed BIE Collateral Security. . . "Collateral Securities Substitution Noteholder Refusal Notice" means aa notice from the Trustee or the "Collateral Securities Substitution Noteholder Refusal Notice" means no~ce from the Trustee or the Fiscal Agent as applicable, to an Originating Noteholder notifying such Originating Noteholder that the Holders of Agent; as applicable, to an Originating Noteholder notifying such Originating Noteholder that the Holders of Fiscal a Majority of Class of Notes did not approve of 'one or more proposed BlE Collliteral Securities by the BlE a Majority of aa Class of Notes did not approve of one or more proposed BIE Collateral Securities by the BIE Notification Date. Notification Date. "Collateral Securities Substitution Request Notice" means a notice from an Originating Noteholder to the "Collateral Securities Substitution Request Notice" means a notice from an Originating Noteholder to the Trustee or the Fiscal Agent, as applicable, (i) requesting the substitution of one or more BlE Collateral Securities for Trustee or the Fiscal Agent, as applicable, (i) requesting the substitution of one or more BIE Collateral Securities for .one or more existing Collateral Assets, (ii) identifying each Collateral Security and the par amount to be substituted, one or more existing Collateral Assets, (ii) identifying each Collateral Security and the par amount to be substituted, (iii) identifying each proposed BlE Collateral Security and the par amount and (iv) any other information that such (iii) identifying each proposed BIE Collateral Security and the par amount and (iv) any other information that such Originating Noteholder deems relevant. Originating Noteholder deems relevant. "Commercial Mortgage-Backed Securities" or means securities backed by obligations (including "Commercial Mortgage-Backed Securities" or "CMBS" means securities backed by obligations (including certificates of participation in obligations) that are principally secured by mortgages on real property or interests certificates of participation in obligations) that are principally secured by mortgages on real property or interests therein having a multifamily or commercial use, such as regional malls, other retail space, office buildings, therein having a multifamily or commercial use, such as regional malls, other retail space, office buildings, industrial warehouse properties, nursing homes and senior living centers and shall include, without industrial or warehouse properties, hotels, nursing homes and senior living centers and shall include, without limitation, CMBS Conduit Securities, CMBS Credit Tenant Lease Securities, CMBS Large Loan Securities and limitation, CMBS Conduit Securities, CMBS Credit Tenant Lease Securities, CMBS Large Loan Securities and CMBS Repackaging Securities. CMBS Repackaging Securities. "Controlling Class" the Class Class A-la Notes, Class A-Ib Class "Controlling Class" will be the Class S Notes, the Class A-la Notes, the Class A-lb Notes and the Class AA-lb and Class A-2 Notes together 2 Notes 2 Notes (the Class S Notes, the Class A-la Notes, the Class A-lb Notes and the Class A-2 Notes voting together as a any or A Notes outstanding; Notes Class single class), long single class), for so long as any Class S Notes or Class A Notes are outstanding; if no Class S Notes or Class A long B are outstanding; if Notes are outstanding, then the Class B Notes, so long as any Class B Notes are outstanding; if no Class S Notes, are outstanding, the Class Notes Class A Notes Class Class A Notes or Class B Notes are outstanding, then the Class C Notes, so long as any Class C Notes are if Class outstanding, then outstanding; outstanding; and if no Class S Notes, Class A Notes, Class B Notes or Class C Notes are outstanding, then the Class D Notes, so Class D Notes, so long any Class D Notes are outstanding. "Corporate Trust Office" means the principal corporate trust office of the Trustee, currently located at 181 Office" corporate office currently located "Corporate Mezzanine W. Madison Street, Chicago, Illinois 60602, Attention: CDO Trust Services Group - Anderson Mezzanine Funding Services W. Madison 2007-1, Ltd., or such other address as the Trustee may designate may designate from time to time by notice to the address Tmstee 2007-1, Noteholders, the Liquidation Agent and the Issuers or the principal corporate trust office of any successor Trustee. Liquidation principal "Credit Default Swap" means tlle credit default swap entered into by the Issuer, as Credit Protection Seller, Seller, Issuer, the credit "Credit Default and Goldman Sachs International, as Credit Protection Buyer, on the Closing Date, evidenced by an ISDA Master on International, as Credit Agreement (Multicurrency Cross Border) and the Master Confirmations. and the (Multicurrency Cross Swap. "Credit Default Swap Early Termination Date" has the meaning set forth in the Credit Default Swap. Credit set forth in has "Credit Default Swap Termination Payment" means any termination or assigrunent payment required to be Payment" means any termination or assignment payment Default Swap avoidance of Swap. paid by the Issuer in the event of a termination or assignment of the Credit Default Swap. For the avoidance of the assigrunent in paid by the event of a doubt, no termination payments or assigrunent payments are required to be paid by the Issuer in the event of a required to be paid or assignment payments doubt, no termination or assignment of the Credit Default Swap in respect of which the credit Protection Buyer is the of which the Credit Protection Buyer is the Default Swap in the termination or assignment "Defaulting Party" or the sole""Affected Party" (each as defined in the Credit Default Swap). (each as defined in the Credit Default Swap). "Defaulting Party" or the sole Affected "Credit Protection Amounts" means Physical Settlement Amounts, Writedown Amounts, Principal "Credit Protection Amounts" means Physical Settlement Amounts, Writedown Amounts, Principal Shortfall Amounts and Credit Default Swap Termination Payments (which, for the avoidance of doubt, will not Shortfall Amounts and Credit Default Swap Termination Payments (which, for the avoidance of doubt, will not include Defaulted Swap Termination Payments) payable by the Issuer to the Credit Protection Buyer. include Defaulted Swap Termination Payments) payable by the Issuer to the Credit Protection Buyer. "Credit Protection Buyer" means Goldman Sachs International and, if Goldman Sachs International is no "Credit Protection Buyer" means Goldman Sachs International and, if Goldman Sachs International is no longer the Credit Protection Buyer, any entity required to make payments on the Credit Default Swap pursuant to the longer the Credit Protection Buyer, any entity required to make payments on the Credit Default Swap pursuant to the terms of the Credit Default Swap or any guarantor thereof. terms of the Credit Default Swap or any guarantor thereof. A-8 A-8 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912702 GS MBS-E-000912702 Footnote Exhibits - Page 5801 "Default" means any Event of Default or any occurrence that is, or with notice or the lapse of time or both "Default" means any Event of Default or any occurrence that is, or with notice or the lapse of time or both would become, an Event of Default. become; an Event of Default. would "Defaulted Obligation" means any Reference Obligation or Delivered Obligation with respect to which: "Defaulted Obligation" means any Reference Obligation or Delivered Obligation with respect to which: (i) . there has occurred and is continuing for the lesser of three (3) Business Days and any there has occurred ilIld is continuing for the lesser of three (3) Business Days and any (i) applicable grace period, a default with respect to the payment of interest or principal on such Reference applicable grace period, a default with respect to the payment of interest or principal on such Reference Obligation or Delivered Obligation in accordance with its terms; provided that, the Reference Obligation or Obligation or Delivered Obligation in accordance with its terns; provided that, the Reference Obligation or Delivered Obligation shall not constitute a Defaulted Obligation if and when such default has been cured Delivered Obligation shall not constitute a Defaulted Obligation if and when such default has been cured through the payment of all past due interest and principal or waived; through the payment of all past due interest and principal or waived; (ii) (ii) written written down; the Principal Balance of such Reference Obligation or Delivered Obligation has been the Principal Balance of such Reference Obligation or Delivered Obligation has been (iii) the Trustee has received notice of any bankruptcy, insolvency or receivership proceeding the Trustee has received notice of any bankruptcy, insolvency or receivership proceeding (iii) has been initiated in connection with the issuer of such Reference Obligation or Ddivered Obligation and is has been initiated in connection with the issuer of such Reference Obligation or Delivered Obligation and is unstayed and undisrnissed; provided, if such proceeding is an involuntary proceeding, the condition of unstayed and undismissed; provided, that, if such proceeding is an involuntary proceeding, the condition of this clause (iii) be satisfied until the earliest of the following: (I) consents to such this clause (iii) will not be satisfied until the earliest of the following: (I) the issuer consents to such United States Bankruptcy Code, any similar order under proceeding, (II) an order for relief under proceeding, (II) an order for relief under the United States Bankruptcy Code, or any similar order under a proceeding taking place the United States Bankruptcy has been (Ill) such proceeding not taking place under the United States Bankruptcy Code, has been entered, and (III) such proceeding remains unstayed undisrnissed 60 days; or . proceeding remains unstayed and undismissed for 60 days; or lower, (iv) such Reference Obligation Delivered Obligation has S&P Rating such Reference Obligation or Delivered Obligation has an S&P Rating of "CC" or lower, (iv) or if withdraws rating the withdrawal? is "D" or "SD" or, if S&P withdraws its rating and the S&P Rating at the time of withdrawal is "CCC" or Moody's Ratingof lower or below Reference Obligation Delivered Obligation below or such Reference Obligation or Delivered Obligation has a Moody's Rating of "C" or lower or "Ca". "Defaulted Swap Termination Payment" means any Credit Default Swap Termination Payment required by Termination means Swap Termination Payment required "Defaulted notwithstanding a bankruptcy court or receiver (in a proceeding at law or in equity) to be paid by the Issuer notwithstanding the bankruptcy by Credit termination Default Swap respect terms of the Credit Default Swap in the event of a termination or assignment of the Credit Default Swap in respect "Affected Party" of which the Credit Protection Buyer is the "Defaulting Party" or the sole "Affected Party" (each as defined in the Protection "Defaulting Party" defmed Credit Default Swap). Rating "Baa3" "Deferred Interest (1) "Deferred Interest PIK Bond" means a PIK Bond that (1) has an Actual Rating of "Baa3" or above by Moody's and makes payments less frequently than monthly and has deferred interest in an amount equal to the year, or (2) amount of interest that would accrue over the shorter of two payment periods or one year, or? (2) has an Actual Rating of "Baa3" or above by Moody's and makes payments on a monthly basis and has deferred interest in an "Baa3" (A) amount equal to the amount of interest that would accrue over the shorter of (i) one year and (ii) the longer of (A) (i) (3) (B) six . the number of months between any two consecutive deferrals of interest and (B) six months or (3) has an Actual of consecutive between Rating of"Bal" or below by Moody's and makes payments less frequently than monthly and has deferred interest in of "Bal" an amount equal to the amount of interest that would accrue over the shorter of one payment period or six months, a monthly or (4) has an Actual Rating of"Bal" or below by Moody's and makes payments on a monthly basis and has deferred makes by of "Bal" an provided that interest in an amount equal to the amount of interest that would accrue over three months; provided that such PIK to of interest Bond would no longer be a Deferred Interest PIK Bond once payment of interest has resumed and all capitalized or a Deferred Interest documents. deferred interest has been paid in full in accordance Witll the underlying documents. with full has "Deliverable Obligation" means an obligation which, pursuant to the terms of the Credit Default Swap, Credit Default Swap, to the terms of obligation which, "Deliverable Obligation" means Event. may be delivered to the Credit Protection Seller as a result of a Credit Event. of Seller as be of "Delivered Obligation" means any Deliverable Obligation delivered to tlle Issuer pursuant to a Notice of Deliverable Obligation delivered to the Issuer pursuant "Delivered Obligation" means Physical Settlement under the Credit Default Swap. Credit Default Swap. under Physical "Delivery Date" means the date on which a Deliverable ObligatiQn is delivered to the Issuer pursuant to the "Delivery Date" means the date on which a Deliverable Obligation is delivered to the Issuer pursuant to the Credit Default Swap. Credit Default Swap. A-9 A-9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912703 GS MBS-E-000912703 Footnote Exhibits - Page 5802 "Distnbution Compliance Period" means, with respect to the Notes, the period that ends 40 days after the "Distribution Compliance Period" means, with respect to the Notes, the period that ends 40 days after the later of (i) the commencement of the offering of the Notes and (ii) the Closing Date. later of (i) the commencement of the offering of the Notes and (ii) the Closing Date. "Double B Calculation Amount" means the sum of the products of (a) the Principal Balance of each Double "Double B Calculation Amount" means the sum of the products of (a) the Principal Balance of each Double B Rated Asset and (b) 90%. B Rated Asset and (b) 90%. "Double B Rated Asset" means any Collateral Asset or Reference Obligation with an Actual Rating or "Double B Rated Asset" means any Collateral Asset or Reference Obligation with an Actual Rating or ImpliedRating from S&P less than "BBB-" but with an Actual Rating greater than "B+" or with an Actual Rating or Rating from S&P less than "BBB-" but with an Actual Rating greater than "B+" or with an Actual Rating or Implied Implied Rating from Moody's less than "Baa3" but with an Actual Rating greater than "B 1." Implied Rating from Moody's less than "Baa3" but with an Actual Rating greater than "B L." "Eligible Bidders" are (i) any institutions, which may include affiliates of the Initial Purchaser or the "Eligible Bidders" are (i) any institutions, which may include affiliates of the Initial Purchaser or the Liquidation Agent and Holders of the Secured Notes and the Income Notes, whose short-term unsecured debt Liquidation Agent and Holders of the Secured Notes and the Income Notes, whose short-term unsecured debt obligations have a rating of at least "P 1" by Moody's or "A-I +" by S&P and (ii) the Liquidation Agent. obligations have a rating of at least "P 1"by Moody's or "A-1+" by S&P and (ii) the Liquidation Agent. "Eligible Depositary" shall be a financial institution organized under the laws of the United States or any "Eligible Depositary" shall be a financial institution organized under the laws of the United States or any state thereof, authorized to accept deposits, having a combined capital and surplus of at least U.S.$200,000,000, and thereof, authorized to accept deposits, having a combined capital and surplus of least U.S.$200,000,000, and state having (or if its obligations are guaranteed by its parent company, its parent having), a long term debt rating of at having (or if its obligations are guaranteed by its parent company, its parent having), a long term debt rating of at downgrade) and "AA-" by S&P and least "Baal" by Moody's (and if rated "Baal", such rating is not on watch least "Baal" by Moody's (and if rated "Baal", such rating is not on watch for downgrade) and "AA-" by S&P and a short term debt rating of"P 1" by Moody's (and not on watch downgrade) and at least "A-l+" short term debt rating of "P 1"by Moody's (and not on watch for downgrade) and at least "A-1+" by S&P. "Eligible Investment" means U.S. Dollar-denominated investment at the time delivered to the "Eligible Investment" means any U.S. Dollar-denominated investment that, at the time it is delivered to the Trustee, one or more the following obligations securities (including security entitlements with respect Trustee, is one or more of the following obligations or securities (including security entitlements with respect thereto): (i) direct Registered obligations and Registered obligations guaranteed the United States or thereto): (i) direct Registered obligations of, and Registered obligations fully guaranteed by, the United States or any agency or instrumentality of the United States the obligations of which are expressly backed by the full faith and agency or instrumentality of United States obligations which are backed the full and any credit of demand deposits certificates banker's acceptances credit of the United States; (ii) demand and time deposits in, certificates of deposit of, or banker's acceptances company incorporated in the or any state which issued by, depository institution or issued by, any depository institution or trust company incorporated in the United States or any state thereof, which examination state authorities, with depository institution or trust company depository institution or trust company is subject to supervision and examination by federal or state authorities, with "A-l+" a maturity not in excess 183 by "AA-", a maturity not in excess of 183 days; and with a credit rating by S&P of at least "A-l+" or at least "AA-", as least "Aa3" "Aa3", for applicable, a credit rating by Moody's of at least "P 1" or at least "Aa3" (and if rated "Aa3", not on watch for 1" applicable, a credit rating by Moody's at le&St "A-i" downgrade), as applicable, in the case of a maturity in excess of 30 days, or a credit rating by S&P of at least "A-I" case downgrade), as applicable, and a credit rating by Moody's of at least "p 1" (and not on watch for downgrade) in the case of a maturity of less Moody's downgrade) less "P 1" and a credit rating clause (i) (b) than 30 days; (iii) repurchase obligations with respect to (a) any security described in clause (i) above or (b) any obligations than 30 days; (iii) with a other security issued or guaranteed by an agency or instrumentality of the United States, entered into Witll a guaranteed other security corporation depository institution or trust company descnbed in clause (ii) above or entered into with a corporation whose long(ii) described depository institution "AAdowngrade) term senior unsecured rating is at least "AI" (and if rated "AI", not on watch for downgrade) by Moody's and "AA"Al", "Al" term senior unsecured "A-I" "by S&P and whose short-term credit rating is "P 1" (and not on watch for downgrade) by Moody's and "A-I" by 1" " by S&P and whose short-term S&P at the time of such investment, with a term not in excess of 91 days; (iv) Registered debt securities bearing S&P at the time state of interest or sold at a discount issued by any corporation incorporated under the laws of the United States or any state any interest or sold at discount issued "P 1" (and not on thereof that have a credit rating of at least" Aa3" (and if rated" Aa3", not on watch for downgrade) or "P I" (and not if rated "Aa3", at least "Aa3" thereof that have a other (v) on watch for downgrade) by Moody's and "AA-" or "A-I" by S&P; (v) commercial paper or otller short-term "A-i" "AA-" Moody's on watch for downgrade) obligations of a corporation, partnership, limited liability company or trust, or any branch or agency thereof located company or trust, any branch or agency thereof liability obligations of a corporation, a credit short-term obligations in the United States or any of its territories, such commercial paper or other short-term obligations having a credit such in the United States or any of its Registered and either that rating of "P 1" (and not on watch for downgrade) by Moody's and "A-I" by S&P, and that are Registered and either rating of "P l" (and not on watch for downgrade) by Moody's and "A-i" by are interest bearing or are sold at a discount from the face amount thereof and have a maturity of not more than 91 are interest bearing or are sold at a discount from the face amount thereof and have maturity of not more than 91 days from their date of issuance; and (vi) offshore money market funds which have a credit rating of not less than days from their date of issuance; and (vi) offshore money market funds which have a credit rating of not less than "AaaJMRl+" by Moody's and "AAA" or "AAAm" or "AAAm-G" by S&P, provided however, that each rating in or "AAAni" or "AAAm-G" by S&P, provided however, that each rating in "Aaa/MR1+" by Moody's and clauses (iii) through (vi) above by Moody's or S&P shall be an Actual Rating and provided further, that any such clauses (iii) through (vi) above by Moody's or S&P shall be an Actual Rating and providedfurther, that any such investment purchased on the basis of S&P's short-term rating of "A-I" shall mature no later than 30 days after the investment purchased on the basis of S&P's short-term rating of "A-I" shall mature no later than 30 days after the .date of purchase and may not, other tltan overnight investments from LaSalle Bank National Association (so long as date of purchase and may not, other than overnight investments from LaSalle Bank National Association (so long as LaSalle Bank National Association (1) is the Trustee under the Indenture and (2) has a short-term rating from S&P LaSalle Bank National Association (1) is the Trustee under the Indenture and (2) has a short-term rating from S&P of at least "A-I"), exceed 20% of the Aggregate Outstanding Amount of the Notes rated by S&P. Eligible of at least "A-i"), exceed 20% of the Aggregate Outstanding Amount of the Notes rated by S&P. Eligible Investments shall not include any RMBS, CMBS, any inverse floater, any security subject to withholding tax if Investments shall not include any RMBS, CMBS, any inverse floater, any security subject to withholding tax if owned by the Issuer, any security subject to an offer, any interest only security, any principal only security (other owned by the Issuer, any security subject to an offer, any interest only security, any principal only security (other than treasury bills or commercial paper) or any security with aa price in excess of 100%?of par. Each such Eligible than treasury bills or commercial paper) or any security with price in excess of 100% of par. Each such Eligible Investment shall mature no later than the second Business Day iinmediately preceding the Payment Date next Investment shall mature no later than the second Business Day immediately preceding the Payment Date next following the Due Period in which the date of investment occurs, unless such Eligible Investment is issued by the following the Due Period in which the date of investment occurs, unless such Eligible Investment is issued by the A-lO A-10 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912704 GS MBS-E-000912704 Footnote Exhibits - Page 5803 institution acting as Securities Intennediary, in which event such Eligible Investment may mature on the Business institution acting as Securities Intermediary, in which event such Eligible Investment may mature on the Business Day preceding such Payment Date. Eligible Investments may include those investments with respect to which the Day preceding such Payment Date. Eligible Investments may include those investments with respect to which the Securities Intennediary, the Trustee, the Liquidation Agent or the Initial Purchaser or an affiliate of the Trustee, the Securities Intermediary, the Trustee, the Liquidation Agent or the Initial Purchaser or an affiliate of the Trustee, the Liquidation Agent or the Initial Purchaser provides services. As used in this defInition, ratings may not include Liquidation Agent or the Initial Purchaser provides services. As used in this definition, ratings may not include ratings with an "r", "p", "q", "pi" or "t" subscript. ratings with an "r", "p", "q", "pi" or "t subscript. "Exercise Amount" means the amount determined in connection with a Credit Event in accordance with the "Exercise Amount" means the amount determined in connection with a Credit Event in accordance with the related CDS Transaction. related CDS Transaction. "E).llected Fixed Payment" shall have the meaning set forth in the Credit Default Swap. "Expected Fixed Payment" shall have the meaning set forth in the Credit Default Swap. "Expected Interest Amount" means with respect to any Reference Obligation Payment Date, the amount of "Expected Interest Amount" means with respect to any Reference Obligation Payment Date, the amount of current interest that would accrue during the related Reference Obligation Calculation Period calculated using the current interest that would accrue during the related Reference Obligation Calculation Period calculated using the Reference Obligation Coupon on a principal balance of the Reference Obligation equal to: (a) the outstanding Reference Obligation Coupon on a principal balance of the Reference Obligation equal to: (a) the outstanding principal amount taking into account any reductions due to a principal defIciency balance or realized loss amount principal amount taking into account any reductions due to a principal deficiency balance or realized loss amount (however described in the underlying instruments) that are attributable to the Reference Obligation; minus (b) the (however described in the underlying instruments) that are attributable to the Reference Obligation; minus (b) the "Aggregate Implied Writedown Amount" (as such tenn is defIned in the related CDS Transaction) (if any), and that "Aggregate Implied Writedown Amount" (as such term is defined in the related CDS Transaction) (if any), and that will be payable on the related Reference Obligation Payment Date assuming for this purpose that sufficient funds are will be payable on the related Reference Obligation Payment Date assuming for this purpose that sufficient funds are available therefor in accordance with the underlying instruments, calculated in accordance with related CDS available therefor in accordance with the underlying instruments, calculated in accordance with the related CDS Transaction. "E).1Jected Principal Amount" means, with respect Amortization Date the legal fInal maturity "Expected Principal Amount" means, with respect to the Final Amortization Date or the legal final maturity amount equal Outstanding Principal Amount of Reference date of the related Reference Obligation, date of the related Reference Obligation, an amount equal to (i) the Outstanding Principal Amount of the Reference Obligation payable on such capitalized assuming purpose that sufficient are Obligation payable on such day (excluding capitalized interest) assuming for this purpose that sufficient funds are available such such amount shall be determined accordance the underlying instruments, available for such payment, where such amount shall be determined in accordance with the underlying instruments, of (A) the."Aggregate Writedown Amount" such tenn defIned related CDS minus (ii) minus (ii) the sum of (A) the "Aggregate Implied Writedown Amount" (as such term is defined in the related CDS deficiency balance and (B) aggregate amounts (however Transaction) Transaction) (if any) and (B) the net aggregate principal defIciency balance or realized loss amounts (however described in the underlying instruments) that are attributable to the Reference Obligation. For purposes hereof, the instruments) Reference described the E).llected Principal Amount shall be detennined without regard to the effect of any provisions (however described) Amount regard effect of provisions (however detennined Expected distributions of the underlying instruments that pennit the limitation of due payments or distnbutions of funds in accordance with accordance of the underlying extinguishing the temlS of such Reference Obligation or that provide for the extinguishing or reduction of such payments or payments Reference Obligation the terms distributions. Reference Obligation (i) "Final Amortization Date" means the first to occur of (i) the date on which the Reference Obligation fIrst or securing Notional Amount is reduced to zero and (ii) the date on which the assets securing the Reference Obligation or Reference otherwise liquidated, designated to fund amounts due in respect of the Reference Obligation are liquidated, distributed or otherwise amounts due in designated to disposed of in full and the proceeds thereof are distributed or otherwise disposed of in full. disposed of in full in Redemption, a Payment "Final Payment Date" means a Payment Date with respect to an Optional Redemption, a Payment Date in means a Payment Date with respect an Payment Event of Default or connection with the Stated Maturity, Tax Redemption, an Auction or redemption due to an Event of Default Redemption, Stated connection Pledged Assets. resulting in acceleration of the Secured Notes and liquidation of the Pledged Assets. liquidation of in acceleration the Secured (a) the amount equal to the "Floating Amounts" means with respect to any CDS Transaction, an amount equal to the sum of (a) the Transaction, any "Floating Amounts" means with (c) the relevant Amount (if relevant Writedown Amount (if any), (b) the relevant Principal Shortfall Amount (if any), (c) the relevant Interest relevant Writedown Amount (if any), (b) the relevant Principal Shortfall Physical Settlement Amount (if any). Shortfall Payment Amount (if any) and (d) the relevant Physical Settlement Amount (if any). (d) the Shortfall Payment Amount (if "Floating Amount Event" means with respect to any CDS Transaction, the occurrence of a Writedown, a "Floating Amount Event" means with respect to any CDS Transaction, the occurrence of a Writedown, a Failure to Pay Principal or an Interest Shortfall (as each such tenn is defIned in the related CDS Transaction) with Failure to Pay Principal or an Interest Shortfall (as each such term is defined in the related CDS Transaction) with respect to the Reference Obligation thereunder. respect to the Reference Obligation thereunder. "Holder" or "Noteholder" means, with respect to any Note the person in whose name such Note is "Holder" or "Noteholder" means, with respect to any Note the person in whose name such Note is registered, or, for purposes of voting, the granting of consents and other similar determinations under the Indenture registered, or, for purposes of voting, the granting of consents and other similar determinations under the Indenture or Fiscal Agency Agreement, as applicable, with respect to any Notes in global fonn, a beneficial owner thereof. or Fiscal Agency Agreement, as applicable, with respect to any Notes in global form, a beneficial owner thereof. "Secured Noteholder" means, with respect to any Secured Note, the Holder of such Secured Note. "Secured Noteholder" means, with respect to any Secured Note, the Holder of such Secured Note. A-ll A-11 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912705 GS MBS-E-000912705 Footnote Exhibits - Page 5804 "Implied Rating" means, in the case of rating on Collateral Asset or Reference Obligation, rating that "Implied Rating' means, in the case of aarating on aa Collateral Asset or Reference Obligation, aa rating that is detennined in accordance with the terms set forth for assets not rated by particular Rating Agency by reference is determined in accordance with the terms set forth for assets not rated by aa particular Rating Agency by reference to any publicly available, fully monitored rating by another Rating Agency that, by its terms, addresses the full to any publicly available, fully monitored rating by another Rating Agency that, by its terms, addresses the full scope of the payment promise of the obligor. scope of the payment promise of the obligor. "Income Notes Documents" means the resolutions of the Board of Directors of the Issuer authorizing the "Income Notes Documents" means the resolutions of the Board of Directors of the Issuer authorizing the execution and delivery of the Indenture, the Memorandum and Articles of Association and the Fiscal Agency execution and delivery of the Indenture, the Memorandum and Articles of Association and the Fiscal Agency Agreement. Agreement. "Interest Proceeds" means, in respect of any Payment Date, all investment income received on the "Interest Proceeds" means, in respect of any Payment Date, all investment income received on the Collateral Securities and the Eligible Investments on deposit in the Collateral Account and the Fixed Amounts Collateral Securities and the Eligible Investments on deposit in the Collateral Account and the Fixed Amounts received from the Credit Protection Buyer under the Credit Default Swap in the related Due Period, which Interest received from the Credit Protection Buyer under the Credit Default Swap in the related Due Period, which Interest Proceeds shall be deposited to the Interest Collection Account (and will not be included in the Collateral Account Proceeds shall be deposited to the Interest Collection Account (and will not be included in the Collateral Account Amount). Amount). "Interest Shortfall" means with respect to any Reference Obligation Payment Date and any Reference "Interest Shortfall" means with respect to any Reference Obligation Payment Date and any Reference Obligation, either (a) the nonpayment of an Expected Interest Amount or (b) the payment of an Actual Interest an Actual Interest Obligation, either (a) the nonpayment of an E"'Pected Interest Amount or (b) the payment Amount that less than the Expected Interest Amount, as described in the related CDS Transaction. Amount that is less than the Expected Interest Amount, as described in the related CDS Transaction. "Interest Shortfall means with respect any Reference Obligation Payment an amount "Interest Shortfall Amount" means with respect to any Reference Obligation Payment Date, an amount to the greater of: (a) zero; and the amount equal the product of: (i)(A) the Expected Interest equal to the greater of: (a) zero; and (b) the amount equal to the product of: (i)(A) the Expected Interest Amount; equal minus (8) the Actual Interest Amount; and (ii) the Applicable Percentage. minus (B) the Actual Interest Amount; and (ii) the Applicable Percentage. "Interest Shortfall means if related CDS Shortfalls as "Interest Shortfall Cap" means the cap, if any on Interest Shortfalls as set forth in the related CDS Transaction. Transaction. "Interest Shortfall Cap Amount" means the amount of any Interest Shortfall Cap as set forth in the related amount Interest related "Interest CDS Transaction. CDS Transaction. "Interest Shortfall Payment Amount" means in respect of an Interest Shortfall, the relevant Interest Payment relevant Interest "Interest exceeds Shortfall Amount; provided that, if Interest Shortfall Cap is applicable and the Interest Shortfall Amount exceeds the Shortfall Amount; provided be Interest Shortfall Cap Amount, the Interest Shortfall Payment Amount in respect of such Interest Shortfall shall be Am~unt Interest Shortfall the Interest Shortfall Cap Amount. "Interest Shortfall Reimbursement" means with respeCt to any Reference Obligation Payment Date, the with respect "Interest Shortfall Reimbursement" Reference Obligation payment by or on behalf of the Reference Entity of an Actual Interest Amount in respect of the Reference Obligation payment by or on behalf of the Reference that is greater than the Expected Interest Amount. Expected Interest Amount. than that is to any "Interest Shortfall Reimbursement Payment" means with respect to any Reference Obligation Payment Shortfall Applicable day and (b) Date, the product of (a) the amount of any Interest Shortfall Reimbursement on such day and (b) the Applicable any Interest Shortfall Reimbursement Date, the product of Percentage. Percentage. "Interest Shortfall Reimbursement Payment Amount" means, (a) if Interest Shortfall Cap is not applicable, not "Interest Shortfall Reimbursement Payment Amount" means, (a) if Interest the the relevant Interest Shortfall Reimbursement Amount, and (b) if Interest Shortfall Cap is applicable, the amount Amount, and (b) if Interest Shortfall Cap is the relevant Interest Shortfall the aggregate of all Interest determined pursuant to the related CDS Transaction; provided, in either case, that the aggregate of all Interest Transaction; provided, either case, determined pursuant to the related CDS the basis that "Interest Shortfall Shortfall Reimbursement Payment Amounts (determined for this purpose on the basis that "Interest Shortfall Shortfall Reimbursement Payment Amounts (determined for this purpose Compounding" is not applicable) at any time shall not exceed the aggregate of Interest Shortfall Payment Amounts Compounding" is not applicable) at any time shall not exceed the aggregate of Interest Shortfall Payment Amounts of any such Additional paid by the Issuer in respect of Interest Shortfalls occurring prior to the date of payment of any such Additional paid by the Issuer in respect of Interest Shortfalls occurring prior to the date of Fixed Amount. Fixed Amount. "Issue" of a Collateral Asset or Reference Obligation means any such Collateral Asset or Reference "Issue" of a Collateral Asset or Reference Obligation means any such Collateral Asset or Reference Obligation issued by the same issuer, having the same terms and conditions (as to, among other things, coupon, Obligation issued by the same issuer, having the same terms and conditions (as to, among other things, coupon, maturity, security and subordination) and otherwise being fungible with one another. maturity, security and subordination) and otherwise being fungible with one another. A-12 A-12 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912706 GS MBS-E-000912706 Footnote Exhibits - Page 5805 "Liquidation Proceeds" means, with respect Optional Redemption, Redemption, Auction "Liquidation Proceeds" means, with respect to any Optional Redemption, Tax Redemption, Auction or the Payment including, without duplication, all proceeds CDS Transactions, Collateral Securities, Final Payment Date, including, without duplication, (i) all proceeds from CDS Transactions, Collateral Securities, connection Eligible Investments Delivered assigned or otherwise disposed Eligible Investments and Delivered Obligations, terminated, assigned or otherwise disposed of in connection with such redemption and to including any termination assignment payments other amounts such redemption and payable to the Issuer, including any termination or assignment payments or other amounts payable the cash deposit the Accounts, to available any amounts payable to the Issuer, (ii) cash on deposit in the Accounts, to the extent available therefor, including any amounts designated the Protection Buyer retained investment Eligible and Collateral designated by the Credit Protection Buyer as retained for investment in Eligible Investments and Collateral other Securities, in each as determined Credit Protection (iii) tennination payments Securities, in each case as determined by the Credit Protection Buyer, (iii) any termination payments or other by Credit Protection Buyer termination payments amounts amounts payable to amounts payable to the Issuer by the Credit Protection Buyer (net of any termination payments or other amounts receivable the payable by the Credit Protection payable by the Issuer to the Credit Protection Buyer) and (iv) any payments receivable by the Issuer from any assignee of a CDS Transaction (net of any payments payable by the Issuer to any assignee of a CDS Transaction), in CDS Transaction any payments payable assignee Transaction), assignee each case as determined by the Liquidation Agent. case detennined by the Liquidation "Majority" (i) any Class or Classes Notes, Holders of more than 50% "Majority" means (i) with respect to any Class or Classes of Secured Notes, the Holders of more than 50% Classes Secured Notes respect to the Outstanding Amount of of the Aggregate Outstanding Amount of such Class or Classes of Secured Notes and (ii) with respect to the Income 50% outstanding calculated on the basis Aggregate Notes, the Holders of more than 50% of the outstanding Income Notes, calculated on the basis of the Aggregate been Outstanding Outstanding Outstanding Amount (or, if the Aggregate Outstanding Amount has been paid in full, based on the original held each Income Aggregate Outstanding Aggregate Outstanding Amount) of the Income Notes held by each Income Noteholder. "Market respect Collateral Reference average of "Market Value" means, with respect to any Collateral Asset or Reference Obligation, (i) the average of three Collateral Reference by such three bona fide bids for such Collateral Asset or Reference Obligation obtained by the Liquidation Agent at such nationally recognized which independent time from any three nationally recognized dealers, which dealers are independent from one another and from the Liquidation Agent Liquidation Liquidation Agent, or (ii) if the Liquidation Agent is unable to obtain three such bids, the lesser of two bona fide Reference Liquidation two bids for such Collateral Asset or Reference Obligation obtained by the Liquidation Agent at such time from any two Liquidation which independent one another nationally recognized dealers acceptable to the Liquidation Agent, which dealers are independent from one another acceptable and from the Liquidation Agent, or (iii) if the Liquidation Agent is unable to obtain two such bids, the price on such Liquidation Liquidation such the on such date provided to the Liquidation Agent by an independent pricing service reasonably selected by the Liquidation Liquidation independent pricing reasonably Liquidation Agent cannot Agent, or (iv) in the event the Liquidation Agent cannot in good faith determine the market value of such Collateral Asset or Reference Obligation using comrriercially reasonable efforts to apply the methods specified in clauses (i) Reference clauses commercially reasonable through (iii) above, the lesser of (a) the product of (1) the Principal Balance of such Collateral Asset or Reference Collateral Reference (1) (b) determined Obligation and (2) the Applicable Recovery Rate and (b) the Market Value as determined in good faith by the Recovery method Liquidation Agent using commercially reasonable efforts to apply its reasonable business judgment. If the method reasonable business commercially reasonable after of determining Market Value is based solely on clause (v) above, such Market Value shall be considered zero after considered Reference Market Collateral 30 days until such time as the Market Value for such Collateral Asset or Reference Obligation may be determined specified clauses (i) applying the methods specified in clauses (i) through (iv) above. determination, "Maximum Principal Amount" means, as of any date of detemlination, an amount equal to the Collateral Principal Account Account Amount. "Minimum Bid Amount" means an amount equal to the sum of (a) the Secured Note Redemption Price Secured Redemption Transactions with respect to the Auction Payment Date, (b) unpaid amounts due under the CDS Transactions upon termination or (b) assignment (d) 101% Transactions, assignment of the CDS Transactions, (c) accrued and unpaid Liquidation Agent Fees and (d) 101% of all unpaid expenses of the Issuer, less amounts on deposit in the Accounts which are available to redeem the Notes. Reference Obligation "Monthly Asset Amount" means, with respect to any Payment Date, the Aggregate Reference Obligation Notional Amount on the first day of the related Due Period. "Moody's Rating" means the rating determined in accordance with the methodology described in the Rating" detennined Indenture. "Moody's Recovery Rate" means, with respect to a Collateral Asset or Reference Obligation, an amount Reference a equal to the percentage for such Collateral Asset or Reference Obligation set forth in the recovery rate assumptions Collateral Asset Reference Obligation the for Moody's attached as Part I of Schedule C to the Indenture; provided, however, that (A) Defaulted Obligations Indenture; provided, I Schedule more than one which exceed 2.5% of the Aggregate Outstanding Portfolio Amount and have been defaulted for more than one year the 1.00% will be deemed to have a Moody's Recovery Rate of 0%, (B) Defaulted Obligations which exceed 1.00% of the of 0%, be deemed Aggregate Outstanding Portfolio Amount and have been defaulted for more than 2 years shall be deemed to have a than defaulted Aggregate Outstanding A-13 A-13 Confidential Treatment Requested by Goldman Sachs Treatment Sachs MBS-E-000912707 GS MBS-E-000912707 Footnote Exhibits - Page 5806 Moody's Recovery Rate of 0%; and (C) Defaulted Obligations which have been defaulted for more than 3 years Moody's Recovery Rate of 0%; and (C) Defaulted Obligations which have been defaulted for more than 3 years shall be deemed to have Moody's Recovery Rate ofO%. shall be deemed to have aaMoody's Recovery Rate of 0%. "Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, an amount equal to (i) "Net Outstanding Portfolio Collateral Balance" means, on any Determination Date, an amount equal to (i) the Aggregate Reference Obligation Notional Amount on such Determination Date plus the Principal Balance of all the Aggregate Reference Obligation Notional Amount on such Determination Date plus the Principal Balance of all Delivered Obligations, minus (ii) the aggregate Principal Balance on such date of determination of all Delivered Delivered Obligations, minus (ii) the aggregate Principal Balance on such date of determination of all Delivered Obligations that are and all CDS Transactions that reference Reference Obligations that are: (A) Defaulted Obligations that are and all CDS Transactions that reference Reference Obligations that are: (A) Defaulted Obligations, (B) Deferred Interest PIK Bonds, (C) Double B Rated Assets, (D) Single B Rated Assets and (E) Triple Obligations, (B) Deferred Interest PIK Bonds, (C) Double B Rated ASsets, (D) Single B Rated Assets and (E) Triple C Rated Assets, plus (iii) the Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK C Rated Assets, plus (iii) the Aggregate Calculation Amount of Defaulted Obligations and Deferred Interest PIK Bonds, the Double B Calculation Amount, the Single B Calculation Amount and the Triple C Calculation Amount Bonds, the Double B Calculation Amount, the Single B Calculation Amount and the Triple C Calculation Amount plus (iv) the Amortization Shortfall Amount as of such date of determinatioIt For purposes of calculating the Net plus (iv) the Amortization Shortfall Amount as of such date of determination. For purposes of calculating the Net Outstanding Portfolio Collateral Balance, if a Reference Obligation or a Delivered Obligation could be classified in Outstanding Portfolio Collateral Balance, if a Reference Obligation or a Delivered Obligation could be classified in more than one of the categories set forth in clauses (A) through (E) above, such Reference Obligation or Delivered more than one of the categories set forth in clauses (A) through (E) above, such Reference Obligation or Delivered Obligation will not be discounted multiple times but will be treated in the applicable category that results in the Obligation will not be discounted multiple times but will be treated in the applicable category that results in the largest discount thereof. largest discount thereof. "Non-Call Period" means the period commencing on and including the Closing Date and ending on but "Non-Call Period" means the period commencing on and including the Closing Date and ending on but excluding the Payment Date in July 2010. excluding the Payment Date in July "Note Interest Rates" means, collectively, the Class S Note Interest Rate, Class A-la Note Interest Rate, "Note Interest Rates" means, collectively, the Class S Note Interest Rate, the Class A-la Note Interest Rate, the Class A-lb Interest Rate, the Class A-2 Note Interest Rate, the Class Note Interest Rate, the Class C Note the Class A-lb Note Interest Rate, the Class A-2 Note Interest Rate, the Class B Note Interest Rate, the Class C Note Interest Rate and Class Note Interest Interest Rate and the Class D Note Interest Rate. an Originating Noteholder Trustee the "Noteholder Communication Notice" notice "Noteholder Communication Notice" means a notice from an Originating Noteholder to the Trustee or the Fiscal Agent, applicable, contents which be delivered Trustee as Fiscal Agent, as applicable, the contents of which are to be delivered by the Trustee or the Fiscal Agent, as applicable to all other Holders accordance Indenture Fiscal Agency Agreement, as applicable to all other Holders of Notes in accordance with the Indenture or the Fiscal Agency Agreement, as applicable. applicable. "Noteholder" Note, registered, "Noteholder" means, with respect to any Note, the person in whose name such Note is registered, or, for determinations Indenture, purposes of voting, the granting of consents and other similar determinations under the Indenture, with respect to purposes of voting, the granting any Notes in global fonn, a beneficial owner thereof. form, beneficial any Notes "Originating Noteholder" means with respect to (i) any Collateral Securities Substitution Request Notice, Substitution "Originating Noteholder" means with respect (i) Noteholder the Holder(s) of a Note submitting such Collateral Securities Substitution Request Notice and (ii) any Noteholder Substitution the Holder(s) of a Conununication Notice, the Holder(s)of a Note submitting such Noteholder Communication Notice. Noteholder Conununication Notice, of of "Outstanding" or "outstanding" means (i) with respect to each Class of Secured Notes, as of any date of each Class of (i) "outstanding" "Outstanding" under determination, all of such Class of Secured Notes theretofore authenticated and delivered under the Indenture and theretofore Secured determination, all of such Class registered in the Note Register as outstanding except: outstanding registered in the Note for Note to (a) Notes theretofore canceled by the Note Registrar or delivered to the Note Registrar for the Notes theretofore (a) cancellation; cancellation; funds the necessary amount have (b) Notes or portions thereof for whose payment or redemption funds in the necessary amount have or whose Notes or portions (b) been theretofore irrevocably deposited with the Trustee or any Paying Agent in trust for the Holders of such Paying Agent in trust for the Holders been theretofore irrevocably deposited with the redemption has Notes; provided that, if such Notes or portions thereof are to be redeemed, notice of such redemption has are to be redeemed, notice of portions Notes; provided that, if such been duly given pursuant to the Indenture or provision therefor satisfactory to the Trustee has been made; to the Indenture or provision therefor satisfactory to the Trustee has been made; been duly given pursuant (c) Notes in exchange for or in lieu of which other Notes have been authenticated and delivered Notes in exchange for or in lieu of which other Notes have been authenticated and delivered (c) pursuant to the Indenture, unless proof satisfactory to the Trustee is presented that any such Notes are held pursuant to the Indenture, unless proof satisfactory to the Trustee is presented that any such Notes are held by a Holder in due course; by a Holder in due course;, (d) Notes alleged to have been mutilated, destroyed, lost or stolen for which replacement Notes have Notes alleged to have been mutilated, destroyed, lost or stolen for which replacement Notes have (d) been issued as provided in the indenture; been issued as provided in the Indenture; A-14 A-14 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912708 GS MBS-E-000912708 Footnote Exhibits - Page 5807 (e) in connection with any waiver, (i) all Notes (if any) held by the Trustee and its affiliates if the in connection with any waiver, (i) all Notes (if any) held by the Trustee and its affiliates if the (e) relevant waiver relates to a Default or an Event of Default arising primarily from any act or omission of the waiver relates to a Default or an Event of Default arising primarily from any act or omission of the relevant Trustee and, (ii) all Notes (if any) held by the Liquidation Agent and its affiliates if the relevant waiver Trustee and, (ii) all Notes (if any) held by the Liquidation Agent and its affiliates if the relevant waiver relates to 11 Default or an Event of Default arising primarily from any act or omission of the Liquidation relates to a Default or an Event of Default arising primarily from any act or omission of the Liquidation Agent; and Agent; and (f) in connection with the termination of the Trustee or the Liquidation Agent, as applicable, (i) all in connection with the termination of the Trustee or the Liquidation Agent, as applicable, (i) all (f) Notes (if any) held by the Trustee and its affiliates if the termination relates to a Default or an Event of Notes (if any) held by the Trustee and its affiliates if the termination relates to a Default or an Event of Default arising primarily from any act or omission of the Trustee and (ii) all Notes (if any) held by the Default arising primarily from any act or omission of the Trustee and (ii) all Notes (if any) held by the Liquidation Agent and its affiliates if the relevant termination relates to a Default or an Event of Default Liquidation Agent and its affiliates if the relevant termination relates to a Default or an Event of Default arising primarily from any act or omission of the Liquidation Agent; arising primarily from any act or omission of the Liquidation Agent; (ii) with respect to the Income Notes, as of any date of determination, of the Income Notes issued pursuant the (ii) with respect to the Income Notes, as of any date of determination, all of the Income Notes issued pursuant to the Income Notes Documents and indicated in the Income Notes Register as Outstanding except in connection with the Notes Documents and indicated in the Income Notes Register as Outstanding except in connection with the Income termination of the Trustee or the Liquidation Agent, as applicable: termination of the Trustee or the Liquidation Agent, as applicable: (a) all Income Notes termination relates to any) held by the Trustee and its affiliates if all Income Notes (if any) held by the Trustee and its affiliates if the termination relates to a (a) Default or an Event of Default arising primarily from any act or omission of the Trustee, and or an Event of Default arising primarily from any act or omission the Trustee, Default (b) Income Notes any) held by Liquidation Agent affiliates if relevant all Income Notes (if any) held by the Liquidation Agent and its affiliates if the relevant (b) termination relates to Default an Default arising primarily any act omission the Liquidation termination relates to a Default or an Event of Default arising primarily from any act or omission of the Liquidation Agent and provided determining whether Holders requisite Aggregate Outstanding the Secured provided that in determining whether the Holders of the requisite Aggregate Outstanding Amount of the Secured Notes or Income Notes have given any request, demand, authorization, direction, notice, consent or waiver, Secured Income Notes given authorization, direction, consent Secured Notes or Income Notes owned by the Issuer or the Co-Issuer or any other obligor upon the Secured Notes or Income Income owned Co-Issuer any other Secured thereof deemed except Notes or any affiliate thereof shall be disregarded and deemed not to be Outstanding, except that, in determining whether and protected relying authorization, whether the Issuer and the Trustee shall be protected in relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Secured Notes and Income Notes that the Issuer or Trustee knows to be so consent owned shall be so disregarded. Secured Notes or Income Notes so owned that have been pledged in good faith may Secured Notes Notes pledged Outstanding satisfaction pledgee's be regarded as Outstanding if the pledgee establishes to the satisfaction of the Issuer and the Trustee the pledgee's right so to act with respect to such Secured Notes or Income Notes and that the pledgee is not the Issuer, the CoSecured and Is~er, the Liquidation Agent or any other obligor upon the Secured Notes or Income Notes or any affiliate of the Liquidation Issuer, Issuer, the Co-Issuer, the Liquidation Agent or such other obligor. "Outstanding Principal Amount" has the meaning set forth in the related CDS Transaction. Principal has C "Overcollateralization Ratios" means the Class AlB Overcollateralization Ratio, the Class C A/B Overcollateralization "Overcollateralization Overcollateralization Ratio and the Class D Overcollateralization Ratio. Overcollateralization Overcollateralization A/B Overcollateralization "Overcollateralization Tests" means the Class AlB Overcollateralization Test, the means "Overcollateralization Overcollateralization Test and the Class D Overcollateralization Test Overcollateralization Test. Overcollateralization "Payment Requirement" has the meaning set forth in the Credit Default Swap. Credit forth in "Payment Requirement" C Class C deferral of interest "PIK Bond" means a Reference Obligation or Delivered Obligation on which the deferral of interest does Obligation Delivered Obligation on which means a "PIK senior not constitute an event of default pursuant to the terms of the related underlying instruments (while any other senior related underlying instruments (while any to event default not constitute debt obligation is outstanding if so provided by the related indenture or other underlying instruments). related indenture or other underlying if so provided obligation is Security, Delivered "Principal Balance" means, with respect to any Reference Obligation, Collateral Security, Delivered with respect to any Reference Obligation, "Principal Balance" Amount of Obligation or Eligible Investment, as of any date of determination, the Reference Obligation Notional Amount of as of any date of determination, the Reference Obligation Obligation or Eligible Investment, Security, Delivered Obligation or such Reference Obligation and the outstanding principal amount of such Collateral Security, Delivered Obligation or of the outstanding Reference Obligation Eligible Investment; subject to the following exceptions: (i) the Principal Balance of each Defaulted Obligation Eligible Investment; subject to the following exceptions: (i) the Principal Balance of each Defaulted Obligation shall be deemed to be zero, except (A) for purposes of the calculation of the Coverage Tests, in which case, the shall be deemed to be zero, except (A) for purposes of the calculation of the Coverage Tests, in which case, the Principal Balance of Defaulted Obligations shall equal their respective outstanding principal amount or Reference Principal Balance of Defaulted Obligations shall equal their respective outstanding principal amount or Reference A-IS A-15 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912709 GS MBS-E-000912709 Footnote Exhibits - Page 5808 Obligation Notional Amount, as applicable (unless otherwise indicated in such tests), (B) for purposes of Obligation Notional Amount, as applicable (unless otherwise indicated in such tests), (B) for purposes of detennining whether an Event of Default described in clause (vi) of the definition thereof has occurred, Defaulted determining whether an Event of Default described in clause (vi) of the definition thereof has occurred, Defaulted Obligations shall be included at their Applicable Recovery Rate, (C) for purposes of calculating any trustee fees and Obligations shall be included at their Applicable Recovery Rate, (C) for purposes of calculating any trustee fees and the Liquidation Agent Fee, the Principal Balance of each Defaulted Obligation shall equal the Calculation Amount the Liquidation Agent Fee, the Principal Balance of each Defaulted Obligation shall equal the Calculation Amount for such Defaulted Obligations and (0) as otherwise expressly indicated; (ii) the Principal Balance of any cash shall for such Defaulted Obligations and (D) as otherwise expressly indicated; (ii) the Principal Balance of any cash shall be the amount of such cash; (iii) the Principal Balance of any Delivered Obligation, any Collateral Securities and be the amount of such cash; (iii) the Principal Balance of any Delivered Obligation, any Collateral Securities and any Eligtble Investments in which the Trustee does not have perfected security interest shall be deemed to be zero; any Eligible Investments in which the Trustee does not have aa perfected security interest shall be deemed to be zero; and (iv) the Principal Balance of any Reference Obligation, Collateral Security or Delivered Obligation that is an and (iv) the Principal Balance of any Reference Obligation, Collateral Security or Delivered Obligation that is an equity security shall be deemed to be zero. . equity security shall be deemed to be zero. "Principal Proceeds" means, with respect to any Due Period, the sum (without duplication) of: (i) all "Principal Proceeds" means, with respect to any Due Period, the sum (without duplication) of: (i) all payments of interest and principal on, or liquidation proceeds of, the Delivered Obligations and Eligible Investments payments of interest and principal on, or liquidation proceeds of, the Delivered Obligations and Eligible Investments on deposit in the Delivered Obligations Account received in cash by the Issuer during such Due Period, (ii) any on deposit in the Delivered Obligations Account received in cash by the Issuer during such Due Period, (ii) any termination payments received from the Credit Protection Buyer during such Due Period and (iii) any Additional termination payments received from the Credit Protection Buyer during such Due Period and (iii) any Additional Fixed Amounts (excluding Interest Shortfall Reimbursement Payment Amounts) received from the Credit Protection Fixed Amounts (excluding Interest Shortfall Reimbursement Payment Amounts) received from the Credit Protection Buyer during such Due Period; and (iv) any Amortization Proceeds on deposit in the Payment Account on Buyer during such Due Period; and (iv) any Amortization Proceeds on deposit in the Payment Account on the related Payment Date; prOVided. however, that Principal Proceeds shall not include any accrued interest or any funds related Payment Date; provided,however, that Principal Proceeds shall not include any accrued interest or any funds from the Income Note Payment Account and all funds deposited in or credited thereto, transaction fees payable to from the Income Note Payment Account and all funds deposited in credited thereto, transaction fees payable to the Issuer and its share capital account of its ordinary shares held in its account the Cayman the Issuer and its share capital on account of its ordinary shares held in its account in the Cayman Islands. "Principal Shortfall Amount" means, in respect of Failure Pay Principal, an amount equal to the greater "Principal Shortfall Amount" means, in respect of a Failure to Pay Principal, an amount equal to the greater of: (i) zero; and (ii) the amount equal to the product of: (A) the Expected Principal Amount minus the Actual (i) zero; (ii) amount equal the product (A) Expected Principal Amount minus the Actual of: Principal Amount; (B) Applicable Percentage; (C) the Reference purposes hereof, if Principal Principal Amount; (B) the Applicable Percentage; and (C) the Reference Price. For purposes hereof, if the Principal Shortfall Amount be greater than Reference Obligation Notional Amount immediately Shortfall Amount would be greater than the Reference Obligation Notional Amount immediately prior to the occurrence Failure then Principal Shortfall deemed be occurrence of such Failure to Pay Principal, then the Principal Shortfall Amount shall be deemed to be equal to the Reference Obligation Notional Amount at such time. Reference Obligation Notional Amount such "Principal Shortfall Reimbursement" means, with respect to any day, the payment by or on behalf of the respect day, payment Reimbursement" means, "Principal Reference Entity of an amount in respect of the Reference Obligation in or toward the satisfaction of any deferral of Reference Obligation toward satisfaction deferral of Reference or failure to pay principal arising from one or more prior occurrences of a Failure to Pay Principal, Failure Principal. occurrences product "Principal Shortfall Reimbursement Payment" means, with respect to any day, the product of (i) the amount Reimbursement with "Principal of any Principal Shortfall Reimbursement on such day, (ii) the Applicable Percentage and (iii) the Reference Price. Reimbursement Percentage of any Principal of "Principal Shortfall Reimbursement Payment Amount" means, as of any date of determination, the sum of "Principal made the Principal Shortfall Reimbursement Amounts in respect of all Principal Shortfall Reimbursements (if any) made Reimbursements the Principal during the Reference Obligation Calculation Period relating to such date, provided that the aggregate of all Principal such date, during the of Shortfall Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid shall at Reimbursement Payment Shortfall by the Issuer in respect of occurrences of Failure to Pay Principal pnor to such date. to Pay Principal prior to such occurrences by with "Proceeds" means, with respect to any Due Period, without duplication, (i) all Amortization Proceeds with duplication, (i) all Amortization with respect to any Due Period, "Proceeds" any and to the related Payment respect to the related Payment Date, (ii) all Interest Proceeds with respect to the related Payment Date and (iii) any Interest Proceeds with Date, respect Reserve Account for deposit to amounts to be released or withdrawn on the related Payment Date from the Expense Reserve Account for deposit to Date from the on the amounts the Payment Account. the Payment Account. "Quarterly Payment Date" means the 12th day of every January, April, July and October or if any such date April, July and October or if any such date of every "Quarterly Payment Date" means the 12th is not a Business Day, the immediately following Business Day, commencing on July 12,2007. is not a Business Day, the immediately following Business Day, commencing on July 12, 2007. "Rating Agency Condition" means, with respect to any action taken or to be taken under the Transaction "Rating Agency Condition" means, with respect to any action taken or to be taken under the Transaction Documents, a condition that is satisfied when each Rating Agency has confirmed in writing to the Issuer and the . Documents, a condition that is satisfied when each Rating Agency has confirmed in writing to the Issuer and the Trustee that such action will not result in the immediate withdrawal, reduction or other adverse action with respect Trustee that such action will not result in the immediate withdrawal, reduction or other adverse action with respect to any then-current rating of any Class of Notes. to any then-current rating of any Class of Notes. "Record Date" means, (i) with respect to any Payment Date and any Notes issued in book-entry form, the "Record Date" means, (i) with respect to any Payment Date and any Notes issued in book-entry form, the close of business on the Business Day prior to such Payment Date and (ii) with respect to any Payment Date and any of business on the Business Day prior to such Payment Date and (ii) with respect to any Payment Date and any close A-16 A-16 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912710 GS MBS-E-000912710 Footnote Exhibits - Page 5809 Notes issued in definitive form, the tenth day prior to such Payment Date (or, if such day is not a Business Day,. the Notes issued in definitive form, the tenth day prior to such Payment Date (or, if such day is not a Business Day,.the next succeeding Business Day). next succeeding Business Day). "Redemption Date" means any Optional Redemption Date, Tax Redemption Date or Auction Payment "Redemption Date" means any Optional Redemption Date, Tax Redemption Date or Auction Payment Date. Date. "Reference Entity" means the issuer of Reference Obligation. "Reference Entity" means the issuer of aa Reference Obligation. "Reference Obligation" means a Residential Mortgage-Backed Security referenced under the Credit "Reference Obligation" means a Residential Mortgage-Backed Security referenced under the Credit Default Swap. Swap. Default "Reference Obligor" means the obligor on a Reference Obligation. "Reference Obligor" means the obligor on a Reference Obligation. "Reference Obligation Calculation Period" means, with respect each Reference Obligation Payment "Reference Obligation Calculation Period" means, with respect to each Reference Obligation Payment Date, a period corresponding to the interest accrual period relating to such Reference Obligation Payment Date a period corresponding to the interest accrual period relating to such Reference Obligation Payment Date Date, pursuant to underlying instruments. For the avoidance of the Reference Obligation Calculation Period pursuant to its underlying instruments. For the avoidance of doubt, the first Reference Obligation Calculation Period Closing will begin on Reference Obligation Payment Date falling on immediately prior to will begin on the Reference Obligation Payment Date falling on or immediately prior to the Closing Date. "Reference Obligation Coupon" means the periodic interest applied in relation each Reference "Reference Obligation Coupon" means the periodic interest rate applied in relation to each Reference Obligation Calculation Period the related Reference Obligation Payment Date, as determined in accordance Obligation Calculation Period on the related Reference Obligation Payment Date, as determined in accordance with terms of underlying instruments Closing Date, without regard subsequent the terms of the underlying instruments as at the Closing Date, without regari to any subsequent amendment. "Reference Obligation Notional Amount" respect to each CDS Transaction, "Reference Obligation Notional Amount" means, with respect to each CDS Transaction, the notional terms such CDS amount specified therein reduced increased pursuant amount specified therein as reduced or increased pursuant to the terms of such CDS Transaction. scheduled distribution "Reference Obligation Payment Reference "Reference Obligation Payment Date" means (i) each scheduled distribution date for a Reference Obligation occurring on or after the Closing Date and on or prior to the scheduled termination date of the related occurring Closing of the related scheduled termination Obligation (ii) after effective CDS Transaction, determined in accordance with the underlying instruments and (ii) any day after the effective accordance underlying determined Reference maturity date on which a payment is made in respect of such Reference Obligation. payment Reference Obligation "Reference Obligation Principal Amortization Amount" means, with respect to any Reference Obligation respect "Reference on Reference Obligation Payment Date, an amount equal to the product of (i) the amount of any Reference Obligation Principal Payment on such date and (ii) the Applicable Percentage. Applicable Reference "Reference Obligation Principal Payment" means, with respect to any Reference Obligation Payment Date, "Reference Reference Obligation the occurrence of a payment of an amount to the holders of the Reference Obligation in respect of principal occurrence (scheduled or unscheduled) in respect of the Reference Obligation other than a payment in respect of principal (scheduled Reimbursement representing capitalized interest, excluding, for the avoidance of doubt, any Writedown Reimbursement or Interest avoidance representing capitalized Shortfall Reimbursement. Reimbursement specified "Reference Price" means the reference price (e""pressed as a percentage) specified in the related CDS (expressed "Reference Transaction. Transaction. "Registered" means, with respect to any debt obligation or debt security, a debt obligation or debt security or debt security, to "Registered" the meaning of that is issued after July 18, 1984, and that is in registered form within the meaning of Section 881(c)(2)(B)(i) of the form within in 18, 1984, that Code and the Treasury regulations promulgated thereunder. regulations promulgated thereunder. the defined investment trusts real "RBIT Debt Security" means a security issued by publicly held real estate investment trusts (as defined in means a security issued by "REIT Section 856 of the Code or any successor provision). 856 of the Code or any successor provision). Obligation, if a servicer report that describes a "Relevant Amount" means with respect to any Reference Obligation, if a servicer report that describes a to any "Relevant Amount" means with Reference Obligation Principal Payment, Writedown or Writedown Reimbursement (other than a Writedown Principal Payment, Writedown or Writedown Reimbursement (other than a Reference Obligation Reimbursement within paragraph (i) of "Writedown Reimbursement"), in each case that has the effect of decreasing Reimbursement within paragraph (i) of "Writedown Reimbursement"), in each case that has the effect of decreasing or increasing the interest-accruing principal balance of such Reference Obligation as of a date prior to a Delivery or increasing the interest-accruing principal balance of such Reference Obligation as of a date prior to a Delivery Date but such servicer report is delivered to holders of such Reference Obligation or to the calculation agent under Date but such servicer report is delivered to holders of such Reference Obligation or the calculation agent under A-17 A-17 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912711 GS MBS-E-000912711 Footnote Exhibits - Page 5810 the related CDS Transaction on or after the related Delivery Date, an amount equal to the product of (i) the sum of the related CDS Transaction on or after the related Delivery Date, an amount equal to the product of (i) the sum of any such Reference Obligation Principal Payment (expressed as positive amount), Writedown (expressed as a any such Reference Obligation Principal Payment (expressed as aapositive amount), Writedown (ex1>ressed as a positiveamount) or Writedown Reimbursement (expressed as aanegative amount), as applicable; (ii) the Reference positive amount) or Writedown Reimbursement (expressed as negative amount), as applicable; (ii) the Reference Price; (iii) the Applicable Percentage immediately prior to such Delivery Date; and (iv) the Exercise Percentage (as Price; (iii) the Applicable Percentage immediately prior to such Delivery Date; and (iv) the Exercise Percentage (as defined in the related CDS Transaction). defined in the related CDS Transaction). "Residential Mortgage-Backed Securities", "RMBS Securities" or "RMBS" means securities that represent "Residential Mortgage-Backed Securities", "RMBS Securities" or "RMBS" means securities that represent interests in pools of residential mortgage loans secured by 1 to family residential mortgage loans and shall interests in pools of residential mortgage loans secured by 1 to 44 family residential mortgage loans and shall include, without limitation, RMBS Prime Mortgage Securities, RMBS Midprime Mortgage Securities and RMBS include, without limitation, RMBS Prime Mortgage Securities, RMBS Midprime Mortgage Securities and RMBS Subprime Mortgage Securities. Subprime Mortgage Securities. "RMBS Midprime Mortgage Securities" means Residential Mortgage-Backed Securities (other than RMBS "RMBS Midprime Mortgage Securities" means Residential Mortgage-Backed Securities (other than RMBS Subprime Mortgage Securities and RMBS Prime Mortgage Securities) that entitle the holders thereof to receive Subprime Mortgage Securities and RMBS Prime Mortgage Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Residential Mortgage-Backed Securities) on the cash flow from midprime residential proceeds to holders of such Residential Mortgage-Backed Securities) on the cash flow from midprime residential mortgage loans secured (on a first priority basis, subject to permitted liens, easements and other encumbrances) by mortgage loans secured (on a first priority basis, subject to permitted liens, easements and other encumbrances) by 1- to 4-farnily residential real estate, the proceeds of which are used to purchase real estate and purchase or construct 1- to 4-family residential real estate, the proceeds of which are used to purchase real estate and purchase or construct dwellings thereon (or to refinance indebtedness previously so used). At issuance, the loans in the portfolio dwellings thereon (or to refinance indebtedness previously so used). At issuance, the loans in the portfolio underlying each such RMBS Midprime Mortgage Security will have a weighted average FICO Score greater than underlying each such RMBS Midprime Mortgage Security will have a weighted average FICO Score greater than 625, but less than 700. 625, but less than 700. "RMBS Prime Mortgage Securities" means Residential Mortgage-Backed Securities (other than RMBS "RMBS Prime Mortgage Securities" means Residential Mortgage-Backed Securities (other than RMBS Subprime Mortgage Securities and RMBS Midprime Mortgage Securities) that entitle the holders thereof to receive entitle the holders thereof receive Subprime Mortgage Securities and RMBS Midprime Mortgage Securities) payments that depend (except for other assets assure servicing timely distribution of payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Residential Mortgage-Backed Securities) on the cash flow from prime residential to holders of Residential Mortgage-Backed Securities) cash flow from residential proceeds mortgage loans secured (on a first priority basis, subject to permitted liens, easements and other encumbrances) by loans secured (on a first priority basis, subject permitted other encumbrances) mortgage 1- to 4-family residential real estate, the proceeds of which are used to purchase real estate and purchase or construct proceeds which construct 1- to 4-farnily residential real dwellings thereon (or to refinance indebtedness previously so used). At issuance, the loans in the portfolio issuance, portfolio refinance indebtedness dwellings thereon (or underlying each such RMBS Prime Mortgage Security will have a weighted average FICO Score of at least 700. RMBS Prime Mortgage Security underlying each such RMBS Mortgage-Backed "RMBS Subprime Mortgage Securities" means Residential Mortgage-Backed Securities (other than RMBS "RMBS Subprime Mortgage to receive Prime Mortgage Securities and RMBS Midprime Mortgage Securities) that entitle the holders thereof to receive Midprime Prime Mortgage Securities of payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of payments that depend (except for rights proceeds to holders of such Residential Mortgage-Backed Securities) on the cash flow from subprime residential Mortgage-Backed proceeds to holders of such Residential other encumbrances) by mortgage loans secured (on a first priority basis, subject to permitted liens, easements and other encumbrances) by liens, subject mortgage loans secured (on a first construct purchase 1- to 4-farnily residential real estate, tlle proceeds of which are used to purchase real estate and purchase or construct are of which the 1- to 4-family residential real issuance, the loans in the dwellings thereon (or to refinance indebtedness previously so used). At issuance, the loans in the portfolio so indebtedness dwellings thereon (or to refinance FICO Score of 625 underlying RMBS Subprime Mortgage Security will have a weighted average FICO Score of 625 or below. a weighted Security will underlying RMBS Subprime methodology described in the Indenture. "S&P Rating" means the rating determined in accordance with the methodology described in ilie Indenture. "S&P Rating" means the rating determined in accordance with "S&P Recovery Rate" means, with respect to a Collateral Asset or Reference Obligation, on any "S&P Recovery Rate" means, with respect to a Collateral Asset or Reference Obligation, on any Detennination Date, an amount equal to the percentage for such Collateral Asset or Reference Obligation set forth in Determination Date, an amount equal to the percentage for such Collateral Asset or Reference Obligation set forth in the S&P Recovery Rate Matrix attached as a schedule to the Indenture (determined in accordance with procedures? the S&P Recovery Rate Matrix attached as a schedule to the Indenture (determined in accordance with procedures date of its prescribed by S&P for such Credit DefaUlt Swap, Reference Obligation or Delivered Obligation on the date of its prescribed by S&P for such Credit Default Swap, Reference Obligation or Delivered Obligation on the purchase by the Issuer or, in tlle case of a Defaulted Obligation, the S&P Rating immediately prior to default). of a Defaulted Obligation, the S&P Rating immediately prior to default). purchase by the Issuer or, in the case "Sale Proceeds" means all amounts representing Proceeds (including accrued interest) from the sale, "Sale Proceeds" means all amounts representing Proceeds (including accrued interest) from the sale, or assignment, termination or other disposition of any CDS Transaction, Collateral Securities, Delivered Obligation or assignment, termination or other disposition of any CDS Transaction, Collateral Securities, Delivered Obligation Eligible Investment received during such Due Period, net of any reasonable amounts expended by the Liquidation received during such Due Period, net of any reasonable amounts expended by the Liquidation Eligible Investment Agent or the Trustee in connection with such sale or other disposition. Agent or the Trustee in connection with such sale or other disposition. "Secured Note Redemption Price" means the Class S Note Redemption Price, the Class A-Ia Note "Secured Note Redemption Price" means the Class S Note Redemption Price, the Class A-la Note Redemption Price, the Class A-lb Note Redemption Price, the Class A-2 Note Redemption Price, the Class B Note Redemption Price, the Class A-lb Note Redemption Price, the Class A-2 Note Redemption Price, the Class B Note Redemption Price, the Class C Note Redemption Price and the Class D Note Redemption Price, as applicable. Redemption Price, the Class C Note Redemption Price and the Class D Note Redemption Price, as applicable. A-18 A-18 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912712 GS MBS-E-000912712 Footnote Exhibits - Page 5811 "Servicer" means, with respect to any Issue of Reference Obligation or Collateral Asset, the entity "Servicer" means, with respect to any Issue of Reference Obligation or Collateral Asset, the entity that, absent any default, event of default or similar condition (however described), is primarily responsible for monitoring any default, event of default or similar condition (however described), is primarily responsible monitoring absent and otherwise administering the cash which payments to investors in such Reference Obligation or and otherwise administering the cash flows from which payments to investors in such Reference Obligation or Collateral Asset are made. Collateral Asset are made. "Single B Calculation Amount" means the sum of the products of (a) the Principal Balance of each Single "Single B Calculation Amount" means the sum of the products of (a) the Principal Balance of each Single B Rated Asset and 70%. B Rated Asset and (b) 70%. "Single B Rated Asset" means any Collateral Asset Reference Obligation, that is not a Triple CRated "Single B Rated Asset" means any Collateral Asset or Reference Obligation, that is not a Triple C Rated Asset, with an Actual Rating from S&P less than "BB-" or with an Actual Rating from Moody's less than "Ba3." with an Actual Rating S&P "BB-" with an Actual Rating from Moody's less than "Ba3." "Statistical Loss means, as any Determination the for Reference Obligation "Statistical Loss Amount" means, as of any Determination Date, the sum of, for each Reference Obligation the Principal Balance of such Reference Obligation or Collateral Asset and Collateral the product and Collateral Asset, the product of (i) the Principal Balance ?of such Reference Obligation or Collateral Asset and (ii) the Moody's "Idealized" Cumulative Expected Loss as forth in the Indenture Reference (ii) the Moody's "Idealized" Cumulative Expected Loss Rate as set forth in the Indenture for such Reference Obligation and Collateral For purposes the calculation the Statistical Loss Amount Obligation and Collateral Asset. For purposes of the calculation of the Statistical Loss Amount on any Detennination with Single B Rated Deferred Interest PIK Double Rated Detennination Date with respect to Single B Rated Assets, Deferred Interest PIK Bonds, Double B Rated Assets, Triple C Rated Assets, Defaulted Obligations and the principal amount of any Reference Obligations and Collateral Assets, Defaulted Obligations and principal amount any Reference Obligations after July 12, 2042 Payment thereof expected be Assets expected be paid Assets expected to be paid in full after the July 12, 2042 Payment Date, the principal amount thereof expected to be the Payment related such Detennination shall paid after the Payment Date related to such Determination Date shall be excluded. "Step-Down security related underlying provides "Step-Down Bond" means a security which by the terms of the related underlying instrument provides for a security; security decrease, in the case of a fixed rate security, in the per annum interest rate on such security or, in the case of a case decrease, security, spread over applicable benchmark floating rate security, in the spread over the applicable index or benchmark rate, solely as a function of the passage shall payment of time; provided that a Step-Down Bond shall not include any such security providing for payment of a constant rate of interest at all times after the date of calculation. interest date "Super Majority" means with respect to any Class of Notes, the Holders of more than 66-2/3% of the with "Super Majority" Aggregate Outstanding Amount of such Class of Notes. "Tax Event" means (i) the adoption of, or a change in, any tax statute (including the Code), treaty, "Tax (i) of, regulation (whether temporary or final), rule, ruling, practice, procedure or judicial decision or interpretation which temporary judicial interpretation regulation results or will result in withholding tax payments representing in excess of 3% of the aggregate premium and payments 3% interest due and payable on the Credit Default Swap and Pledged Assets during the Due Period in which such event U.S. occurs as a result of the imposition of U.S. or other withholding tax with respect to which the obligors are not required to make gross-up payments that cover the full amount of such withholding taxes on an after-tax basis or (ii) payments after-tax required temporary the adoption of, or change in, any tax statute (including the Code), treaty, regulation (whether temporary or final), of, interpretation rule, ruling, practice, procedure or judicial decision or interpretation which results or will result in taxation of the practice, Issuer's net income in an amount equal to 3% or more of the net income of the Issuer during any Due Period in 3% or equal which such event occurs. pursuant the (a) "Total Redemption Amount" means the sum of (a) all amounts due as of the Redemption Date pursUant to "Total Redemption (b) clauses (i), (ii), (iii), (iv), (v), (xv) and (xvi) of the Priority of Payments and (b) the Secured Note Redemption Priority (v), (xv) (ii), (iii), Prices. Treasury. "Treasul)''' means the United States Department of the Treasury. States Department of "Treasury" means C each (a) "Triple C Calculation Amount" means the sum of the products of (a) the Principal Balance of each Triple C of the "Triple Calculation Rated Asset and (b) 50%. and (b) Defaulted Obligation or "Triple C Rated Asset" means any Collateral Asset or Reference Obligation (other than a Defaulted Collateral Rated Asset" "Triple Actual Rating from or with Obligation) with an Actual Rating from S&P of less than "B-" or with an Actual Rating from Moody's of less than of Rating from "B3." "B3." Writedown amount product of (i) "Writedown Amount" means, with respect to any day, the product of (i) the amount of any Writedown on day, respect to "Writedown Price. such day, (ii) the Applicable Percentage and (iii) the Reference Price. day, (ii) the Applicable Percentage and (iii) such A-19 A-19 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912713 GS MBS-E-000912713 Footnote Exhibits - Page 5812 "Writedown Reimbursement" means, with respect to any day, the occurrence of: (i) payment by or on "Writedown Reimbursement" means, with respect to any day, the occurrence of: (i) aapayment by or on behalf of the Reference Ehtity of an amount in respect of the Reference Obligation in reduction of any prior behalf of the Reference Entity of an amount in respect of the Reference Obligation in reduction of any prior Writedowns; (ii)(A) an increase by or on behalf of the Reference Entity of the Outstanding Principal Amount of the Writedowns; (ii)(A) an increase by or on behalf of the Reference Entity of the Outstanding Principal Amount of the ReferenceObligation to reflect the reversal of any prior Writedowns; or (B) aa decrease in the principal deficiency Reference Obligation to reflect the reversal of any prior Writedowns; or (B) decrease in the principal deficiency balance or realized loss amounts (however descnbed in the underlying instruments) attributable to the Reference balance or realized loss amounts (however described in the underlying instruments) attributable to the Reference Obligation; or (iii) if "Implied Writedown" (as defined in the related CDS Transaction) is applicable and the Obligation; or (iii) if "Implied Writedown" (as defined in the related CDS Transaction) is applicable and the underlying instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as underlying instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (ii) above to occur in respect of the Reference Obligation, an "Implied Writedown Reimbursement described in (ii) above to occur in respect of the Reference Obligation, an "Implied Writedown Reimbursement Amount" (as defined in the related CDS Transaction) being determined in respect of the Reference Obligation by the Amount" (as defined in the related CDS Transaction) being determined in respect of the Reference Obligation by the calculation agent thereunder. calculation agent thereunder. "Writedown Reimbursement Amount" means, with respect to any day, an amount equal to the product of: "Writedown Reimbursement Amount" means, with respect to any day, an amount equal to the product of: (i) the sum of all Writedown Reimbursements on that day; (ii) the Applicable Percentage; and (iii) the Reference the sum of all Writedown Reimbursements on that day; (ii) the Applicable Percentage; and (iii) the Reference (i) Price. Price. "Writedown Reimbursement Payment Amount" means, with respect to any date of determination, the sum "Writedown Reimbursement Payment Amount" means, with respect to any date of determination, the sum of the Writedown Reimbursement Amounts in respect of all Writedown Reimbursements (if any) made during the the Writedown Reimbursement Amounts in respect of all Writedown ReimburSements any) made during the of Reference Obligation Calculation Period relating to such date, provided that the aggregate of all Writedown Reference Obligation Calculation Period relating to such date, provided that the aggregate of all Writedown Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by the Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by the Issuer in respect of Writedowns occurring prior to such date. Issuer in respect of Writedowns occurring prior to such A-20 A-20 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912714 GS MBS-E-000912714 Footnote Exhibits - Page 5813 APPENDIX B APPENDIXB Reference Portfolio Reference Portfolio CDO Reference Obligations CDO Reference Obligations :;u ..0 C 92534FAE8 92534FAE8 IVRO2006-IA BI VRoo 2006-IA BI VRGO 2006-IA VRCO 2006-IA ~~~usp ' ~~ ~4Nao,~~ Is~er$~,~ $5,000,000 $5,000,000 Oi 1nI~ c6/~~ 1 1.0000 .00 I Current~a FAW S5,OOO,OOO $5,000,000 Trtc1Pr SI7,500,OOO $17,500,000 ~ttIDb 7-r' z5IS, VDatewwl" 1 10131/06 10/31/06 -p 4 Wo h 4 /Rwlm I tc 2.70%u 2.70% T 19/04 111912046 1 S2,095,OOO,OOO 0,000 S207 _ co '< G) 0. 0- co CIl co o 0. 3 Q) Q) (") ::J (J) ::J'" CIl G) (J) s: I I (J) OJ ....>. <0 -..j o o o m B-1 01 '" ....>. Footnote Exhibits - Page 5814 925341AE 92534FAE8 VRO0IBI VRGO 2006-1 A BI COO RMBS CDOMB Baal Bani IsBa BBB+ BBB+ BB13+ BBB+ 6.6 Vertical Ca ?taI LLC l 6 VertiCal Cap taLLO; (1) :::0 (1) ..0 C en .(1) a. 0'< G) a: 3 Q) ::J o en Q) ::r en () G) ~ en OJ I I en g m o o B-2 ~ ~ 0> '" ""'-l () :::J ::::!t o Footnote Exhibits - Page 5815 RMBS Reference Obligations RMBS Reference Obligations Iml,,1?;CUSI~Q;li'itI ~:It;.t}l)t<~Name;m!1t: CD :::J 0- w' --I ....... CD :::J CD .0 C CD 3" ID CD , ....... ::u en ..... CD 0- '< cr o G) 3 0- :::J ID (f) (") ~ ID en G) (f) s:: (f) OJ I m <0 ....lo AMSl2oo5-RS M9 CARR 2005?NCI M8 CWL 2006?BCl M9 :WL 2006-BC2 M9 MSAC 2oo5-NCl B3 61744CP~ 61744CPQ3 MSAC2005-NC2 B3 61744CYK6 MSAC 2oo6-NCI B3 MSAC2006-NC I B3 61744CYK6 NCHET 2005-1 M9 64352VKJ9 M9 N CHET 2005-1 64352VKI9 NCHET 2005-3 M9 64352VLSS N CHET 2005-3 M9 64352VLS8 76112BL24 RAMP 2005-EFC6 M9 AMP 2005-EFC6 M9 12BL24 761 NCHET 2005-4 M8 64352VNB3 NCHET 2005-4 M8 64352VNB3 ACE 2005-HE4 M9 M9 OO4421PY3 ACE 2005-HE4 004421PY3 03072ST62 2005-RIO M9 03072ST62 AMSl2oo5-RI0 M9 03072SV93 AMSI2oo5-RII M9 i MSI 2005-RII M9 03072SV93 04541GQH8 ABSHE 2005-HE2 M7 BSHE2oo5-HE2 M7 04541GQHO I 4453 I FGO CARR 2006-NCI M9 144531FGO C ARR 2006-NCI M9 I 7307GSS8 CMLT12005-0PT3 M9 17307GSS8 C MLTI 2005-OPT3 M9 362463AP6 GSAMP 2006-NCl M9 M9 C 2006-NC2 362463AP6 GSAMP 40430HDN5 M9 IAC2006-OPTI 4 043014DN5 HASC 2oo6?0PTI M9 40430HFAI HASC 2006-NCI M9 HASC2006-NCI M9 40430HFAI lPMAC 2oo6-HEI M9 46626LG([7 J PMAC2006-HEI M9 46626LxQ7 46629BBB4 lPMAC 2006-CW2 MVI. PMAC 2006-CW2 MV9 MSAC 2005-HEI B3 61 744CKW5 ciSAC 2005-HEt 83 MSAC 2005-HE2 B3 61 744CNK8 ASAC2005-H2 B3 NCMT 2006-1 M9 65 I 06AAWl ICMT 2006-1M9 I 72983AN8 CMLTI2006-NCI M8 2006-NCI M8 35729<;AN8 FHLT 2006-B M8 -HLT 2006-B M8 813765AH7 SABR 2006-FRl B2 SABR 2006-FR3 B2 WMABS 2oo6-HE2 M9 93934lAN4 WMABS2006-HE2 M9 93934JAN4 SVHE 2006?0PT2 M7 8361IMMTl 2006-OF2 M7 SVHE 83611MMT2 CWL 2005-BC5 B 126670NN4 CWL 2005-BC5 B 126670NN4 I 4453FAN9 CARR 2006-NC2 M9 CARR2006-NC2 M9 14453FAN9 46626UZ4 lPMAC 2006-NCI M9 JPMAC 2006-NCI M9 46626LZ4 46629FANO lPMAC 2oo6-NC2 M9 JPMAC 2006-NC2 M9 46629FANO MASS 2005-NCl M8 57643LMXI MABS 2005-NC2 MO 57643LMXl NHELI 200.-HE2 M9 65536MAN7 NHELI 2006-HE2 M9 6 I 744CWE2 MSAC 2005-HE6 B2 MSAC 2005-HE6 B2 oo442BAP6 ACE 2006-HE4 M9 ACE 2006-HE 00442BAP6 35729TAP7 FHLT 2006-C M9 FHLT 2006-' 35729TAPT 00442PAP5 ACE 2oo6-0PI M8 ACE 2006-OF 00442PAPS M9 ARSI 2006-W 4 0 040 I 04TSO 2006 ABSHE 2006-HE2 M9 . 04541GW I AMI 46602WAN4 02004SO IXIS 2006-HE2 B3 MLMI2006-FMI B2 59021AAMO MLMI 2006-f 59021AAMO 64352VRB9 NCHET 2006-1 M9 83611MEE4 SVHE 2005-001 M8 86360PARS SASC 2006-NC I M9 I 26670UD8 CWL 2006-1 MVB 57645FAS6 MASS 2006-AM2 M8 64360YAM7 NCHET 2006-2 M9 NCHET 2006-2 M9 86361KAM9 SAJL 2oo6-BNC3 M7 86361KAM9 I 26670LW6 CWL 2005-14 M8 126670LW6 61 744CUZ7 01/44CUZ7 MSAC 2oo5-HE5 B2 FMIC 2006-2 M8 31659EAMO 3 069EAMO HEAT 2006-. M8 437097AP3 43707AP3 59023AAN6 B2 59023AAN6 MLMI2006-MLNI 1 B2 03072SM85 144531BKS 22237lAP2 004375FE6 40430HEH7 40430HEH7 59020U3N3 59020U3N3 61 744CMS2 61744CMS2 64352VLA7 64352VLA7 oo4421VC4 VC4 004421 00437SFE6 ACCR 2006-1 M8 ACCR 2006-1 HASC 2006?0PTI M8 HASC 2006-( MLMI2006?HEI B2A MLMI 2006-HEl B2A MSAC 2oo5-NCI B2 MSAC2005-NCI B2 NCHET 2005-2 M8 NCHET 2005-2M8 ACE 2006-NCI M9 ACE 2006-NCIM9 _ ~MSI 2MLTI Issuei:t!'~!t "".O.rlalnallF,aceiill 1lr~""'faCtoi't:1;:m' ,ti:CuffenU;ace'lll ~ZTrailche SIO,539,Ooo S5,ooO,ooO S5,Ooo,Ooo ACCR2oo6-1 1.0000 $5,000,000 $19,035,000 SI9035000 HASC 2006?0PT2 S5 000 000 1.0000 55000.000 55,000,000 S6,25 I ,000 $6,251,000 MLMI2006-HE I S5,Ooo,ooO 1.0000 55,000,000 1.0000 1 $5,000,000 $12,777,000 512,777,000 55,000,000 MSAC2005-NC I S5,Ooo,OOO 1.0000 $5,000,000 (SAC 2005?NCI 535879,000 $35,879,000 S5,OOO 000 NCHET2005-2 55,000000 1.0000 S5,000,000 CHET 2005?2 $13,243,000 S13243OO0 S5OO0,OOO 55000,000 ACE 2006?NCI 1.0000 $5,000,000 1.0000 $5,000,000 $10,620,000 S5,Ooo,Ooo 510,620,000 $5,000,000 1.0000 AMSl2oo5-RS 55,000,000 1.0000 $5,000,000 S5,OOO 000 516300,000 $10,300,000 S5 000 000 1.0000 CARR 2005?NCI $5,000,000 10000 $5,000,000 ,000,000 $5 $6,825,000 S6,825,OOO S5,OOO,Ooo 1.0000 1.00 55,000,000 CWL 2006-BCl $5,000,000 $16,307,000 516,507,000 55,000,000 1.0000 55,000,000 MSAC 2005-NC2 $5,000,000 -i -00 $5,0(0000 $13,609,000 513 609,000 MSAC 2006-NCI 55000000 1.0000 55000000 $,0,0 $5,000,000 1.0000 S35896,OOO S5 000 000 1.0000 NCHET 2005-1 S5 000 000 $35,896,000 1.0000 $5000000 529,010,000 $29,010,000 S5,OOO,Ooo 1.0000 55,000,000 NCHET 2005-3 1.0000 $5,000,000 $8,327,000 $8,327,000 1.0000 55,000,000 RAMP 2005-EFC6 S5.000,OOO $5,000,000 1.0000 $5,000,000 $22,900,000 522,900,000 55000 000 1.0000 S5 000 000 NCHET2005-4 1.0000 $5000000 $12,409,000 SI2,409,OOO S5,OOO,OOO 1.0000 S5,OOO,Ooo ACE 200S-HE4 $5,000,000 514045,000 55000,000 1.0000 55000,000 AMSl2oo5-RI0 $5,000,000 514640 000 $14,640,000 1.0000 AMSl2oo5-RII 55000000 1.0000 | 55000 000 $5,000,000 $7,07,000 57,887,000 55,000,000 1.0000 55,000.000 ABSHE 2oo5-HE2 $5,000,000 514,410,000 $14.410,000 55,000,000 CARR 2006-NCI S5,ooO,Ooo 1.0000 $5,000,000 $4,000 57422,000 55000,000 1.0000 55000,000 CMLTl2005-0PT3 1.0000 3,000,000 $7,052,000 55000,000 S7 052 000 GSAMP 2oo6-NC2 55,000000 1.0000 1.0000 $5,000,000 1.0000 $9,55,000 59:555000 HASC 2oo6-0PT I 55000000 1.0000 55000 000 $5,000,000 $5,000,000 1.0000 S2,958,OOO $2,958,000 1.0000 S5OO0000 HASC 2006-NCI S5 000 000 $5,000,000 $6,303,000 55,000,000 S6,503,Ooo lPMAC 2006-HEI 55,000,000 1.0000 $5,000,000 $8,354,0 $8,354,000 S5,Ooo,Ooo JPMAC 2OO6-CW2 S5,OOO.000 1.0000 $5,000,000 $5,000,000 $17,134,000 S5 000 000 S17 134,000 MSAC 2005-HEI 55000000 1.0000 $5,000,000 515890,000 55,000,000 1.0000 55,000000 MSAC 2oo5-HE2 $5,000,000 eISAC2005-HE2 $15,022,000 S15.022,OOO S50OO,OOO 1.0000 NCMT2006-1 ) I IS5,OOO,OOO $5,000,000 4CMT 2006-1 $6,8014,000 S6 814 000 CMLTl2oo6-NCII 55000,000 1.0000 S50OO,OOO $5,000,000 2006-NC $12,544,000 512,544,000 FHLT2006-B 55,000,000 1.0000 55,000,000 $5,000,000 'HLT 2006-B $12,839,000 512,839,000 55,000,000 1.0000 SABR 2006-FR3 2006-FRl 1.0000 | 55,000,000 $5,000,000 IABR 4,483,000 S4,483,Ooo S5,OOO,OOO 1.0000 55,000,000 WMABS 2006-HE2 $5,000,000 MMABS2006-HE2 $1,5400,000 SI8 400 000 55000000 1.0000 55,000.000 SVHE 2oo6-0PT2 $5,000,000 2006-OFr2 $11,875,000 511 875,000 1.0000 55000 000 CWL2oo5-BC5 55000 000 1.0000 $5000,000 ZWL 2005-BC5 $8,473,000 S8473,OOO 1.0000 S5,OOO,OOO CARR 2006-NCl S5,OOO,Ooo $5,000,000 :ARR 2006-NC2 $7,900,000 57,909,000 55,000,000 1.0000 55,000,000 lPMAC 2oo6-NCI $5,000,000 2006-NCI IPMAC $15,160,000 55,000,000 SI5,I69,ooO $5,000,000 lPMAC 2006-NC2 55,000,000 1.0000 $5,000,000 1.0000 IPMAC 2006-NC2 38,376.00 $5D0000 55000000 58576000 MABS 2005-NC2 S5OO0,OOO 1.0000 IABS 2005-NC2 $7,805,000 57805000 $5,000,000 NHELI2006-HE2 55000000 1.0000 55000 000 lHELI 2006-HE2 $12,929,000 SI2 929 000 MSAC 2005-HE6 1.0000 55000000 55000000 $5,000,000 1.0000 $5,000,000 $8,078,000 58,078,000 55000,000 S5000,OOO 1.0000 ACE 2oo6-HE4 $21,533000 521,583.000 FHLT2006-C 55,000,000 1.0000 55,000,000 S 14,392,000 514,392,000 55,000,000 55,000,000 1.0000 ACE 2oo6-0PI $10,659,000 SIO,659,Ooo ARSI 2006-W 4 S5 000 000 1.0000 55000,000 $5,597,000 S5,597OO0 ABSHE 2006-HE2 S5 000 000 1.0000 55000 000 5-HE2 $10,000,000 SIO,ooO,ooO 1.0000 55000000 IXIS 2006-HE2 55000000 $5,000,000 1.0000 $5,032.000 S5,932.OO0 MLMI2006-FMI 55000,000 1.0000 55000 000 $5,000,000 1.0000 $15,030,000 55,000,000 SI5,030,OOO NCHET 2006-1 55,000,000 1.0000 $5,0000 1.0000 $5,850,000 S5,850,OOO S5,OOO,OOO S5,ooO,ooo 1.0000 SVHE 2005-001 $ 11,070,000 $5,000,000 Sll,070,ooO SASC 2006-NCI $5,000,000 1.0000 I.oo 55,000,000 $3,012,000 55,012,000 CWL2oo6-1 1 1.0000 55,000.000 10000 $5000,000 1 55,000,000 $5,000,000 $6,205-000 56205000 MABS 2006-AM2 1.0000 S5 000 000 55000000 ) 000 MABS 2006-/ $14,313,000 SI4,313,OOO S5,OOO,OOO 1.0000 S5,Ooo,OOO NCHET 2006-2 $5,000,000 1.0000 NCLET 2006 $16,500,000 55,000,000 SI6,5oo,OOO SAIL 2006-BNC3 55,000,000 1.0000 $5,000,000 SAIL 2006-B] $26,230,000 526,250,000 $5,000,000 55,000,000 1.0000 55,000,000 CWLlOOS-14 CWL 2005-14 $133,000 55,000000 519333.000 $5,000,000 MSAC 2oo5-HE5 55,000,000 1.0000 1.0000 $10,800,000 1.0000 510800000 $5,000,000 FMIC 2006-2 55000 000 1.0000 55000 000 $5,000,000 510200,000 HEAT 2006-6 55000 000 1.0000 55000000 $5,000,000 $5,000,000 511,474,OOO 55,000,000 MLMI2006-MLNI 55,000,000 1.0000 55,000,000 twevz wce PkorVi TYP8s ear./t:l!T'ril1 SI,003,750,611 51410,043699 5781,325,635 51,503,076,331 52,989.436,690 S I 324265 728 SI,416,I91,359 51.029,909,316 5650,000,442 51,500,655,452 $i296,091,575 SI 96,091 575 $2,991,323,979 5 991,323,979 $2,900,967,526 52,900,967,526 $693,854,460 5693,854,460 52,080,229,977 52,080,229977 $1,459,858,597 51,459,858.597 $2,006,425,509 52,006,425,509 51 830 242 361 1,830,0,61 $717,027,010 5717,027,010 $1,441,051,750 51,441,051,750 $927,735,831 S927.735831 $881,499,701 S881,499,701 5955507,861 $328,689.100 S328,689,I00 $619,359,045 5619,359,045 $349,904,974 S349,984,974 $1,713,448,448 SI,713 448 448 $1,588,946,277 51,588946,277 $1,502,180,714 SI,502,180,714 $973,-489502 S973,489 ,502 $1,003,398,320 51,003,598320 $982,497,630 5982,497,630 $472,002.321 5472,002,321 $1 600000,000 20 $949,990 5949999828 S941,444,817 5930,509,120 5948,076,340 5902,787,580 $743401,087 $1,07,406,776 5 I 077 406 776 $702,462,276 5702,462,276 $1,798,572,976 51,798,572,976 $1.107,055,226 51,107,055,226 SI 421 187988 $1,421,187,988 $746,271.329 5746,271,329 51,000 000 000 $439,401,071 5439,401,071 $1,366,333,806 SI,366,333,806 $615,829,922 S615,829,922 $1,230,035,769 SI,230,035,769 $358,000,000 5358,000,000 5477 328 508 $477,328,508 $1,192,746,592 51,192,746,592 52,062,458,752 52,099,999,537 S 1,486,749,9 17 $800,000 000 5850,000 100 S819,593,841 wMatu ItYA zus; "i'i!it1ll'/la!UrItY,z;~;'j 4fl5t2A36 I 3128106 2/28/06 ID8I06 217/06 ID5105 4122105 1130106 synthetic sprd synthetic sprd synthetic sprd synthetic sPrd syntheticsprd s d synthetic synthetic syntheticsprd sprd sped synthetic S1'rd synthetic synthetic synthetic sprd sprd 1.10% 0.95% 1.05% 0.85% I.IS% 2.30% 3.05% 1.70% 1.70".4 2.47% 2.27% 235% 2.35% 2.08% 2.08% 9128105 213/05 5130/06 4/29/05 4129/05 1/27/06 1127/06 2/25/05 IDjl05 6/24/05 6124105 11/22/05 11122105 8/17105 8117/05 6/29/05 6129/05 11/23/05 11123105 12/20/0 IIDO/05 3/4/05 314/05 2/1D6 218/06 7/7/05 m/05 6/29/06 6129/06 2/3/06 213/06 I 3nt06 2/28/06 ID8I06 8/8/06 818106 1/26/05 1126105 3436/06 3130105 6/06 416/06 2MLTI iVHE &2/06 6129/06 8/3/06 8/3106 8/25/06 813/06 4/2/06 5125106 12/8/5 4nt06 12/2106 IID8I05 4/27/06 6121106 8/27/06 4127/06 8/23/06 8123106 11/29/05 11129/O5 4/28/06 4128106 I1I/29/05 11I29/05 9/28/06 9128/06 9/7/06 9nt06 5/25/06 5n5106 4/25/06 4125106 3/24/06 3/24/06 6/25/06 jl25106 620/06 6130/06 3/30/06 3130/06 jlI3I05 6/22/06 6122106 2/10/06 2110106 7128/06 6/29/06 6/29/06 8/25/06 8/25/06 12/21/05 IIDlI05 10128105 synlhetic sprd synthetic syntheticsprd s1'rd spd syntetic synthetic synthetic sd sprd synthetic sprd synlhetic sord synthetic sped synthetic sprd svsthefic serd synthetic sprd sythatic ..')'IIthetic sned .'J'rd synthetic sprd synthetic sprd synthetic sprd synlhetic sord syntheticsprd synthetic sprd synthetic spd synthetic sprd synthetic SIJfd synlhetic sprd synthetic sPrd syn tic sprd synthebc sprd synthetic sord sYlllhetic SDrd synthetc sped synthetic sd syndwb sprd synthetic sprd syntheticsprd synthetic sprd syntimicspe.... syntheticsprd synthetic sprd synthetic sprd sprd synthetic sprd ~ynthetic Sjlrd synthetic sprd synthetic prd synlhetic sprd synlhetic SDrd s thetics ed synthetic Sjlfd spid synthetic synthetic sprd synthetic sPrd synthetic SJlrd synthetic sprd synthetic sprd synthetic sprd synthetic sprd synthetic sprd synthetic SDrd svnthetic SPrd synthetic sped 1 synthetic sprd synthetic SDrd synthetic sprd synthetic spid synthetic sprd synthetic sped synthetic SDrd synthetic sped synthetic sprd sysoheticsped synthetic SDrd synteic sped synthetic sprd syntetc sped synthetic sprd synetc spe synthetic sprd synthetic spro synthetic sped synthetic sDrd synthefic sped synthetic svrd synthetic sped synthetic sprd synthetic sped synlhetic sprd synteti sped Synthetic sprd 4125n036 1/25/2036 Im12036 12/25/2036 I2I25n036 1/25/2035 112512035 6/25/2035 612512035 12/25/2035 12/2512035 10/25t2035 2/25/20335 IOm12035 1/232045 I125n045 3/25/2035 312512035 1225/2035 1212512035 3/25/2035 3125n035 7/25/2035 7125n035 7/25/2035 712512035 12/25/2035 1212512035 1/25/2036 112512036 2/25/2035 2125n035 1/25/2036 Im12036 5/2/2033 5125n035 6/25/2036 612512036 12/25/2035 1212512035 11/25/2035 1/25/2036 1112512035 Im12036 812512036 IID512034 112512035 3m12036 Ilm12035 9125n035 ID512035 2.08% 2.080/. 1.80% 1.80% 1.05% 2.31% 2.73% 2.77% 1.75% 2.10".4 2.40% 2.72% 2.30% 2.25% 2.05% 2.30% 1.95% 2.35% 1.90% 1.40% 1.78% 1.55% 2.26% 1.42% 2.50% 2.15% 2.75% 2.50% 2.50% 1.3% 1.35% 2.45% 1.01% 2.70% 2.70% . 1 8/25/2036 8125/2036 8/25/2036 8125n036 5/25/2036 512512036 525/2036 5n512036 5/25/2036 512512036 1/25/2036 I12m036 6/25/2036 612512036 4/25/2036 412512036 7/25/2036 7125n036 11/25/2035 11/2512035 2.75% 1.30% 2.800/. 2.50% 2.20% 312512036 11/25/2035 1112512035 10/25/2036 1012512036 10/25/2036 10125/2036 4/25/2036 412512036 3/25/2036 1.65% 2.70% 1.05% 2.40% 1.27% 1.27% 2.07% 1.67% 1.15% 3/25/2036 5n512036 3/25/2036 312512036 4/25/2037 8125n036 5/25/2036 412512037 5/25/2036 5n5n036 5/2/2036 5n512035 7/25/2036 5125n036 6/25/2036 712512036 6/25/2036 612512036 812512036 0/25/2036 9/2512036 4/25/2036 412512036 912512035 712512036 11125n036 712512037 1.15% 1.15% 2.10% 7/6/06 8/1106 . 9/29106 synthetic stied synthetic sprd synthetic sprd synteic sped synthetic~d 1.27% 1.27% | o o 6 B-3 ""'-I ....lo ""'-I N Footnote Exhibits - Page 5816 :::0 .0 C <1> <1> ar D'< G) O" en o 3 D- III ::J (") en III ::T en G) s: CD I I en en o o o m ~ CUSIP5E ACCR20D1M 004375FE6 IACCR 2006-1Mg ACCR 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M9 06-NCl M9 46626l.GQ7 IPMAC 2006-HEI MS M9 1006-HEI 46629BBB4 JPMAC 2006-CW2 M t006-CW2 MV9 61 744CKW5 MSAC 2005-HEI B3 B3 305-HEI 61 744CNKB MSAC 2oo5-HE2 B3 65106AAW3 NCMT 2006-1 M9 I 729B3ANB CMLTI2006-NCl MB 3AN8 ICMLTI2006-? FHLT 2006-B MB 35729<.iANB B13765AH7 SABR 2oo6-FRJ B2 93934JAN4 WMABS 2006-HE2 M9 WMABS 2006-HE2 M9 93934JAN4 B3611MMT2 SVHE 2006-0PT2 M7 SVHE 2006-OF2 M7 83611MMT2 126670NN4 CWL 2005-BC5 B CWL 2005-BC5 B 126670NN4 I 4453FAN9 CARR 2OO6-NC2 M9 14453FAN9 CARR 2006-NC2 M9 46626UZ4 IPMAC 2006-NCI M9 JPMAC 2006-NCl M9 46626UZ4 46629FANO JPMAC 2006-NC2 M9 JPMAC 2006-NC2 M9 46629FANO 57643LMXl MABS 2oo5-NC2 MB MABS 2005-NC2 Mg 57643LMXI 65536MAN7 NHELI2006-HE2 M9 NHELI 2006-HE2 M9 65536MAN7 61744CWE2 MSAC 200S-HE6 B2 MSAC 2005-HE6 B2 61744CWE2 oo442BAP6 ACE 2006-HE4 M9 ACE 2006-HE4 M9 00442BAP6 35729TAP7 FHLT 2006-C M9 M9 FHLT 2006-C 35729TAP7 00442PAP5 ACE 2OO6-0P II MB ACE 2006-OP M8 00442PAPS 040104TSO ARS12006-W4 M9 040104TSO ARSI 2006-W4 M9 04541GW 1 ABSHE 2006-HE2 M9 04541GWQl ABSHE 2006-HE2 M9 46602WAN4 IXIS 2006-HE2 B3 IXIS 2006-HE2 B3 46602WAN4 59021AAMO MLMI 2006-FM II B2 59021AAMO MLMI 2006-FM B2 64352VRB9 NCHET 2006-1 M9 M9 NCHET 2006-1 64352VRB9 83611MEE4 SVHE 2005-001 MB SVHE 2005-DO! 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Option One Mortgage Corporation Wilshire Credit Corporation HorneEcj Servicif1!lCofJlOf!liOll New Century MortBage CO?l""1ltioo Saxon Mortgage Services Inc. Ameriquest Mortgage Compony (Mortgae C"!I'Qmtion New Century.MQI1gageCorporation Countrywide Home LoansServicing LP Home Loans Servicing ing C()IJf1\I}'WideHomeLor Servicio]LLP Home Loans r Morg HomeEo Servicina COfJl<'f1Ition Mortgage Corporation New Century Mortgage Corporatioo rMortgage Corporatioo New Century Mortgage Corporation rioding Residential Fundin.s yMortgage Corporation New Century Mortgage Corporation Countrywide Home LoansServicing LP Horoe Loans Servicirut Mortgage Company AmeriQUes' Martaa'e Comoonv Ameriquest Mortgage Mortgage Company Company raie Seovices, In. Inc. Saxon Mortgage Services. New Century MO?_e C"!I'Qmtion Option One Mortgage Corporation Ocwen Loan Servicina, LLC ()(ltion One M-'!lJ!age C~tion IP Mo,!!anChose Bank, National Association JP Me,!!an Chose Bank, National Association C wrtrywide Home Loans Seovicing LP HomeEo Servicirut COfJlQI'lItion Option One Mortgage Corporation Centex Home EquilyCoropanY,LLC Wells FarRO Bank, N.A. Fremont Inveslmenl &. Loan HomeEq Servicing Corporation Washington Mutual Mortgage Securities Corp. Option One Mortgage Corporation Countrywide Home Loans Seovicina LP CounlIywide Horne I New Century M""Bage C o o ::::!l 0.. :J Footnote Exhibits - Page 5817 :J .- CD il5" :J .- 3" CD Dl -; CD CD ..0 C ::u en CD CD '< 0.. 0- G) o 3 0.. 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B3 64352VKJ9 NCHET 2005-1M9 qCHET 2005?11.19 64352YLSS NCHET 2005-3 M9 'CHET 2005?3 M9 76112BL24 RAMP 2005?EFC6M9 OAMP2005-EFC6M9 64352VNB3 NCHET2oo5-4M8 '4CHET 2005-4 MO ACE 2005-HE4 oo442IPYJ M9 ACE 2005?HE4 M9 03072ST62 AMSI2oo5-RI0 M9 ASI 2005-RIO M9 03072SY93 AMSI2ooS?RIII M9 CMSI 2005-RI M9 03072SV93 04S41G<;H8 ABSHE 2005-HE2 M7 2005-102 M7 9ABSHE 04541GQHO 144531FGO CARR 2006?NCI M9 144531FGO CARR 2006-NCI M9 M9 17307GS88 CMLTI200S'()PT3 M9 2005-OPTS 17307GSS8 CNILTI 362463AP6 GSAMP2oo6-NC2 M9 GSAMP 2006-NC2 M9 362463AP6 40430HDN5 HASC2006?0PTI M9 40430HDN5 1ASC 2006-OPTI M9 40430HFAI HASC 2006?NCI M9 HASC2006-NCI M9 40430HFAI 46626LGQ7 JPMAC 2oo6-HEI M9 IPMAC2006-HEI M9 46626LGQ7 46629BBB4 JPMAC2006?CW2MV9 JPMAC 2006-CW2 MV9 46629BBB4 MSAC 2005-HE2 B3 MSAC 2005-HE2 B3 NCMT2006-1 M9 NCMT2006-1 M9 CMLTl2006?NCl MO CMLTI 2006-NC I M8 FHLT 2006?B MO FHLT 2006-B M8 SABR 2006-FR3 B2 SABR 2oo6-FR3 B2 WMABS2006?HE2M9 WMABS 2006-HE2 M9 SYHE 2006-OPT2 M7 SVHE 2006-0PTI M7 CWL 2005-BC5 B 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FL-13.91 % AZ-6.13% 1L-4.70% NV-4.34% CA-37.97% FL-13.91%AZ-6.13% IL-470%NV-4.34% GA-26.SI% FL-14.76% NY-IO.37% MD-6.11 % IL-S.SI% CA-26.31% FL-14.76% NY-10.37% MD-6.11% IL-5.81% CA-29.43% FL-11.4S% NY-I 1.02% NJ-6.27% MA-4,09% NJ-6.27% MA-4.0951 CA-29.43% FL-1 1.45% NY-1 1.02% CA-28.68% FL-12.74% IL-8.94% AZ-7.ll% NY-oS.55% NY-5.55% CA-28.68% FL-12.74% IL-8.94% AZ-7.11% CA-31.99% FL-12.12% AZ-5.32% TX-4.93% NY-4.S7% X-4.93% NY-4.57% CA-31.99% FL-12.12% AZ-5.32% T CA-34.82% FL-18.11% IL-4.81% MD-3.9S% NJ-3.93% CA-34 R2%FL-1R. 11%IL-4.81% MD-3.95% NJ-3.93% CA-24.72% NY-IS.03'~ FL-14.03% NJ-8.86% MD-7.35% -24.72% NY- 15.03%FL-14.03% NJ-8.86% MD- 7.35% CA-37.92% FL-8.47% NY-7.1S% MA-S.30% NI-4.S2% NJ-4.52% -37.92% FL-8.47% NY-7.15% MA-5.30% CA-13.6S% FL-9.76% IL-S.52% MA-S.OB% VA-4.S5% FL-9.76% IL-5.52% MA-5.08% VA-4.55% L-13.65% CA-2HS% FL- 11.14% NY- 6.59%TX- 4.81% NJ- 4.46% FLk-27.05% 11.14%NY- 6.59%TX- 4.81% NJ-4.46% CA-32.4tW. 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MD-7.23% VA-7.04% FL-6.87% NJ-6.35% * MD-7.23% VA-7.04% FL-6.87% NJ?6.35% 1-4.88% 56.6% 57.9% 57.9% 463% 46.3% 53.7% 53.7% 48.1% 46.1% 54.0% 54.0% 76.4% 76.4% 35.3% 35.3% 53.3% 53.3% 56.3% 56.3% 57.3% 57.3% 49.5% 49.5% 57.0% 57.0% 68.4% 68.4% 55.6% 55.6% 53.8% 53.8% 73.5% 73.5% 72.5% 72.5% 48.2% 59.2% 57.9% 52.0% 46.6% 43.9% 31.0% 61.2% 61.2% 57.8% 57.8% 57.7% 57.7% 78.2% 50.8% SO.8% 56.4% 56.4% 53.4%. 53.4%. 54.0% 57.7% 57.7% 62.8% 62.8% 52.0% 52.0% 51.3% 51.3% 59.0% 59.0% 40.2% 63.4% 55.6% 55.6% 40.5% 40.5% 59.0% 59.0% 48.1% 46.1% 53.3% 53.3% 55.6% 55.6% 40.3% 40.3% 52.3% 52.3% 52.8% 52.8% 59.0% 59.0% 54.6 54.6% 55.4% 55.4% -,::m- *1 5'''~';%','A t'[)oc)~M!I'i , :ll;,'r.%~;No'D>, the Purchaser's purchase and holding of an Income Note do not and of Code ("Similar Law")), the Purchaser's purchase Income not 4975 prohibited transaction under Section 406 of ERISA 4975 constitute will not constitute or result in a prohibited transaction under Section 406 of ERISA or Section 4975 of the employee benefit Law) which Code (or, in the case of an employee benefit plan subject to Similar Law, any Similar Law) for which an (or, exemption exemption is not available. [check the other person Benefit The Purchaser _ The Purchaser is _ _ is not ___ [check one] the Issuer or any other person (other than a Benefit Plan Investor) that has discretionary authority or control with respect to the assets of the Issuer, a person who control provides investment advice for a fee (direct or indirect) with respect to the assets of the Issuer, or any advice with Section 2510.3-101(f)(3)) "affiliate" (within the meaning of 29 C.F.R. Section 2510.3-101 (f)(3>> of any such person (any such person "affiliate" paragraph "Controlling Person"). . described in this paragraph being referred to as a "Controlling Person"). referred general If the Purchaser is an insurance company acting on behalf of its geneTal account or any other entity holding __% plan assets of Benefit Plan Investors __ [check if true], then (i) not more than __% [complete by Benefit (i) entering a percentage], (the "Maximum Percentage") of the assets of such general account or entity "Maximum percentage], and assets" constitutes assets of Benefit Plan Investors for purposes of the "plan assets" regulations under ERISA, and Benefit Purchaser (ii) without limiting the remedies that may otherwise be available, the Purchaser agrees that it shall (x) remedies (ii) portion of exceeded, immediately notify the Issuer if the Maximum Percentage is exceeded, and (y) dispose of all or a portion of Maximum immediately Issuer, disposition discretion its Income Notes as may be instructed by the Issuer (including, in the discretion of the Issuer, a disposition the be instructed Notes as its value of the Issuer) back to the Issuer or an affiliate thereof (or other person designated by the Issuer) for the then value of the (or or the otherwise Purchaser in Income Notes as reasonably determined by the Issuer, in any case in which the Purchaser cannot otherwise Issuer, Income Notes reasonably to make). make a disposition it has been instructed by the Issuer to make). make a disposition it (i) (i) register any The Purchaser understands and acknowledges that the Income Notes Transfer Agent will not register any and acknowledges that the Income Notes The Purchaser subsequent purchase or transfer of Income Notes either to a proposed initial purchaser or to a proposed subsequent initial purchaser or to a to a either transfer of purchase or a case, represented that it is a transferee of Income Notes that has, in either case, represented that it is a Benefit Plan Investor or a transferee of Income Notes that has, in have represented that they Controlling Person if, after giving effect to such proposed transfer, persons that have represented that they transfer, persons Controlling Person if, after giving effect such For Notes. Income outstanding of the are Benefit Plan Investors would own 25% or more of the total value of the outstanding Income Notes. ?For value total the of or more 25% own would Investors Plan Benefit are of their purposes of this determination, Income Notes held by the Liquidation Agent, the Trustee, any of their held by the Liquidation Agent, the Trustee, Income purposes of this determination, they are Controlling Persons will disregarded respective affiliates and persons that have represented that they are Controlling Persons will be disregarded respective affiliates and persons that have represented and will not be treated as outstanding. The Purchaser understands and agrees that any purported purchase and will not be treated as outstanding. The Purchaser understands and agrees that any purported purchase or transfer of the Purchaser's Income Notes to a Purchaser that does not comply with the requirements of or transfer of the Purchaser's Income Notes to a Purchaser that does not comply with the requirements of this clause (i) will not be permitted or registered by the Income Notes Transfer Agent. this clause (i) will not be permitted or registered by the Income Notes Transfer Agent. A-I-7 A-1-7 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-IE-000912727 GS MBS-E-000912727 Footnote Exhibits - Page 5826 (j) purchaser Purchaser's The purchaser is not purchasing the Purchaser's Income Notes with a view toward the resale, distribution or Securities Purchaser understands investment thereof violation other disposition thereof in violation of the Securities Act. The Purchaser understands that an investment in investment Purchaser's Income the Purchaser's Income Notes involves certain risks, including the risk of loss of its entire investment in the Purchaser's Income certain circumstances. Purchaser Purchaser's Income Notes under certain circumstances. The Purchaser has had access to such financial and infonnation concerning Purchaser's necessary other information concerning the Issuers and the Purchaser's Income Notes as it deemed necessary or appropriate infonned investment appropriate in order to make an informed investment decision with respect to its purchase of the Purchaser's Income Notes, including an opportunity to ask questions of, and request infonnation from, the information opportunity Issuer. The Purchaser is not purchasing the Purchaser's Income Notes in order to reduce any United States federal Purchaser purchasing Purchaser's . income tax liability or pursuant to a tax avoidance plan. pursuant avoidance The Purchaser agrees to treat the Purchaser's Income Notes as equity for United States federal, state and Purchaser's Income The Purchaser local income tax purposes. The Purchaser acknowledges Cayman requirements The Purchaser acknowledges that due to money laundering requirements operating in the Cayman Islands, require identification the Issuer and the Income Notes Transfer Agent may require further identification of the Purchaser before and Transfer purchase application can Income the purchase application can proceed. The Issuer and the Income Notes Transfer Agent, as applicable, shall be held hannless and indemnified by the Purchaser against any loss arising from the failure to process the harmless indemnified application if such information as has been required from the Purchaser has not been provided by the application infonnation provided Purchaser Purchaser.. required The Purchaser agrees to complete any other instrument of transfer as required under Cayman Islands law. complete The Purchaser is not a member of the public in the Cayman Islands. Cayman (1<) (k) (I) (1) (m) (in) .(n) (0) (o) We acknowledge that you and other persons will rely upon our confinnation, acknowledgments, acknowledge confirmation, acknowledgments, representations, warranties, covenants and agreements set forth herein, and we hereby irrevocably authorize you and irrevocably representations, warranties, agreements interested administrative such other persons to produce this letter or a copy hereof to any interested party in any administrative or legal persons produce hereof proceeding or official inquiry with respect to the matters covered hereby.. inquiry respect hereby .~ ___ ;'--~-_ -: ~;:.t .... _. -. A-1-8 A-1-8 Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912728 MBS-E-000912728 Footnote Exhibits - Page 5827 THIS LETTER SHALL BE GOVERNED AND CONSTRUED IN ACCORDANCE WITH, THE THIS LETTER SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK. LAWS OF THE STATE OF NEW YORK. Very tmly yours, Very truly yours, [ By: __- - - - - - - - - Name: Title: Receipt acknowledged as set forth above, Receipt acknowledged as of date set forth above, (Signature and Addresses) (Signature and Addresses) A-I-9 A-1-9 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912729 GS MBS-E-000912729 Footnote Exhibits - Page 5828 REGISTERED ISSUERS REGISTERED OFFICES OF THE ISSUERS ANDERSON MEZZANINE FUNDING 2007-1, LTD. ANDERSON MEZZANINE FUNDING 2007-1, LTD. Box 1093GT, Queensgate House P.O. Box 1093GT, Queensgate House Church Street South Church Street George Town George Town Grand Cayman, Cayman Islands Grand Cayman, Cayman Islands ANDERSON MEZZANINE FUNDING 2007-1, ANDERSON MEZZANINE FUNDING 2007-1, CORP. 850 Library Avenue, Suite 204 Avenue, Suite 204 Newark, Delaware 19711 Delaware 19711 TRUSTEE, PRINCIPAL PAYING AGENT, TRUSTEE, PRINCIPAL NOTE PAYING AGENT, PAYING AGENT, NOTE TRANSFER NOTE PAYING AGENT, NOTE TRANSFER AGENT, REGISTRAR, AGENT AGENT, NOTE REGISTRAR, FISCAL AGENT AND INCOME NOTES TRANSFER AGENT AND INCOME NOTES TRANSFER AGENT LaSalle Association LaSalle Bank National Association 181 W. Madison Street, 32nd Floor 32rid Chicago, Chicago, Illinois 60602 LIQUIDATION AGENT LIQUIDATION AGENT Sachs & Co. Goldman, Sachs & Co. 85 Broad Street Street New York, NY 10004 NY 10004 New LEGAL ADVISORS ADVISORS Purcbaser To the Issuers, tbe Initial Purchaser and tbe tbe the the Liquidation Agent . Agent As to matters of United States Law Sidley Austjn LLP Austin 787 Seventh Avenue New York, New York 10019 York 10019 To tbe Trustee, Principal Note Paying the Note Agent, Note Paying Agent, Note Transfer Agent, Agent, Note Registrar, Agent, Note Registrar, Fiscal Agent and Income Transfer Agent Notes Transfer Agent As to matters of United States Law & Kennedy Covington Lobdell & Hickman, L.L.P. 47h Tryon 214 N. Tryon Street, 47 th Floor Charlotte, North Carolina 28202 To the Issuer the Issuer Law As to matters of Cayman Islands Law to matters of Maples and Calder Calder Maples House P.O. Box 309GT, Ugland House 309GT, South Church Street, South Street, GeorgeTown George Town Grand Cayman, Cayman Islands Grand Cayman, Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-000912730 GS MBS-E-000912730 Footnote Exhibits - Page 5829 No salesperson or other person has been No dealer, salesperson or other person has been infonnation represent authorized to give authorized to give any information or to represent anything not contained in this Offering Circular. not contained in Offering must on You must not rely on any unauthorized infonnation information representations. This Offering an or representations. This Offering Circular is an sell Notes hereby, only offer to sell only the Notes offered hereby, and only circumstances jurisdictions where it under circumstances and in jurisdictions where it is The infonnation contained lawful to do lawful to do so. The information contained in this Offering Circular current Offering Circular is current only as of its date. ANDERSON MEZZANINE ANDERSON MEZZANINE FUNDING 2007-1, LTD. FUNDING 2007-1, ANDERSON MEZZANINE ANDERSON MEZZANINE FUNDING 2007-1, CORP. FUNDING 2007-1, TABLE CONTENTS TABLE OF CONTENTS Offering Offering Circular Page Available Information .................................................. 16 Information .............. ............. 16 Transaction Overview .................................................. 20 Transaction Overview .................... 20 Swnmary .............................. 21 Summary ...................................................................... 21 Risk Factors.................................................................. 34 ............ 34 Factors. .......... Description Description of the Notes ............................................... 52 Notes........................................... 52 Use of Proceeds ............................................................ 80 Proceeds....................... 80 ............. 80 Ratings of the Notes ..................................................... 80 Notes........ Swap ................ :............... :............. 81 The Credit Default Swap.......................................... 81 Buyer ......................................... 88 The Credit Protection Buyer..................................... 88 The Collateral Securities .............................................. 89 Securities... .......... ................. 89 Agreeinent... ......................... The Liquidation Agency Agreement........................91 91 Accounts ...................................................................... 95 A ccounts ...................... ........................... 95 Reports ......................................................................... Reports............................97 97 . Weighted Average Considerations.......97 Weighted Average Life and Yield Considerations ....... 97 .The Issuers ................................................................. 101 .... ....... .. ........ ............ Income .......... Income Tax Considerations ........................................ 104 Considerations ............ :........................................ 110 ERISA Considerations ...... ............. ..... 110 Certain Legal Investment Considerations ................... 113 Considerations................... 113 Legal Matters ............................................................. 113 ............ ........ 113 Underwriting .............................................................. 114 ............. ......... 114 Index of Def11led Terms ............................................. 117 Defined ...................... 117 Appendix A - Certain Def11led Terms ...................... A-I A Defined Terms........A-1 AppendLx B - Reference Portfolio ........................... B-I Appendix B Portfolio..........B-1 AnnexA-I - Form ofIncome Notes Purchase and of Income Annex A-1 Transfer Letter............... Letter........................................................ A-1-1 ........ A-I-I U.S.$2,490,000 U .S.$2,490,000 Class Notes Class S Floating Rate Notes 2013 Due 2013 U.S.$130,000,000 U.S.$ I 30,000,000 Notes Class A-la Floating Rate Notes Due 2042 U.S.$53,000,000 U.S.$53,000,000 A-lb Class A-lb Floating Rate Notes Due 2042 Oue 2042 U.S. $30,500,000 U.S. $30,500,000 Class A-2 Floating Rate Notes Due 2042 U.S.$42,70,000 U.S.$42,70,000 Class B Floating Rate Notes Floating Notes 2042 Due 2042 U.S.$16,775,000 U.S.$16,775,000 Deferrable Notes Class C Deferrable Floating Rate Notes Due 2042 U.S.$11,090,000 U.S.$ 11,090,000 Deferrable Class D Deferrable Floating Rate Notes Due 2042 U.S.$20,935,000 U.S.$20,935,000 Income Notes Due 2042 CIRCULAR OFFERING CIRCULAR & Goldman, Sachs & Co. Confidential Treatment Requested by Goldman Sachs Confidential MBS-E-000912731 GS MBS-E-000912731 Footnote Exhibits - Page 5830 ,. From: From: Sent: Sent: To: To: Subject: Subject: DuVally, Michael (EO 85807) DuVally, Michael (EO 85B07) Monday, December 17, 20077:47 AM Monday, December 17, 2007 7:47 AM Sparks, Daniel L Sparks, Daniel L WSJ responses WSJ responses Dan, Dan, Could you please look at the Q&A. We're not satisfied with this and wondered had any suggestions. Could you please particularly look at the last Q&A. We're not satisfied with this and wondered if you had any suggestions. Thanks, Thanks, Michael Michael structured products trading group made $4 billion during year. The structured products trading group made $4billion during this fiscal year. The structured products trading group and the larger mortgage business, of which it is a part, both were profitable this products group and larger mortgage both were profitable this The year. However, the WSJ story greatly overstates the profitability of the SPT group. However, the WSJ story greatly overstates the profitability SPT year. A group traders responsible large A tiny group of traders was responsible for the large profit. The situation mortgage market Senior management and many different parts of the The situation in the mortgage market this year was very severe. Senior management and many different parts of the firm, including legal, controllers and risk management, spent significant amounts of time with the various mortgages including management, with the various mortgages firm, help desks to help navigate the problems. traders structured trading made The traders in the structured products trading group made $5-$15 billion dollars. We comment We do not comment on individuals' compensation. Goldman Sachs rolls the dice with its own money. Goldman acts The overwhelming majority of Goldman Sachs' trading profits come from transactions where the firm acts as a The principal for clients. their houses. Goldman Sachs made money on the backs of people who are being thrown out of their houses. Goldman market. Goldman Sachs in The profits discussed in the Wall Street Journal story were made in the secondary trading market. Goldman Sachs in a did not originate the subprime loans that have become problematic. That said, we continue to believe a robust did not originate outcome. is a subprime market that boosts homeownership among credit-challenged consumers is a desirable social outcome. subprime market that CDOs Goldman Sachs sold COOs to investors and simultaneously had a short trading bet that COOs would a CDOs Investors Goldman Sachs decline in value. decline conditions. in Goldman Sachs stopped ramping up new COOs at the end of last year in respone to market conditions. Regardless last new CDOs Goldman positions. That including of that, the COO trading desk can be net long or net short at any point in time, including hedge positions. That any point in net trading desk can be CDO of highly-qualified institutional are process is unrelated to the activity of underwriting securities, which are distributed to highly-qualified institutional securities, process is unrelated decisions based investors on market terms and with full disclosure so that customers may make their own investment decisions based customers disclosure so on on their appetite and risk tolerance. appetite on their book. Goldman Sachs traders deal with clients and also trade their own book. and also trade their Goldman Clients trade with Goldman Sachs because of our reliable execution and unique trading ideas. In the fixed-income unique trading ideas. In the Clients trade with Goldman Sachs because of our reliable execution market views to express world, the firm takes risk on every trade done for clients. SOJn.~ traders are allowed to express their own market views for clients. Some traders are on every trade firm takes using the firm's capital. capital. using Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Wall Street & The Financial Crisis Report Footnote #2793 Report Footnote #2793 GS MBS-E-013821884 GS MBS-E-013821884 Footnote Exhibits - Page 5831 From: From: Sent: Sent: To: To: Subject: Subject: Sparks, Daniel L Sparks, Daniel L Thursday, April 13, 20068:41 AM Thursday, April 13, 2006 8:41 AM Cohn, Gary; Sobel, Jonathan; Mullen, Donald; Roberts, William Cohn, Gary; Sobel, Jonathan; Mullen, Donald; Roberts, William Morgan Super Traders Worry Hedge Funds Morgan Super Traders Worry Hedge Funds Picture (Metafile) Picture (Metafile) Attachments: Attachments: met with some of these Morgan Stanley guys this week. As we merge our secondary structured products II met with some of these Morgan Stanley guys this week. As we merge our secondary structured products trading (CMBS, sub-prime MBS, ABS, correlation, index) business with Will's structured credit trading business, trading (CMBS, sub-prime MBS, ABS, correlation, index) business with Will's structured credit trading business, to grow that group expanding the activities of a prop group covered by the street will make sense and we expanding the activities of a prop group covered by the street will make sense and we plan to grow that group.. . But think . . . . . . . . . . But II think expenenced and known traders out of the Morgan Stanley is going overboard by taking most Morgan Stanley is going overboard by taking most of their experienced and known traders out of the franchise. We should keep our franchise leaders in the seats and continue to allow them to take prop views - the customer should keep our franchise leaders in the seats and continue allow them to take prop views the customer We flows see make them more effective. flows they see make them more effective. Morgan Super Traders Won-y Hedge Funds Morgan Super Traders Worry Hedge Funds I -- = Redacted by the Permanent = Redacted by the Permanent Subcommittee on Investigations Subcommittee on Investigations York Apr By Roddy Boyd New York Post - 13 Apr 2006 - By Roddy Boyd Copyright (c) 2006, Copyright (c) 2006, N.Y.P. Holdings, Inc. All rights reserved. traders own April 13, 2006 Morgan created April 13, 2006 -- Morgan Stanley has created an all-star team of bond traders to wager its own cash in the market, a move that is raising eyebrows of its crucial hedge-fund clients. is a Bond executives at Morgan told The Post the change will put clients' needs first, rather than focus on longertenn trades for the investment bank's own account, which is "kind of opposed to the idea of customer business," business," term according to one trader. a All told, about 30 of Morgan's asset-backed bond traders, analysts and technology specialists are moving to a different floor at the firm's headquarters. . A senior Morgan executive told The Post that feedback from mutual and pension funds "has been excellent. They are always concerned about us being distracted or putting ourselves first." . or about concerns." However, he acknowledged that hedge funds "might have some concerns." funds acknowledged that a "a hedge fund The chief investment officer at a $5 billion Midtown hedge fund called the arrangement "a hedge fund with a Midtown officer at a $5 chief lower cost of capital, pure and simple." pure and of capital, Morgan, he said, "will compete with us for product, and their best traders are off the desk." Morgan, he said, "will compete with us for product, and their best traders are off the desk." The move comes as Wall Street's biggest firms have evolved into something close to hedge funds. They are using The move comes as Wall Street's biggest firms have evolved into something close to hedge funds. They are using massive capital bases and access to cheap capital toplas;e.huge bets for their own accounts. massive capital bases and access to cheap capital to place huge bets for their own accounts. Proprietary trading might be the last great gold rush on Wall Street. Morgan's primary competitor, Goldman Proprietary trading might be the last great gold rush on Wall Street. Morgan's primary competitor, Goldman Sachs, earned $16.3 billion in net revenue trading for its own account last year. Sachs, earned $16.3 billion in net revenue trading for its own account last year. The hedge-fund executive said fighting the trend toward greater prop trading was useless. The hedge-fund executive said fighting the trend toward greater prop trading was useless. 1 Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Wall Street & The Financial Crisis Report Footnote #2800 Report Footnote #2800 GS MBS-E-016187625 GS MBS-E-016187625 Footnote Exhibits - Page 5832 "What's the difference between having a separate [prop] group versus Goldman takes same kinds of "What's the difference between having a separate [prop] group versus a Goldman that takes the same kinds of risks the various executive risks on the various trading desks?" the executive asked. 2 2 Confidential Treatment Requested by Goldman Sachs Treatment Requested Sachs GS MBS-E-016187626 GS MBS-E-016187626 Footnote Exhibits - Page 5833 From: From: Sent: Sent: To: To: Subject: Subject: McHugh, John McHugh, John Friday, November 16, 20075:57 PM Friday, November 16, 2007 5:57 PM Sparks, Daniel L Sparks, Daniel L FICC 2008 business plan presentation to Firm FICC 2008 business plan presentation to Firm Lahey's team is preparing Montag for this presentation on Monday and Tom asked for more color in several Lahey's team is preparing Montag for this presentation on Monday and Tom asked for more color in several areas .here's what I've collected today, let me know if you want me change anything ... thanks. areas..... here's what I've collected today, let me know if you want me to change anything.. .thanks. General market expectations assumptions built in General market expectations // assumptions built in We are expecting mortgage delinquencies to continue to increase due to ARM resets and declining HPA, losses will We are expecting mortgage delinquencies to continue to increase due to ARM resets and declining HPA, losses will begin to accumulate with increasing severity as foreclosures work through the system causing rating agency downgrades begin to accumulate with increasing severity as foreclosures work through the system causing rating agency downgrades of RMBS and CDOs to continue through Whole loan trading and securitization market will continue to be of RMBS and CDOs to continue through 2008. Whole loan trading and securitization market will continue to be reduced volumes. COO origination will be dislocated subprime and Ait A sectors, with Prime MAs functioning dislocated in subprime and Alt A sectors, with Prime AAAs functioning at reduced volumes. CDO origination will be comes in and creates bottom. negligible. Cash RMBS and CDO prices continue to decline until distressed investing comes in and creates a bottom. Cash RMBS and COO prices continue to decline until distressed Single name RMBS and ABX decline from current market finds bottom Single name RMBS and ABX prices continue to decline from current levels until the cash market finds a bottom and fundamentals improve. fundamentals improve. Banks broker dealers continue report RMBS COO Competitors Banks and broker dealers will continue to report writedowns from declining RMBS and CDO prices/ratings. Competitors competitive will be mortgage will be scaling back mortgage risk taking and operations, giving us a competitive advantage. Assumptionsllnitiatives in ABS p&l: p&I: Assumptions/Initiatives in o * o* o* o* Capturing greater cash and synthetic market flows from weakened competitors from weakened competitors synthetic market FaCilitating SIV/COO liquidations and portfolio changes changes and Facilitating SIV/CDO distressed asset Good prop opportunity capitalizing on selling pressure, selective distressed asset purchases pressure, prop opportunity capitalizing Expect prop flow split to be roughly 50/50 roughly split Expect prop European expansion European expansion Expected revenues from the Establishing a European origination business focused initially on the UK marketplace. Expected revenues from the Establishing a European origination business focused initially on the UK s not expected opportunity are $25mm in 2008; direct headcount will expand from s not expected will expand opportunity are $25mm in 2008; to make a significant revenue contribution in 2008 as origination volumes will be small until securitization market to make a significant revenue contribution in 2008 as origination volumes will be small until securitization market stabilizes ' . stabilizes increase from We are also expanding the secondary trading desk to establish a correlation tradiogJ1esk. Headcount will increase from to establish a correlation trading desk. Headcount the secondary trading We are also 1 person at the beginning of 2007 to 3 people in 2008 with expected revenues of $25mm (up from $5mm in 2007). 2007 to 3 people in 2008 with expected revenues of $25mm (up from $5mm in 2007). 1 person at the beginning of Initiatives include expanded index synthetics trading, and single tranche synthetic COO trading Initiatives include expanded index synthetics trading, and single tranche synthetic CDO trading Correlation desk -- ABACUS related exit price Correlation desk ABACUS related exit price - Redacted by the Permanent = Redacted by the Permanent Subcommittee on Investigations Subcommittee on Investigations Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The FinancialCrisis Wall Street & The Financial Crisis Report Footnote #2802 Report Footnote #2802 GS MBS-E-013797964 GS MBS-E-013797964 Footnote Exhibits - Page 5834 Approximately $150mm exit price valuation adjustment expected to be released in 1 half of 2008 from unwinding Super Approximately $150mm exit price valuation adjustment expected to be released in 1 51 half of 2008 from unwinding Super Senior trades, in addition to bid offer realized on trading. . Senior trades, in addition to bid offer realized on trading. Prop vs flow Prop vs flow Proplflow components of SPG Trading will be roughly equal Prop/flow components of SPG Trading will be roughly equal Majority of eRE Loan Trading, Structured Finance JV will be flow revenue Majority of CRE Loan Trading, Structured Finance JV will be flow revenue Residential mortgage business will be more prop oriented due to dislocations in the securitization market: Residential mortgage business will be more prop oriented due to dislocations in the securitization market: o Focus will be on establishing SSG JV (i.e., Litton purchase) * Focus will be on establishing SSG JV (i.e., Litton purchase) o Distressed asset (loan pools, portfolios) purchases * Distressed asset (loan pools, portfolios) purchases 2 2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS IVIBS-E-013797965 GS MBS-E-013797965 Footnote Exhibits - Page 5835 From: From: Sent: Sent: To: To: Subject: Subject: Ok Ok Bhavsar, Avanish R Bhavsar, Avanish R Sunday, June 10, 2007 7:06 PM Sunday, June 10, 2007 7:06 PM Swenson, Michael; Salem, Oeeb; Chin, Edwin Swenson, Michael; Salem, Deeb; Chin, Edwin Re: COS on COOs Re: CDS on CDOs Original Message --------- Original Message ----From: Swenson, Michael From: Swenson, Michael To: Salem, Deeb; Bhavsar, Avanish R; Chin, Edwin To: Salem, Deeb; Bhavsar, Avanish R; Chin, Edwin Sent: Sun Jun 10 15:56:00 2007 Sent: Sun Jun 10 15:56:00 2007 Subject: Re: CDS on CDOs Subject: Re: CDS on CDOs Really don't want to offer any Really don't want to offer any ----- Original Message --------- Original Message----From: Salem, Oeeb From: Salem, Deeb To: Bhavsar, Avanish R; Chin,Edwin; Swenson, Michael To: Bhavsar, Avanish R; Chin, Edwin; Swenson, Michael Sent: Sun Jun 10 13:21:03 2007 Sent: Sun Jun 10 13:21:03 2007 Subject: Re: COS on COOs Subject: Re: CDS on CDOs Not sure if we have any to offer any more. monday Not sure if we have any to offer any more. Let's discuss monday Sent from my BlackBerry Wireless Device Sent from my BlackBerry Wireless Device ----- Original Message ----- Original Message ----From: Bhavsar, Avanish R From: Bhavsar, Avanish R To: Salem, Deeb; Chin, Edwin To: Salem, Deeb; Chin, Edwin Sent: Sun Jun 10 12:07:08 2007 Sent: Sun Jun 10 12:07:08 Subject: Fw: CDS on CDOs Subject: Fw: CDS on COOs Can I get levels gor chad thx Can I get levels gor chad Original Message -----Original Message ----From:C. Klinghoffer From: C. Klinghoffer To: Bhavsar, Avanish R . To: Bhavsar, Avanish R Sent: Sun Jun 10 12:05:58 2007 Sent: Sun Jun 10 12:05:58 2007 Subject: Re: CDS on COOs Subject: Re: CDS on CDOs <> <> K thanks K thanks ----- Original Message ----- Original Message From: Bhavsar, Avanish R From: Bhavsar, Avanish R To: C. Klinghoffer To: C. Klinghoffer Sent: Sun Jun 10 12:02:51 2007 Sent: Sun Jun 10 12:02:51 2007 Subject: Re: COS on COOs Subject: Re: CDS on CDOs II can get mon, range ?6-900 roughly can get mon, range 6-900 roughly Original Message --------- Original Message ----- From: C. Klinghoffer From: C. Klinghoffer To: Bhavsar, Avanish R To: Bhavsar, Avanish R Sent~ Sat Jun 09 18:59:08 2007 Sent: Sat Jun 09 18:59:08 2007 Subject: RE: CDS on COOs Subject: RE: CDS on CDOs hey av, what levels are these at? hey av, what levels are these at? 11 Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Wall Street & The Financial Crisis Report Footnote #2812 Report Footnote #2812 GS MBS-E-012568089 GS MBS-E-012568089 Footnote Exhibits - Page 5836 From: Bhavsar, Avanish R [mailto:avanish.bhavsar@gs.com] From: Bhavsar, Avanish R [mailto:avanish.bhavsar@gs.com] Sent: Thursday, June 07, 2007 3:10 PM Sent: Thursday, June 07, 2007 3:10 PM To: C. Klinghoffer To: C. Klinghoffer Subject: CDS on CDOs Subject: CDS on CDOs Deal Name Deal Name BFCGE 2006-1A BFCGE 2006-1A BWIC 2006-1A BWIC 2006-1A CAMBR 6A CAMBR 6A CBCL 15A CBCL 15A CBCL 16A CBCL 16A CRNMZ 2006-1A CRNMZ 2006-1A CRNMZ 2006-2A CRNMZ 2006-2A DUKEF 2006-10A DUKEF 2006-10A ETRD 2006-5A ETRD 2006-5A GEMST 2005-3A GEMST 2005-3A GLCR 2006-4A GLCR 2006-4A HGCDO 2006-1A HGCDO 2006-1A HLCDO 2006-1A HLCDO 2006-1A ICM 2005-2A 2005-2A IXCBO 2006-2A IXCBO 2006-2A LRDG 2006-1A LRDG 2006-1A PINEM 2006-AA PINEM 2006-AA RIVER 2005-1A RIVER 2005-1A SHERW 2005-2A SHERW 2005-2A SMSTR 2005-1A SMSTR 2005-1A TOPG 2006-2A TOPG 2006-2A TOURM 2006-2A TOURM 2006-2A ALPHA 2007-1A ACCDO 10A ACCDO lOA CAMBR 5A CAMBR 5A CBCL 15A CBCL 15A DUKEF 2006-12A DUKEF 2006-12A SHERW 2005-2A SHERW 2005-2A TOURM 2005-1A TOURM 2005-lA Tranche Tranche A3L A3L C C D D C C C C 5 5 C C A3 A3 A3 A3 C C C C C C C C C C C C C C C C C C C C B B B B D D 3 B A3 B A2 B III Rating Rating A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A A AA AA AA AA AA AA AA AA AA AA AA AA AA Avanish R. Bhavsar R. Managing Director Managing Capital Structure Sales Capital Securities Divison Securities Goldman, Sachs & Co. & Co. Goldman, 1 New York Plaza 50th Floor I New York, NY York, I 1 Tel: 212 357-8405 II Cell: 917-379-1426 e-mail: avanish.bhavsar@gs.com 10004 reserved. ~ Copyright 2007 The Goldman Sachs Group, Inc. All rights reserved. See Sachs Group, Inc. The @ Copyright http://www.gs.com/disclaimer/email-salesandtrading.html http://www.gs.com/disclaimer/email-salesandtrading.html for important risk disclosure, fo~ important risk disclosure, e-mail and your conflicts of interest and other terms and conditions relating to this e-mail and your and conditions conflicts of interest and other contain confidential or reliance on information contained in it. This message may contain confidential or reliance on information contained in it. privileged information. If you are not the intended recipient, please advise us recipient, please advise us the are privileged information. 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If you cannot access these links, please you cannot access these links, please risks of non-secure electronic communication. notify us by reply message and we will send the contents to you. to you. notify us by reply message and we will send the 2 2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-012568090 GS MBS-E-012S68090 Footnote Exhibits - Page 5837 From: From: Sent: Sent: To: To: Subject: Subject: Not going to happen Not going to happen Sparks, Daniel L Sparks, Daniel L Thursday, August 10, 2006 7:34 PM Thursday, August 10, 2006 7:34 PM Ostrem, Peter L Ostrem, Peter L Re: Leh COO Fund Re: Leh CDO Fund ----- Original Message ----- Original Message ----From: Ostrem, Peter L From: Ostrem, Peter L To: Rosenblum, David J.; Sparks, Daniel L To: Rosenblum, David J.; Sparks, Daniel L Sent: Thu Aug 10 19:07:43 2006 Sent: Thu Aug 10 19:07:43 2006 Subject: Re: Leh CDO Fund Subject: Re: Leh CDO Fund Let's do our own fund. SP CDO desk. Big time. GS commits to hold proportion of equity Let's do our own fund. SP CDO desk. Big time. GS commits to hold proportion of equity outright. This could be big. Of course, after Orca closes! I need orca orders. We are outright. This could be big. Of course, after Orca closes! I need orca orders. We are slipping here and I need both your help! slipping here and I need both your help! ----- Original Message --------- Original Message ----From: Rosenblum, David J. From: Rosenblum, David J. To: ficc-clo; ficc-spgsyn To: fice-clo; ficc-spgsyn Cc: Ostrem, Peter L; Daniel L Cc: Ostrem, Peter L; Sparks, Daniel L Sent: Thu Aug 10 19:02:32 2006 Sent: Thu Aug 10 19:02:32 2006 Subject: Fw: Leh CDO Fund . Subject: Fw: Leh CDO Fund Fyi Fyi D D . Sent from my BlackBerry Wireless Handheld (www.BlackBerry.net) (www.BlackBerry.net) Sent from my BlackBerry Wireless ----- Original Message ----Message Original ----From: Hornback, Joseph From: Hornback, Joseph To: Wisenbaker, Scott; Rosenblum, David J. To: Wisenbaker, Scott; Rosenblum, David J. Cc: Raz, Shlomi; Ricciardi, Steven Cc: Raz, Shlomi; Ricciardi, Sent: Thu Aug 10 18:57:54 2006 Sent: Thu Aug Subject: Leh CDO Fund Subject: Leh CDO David and Scott, David and Scott, CDO fund. In the Steve and I wanted to post you on the current status and plans at the LEH CDO fund. In the Steve and I wanted to post ) equit y of predominately way of background, the Leh CDO Fund 1 a consists of consists 1 of back round, the Leh CDO way Their of q o (they have bought equity in a couple of deals). Their a (they have are currently raising performance to date has been well received by their investors. They are currently raising investors. to date has been well received by performance or any their 2nd fund and already have indications north of $300mm without any OC or marketing their 2nd fund and already have indications north of $300mm before he that Steve tee'd materials (including from the that Steve tee'd up before he from (including materials their success fund, but left). Their initial intentions were to raise another fund, but given their success left). Their initial intentions were to raise another so far they are contemplating a larger fund with a longer drawdown?period. The strategy of they are contemplating a larger fund with a longer drawdown period. The strategy of so far the 2nd fund will have a slightly different twist. Consistent with the 1st fund, they will the 2nd fund will have a slightly different twist. Consistent with the 1st fund, they will be investing heavily in But they want to also execute macro hedging and long But they want to also execute macro hedging and long be investing heavily in short structured credit strategies along with exploring MY structures with the appropriate short structured credit strategies along with exploring MV structures with the appropriate mana<;?ers. managers. - = = by the Permanent Redacted by the Permanent Investigations Subcommittee Subcommittee on Investigations & elow is of managers that Leh has multiple commitments with: list a list of managers that Leh has multiple commitments with: Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Wall Street & The Financial Crisis Report Footnote #2826 Report Footnote #2826 GS -Q -998476 GS MBS-E-010898476 MBSE0108'J~STI'. f , A Footnote Exhibits - Page 5838 I-= Redacted by the Permanent = Redacted by the Permanent Goldman, Sachs & Co. Goldman, Sachs & Co. One New York Plaza 50th Floor I New York, NY 10004 One New York Plaza I 50th Floor I New York, NY 10004 Work: 212-902-7357 I Fax: 212-902-7357 Fax: 212-256-6360 212-256-6360 Work: email: joseph.hornback@gs.com joseph.hornback@gs.com email: Goldman Goldman Subcommittee on Investigations Subcommittee on Investigations Sachs Sachs Joe Hornback Joe Hornback Vice President Structured Credit Vice President -- Structured Credit Fixed Income Currency & Commodities Division Fixed Income Currency & Commodities Division "Disclaimer: Disclaimer: (C) Copyright 2006 The Goldman Sachs Group, Inc. All rights reserved. (C) Copyright 2006 The Goldman Sachs Group, Inc. All rights reserved. See http://www.gs.com/disclaimer/email-sa1esandtrading.html for important See http://www.gs.com/disclaimer/email-salesandtrading.html for important risk disclosure, conflicts of interest and other terms and conditions relating to this your conflicts of interest and other terms and conditions relating to this e-mail and your reliance on information contained in it. This message may contain confidential or on information in may contain or reliance privileged information. If you are not the intended recipient, please advise us intended recipient, please privileged information. immediately and delete this message. See http://www.gs.com/disclaimer/email/ immediately and delete this message. See http://www.gs.com/disclaimer/email/ for further information on confidentiality the risks of non-secure electronic communicat"ion. If information on confidentiality and the risks of non-secure electronic communication. If you cannot acc"ess these will you cannot access these links, please notify us by reply message and we will send the contents to you. contents to you. 2 2 Confidential Treatment Requested by Goldman Sachs Confidential Treatment Requested by Goldman Sachs GS MBS-E-010898477 GS MBS-E-010898477 Footnote Exhibits - Page 5839 From: From: Sent: Sent: To: To: Subject: Subject: Swenson, Michael Swenson, Michael Saturday, March 03, 2007 7:26 PM Saturday, March 03, 2007 7:26 PM Birnbaum, Josh; Salem, Deeb; Chin, Edwin Birnbaum, Josh; Salem, Deeb; Chin, Edwin Re: Another idea ... Re: Another idea... Love it we will give dana heart attack Love it we will give dan a heart attack ----- Original Message --------- Original Message ----From: Birnbaum, Josh From: Birnbaum, Josh To: Salem, Deeb; Swenson, Michael; Chin, Edwin To: Salem, Deeb; Swenson, Michael; Chin, Edwin Sent: Sat Mar 03 19:12:27 2007 Sent: Sat Mar 03 19:12:27 2007 Subject: Re: Another idea ... Subject: Re: Another idea... I like it. I like it. ----- Original Message --------- Original Message ----From: Salem, Deeb From: Salem, Deeb To: Birnbaum, Josh; Swenson, Michael; Edwin To: Birnbaum, Josh; Swenson, Michael; Chin, Edwin Sent: Sat Mar 03 17:03:17 2007 Sent: Sat Mar 03 17:03:17 2007 Subject: Another idea ... Subject: Another idea... Am I crazy to be thinking we might grow the trade Am I crazy to be thinking we might want to grow the harbinger trade and do our own abs desk cdo. There'll be so much juice would blowout. could desk cdo. There'll be so much juice in it. It would blow out. We could sell supersenior and maybe some equity. Then the would of a couple hundred and maybe some equity. Then the remaining mezz would be a cover of a couple hundred effectively million of our cdo short. Haven't I'm guessing million of our cdo short. Haven't crunched the numbers, but I'm guessing we'd effectively cover well north of 1000 plus we for cover well north of 1000 plus own some call rights. Or we also keep equity and own it for free. free. To select the portfolio, we look at the underlying rmbs deals in our cdo shorts. And To select the portfolio, we replicate that as best possible. replicate that as best as possible. Just Just help help plus plus an idea... I've also compiled a list of 15 or so potential accounts that we could a could an idea ... I've also monetize sn shorts if we don't want harbingers full size. Could probably clip 1-2pts size. monetize sn shorts if we don't own another 5-6pts upside in 10 own another 5-6pts Sent from my BlackBerry Wireless Device Sent from my BlackBerry Permanent Subcommittee on Investigations Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Wall Street & The Financial Crisis Report Footnote #2828 Report Footnote #2828 GS MBS-E-012511081 GS MBS-E-012511081 Footnote Exhibits - Page 5840 From: From: Sent: Sent: To: To: Subject: Subject: Salem, Deeb Salem, Deeb Thursday, June 07, 2007 9:35 AM Thursday, June 07, 2007 9:35 AM Swenson, Michael Swenson, Michael Re: Fyi Re: Fyi That's fine. My number 1 concern is that its traded by the right people bc the opportunity That's fine. My number 1 concern is that its traded by the right people bc the opportunity is huge. Its a product that needs to be traded as a prop product. I would be so upset if is huge. Its a product that needs to be traded as a prop product. I would be so upset if the teachers pet has any control over it. That would be a big mistake. U need to be in the teachers pet has any control over it. That would be a big mistake. U need to be in charge and we need prop minded guys involved charge and we need prop minded guys involved Sent from my BlackBerry Wireless Device Sent from my BlackBerry Wireless Device ----- Original Message ----- Original Message ----From: Swenson, Micha'el From: Swenson, Michael To: Salem, Deeb To: Salem, 'Deeb Sent: Thu Jun 07 07:17:06 2007 Sent: Thu Jun 07 07:17:06 2007 Subject: Re: Fyi Subject: Re: Fyi Talk to me now things developing - dan the epicenter of the subprime Talk to me now things are developing - dan wants you to be the epicenter of the subprime universe which is to in universe which is not a bad position to be in ----- Original Message ----- Original Message----From: Salem, Deeb From: Salem, Deeb Swenson, Michael To: Swenson, Michael Sent: Wed Sent: Wed Jun 06 22:25:08 2007 Subject: Re: Fyi Subject: Re: Fyi he is making the process ... he please. I he is making the decision to not be part of the process.. .he is impossible to please. I sit wouldn't give it another thought. Maybe just shoot him an email evrytime u guys go to sit give it another thought. email wouldn't down and then if join you. down and then if he gets the email and its important to him he can join you. Btw, I want to talk to you about cdos soon too Btw, I Sent from my BlackBerry Wireless Device Sent from my ----- Original Message --------- Original Fro'm: . Swenson, Michael From:.Swenson, Michael To: Salem, Deeb To: Salem, Deeb Sent: Wed Jun 06 21:58:15 2007 Sent: Wed Subject: Fyi a everytime Josh is mildly ipset he is not part of the discussions with cdos but every time there is a of Josh is mildly ipset do not I meeting he is off the desk or has not arrved at the office yet - I do not know what to do office at desk or has meeting he Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Report Footnote #2831 GS MBS-E-012444245 GS MBS-E-01244424S Footnote Exhibits - Page 5841 ADDITIONAL DOCUMENTS ADDITIONAL DOCUMENTS RELATED TO RELATED TO DEUTSCHE BANK DEUTSCHE BANK . GREGLIP@bloomberg.net GREGLIP@bloomberg.net 02/2112007 08:05 PM 02/21/2007 08:05 PM ToIBOGZA@bloomberg.net TolBOGZAabloomberg.net cc cc bec bee SubjectRe: ** PRICED $l.lBLN GEMSTONE VII ** SubjectRe: ** PRICED $1.IBLN GEMSTONE VII** Footnote Exhibits - Page 5842 =====Begin Message==== ==Begin Message===== Message#: 25000 Message#: 25000 Message sent: 02/21/2007 20:05:22 Message Sent: 02/21/2007 20:05:22 . From: GREGLIP@bloomberg.netlGREG LIPPMANNIDEUTSCHE BANK SECURIl17261328663 From: GREGLIP@bloomberg.netIGREG LIPPMANNIDEUTSCHE BANK SECURII17261328663 To: IBOGZA@bloomberg.netl.ILINCA BOGZAIDEUTSCHE BANK SECURI117261328663 To: IBOGZA@bloomberg.netIILINCA BOGZAIDEUTSCHE BANK SECURII17261328663 Subject: Re: ** PRICED $l.lBLN GEMSTONE VII ** Subject: Re: ** PRICED $1.1BLN GEMSTONE VII ** How much of each placed and retained by them don't care (for now) the investors How much of each placed and retained by them don't care (for now) the investors just want to see what portuon of deal was sold. just want to see what portuon of deal was sold. Sent From Bloomberg Mobile MSG Sent From Bloomberg Mobile MSG Original Message ---Original Message ------From: ILINCA BOGZA, DEUTSCHE BANK SECURI From: ILINCA BOGZA, DEUTSCHE BANK SECURI At: 2/21/2007 19:40 At: 2/21/2007 19:40 HBK LONG .. THEY ARE TAKING THEM BACK .. DO YOU A OF THE TRANCHES.. HBK LONG.. THEY ARE TAKING THEM BACK.. DO YOU WANT A LIST OF THE TRANCHES .. THEY ARE TAKING ALL CLASS A-1. WAITING FOR CIFG TO GET THERE. WHAT IS FINANCING ARE TAKING ALL CLASS A-1. WAITING CIFG TO IS FINANCING THEY o THAT? HBK WOULD LIKE TO KNOW THAT? HBK WOULD LIKE TO KNOW O =====End Message===== =====End Message--- Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAILO201217 DBSI]SIyMAIL0201217 Footnote Exhibits - Page 5843 o. ~ .~. ' .. .'. ..... ". ~.;. . . . ". GREGLIP@bloomberg.net GREGLIP@bloomberg.net 02/20/200701:33 PM 02/20/2007 01:33 PM Tomichael.lamont@db,com Tomichael.amonft@db.com cc cc bee boc SubjectRe: Fwd: how the cdo machine doing these days? can u sti SubjectRe: Fwd: how isis the cdo machine doing these days? can u sti =====Begin Message===== -===Begin Message===== Messagei: 157151 Message#: 157151 Message sent: 02/20/2007 13:33:19 Message Sent: 02/20/2007 13:33:19 Frolll: GREGLIP@bloomberg.netIGREG LIPPMANN I DEUTSCHE BANK SECURI117261328663 From: GREGLIP@bloomberg.net GREG LIPPMANNIDEUTSCHE BANK SECURI117261328663 To: michael.lamont@db.coml I I II To: michael.lamont@db.coml I I Subject: Re: Fwd: how is the cdo machine doing these days? can u sti these days? can u sti Subject: Re: Fwd: how is the cdo machine doing for the update ... going to get a lot bumpier very soon .... lets get the for the update...going to get a lot bumpier very soon....lets get the deal out the door... deal out the door ... ---~- Original Message ---------- Original Message ----From: Michael Lamont From: Michael Lamont At: 2/20 13:30:22 2/20 13:30:22 At: thanks thanks finkel finkel Good color I am out w a fever back tomorrow Good color I am out w a fever back tomorrow For the After reflection I think the biggest issue for dealers are the cdo2. For the After reflection I think the biggest issue for dealers are the cd02. giant magnetar rmbs cdo deals the situation isn't great, but the aa/aaa/ss rmbs cdo deals the situation isn't great, but the a~/aaa/ss giant mnagnetar probably clear at a level, and the dealer can play games w the SS -- sell junior play games w the SS -- sell junior probably clear at a level, and the dealer can piece, keep 60-top, mark not observable, dealer takes down bbb and a, sticks 60-top, mark not observable, dealer takes down bbb and a, sticks piece, keep equity to hedge fund like magnetar at equity floor, maybe loses 5-15 after fees. maybe loses 5-15 after fees. equity to hedge fund like magnetar at equity floor, your job problem I The bbb/a cd02 backed by mid/late 2006 vintage are the The bbb/a cdo2 backed by mid/late 2006 vintage are the lose your job problem I ML did think, not sure how -any deals will clear. And for hi grade abs cdos. not sure how ?any deals will clear. And hi grade cdos. ML did think, 26bln of hi grade last year, 25-35% cdo mostly aa some a. Say conservatively of hi grade last year, 25-35% cdo mostly a?. Say conservatively 26bln they have 10bln in ramp up so 3 b1n of a/aa cdo, if the mkt starts to price starts price they have 10bln in ramp up so 3 bln of a/aa cdo, if the mkt of bbb/a (lbln?2bln? their hi grade like cdo2 in addition to their cdo2 ramping hi grade like cd02 in addition to cd02 (lbln?2bln? their ramped) they.wi11 have an even worse problem. Same problem at citi--I think they ramped) they will have an even worse problem. Same problem are relatively ok on mezz abs risk but not on cd02. cdo2. are relatively ok on mezz abs risk but calyon pulled out of ralph choffee mezz deal, won't do SS, we were next in SS, Calyon pulled out of ralph choffee mezz deal, won't their ralph now coming to us. Calyon are rumored to have 12bln of risk on their are rumored to have l2bln ralph now coming to us. Calyon At the same time cifg and mbia still writing tickets (mbia did a magnetar magnetar a At the same time cifg and mbia still writing tickets (mbia deal last week, structural change to) get them in was oc test in principal was oc test deal last week, structural change to) get them waterfall not interest waterfall. waterfall not interest waterfall. Sent from my Blackberry Wireless Sent from my Blackberry Wireless Mr. Michael Lamont Mr. Michael Lamont Managing Director Managing Director Deutsche Bank Securities Inc. Deutsche Bank Securities Inc. 60 Wall Street, 19th Floor 60 Wall Street, 19th Floor New York, NY,' USA New York, NY, USA Telephone: +1(212)250-8708 Telephone: +1(212)250-8708 Mobile: +1 917-821-8843 Mobile: +1 917-821-8843 E-Mail: michael.lamont@db.com E-Mail: michael.lamont@db.com line, line, lines lines type original Message --------- Original Message ----From: "GREG LIPPMANN, DEUTSCHE BANK SECURI" [greg1ip@bloomberg.net] From: "GREG LIPPMANN, DEUTSCHE BANK SECURI" [greglip@bloomberg.net] Sent: 02/20/2007 01:04 PM Sent: 02/20/2007 01:04 PM To: undisclosed-recipients:; To: undisclosed-recipients:; Subject: Fwd: how is the cdo machine doing these days? can uu still plac still plac can Subject: Fwd: how is the cdo machine doing these days? Confidential Treatment Requested by DBSI tbPDBT R Confidenal T reat ykeUueL DBSIPSIEMAIL0237699 DBSI_PSI_EMAIL0237699 Footnote Exhibits - Page 5844 Sent From Bloomberg Mobile MSG Sent From Bloomberg Mobile MSG Original Message ---Original Message ------From: DAVID HOMAN, MOORE CAPITAL MANAGE From: DAVID HOMAN, MOORE CAPITAL MANAGE At: 2/20/2007 11:20 At: 2/20/2007 11:20 how is the cdo machine doing these days? can still place cdo how is the cdo machine doing these days? can uu still place cdo paper? are they still ramping in this environment? are they still ramping in this environment? paper? Reply: Reply: GETTING SLOWER BUT NOT DEAD YET ... 2-5 RAMPING A DAY INSTEAD OF GETTING SLOWER BUT NOT DEAD YET... 2-5 RAMPING A DAY INSTEAD OF 10-15 ... HEARING OF MANY INVESTORS IN ASIA ESPECALLY SHUTTING DOW 10-15... HEARING OF MANY INVESTORS IN ASIA ESPECALLY SHUTTING DOW N POST HSBC NEWS BUT THE WINDOW IS NOT COMPLETELY SHUT YET (THEY N POST HSBC NEWS BUT THE WINDOW IS NOT COMPLETELY SHUT YET (THEY MAY BE DEALS THAT WERE LARGELY RAMPED THAT R JUST FINISHING .. MAY BE DEALS THAT WERE LARGELY RAMPED THAT R JUST FINISHING..) ) Reply: Reply: hear rumors that ML, BS, GS, C have asked CDOs less than 50% ii hear rumors that ML, BS, GS, C have asked CDOs less than 50% ramped to basically stop ramping. Have you heard anything ramped to basically stop ramping. Have you heard anything along these lines? What are the implications for mkt if this along these lines? What are the implications for mkt if this is true? is true? ------------------------------------------------------------------------------------This has been prepared solely for informational purposes. It is not an offer, This has been prepared solely for informational purposes. It is not an offer, recommendation or solicitation to buy or sell, nor is it an official . recommendation or solicitation to buy or sell, nor is it an official to the confirmation of terms. It is based on information generally confirmation of terms. It is based on information generally available to the public from sources believed to be reliable. No representation is made that it from sources believed to be reliable. No representation is made that it public is accurate or complete or that any returns indicated will achi"eved. Changes is accurate or complete or that any returns indicated will be achieved. Changes to assumptions may have a material impact on any returns detailed. Past assumptions may have a material detailed. Past to performance is not indicative of future returns. Price availability performance is not indicative of future returns. Price and availability are subject to change without notice. Additional information is available upon to change without notice. Additional information subject request. request. This e-mail may contain confidential and/or privileged information. If you This e-mail may contain confidential and/or privileged information. error) are not the intended recipient (or have received this e-mail in error) are not the intended recipient (or have p"lease notify the sender immediately and destroy this e-mail. Any this e-mail. please notify the sender immediately and destroy in the unauthorized copying, disclosure or distribution of the material in this unauthorized copying, disclosure or distribution e-mail is strictly forbidden. e-mail is strictly forbidden. =====End Message===== =====End Message===== Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0237699 DBSI]SI_EMAIL023 7699 BURKEJ67@bloomberg.net BURKEJ67@bloomberg.net 4 Message Sent: 02/13/200708:52 AM 02/13/2007 08:52 AM ToELEANNYP@bloomberg.net, ToELEANNYP@bloomberg.net, AMALDONADOlp bloomberg.net AMALDONADO 1@bloomberg.net cc cc boc bee SubjectShorten up the legal final on GEMSTONE VII and you'll get aa SubjectShorten up the legal final on GEMSTONE vn and you'll get Footnote Exhibits - Page 5845 =====Begin Message===== =====Begin Message Message#: 137990 Message#: 137990 02/13/2007 08:52:16 Redacted To: ELEANNYP@bloomberg.netIELEANNY PICHARDO I DEUTSCHE BANK SECURII17261328663 To: ELEANNYP@bloomberg.netlELEANNY PICHARDOIDEUTSCHE BANK SECURI117261328663 To: AMALDONAD01@bloomberg.netIALEXANDER MALDONADOIDEUTSCHE BANK SECURII17261328663 To: AMALDOMADOl@bloomberg.net ALEANDER MALDONADOIDEUTSCHE BANK SECURI1l7261328663 Subject: Shorten up the legal final on GEMSTONE VII and you'll get a a Subject: Shorten up the legal final on GEMSTONE VII and you'll get Shorten up Shorten up nice order nice order Reply: Reply: working on working on Reply: Reply: CDO market CDO market the legal final on GEMSTONE VII and you'll get a the legal final on GEMSTONE VII and you'll get a on the Aa2 and A2 class. Lunch on you.... on the Aa2 and A2 class. Lunch on you .... ititis puking right now .... is puking right now.... =====End Message=== -====End Message===== CONFIDENTIAL - - PRODUCEDTO M&T PURSUANT TO PROTECTIVE ORDER CONFIDENTIAL PRODUCED TO M&T PURSUANT TO PROTECTIVE ORDER DBSI 00842893 DBSI_00842893 DBPSI_00842893 DB_PSI_00842893 From: From: Sent: Sent: To: To: Subject: Subject: Footnote Exhibits - Page 5846 GREG LIPPMANN (DEUTSCHE BANK SECURI) GREG LIPPMANN (DEUTSCHE BANK SECURI) .Thursday, June 29, 2006 5:21 PM Thursday, June 29, 2006 5:21 PM MICHELLE BORRE (OPPENHEIMERFUNDS, IN) MICHELLE BORRE (OPPENHEIERFUNDS, IN) Message Sent: 06/291200613:21:10 Message Sent: 06/29/2006 13:21:10 From: GREGLIP@BBOTGIGREG LIPPMANNjDEUTSCHE BANK SECURII17261328663 From: GREGLIP@BBOTGIGREG LIPPMANNDEUTSCHE BANK SECURIll7261328663 To: l\.1BORREl@BBOTGIMICHELLE BORREIOPPENHEIMERFUNDS, INlI To: MBORREI@BBOTGIMICHELLE BORREIOPPENHEIMERFUNDS, IN] I A CLIENT TIlAT DID mE SAME TRADE AS U WITH US SENT ME A TSHIRT A CLIENT THAT DID THE SAME TRADE AS U WITH US SENT ME A TSHIRT "1M SHORT YOUR HOUSE" .. JUST BOUGHT 20 OF EM TO GIVE TO CLIENT "IM SHORT YOUR HOUSE"...I.1JUST BOUGHT 20 OF EM TO GIVE TO CLIENT S THAT DO THE TRADE WITH US..DO U WANT 1 OR 22? S THAT DO THE TRADE WITH US ..DO U WANT 1 OR ? Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0136032 DBSI]SI_EMAIL0136032' Footnote Exhibits - Page 5847 .. Marc Majzner" To: ninea R Bogza/NewYork/DBNAlDeuBa@DBAmerieas To: Ilinca R Bogza/NewYork/DBNA/DeuBa@DBAmericas "Marc Majzner" cc:Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas cc: Greg LippmannlNew YorklDBNAlDeuBa@DBAmericas Subject: RE: MBS CDS Subject: RE: MBS CDS 10/1112006 01 :58 PM 10/11/200601:58PM Thanks would you have a report that shows certain. stresses on the Thanks -- would you have a report that shows certain.stresses on the market and what bullish assumptions on CDR, loss severity would do? I'm I'm market and what bullish assumptions on CDR, loss severity would do? looking at materials that would have been used to pitch bulls/longs on looking at materials that would have been used to pitch bulls/longs on MES and not the bears. MBS -- and not the bears. Also, is this report, referred to in the Halcyon report, handy? Also, is this report, referred to in the Halcyon report, handy? "SIMULATED HOUSING MARKET DECLINE REVEALS DEFAULTS ONLY IN LOWEST-RATED "SIMULATED HOUSING MARKET DECLINE REVEALS DEFAULTS ONLY IN LOWEST-RATED U.S. RMBS TRANSACTIONS" Standard and Poor's, September 2005 U.S. RMBS TRANSACTIONS" Standard and Poor's, September 2005 Thanks, Marc Thanks, Marc -----original Message--------- Original Message----From: Ilinca R Bogza [mailto:ilinca.r.bogza@db.com] From: Ilinca R Bogza [mailto:ilinca.r.boqza@db.com) Sent: Wednesday, October 11, 2006 1:26 PM 1:26 Sent: Wednesday, October To: Marc Majzner To: Marc Majzner Cc: greg.lippmann@db.com cc: greg.lippmann@db.com Subject: Fw: MBS CDS Subject: Fw: MES CDS Forwarded by Christopher Meany/NewYork/DBNA/DeuBa 10/11/2006 ----- Forwarded by Christopher Meany/NewYork/DBNA/DeuBa on 10/11/2006 01:00 PM ----01:00 PM ----Greg Lippmann/NewYork/DBNA/DeuBa@DBAMERICAS Greg Lippmann/NewYork/DBNA/DeuBa@DBAMERICAS 10/11/2006 12:59 PM 10/11/2006 12:59 PM To To "Marc Majzner" @DEUBAINT "Marc Majzner" @DEUBAINT cc cc christopher.meany@db.com christopher.meany@db.com Subject Subject RE: MBS CDS RE: MBS CDS chris please send abs cdo marketing materials to. Marc asap please .... chris please send abs cdo marketing materials to.Marc asap please.... Greg H. Lippmann Greg H. Lippmann Managing Director Managing Director Deutsche Bank securities Inc. Deutsche Bank Securities Inc. 3rd Floor 3rd Floor 60 Wall Street 60 Wall Street New York, New York 10005 New York, New York 10005 Phone (212) 250-7730 Phone (212) 250-7730 Confidential Treatment Requested by PBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0173941 Fax (212) 797-2201 Fax (212) 797-2201 Mobile (917) 601-1916 Mobile (917) 601-1916 "Marc Majzner" "Marc Majzner" 10/11/2006 12:50 PM 10/11/2006 12:50 PM To To Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas cc cc Subject Subject RE: MBS CDS RE: MBS CDS Footnote Exhibits - Page 5848 email email Marc Majzner Marc Majzner 1 International Place 1 International Place Suite 2401 Suite 2401 Boston, MA 02110 Boston, MA 02110 Phone: 617-310-6130 617-310-6130 Phone: Fax: 617-507-5805 617-507-5805 Fax: E-Mail: mmajzner@northruncapital.com rmnaj zner@northruncapital. com E-Mail: This e-mail may contain confidential and/or privileged information. If privileged information. If This e-mail may contain confidential you you are not the intended recipient (or have received this e-mail in error) in error) are not the intended recipient (or have received please notify the sender immediately and destroy this e-mail. Any e-mail. please notify the sender immediately unauthorized copying, disclosure or distribution of the material in this unauthorized copying, disclosure e-mail is strictly forbidden. e-mail is strictly forbidden. This e-mail may contain confidential and/or privileged information. If This e-mail may contain confidential and/or privileged information. If you you are not the intended recipient (or have received this e-mail in error) are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and destroy this e-mail. Any please notify the sender immediately and destroy this e-mail. Any unauthorized copying, disclosure or distribution of the material in this unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. e-mail is strictly forbidden. This e-mail may contain confidential and/or privileged information. If This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and destroy this e-mail. Any error) please notify the sender immediately and destroy this e-mail. Any unauthorized copying, disclosure or distribution of the material in this unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. e-mail is strictly forbidden. Confidential Treatment Requested by DBS! Confidential Treatment Requested by DBSI DBSIPSIEMAIL01739411 Footnote Exhibits - Page 5849 Michael To: greg.lippmann@db.com To: greg.lippmann@db.com Michael George@DBNAcc: George@DBNAcc: Subject: Subject: 11/03/2005 11/03/2005 07:49PM 07:49 PM Mangiones Baa2 at n+160 4YRS BREAK AT 16% cum loss ...... .look like disaster!! Mangiones Baa2 at n+160 4YRS BREAK AT 16% cum loss.......look like aadisaster!! That impHes base loss of 8% ....... or about 2.5 loss rate year .... That implies aabase loss of 8%....... or about 2.5 loss rate aayear..... . Ficois 660, so hardly prime......card loss rate for this fico about 10, so say cuz the guys home is on the line he Fico is 660, so hardly prime...... card loss rate for this fico about 10, so say cuz the guys home is on the line he only defaults at 5% ..... only defaults at 5%..... Base case loss around 17 to 20 then...... . Base case loss around 17 to 20 then ..... And BBB should have around 35 to 40 beneath it... .... And BBB should have around 35 to 40 beneath it....... Means that the BBB attachment should be around where paulie has his AA ..... Means that the BBB attachment should be around where paulie has his AA..... Everything else is CRAP and should be 100s and 1000s back of offer ..... Everything else is CRAP and should be 100s and 1000s back of offer..... .Even though paulie says Winter group can sell this stuff II cannot believe anyone thinks the ratings agencies Even though paulie says Winter group can sell this stuff cannot believe anyone thinks the ratings agencies have the sub levels right.. ..... their loss levels are based on an environment offefis ..... bet you sam ranieri owns have the sub levels right.......their loss levels are based on an environment of refis.....bet you sam ranieri owns all the winter group seconds deals mezz paper twerwin cdos . all the winter group seconds deals mezz paper twerwin cdos Sent from my BlackBerry Handheld. Sent from my BlackBerry Handheld. Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0067766 Footnote Exhibits - Page 5850 Jon-Paul To: Chris WagnerlNewYorklDBNAJDeuBa@DBAmericas, David To: Chris Wagner/NewYork/DBNA/DeuBa@DBAmericas, David Jon-Paul _ Rorech@DBAMERICAsBittermanJNewY orkIDBNAJDeuBa@DBAmericas,Kevin Rorech@DBAMRICASBitterman/NewYork/DBNA/DeuBa@DBAmericas, Kevin FinnertylNewYorkIDBNAlDeuBa@DBAmericas, Michael Finnerty/NewYork/DBNA/DeuBa@DBAmencas, Michael Glick/NewYork/DBNA/DeuBa@DBAmericas, Mark GlickINewYorklDBNAlDeuBa@DBAme~cas, ~k 051191200601:56 PM Colm/NewYorklDBNAlDeuBa@DBAmencas, Wlght Colm/NewYork/DBNA/DeuBa@DBAmericas, Wight MartindaleINewYorklDBNAlDeuBa@DBAmericas, Marc Martindale/NewYork/DBNA/DeuBa@DBAmericas, Marc LavinelNewYorkIDBNAlDeuBa@DBAmericas, Steve Lavine/NewYork/DBNA/DeuBa@DBAmericas, Steve RosenINewYorkIDBNAlDeuBa@DBAmericas, John Rosen/NewYork/DBNA/DeuBa@DBAmericas, John BertrandINewYorklDBNAIDeuBa@DBAmericas, Kevin Bertrand/NewYork/DBNA/DeuBa@DBAmericas, Kevin Finnerty lNewYorkIDBNAlDeuBa@DBAmericas, Brian Finnerty/NewYork/DBNA/DeuBa@DBAmericas, Brian ZuckerlNewYorkIDBNAlDeuBa@DBAmericas, Robert Zucker/NewYork/DBNA/DeuBa@DBAmericas, Robert LeonelNewYorkIDBNAlDeuBa@DBAmericas, Gregory Leone/NewYork/DBNA/DeuBa@DBAmericas, Gregory SteelelNewYorklDBNAlDeuBa@DBAmericas, Chip Steele/NewYork/DBNA/DeuBa@DB Americas, Chip - Stevens/NewYork/DBNA/DeuBa@DBAmericas, Pak StevenslNewY orkIDBNAlDeuBa@DBAmericas, Pak Lui/NewYork/DBNA/DeuBa@DBAmericas, Robert LuilNewYorkIDBNAlDeuBa@DBAmericas, Robert WeintraublNewYorkIDBNAJDeuBa@DBAmericas Weintraub/NewYork/DBNA/DeuBa@DBAmericas cc: Anthony Paw1owskilNewYorkIDBNAlDeuBa@DBAmericas, llinca R cc: Anthony Pawlowski/NewYork/DBNA/DeuBa@DBAmericas, Ilinca R BogzalNewYorkIDBNAJDeuBa@DBAmericas, Greg Bogza/NewYork/DBNA/DeuBa@DBAmericas, Greg Lippmann/NewYorklDBNAlDeuBa@DBAmericas, Michael Lippmann/NewYork/DBNA/DeuBa@DBAmericas, Michael LamontINew YorkIDBNAlDeuBa@DBAmericas Lamont/NewYork/DBNA/DeuBa@DBAmericas Subject: TIAA equity Trade Idea Subject: TIAA equity //Trade Idea BY SAles... there's a lot of you who have put people into the sub prime "short" trade with Greg Lippman. I think trade with Greg Lippman. I think lY SAles .... there's lot of you who have put people into the sub prime the following is a great way to express this view while saving considerable carry. (you would also be moving an following is a great way to express this view while saving considerable carry. (you would also be moving the important axe the CDO desk. important axe for the CDO desk.)) In Greg Lippmans your customer is short the BBB- tranche first tranche after equity) of a In Greg Lippmans trade, your customer is getting short the BBB- tranche (the first tranche after equity) of a pool of Subprime Mtges. The apprx carry is 200bps, currently. Subprime The apprx 200bps, currently. of of we're verge payment or called bubble", are too Although many Although many believe we're on the verge of payment stress or so called "housing bubble", none are too sure of trade on the timing. believe way carry putting on the timing. I believe the following is a way to pay for this carry while putting on an implied "correlation" the housing even Sr./Sub the housing mrkt.. Or even a Sr.lSub trade The attached is an offer for $9.5rnm equity in a mGH GRADE Cdo, which is made up of 70% RMBS (only 15% HIGH GRADE $9.5mm The attached is of this 70% is "subprime") of this 70% is "subprime") Currently, this piece isofferd at a yield of -17-18%! -17-18%! Currently, this piece is offerd degree You would have to believe that if your equity piece is experiencing stress, then there would be a high degree of is.experiencing stress, equity that if You would have "correlation" on all sub prime mortgages/home equities. mortgages/home "correlation" on all easily The key is deciding what "delta" you would use. Considering there's only 18% on 9.5mm, you could easily get 9.5mm, you only use. The key is deciding what "delta" you short 80rnm BBB-s (-200bps) and still have a slight positive carry. a slight positive carry. still short 80mm BBB-s (-200bps) and Pls speak to Anthony Pawlowski // Ilinca Bogza on the CDO desk, and Greg Lippman on the ABS desk for more Pls speak to Anthony Pawlowski Ilinca Bogza on the CDO desk, and Greg Lippman on the ABS desk for more details. JP details. JP Attached is the Mount Skylight equity presentation. Price Yield table to follow Attached is the Mount Skylight equity presentation. Price Yield table to follow Mt Skylight CDO Marketing Book Equity_051 10.pdf TIA...Mount Skylight CDO_Current Portfolio_051008.xis YIELD Cales.ls Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMALl120804 Footnote Exhibits - Page 5851 Rajeev To: Greg Lippmann/NewYorklDBNAlDeuBa@DBAmericas, Richard To: Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas, Richard Rajeev Misra@DBEMEADAlbertlNewYorklDBNAlDeuBa@DBAmericas,Boaz Weinstein MewYork/DBNA/DeuBa@DBAmericas, Boaz Weinstein cc: cc: 10/25/2006 12:50 Subject: Fw: Deutsche at its best 12:50 Subject: Fw: Deutsche at its best 10/25/2006 PM PM ----Forwarded by Rajeev Misra/DMGGM/DMG UK/DeuBa on 25/10/2006 17:49 --- Forwarded by Rajeev MisraIDMGGMlDMG UKlDeuBa on 25110/2006 17:49 Ambu Anshu Jain/DMGGMlDMG Jain/DMGGMIDMG UKlDeuBa@DBEMEA UK/DeuBa@DBEMEA T michele.faissola@db.com ,philip.weingord@db.com, michele.faissola@db.com, pbilip.weingord@db.com, o rajeev .misra@db.com, pablo.calderini@db.com Torajeev.misra@db.com, pablo.calderini@db.com cc cc SubjectFw: Deutsche at its best SubjectFw: Deutsche at its best 25/10/2006 16:07 25/10/2006 16:07 fyi fyi Anshu Jain Anshu Jain Head of Global Markets Head of Global Markets Member of Group Executive Committee Member of Group Executive Committee Deutsche Bank AG Deutsche Bank AG . Tel: +44-20-7545-2863 Tel: +44-20-7545-2863 Fax: +44-20-7545-8371 Fax: +44-20-7545-8371 Mobile: +44-7770-673491 Mobile: +44-7770-673491 E-mail: AnshuJain@db.com E-mail: Anshu.Jain@db.com ---- Forwarded by Anshu JainlDMGGMlDMG UKlDeuBa 25110/200616:06 ---- Forwarded by Anshu Jain/DMGGM/DMG UK/DeuBa on 25/10/2006 16:06 --derek.kaufman@jpmorgan.com derek.kaufman@jpmorgan.com 25/10/2006 16:01 25/10/2006 16:01 Jain/DMGGM/DMG UKlDeuBa@))BEMEA ToAnshu JainIDMGGMlDMG UX/DeuBa@DBEMEA cc SUbjectRe: Deutsche SubjectRe: Deutsche at its best Anshu, Anshu, Unlike Greg, I am not in the Unlike Greg, I am not in the camp that housing Armageddon is around the a corner, although II do think that if home prices decline modestly over a do think that corner, although year or two (say a 20-30% probability), the sub-prime borrower will have or two (say a 20-30% probability), year some real difficulties. My main motivation behind this trade is that II behind some real difficulties. My main think the correlation risk in sub-prime MBS CDOs is mis-priced, given how is mis-priced, given think the correlation risk in a similar the borrowers from one deal to another will be in a time of deal to the borrowers from similar distress. Compared with the popular macro hedge-fund trade of buying trade of distress. Compared with the popular single-name protection on BBB- ABS at L+250, this structure seems like a structure seems like a single-name protection on BBB- ABS at L+250, wing option in slam dunk . .-Basically, II think of this protection as a cheap wing option in Basically, protection as a think slam dunk. and my overall business that lets me do other profitable interest rate and business that lets me do other profitable interest my overall credit trades without worrying too much about the tail risk of a housing of a housing credit trades without worrying too much about the tail collapse. collapse. Derek Derek Anshu Jain Anshu Jain m> 10/25/2006 10:29 10/25/2006 10:29 AM AM To To "derek. kaufman" "derek.kaufman" cc cc Subject Subject Re: Deutsche at its best Re: Deutsche at its best Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0178986 DBSI]SI_ EMAlllH 78986: Footnote Exhibits - Page 5852 Derek Derek Delighted to get your note as you would expect. Smart trade by the way, Delighted to get your note as you would expect. Smart trade by the way, given we have just acquired a couple of RMBS originators, both prime and both prime and given we have just acquired a couple of RMBS originators, sub prime .. how concerned should I be? sub prime..how concerned should I be? Anshu Jain Anshu Jain Head of Global Markets Head of Global Markets Member of Group Executive Committee Member of Group Executive Committee Deutsche Bank AG Deutsche Bank AG Tel: +44-20-7545-2863 Tel: +44-20-7545-2863 Fax: +44-20-7545-8371 Fax: +44-20-7545-8371 Mobile: +44-7770-673491 Mobile: +44-7770-673491 E-mail: Anshu.Jain@db.com E-mail: Anshu.Jain@db.com derek.kaufman@jpmorgan.com derek.kaufman@jpmorgan.com 25/10/2006 14:59 25/10/2006 14:59 To To Anshu Jain/DMGGM/DMG UK/DeUBa@DBEMEA Anshu Jain/DMGGM/DMG UK/DeUBa@DBEMEA cc cc Subject Subject Deutsche at its best Deutsche at its best Anshu, Anshu, synthetic CDO II wanted to let you know that last night we closed on aa synthetic CDO wanted to let you know that last night we closed on transaction (IXION 2006-6) where II bought $350mm of mezzanine protection on bought $350mm of mezzanine protection on (IXION 2006-6) where transaction Deutsche placed all of aa bespoke portfolio of BBB and BBB- sub-prime MBS. bespoke portfolio of BBB and BBB- sub-prime MBS. Deutsche placed all of this risk through structured notes sold to investors, and was an incredible to investors, and was an incredible this risk through structured notes sold . partner through the process of portfolio selection, structuring, pricing partner through the process of portfolio selection, structuring, pricing and distribution. My long-standing and trusting relationships with Fred and distribution. My long-standing and trusting relationships with Fred top-tier Brettschneider and Andy Isaacs, coupled with Greg Lippman's top-tier Brettschneider and Andy Isaacs, coupled with Greg Lippman's presence in this market, were the main factors in my choosing Deutsche as aa in my choosing Deutsche as presence in this market, were the main factors counterparty for this complex transaction. Needless to say, I I am qUite am quite counterparty for this complex transaction. Needless to say, pleased with what great work these three individuals did during the four great work these three individuals did during the four pleased with what be the months from conception to closing, and hope this transaction could be the months from conception to closing, and hope this transaction could start of a a series of similar trades in the future. trades in the future. series of similar start of Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0178986 DBSI]SI_EMAll..O 178986' Footnote Exhibits - Page 5853 I hope everything is going well for you, and look forward to catching up up I hope everything is going well for you, and look forward to catching when II visit London early next year. visit London early next year. when Derek. Derek. This communication is for informational purposes only. It is not intended This communication is for informational purposes only. It is not intended as an offer or solicitation for the p~rchase or sale of any financial as an offer or solicitation for the purchase or sale of any financial instrument or as an ofticial confirmation of any transaction. All market instrument or as an official confirmation of any transaction. All market prices, data and other information are not warranted as to completeness or data and other information are not warranted as to completeness or prices, accuracy and are subject to change without notice. Any comments or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates. Co., its subsidiaries and affiliates. 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This transmission may contain information that is privileged, confidential, legally This transmission may contain information that is privileged, confidential, legally law. If you are not the privileged, and/or exempt from disclosure under applicable law. If you are not the privileged, and/or exempt from disclosure under applicable intended recipient, you are hereby notified that any disclosure, copying, distribution, any disclosure, copying, distribution, intended recipient, you are hereby notified that thereon) is STRICTLY or use of the information contained herein (including any reliance thereon)--is -STRICTLY or use of the information contained herein (including any reliance PROHIBITED. Although this transmission and any attachments are believed to be free of any PROHIBITED. Although this transmission and any attachments are believed to be free of any which it is received and virus or other defect that might affect any computer system into which it is received and virus or other defect that might affect any computer system into opened, it is the responsibiiity of the recipient to ensure that it is virus free and no to ensure that it is virus free and no opened, it is the responsibility of the recipient and affiliates, as responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as responsibility is accepted by JPMorgan Chase & Co., its subsidiaries you received this applicable, for any loss? or damage arising in any way from .its use. If you received this loss or damage arising in any way from.its use. If applicable, for any transmission in error, please immediately contact the sender and destroy the material in contact the sender and destroy the material in transmission in error, please immediately its entirety, whether in electronic or hard copy format. Thank you. its entirety, whether in electronic or hard copy format. Thank you. Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0178987 DBSI]SIpMAILO 178987 GREGLIP@bloomberg.net GREGLIP@bloomberg.net OS/2212007 09:22 AM 05/22/2007 09:22 AM ToMELGOLDdbloomberg.net ToMELGOLD@bloomberg.net cc cc bee bec Subject Subject Footnote Exhibits - Page 5854 =--===Begin Message=== Message==--== -Begin Message#: 232014 Message#: 232014 Message Sent: OS/22/2007 08:22:51 . Message Sent: 05/22/2007 08:22:51 From: GREGLIP@bloomberg.netIGREG LIPPMANNIDEUTSCHE BANK From: GREGLIP@bloomberg.netIGREG LIPPMANNIDEUTSCHE BANK SECURII17261328663 SECURI117261328663 To: MELGOLD@bloomberg.netIMELISSA GOLDSMITHIDEUTSCHE BANK To: MELGOLD@bloombe~g.netIMELISSA GOLDSMITH I DEUTSCHE BANK SECURII17261328663 SECURI117261328663 Subject: Subject: and what's the deal with this jpmac one--it's on an owic of and what's the deal with this jpmac one--it's on an owic of a a macro guy entering the trade, macro guy entering the trade, or ?? or ?? Reply: Reply: ITS A CDO GUY PUKING UP A PIG HE BOUGHT (MAY NOT ACTUALLY ITS A CDO GUY PUKING UP A PIG HE BOUGHT (MAY NOT ACTUALLY SELL) SELL) =====End Message===== =====End Message==- Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAILO217534: Footnote Exhibits - Page 5855 From: From: Sent: Sent: To: To: Subject: Subject: Jamiel Akhtar Jamiel Akhtar Tuesday, February 13, 2007 11 :05:11 IWo Tuesday, February 13, 2007 11:05:11 AM Ken Hirsh Ken Hirsh RE: SC marks RE: SC marks Ken, feel free to call anytime. Ken, feel free to call anytime. From: Ken Hirsh From: Ken Hirsh Sent: Tuesday, February 13, 2007 9:41 AM Sent: Tuesday, February 13, 2007 9:41 AM To: Jamlel Akhtar; Beau Foumet To: iamel Akhtar; Beau Foumet Subject: RE: SCmarks RE: SC maries Subject: Thanks! Let's get on the phone when you. have moment for a few final questions and, more importantly, Thanks! Lets get on the phone when you.have aamoment for a few final questions and, more importantly, to say hello! to say hello! From: Jamie! Aldimr From: Jamiel Akhtar Sent: Tuesday, February 13,2007 10:31 AM Sent: Tuesday, February 13, 2007 10:31 AM To: Ken Hirsh; Beau Fournet To: Ken Hirsh; Beau Fournet Cc: 'ken.hlrsh@lgmallcom' Cc: 'ken.hirsh@grnaLcom' Subject: SC marks SC marks Subject: Ken, Ken, I'm back in town and went through all of the marks yesterday. feel good how the book is marked. I'm back in town and went through all of the marks yesterday. I feel good about how the book is marked. Here's what we did: what we did: Here's The wildcard is Gemstone VII,.the COO we are currently marketing. Pricing is set for Tues Feb 20 and I I The wildcard is Gemstone VII, the CDO we are currently marketing. Pricing is set for Tues Feb 20 and think we will get the deal done at spreads that make the resid aavery good investment IfIfI'm wrong and I'm wrong and think we will get the deal done at spreads that make the resid very good investment the deal falls apart, itit willbe marked down something like $30 - -S50mm. I Idoubt this will happen. IfIf the deal falls apart, will be marked down something like $30 $50mm. doubt this will happen. pricing were beyond month end, I Iwould consult with accounting to recommend taking some sort of aa pricing were beyond month end, would consult with accounting to recommend taking some sort of reserve on the deal.. reserve on the deal.. Rcdactcd - - 1101 rclc\ ant relevant not Rcdacted . " Confidential Treatment Requested Confidential Treatment Requested GEM7-00007032 GEM7 -00007032 Footnote Exhibits - Page 5856 Rcdnctcd lRedacted - 1\NR I hope this makes things clearer. I hope this makes things clearer. Jamie! Jamiel From: Ken Hirsh From: Ken Hrsh Seat: Friday, February 09, 2007 5:43 PM sent* Friday, February 09, 2007 5:43 PM To: Beau Fournet; Jamie! Akhtar To: Beau Fournet; Jardel Akhtar Subject: l{cJ.llil'J - N 1< de Subject* Hey guys, Hey guys, am bit curious about how we are marking our longs in this sell off. I Iam aabit curious about how we are marking our longs in this selloff..." Ken Ken From: Kevin Jenks From: Kevin Jenks Sent: Friday, February 09, 2007 5:;!5 PM Sent: Friday, February 09, 2007 5:35 PM .... Porfoi pte To, Subject: OMM111MOM~ Redacted - not relevant l(cJdC\L"d -1l0\1"\c\'dll\ - We still aneau We are still moving ahead with our COO. 1.1b deal, investor interest still looks favorable as we are seen as a very good manager, as a are with our CDO. 1.b deal, investor interest still looks favorable as but unclear how many will be spooked at this point how many will be spooked at this point but unclear Confidential Treatment Requested Confidential Treatment Requested GEM7-00007033 GEM7 -00007033 Greg Greg UppmannINewY orkIDBNAIDeuBa@DBAMERICAS Lippmanni/NewYork/DBNA/DeuBa@DBAMERICAS 01/091200705:15 PM 01/09/2007 05:15 PM ToJordan ToJordan Milman/NewYork/DBNA/DeuBa@DBAmericas MilmanlNewYorklDBNAlDeuBa@))BAmericas cc cc bec bee SubjectRe: Fw. HBK - -Gemstone 77 BBs SubjectRe: Fw: HBK Gemstone BBs Footnote Exhibits - Page 5857 think you should be very candid about it ... give examples of where the bbb- trades if you dont ii think you should be very candid about it... give examples of where the bbb- trades if you dont have exact color on the bb.... we dont want to faciliate aa total position dump total position dump have exact color on the bb . .we dont want to faciliate Greg H. Lippmann Greg H. Lippmann Managing Director Managing Director Deutsche Bank Securities Inc. Deutsche Bank Securities Inc. 3rd Floor 3rd Floor 60 Wall Street 60 Wall Street New York, New York 10005 New York, New York 10005 Phone (212) 250-7730 Phone (212) 250-7730 Fax (212) 797-2201 Fax (212) 797-2201 Mobile (917) 601-1916 Mobile (917) .601-1916 greg.lippmann@db.com greg.lippmann@db.com Jordan Jordan Milman/NewYork/DBNA/DeuBa Milman/NewYork/DBNA/DeuBa 01/09/2007 04:00 01/09/2007 04:00 PM To Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0193354 DBSI_PSI_EMAll..,0193354 Footnote Exhibits - Page 5858 Greg. Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas Lippm-ann/Ne1York/DBNA/DeuBa@DB~mericas cc cc Subject Subj ect Fw: HBK -- Gemstone 7 Gemstone 7 Fw: HBK BBs BBs Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0193354 DBSI]SI_EMAll..0193354 Footnote Exhibits - Page 5859 stand on some of these but it's let me know what you want to do about this, you know where II stand on some of these but it's let me know what you want to do about this, you know where gpoing to be another headache with kevin gpoing to be another headache with kevin ----- Forwarded by Jordan Milman/NewYork/DBNA/DeuBa on 01/09/2007 04:00 PM ---------- Forwarded by Jordan Milman/NewYork/DBNA/DeuBa on 01/09/2007 04:00 PM Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAILO 193354' DBSI_PSI_EMAIL0193354' Ahhayad Abhayad Kamat/NewYork/DBNA/DeuBa KamnAt/NewYork/DBNA/DeUBa Footnote Exhibits - Page 5860 01/09/2001 03:~6 01/09/2007 03:56 PM PM To Jordan Jordan Milman/NewYork/DBNA/DeuBa@DBAmericas Milman/NewYork/DBNA/DeuBa@DBAmericas cc cc Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMALO 1933541 DBSI]SI_EMAll..0193354! Footnote Exhibits - Page 5861 Subject Subj ect HBK Gemstone 7 HBK -- Gemstone 7 BBs BBs Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0193354' DBSI]SI_EMAlL0193354' Footnote Exhibits - Page 5862 Jordan, Jordan, pls can you give us some color pls can you give us some color Gemstone 7. it seems there are Gemstone 7. it seems there are all are reasonably good. he is all are reasonably good. he is and we might want to throw out and we might want to throw out on how good the BB.bonds are in the attached HBK portfolio for on how good the BB bonds are in the attached HBK portfolio for a few fremonts but none have been downgraded. According to kevin, a-few fremonts but none have been downgraded. According to kevin, asking us to do a revolving deal for him with BB reinvestments, asking us to do a revolving deal for him with BB reinvestnents, non~clean BBs. non-clean BBs. all BB bonds are highlighted in yellow. somewhat all BB bonds are highlighted in yellow. somewhat urgent. thanks, thanks, Abhayad Abhayad [attachment "Gemstone VII Portfolio 01.09.07.xls" by Lippmann/NewYork/DBNA/DeuBa] [attachment "Gemstone VII Portfolio 01.09.07.xls" deleted by Greg Lippmann/NewYork/DBNA/DeuBa) Abhayad Kamat Abhayad Kamat Global CDO Group Global CDO Group Deutsche Bank Securities Inc. Deutsche Bank Securities Inc. 60 Wall Street, 19th Floor, 60 Wall Street, 19th Floor, New York, NY 10005-2858 New York, NY 10005-2858 (212) 250-0526 work (212) 250-0526 work (917) 519-9694 cell (917) 519-9694 cell (732) 578-2890 fax (732) 578-2890 fax Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0193355( DBSI]SI_EMAlli>193355C Footnote Exhibits - Page 5863 Abhayad To: Greg Lippmann/NewYorklDBNAlDeuBa Abhayad To: Greg Lippmann/NewYork/DBNAIDeuBa Kamat cc: cc: Kamat Subject: HELD 2006-1 bad names Subject: HELD 2006-1 - -bad names 08124/2006 08/24/2006 04:30PM 04:30 PM Jamil's accounts are listing the following as names that are not great: Jamil's accounts are listing the following as names that are not great: ABSHE 2005-HE8 M9 AB SHE 2005-HE8 M9 BAYV2005-C B2 BAYV 2005-C B2 CXHE 2005-C B2 CXHE 2005-C B2 GSAMP names we have the following in the HELD pool GSAMP names -- we have the following in the HELD pool GSAMP 2005-AHL M6 GSAMP 2005-AHL M6 GSAMP 2005-HE3 B2 GSAMP 2005-HE3 B2 GSAMP 2005-HE6 B GSAMP 2005-HE6 BI1 GSAMP 2005-HE4 B3 GSAMP 2005-HE4 B3 But separately, But separately, - I had asked Jordan for generic bad shelfs and he listed: SAIL, HEAT, PPSI, !NABS, ACE, AMSI and ARSI- I had asked Jordan for generic bad shelfs and he listed: SAIL, HEAT, PPSL, INABS, ACE, AMSI and ARSI the HELD portfolio has 22% of these the HELD portfolio has 22% of these names. Abhayad Kamat Abhayad Kamat . Global CDO Group Global CDO Group Deutsche Bank Securities Inc . Deutsche Bank Securities Inc. . 60 Wall Street, 19th Floor, '60 Wall Street, 19th Floor, New York, NY 10005-2858 New York, NY 10005-2858 (212) 250-0526 work (212) 250-0526 work (917) 519-9694 cell (917) 519-9694 cell (732) 578-2890 fax (732) 578-2890 fax Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0161306 Footnote Exhibits - Page 5864 greglip@bbotgTo: rokurita@bbotg greglip@bbotgTo: rokurita@bbotg . cc: cc: Subject: Re: Fwd: *Here is a preliminaryist for julius baer ist for julius baer 06116/2006 Subject: Re: Fwd: *Here is a preliminary 06/16/2006 09:18AM 09:18 AM Message Sent: 06116/2006 10: 18: 12 Message Sent: 06/16/2006 10:18:12 From: GREGL1P@BBOTGIGREG LIPPMANNlDEUTSCHE BANK SECURII17261328663 From: GREGLIP@BBOTGIGREG LIPPMANNIDEUTSCHE BANK SECUR1l7261328663 To: ROKURITA@BBOTGjROCKY KURITAIDEUTSCHE BANK SECURI117261328663 To: ROKURITA@BBOTGIROCKY KURITAIDEUTSCHE BANK SECUR1l7261328663 AND U R THE MAN !!! OK LETS INCLUDE IT AT A VERY WIDE LEVEL AND GET SOMET= AND UR THE MAN !!! OK LETS INCLUDE IT AT A VERY WIDE LEVEL AND GET SOMET= HING HING TOGETHER FOR THESE GUYS TOGETHER FOR THESE GUYS..... ; --- Original Message ----- Original Message From: ROCKY KURITA, DEUTSCHE BANK SECURI From: ROCKY KURITA, DEUTSCHE BANK SECURI At: 6/16 10:14:42 At: 6/16 10:14:42 we are short that one. all the cwl are bad. we are short that one. all the cwl are bad. ---- Original Message ---- Original Message --From: GREG LIPPMANN, DEUTSCHE BANK SECURI From: GREG LIPPMANN, DEUTSCHE BANK SECURI At 6116 10: 12:26 At: 6/16 10:12:26 ok if we r shrt blc the really or is 05-3 /?= ok if we r shrt it b/c is that the really crap one or is that the 05-3 /? maybe maybe also an 06 cwl...... also an 06 cwl.. --- Original Message --Original Message From: ROCKY KURITA, DEUTSCHE BANK SECURI SECURI From: ROCKY KURITA, DEUTSCHE At: 61169:42:49 At: 6/16 9:42:49 bv we have a couple new century. how about a cwl 05-4 by baa3 we have a couple ---- Original Message ------- Original From: GREG LIPPMANN, DEUTSCHE BANK SECURI From: GREG LIPPMANN, DEUTSCHE At: 6116 9:24:56 At: 6/16 9:24:56 lets add one other weakish name i.e. cwl, amsi, nchet,heat want to balanc= nchetheat i.e. lets add one other weakish e it e it 2005 out in spread terms more .. also after the analysis they want just 10 2005 = analysis out in spread terms more..also and 10 and 10 now06 not more .....sales is charlotte mcbride but lets run through me for now= mcbride but lets run through me 06 not more... sales is ----- Original Message --------- Original Message ----From: ROCKY KURITA, DEUTSCHE BANK SECURI From: ROCKY KURITA, DEUTSCHE BANK SECURI At: 6/16 8:54:22? At: 6/16 8:54:22 ---- Original Message -------- Original Message ----From: ROCKY KURITA, DEUTSCHE BANK SECURI From: ROCKY KURITA, DEUTSCHE BANK SECURI At: 6/168:54:18 At: 6/16 8:54:18 Can we run the numbers? What other stats does the accoutn need? who cover= Can we run the numbers? What other stats does the accoutn need? who coverssthe the account? account? 1ISASC 2005-NCI M7 SASC 2005-NC1 M7 22SASC 200S-NCI 1M8 SASC 2005-NC M8 33SASC 200S-WFI M8 SASC 2005-WFI M8 Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL01314031 Footnote Exhibits - Page 5865 SASC 2005-WFI M9 44SASC 2005-WF1 M9 . 5 MSAC 2005-HE1B2 5 MSAC 2005-HE1 B2 MSAC 2005-HE1 B3 66 MSAC2005-HEI B3 7 MSHEL2005-1 B2 7 MSHEL 2005-1 B2 MSHEL 2005-1 B3 88MSHEL 2005-1 B3 POPLR 2005-1 B 99POPLR 2005-1 BI 1 10 POPLR2005-1 B2 10 POPLR 2005-1 B2 11 MLMI 2005-NCI B2 11 MLMI 2005-NC1 B2 12MLI 2005-NC1 B3 12 MLMI 2005-NCI B3 13 CARR 2005-NC1 M7 13 CARR 2005-NC1 M7 14 CARR 2005-NC1 M8 14 CARR 2005-NC1 M8 15 ACE 2005-RM1 M8 15 ACE 2005-RM1 M8 16 ACE 2005-RMI M9 16 ACE 2005-RM1 M9 17FFML 2005-FF1 B2 17 FFML 2005-FF1 B2 18 FFML 2005-FFI B3 18 FFML 2005-FF1 B3 19 MSAC 2005-NCl B2 19 MSAC 2005-NCI B2 20 MSAC 2005-NCI B3 20 MSAC 2005-NCI B3 21 BSAB 2005-HE2 M5 21 BSABSS 2005-HE2 M5 22 BSABS 2005-HE2 M6 22 BSABS 2005-HE2 M6 23 RASC 2005-EMX1 M5 23 RASC 2005-EMXl M5 24 RASC 2005-EMXl M6 24 RASC 2005-EMX1 M6 25 EMLT 2005-1 M8 25 EMLT 2005-1 M8 26 EMLT 2005-1 M9 26 EMLT 2005-1 M9 27 RAMP 2006-EFCI M8 27 RAMP 2006-EFC1 M8 28 RAMP 2006-EFC M9 28 RAMP 2006-EFC11 M9 29 OOMLT 2006-1 M8 29 OOMLT 2006-1 MS 30 OOMLT 2006-1 M9 30 OOMLT 2006-1 M9 31 RASC 2006-EMX2 M8 31 RASC 2006-EMX2 M8 32 RASC 2006-EMX2 M9 32 RASC 2006-EMX2 M9 33 HASC 2006-0PT2 M8 33 HASC 2006-OPT2 M8 34 HASC 2006-0PT2 M9 34 HASC 2006-OPT2 M9 35 CARR 2006-0PT 1 M8 35 CARR 2006-OPT 1 M8 36 CARR 2006-0PTl M9 36 CARR 2006-OPT 1 M9 37 ACCR 2006-1 M8 37 ACCR 2006-1 MS 38 ACCR 2006-1 M9 38 ACCR 2006-1 M9 39 FMIC 2006-1 M8 39 FMIC 2006-1 M8 40 FMIC 2006-1 M9 40 FMIC 2006-1 M9 41 FFML 2006-FF7 M8 41 FFML 2006-FF7 M8 42 FFML 2006-FF7 M9 42 FFML 2006-FF7 M9 43 JPMAC 2006-NCl1M8 43 JPMAC 2006-NC M8 44 JPMAC 2006-NCl1M9 44 JPMAC 2006-NC M9 45 RAMP 2006-EFCI M8 45 RAMP 2006-EFC1 M8 46 RAMP 2006-EFCI M9 46 RAMP 2006-EFC1 M9 47 POPLR 2006-A M5 47 POPLR 2006-A MS 48 POPLR 2006-A M6 48 POPLR 2006-A M6 OrgSmtpMsg.eml OrgSmtpMsg.eml D Confidential Treatment Requested. by DBSI Confidential Treatment Requested by DBSI DBSIPSIElAIL0131403 DBSI_PSI_EMAIL0131403 Footnote Exhibits - Page 5866 To: Frederic JallotJdb/dbcom@DBAMERICAS@DEUBAJNT To: Frederic Jallot/db/dbcom@DBAMERICAS@DEUBAINT cc: l?ius.sprenger@db.c:o Greg cc: pius.sprenger@db.comm Greg Lippmann Subject: Re: HBK Equity Subject: Re: HBK Equity Lippmasnn 06/09/2006 06/09/2006 01:16PM 01:16 PM we need to figure out a better way .....the ppsi bonds are the worst in the pool...they should stay in regardless of what we need to figure out a better way.....the ppsi bonds are the worst in the pool...they should stay in regardless of what itit does to your model...these are 'free money' similarly the cwl is also a weak name ..... ok with removing bsabs. gsamp and does to your model...these are 'free money' similarly the cwl is also a weak name.....ok with removing bsabs, gsamp and frnic necessary ...the gsaa bonds are alt a and thus provide diversity which is in theory bad for him .....cna you two think fmic ififnecessary...the gsaa bonds are alt a and thus provide diversity which is in theory bad for him.....cna you two think about ways to include these .... think then we can tell him to instead remove say 5 of these O,.e. keep the ppsis and the about ways to include these....I 1thinkthen we can tell him to instead remove say 5 of these (i,.e. keep the ppsis and the cwO and tell him instead to choose 7 of 15 getting us back to 60 names ... let me know and willsend to him.... cwl) and tell him instead to choose 7 of 15 getting us back to 60 names ...let me know and IIwill send to him .... these are not in the smaller pool these are not in the smaller pool 073879REO 073879REO 126673XM9 126673XM9 362420SBO 36242DSB0 70069FER4 70069FER4 70069FJC2 70069FJC2 362420TW3 36242DTW3 31659TDJ1 31659TDJ1 362420S46 36242DS46 .BSABS 2005-HE2 M6 BSABS 2005-HE2 M6 CWL 2005-1 BV CWL 2005-1 BV GSAMP 2005-HE1 B3 GSAMP 2005-HE1 B3 PPSI 2004-WHQ2 M9 PPSI 2004-WHQ2 M9 PPSI 2005-WHQ2 M9 PPSI 2005-WHQ2 M9 GSAA 2005-2 B3 GSAA 2005-2 B3 FMIC 2005-1 M9 FMIC 2005-1 M9 GSAA 2005-5 B3 GSAA 2005-5 B3 Greg H. Lippmann Greg H. Lippmann Managing Director Managing Director Oeutsche Bank Securities Inc. Deutsche Bank Securities Inc. 3rd Floor 3rd Floor 60 Wall Street 60 Wall Street New York, New York 10005 New York, New York 10005 Phone (212) 250-7730 Phone (212) 250-7730 Fax (212) 797-2201 Fax (212) 797-2201 Mobile (917) 601-1916 Mobile (917) 601-1916 Frederic Jallotldbldbcom@DBAMERICAS Frederic Jallot/dbldbcom@DBAMERICAS 06/0812006 09:31 PM 06/0812006 09:31 PM TO greg~lippmann@db.com, pius.sprenger@db.com To greg.lippmann@db.com, pius.sprenger@db.com cc Subjed HBK Equity Subject HBK Equity Removed 8 bonds from the 58 name portf060?(7 short WALs, 1 long WALr There are 22 SPVs to which we've got credit Removed 8 bonds from the 58 name portfolio (7 short WALs, I long WAL). There are 22 SPVs to which we've got credit exposure, most of them have got short WAL. Would they take a reduced spread and a discount? exposure, most of them have got short WAL. Would they take a reduced spread and a discount? other solution: get all their Gemstone portfolios and pick 2003-2004 names which match our book. If the all the names Other solution: get all their Gemstone portfolios and pick 2003-2004 names which match our book. If the all the names have short WALs, and the WALs are not barbelled the spread should be good. have short WALs, and the WALs are not barbelled the spread should be good. Economics: Economics: 203 bps WASpread assumption: .. . . . . . . . .. .. .. .. .. .. . .. Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMA1L0129174. iTranche'j Sub lSize'lLeveragelDV01'l Fairlspread:1PVOfoilCorrel lRec lDeltalAmort iCosfl Net Price ~lTranche'~Book: Tranche Sub Size Leverage :DV01 Fair Spread PV% Correl Rec Delta Amort Cost Net '\ Price Tranche Book P&L P&L Sp ....i 1 ..;.:;_;L._~._j~. ____ .. _ ~_. ~--::...L,,_.~). ?????...;cc. ..L~~~ ,~:.&~._l 2.66% 4.60% 100.000%: -2.2% :l-65% -0.3% ~; 0-3 :0.00% :3.00%; :;0.00% o.00%' 4.6 '~3.0 ;;12.35%, i10.00% ;~7.0% ~; -11.6% ; - 10.00% 7.0% -11.6% ~ -22% .05% ~-{).3%:i :ll?O.ClOO'lb,; -0.60% '~2.66"1o' 1235% 30 4.6 0-3 Footnote Exhibits - Page 5867 L--._:.:;.L.:;:..:;:.; __;L_c___:.;:;;'L;. __ .LSp L.c"-. ___ i_c:.c) . . .. L:::::::::;::::::.::!:.:::: ..::: ..;:::.:::.:::L::.:.:::.:::.:.. 1 5.87% ... 24 2.4% :L .. :::.::.:: ... ;L:::.:.. ::::L ... :.:.:.::.:.?:~.~.! ::::.:.::J:: .. :: ....... L:::: .. :j~:~:~!:"t':[L::::::.::::: ........................ .i :::::.:;.:;.:.:::L.: ..::.:: ... ................................................................................................................... ::.:;L::c:.:.:.::L.::.:. ::.. ... ..:L . 244 bps WASpread assumption: 244 bps WASpread assumption:... .............. ;............... . ..............-------.................. . . . . . ........ b............I.......... .............................. ~~~~~~~~~~~~~~~~~~~. anche Sub Size Leverage DV01 Fair Spread PV% Correl :Rec Delta Amort Cost Net Price Tranche Book 0-3 o 0 :[~~?~~~~:[~?U.b?~r~iz~~l[~ve~?g~?.{~~01?:I??~;~r??.~rs~r~.~.~.:r~~~?.;I~~?~.~fr~~~.I~~?ttal,~o~?:~~~t.?r??~~~???~[??~.~:??"jfT~~f~?.:I~~~?' P&L P&L Sp l[:~:::.:t~:J~~~~:I~::~~~.:_j[~:::~:~::~:l[:~:~:~J~:~:;.t~::~]~:;t~~:I~~~J:~~:~:l;~:;;!E:?::[~~~:~:-Jl~?~:~:.. o0.o0 % 3.00%: 4.2 2.9 14.32%: 12.00% .. ... .2.6% 6.7% -12.1% - -1.9% 65% -0.3% .- . 77% 100.000% .7.08% 2.60% Attached below the 50 name portoflio and a list of 15 SPVs out of which he can pick 5: Attached below the 50 name portofilio and a list of 15 SPVs out of which he can pick 5: [attachment "50 Name Portfolio.xls" deleted by Greg UppmannlNewYorklDBNAlDeuBa] [attachment "50 Name Portfolio.xls" deleted by Greg Uppmann/NewYork/DBNA/DeuBa Pius, the models are in the directory if you wnat have a look. Pius, the models are in the directory if you wnat to have a look. Frederic Jallot Frederic Jallot Integrated Credit Trading Integrated Credit Trading Tel: +44 (0)207 545 78 00 Tel: +44 (0)207 545 78 00 Fax: +44 (0)207 545 85 10 Fax: +44 (0)207 545 85 10 STRICTLY PRIVATE AND CONFIDENTIAL STRICTLY PRIVATE AND CONFIDENTIAL Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0129174 Footnote Exhibits - Page 5868 To: Sean Wbelanldb/dbcom@DBAmericas To: Sean Whelan/db/dbcom@DBAmericas Greg cc: "Axel Kunde" . "Pius Sprenger" cc: "Axel Kunde" , "Pius Sprenger" Greg Lippmann Subject: Re: King Street Subject: Re: King Street Uppmann 09/2712006 09/27/2006 04:58PM 04:58 PM dont offer it yet, but in theory we would be very happy to sell them the aaa i.e. 40-100 so that they would be long0-3 and 0-3 dont offer it yet, but in theory we would be very happy to sell them the aaa i.e. 40-100 so that they would be long dont and and we 40-100 and short 3-40 ...... but that begs the question as to where the 3-40 is in theorgy being taken down 40-100 and short 3-40......but that begs the question as to where the 3-40 is in theorgy being taken down and we dont wantto go there... want to go there ... "Greg H. Uppmann Greg H. Uppmann Managing Director Managing Director Deutsche Bank Securities Inc. Deutsche Bank Securities Inc. 3rd Floor 3rd Floor 60 Wall Street 60 Wall Street New York, New York 10005 New York, New York 10005 Phone (212) 250-7730 Phone (212) 250-7730 Fax (212) 797-2201 Fax (212) 797-2201 Mobile (917) 601-1916 Mobile (917) 601-1916 Sean Whelanldb/dbcom Sean Whelanidb/dbcom Greg LippmannlNewYorklDBNA/DeuBa@DBAmericas To "Greg Lippmann/NewYork/DBNAIDeuBa@DBArnericas CC 'Axel Kunde' , 'Pius Sprenger" cc 'Axel Kunde" caxel.kunde@db.corn>, 'Pius Sprenger' 0912712006 02:52 PM 0912712006 02:52 PM Subject StreetLink Subject Re: King streetLifk they are long idiosyncratic risk. they want to short the market and are willing to pay the freight. in the correlation trade they are long idiosyncratic risk. the freight. in correlation willing want to they also ran short the market and are feel areto pay 2 events virtually knock out the equity- for every subsequent event for every subsequent event the they breakevens- which they highthey also ran breakevens- which they feel are high- 2 events virtually knock out (yes- this ignores spread widening on the even. their max benefit is 1.8 mm. crude- but they would need 7 events to break even. (yes- this ignores spread widening on the would need 7 their max benefit is 1.8 mm. crude- but they remainder.)- they think a more efficient short is a bespoke trade. their ideal short would be the belly of the capital ideal short would be the belly of the capital remainder.)- they think a more efficient short is a bespoke trade. AAA were the parts we found difficult to place. structure. when we last spoke about it, we told them the equity and the AAA were the parts we found difficult to place. structure. when we last spoke about it,we told them the equity they are willing to buy the equity and even the AM's tt get an efficient short of the bellyget an efficient short of the bellyare willing to buy the equity and even the AAA's they Greg LippmannlNewYorkIDBNA/DeuBa LippmannlNewYorkDBNAIDeuBa Greg Sean Vtielan~db/dbcom@DBAmericas. *Pius Sprenger' cplus.sprenger@ ToSean Whelanldbldbcom@DBAmeficas, 'Pius Sprenger" . To .Axel Kunde' 'Axel Kunde' CC .db.com>. 0912712006 02:31 PM 09127/2006 02:31 PM cc Subject Re: King Street Subject Re: King Street Whjat does thaty mean? Will they massively overshort vs 6x coupon?? Whjat does thaty mean? Will they massively overshort vs 6x coupon?? Sent from my BlackBerry Handheld. Sent from my BlackBerry Handheld. From: Sean Whelan From: Sean Whelan Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL01703708 DBSI]SI_EMAlLOl703708 Footnote Exhibits - Page 5869 Sent: 09/27/2006 11:02 AM sent: 09/27/2006 11:02 AM To: Greg Lippmann To: Greg Lippmann SUbject: Re: King Street Subject: Re: King Street Greg- was not accurate- do not want to do fully placed deal. they want to short the entire delta-thanksGreg- IIwas not accurate- do not want to do aafully placed deal . they want to short the entire delta- thanks- Greg LippmannlNewVorkIDBNAJDeuBa Greg LippmnannfNewYork1DBNAADeuBa Sean lMlelanidbldbcom@DBAmericas, Axel KundelDMGGMlDMG UK/DeuBa, Pius Sean Whelanidb/dbcom@DBAmnericas, Axel KundelDMGGMIDMG UKlDeuBa, Pius To Sprenger/DMGGM/DMG UKlDeuBa To Sprenger/DMGGMIDMG UKIDeuBa 09127/2006 10:57 f>N, 0912712006 10:57 AM cc Subject Re: King Street Subject Re: King Street Whic~ is it ? Magnetar is fully placed and talk to lamont. If they want to do our trade but short entire delta we can price Which is it ? Magnetar is fully placed and talk to lamont. Ifthey want to do our trade but short entire delta we can price that too. that too. Sent from my BlackBerry Handheld. Sent from my BlackBerry Handheld. From: Sean Whelan From: Sean Whelan sent: 09/27/2006 10:51 AM Sent: 09/27/2006 10:51 AM To: Greg Lippmann; Axel Kunde; Pius Sprenger To: Greg Lippmann; AXel Kunde; Pius Sprenger Subject: King Street Subject: King Street a Spoke with King Street this morning. rather than do the carry neutral correlation trade, the would like to pursue a bespoke Spoke with King Street this morning. rather than do the carry neutral a or Magnatar type trade, They want more leverage and are willing to hold the equity in a 375mm type transaction, and transaction, and or Magnatar type trade. They want more add if need be-thanks-Sean short the rest of the capital structure . the 75 names we have can be used, or we can add if need be-thanks-Sean short the rest of the capital structure. the 75 Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL01703709 DBSI]SCEMAlL01703709 Greg Greg Lippmann!NewYorklDBNAlDenBa@DBAMERlCAS Lippmann/NewYork/DBNA/DenBa@DBAMERICAS 0211312007 08:03 PM 013/2007 08:03 PMbee - ToWarren ToWarrcn DowdiSanFranciscolDBNAJDeuBa(R)DBAmericas Dowd/SanFrancisco/DBNA/DeuBa@DBAmericas cc cc bee SubjcctRe: hey greg. have few mins to speak to partner SubjectRe- hey greg. uuhave aafew mins to speak to partner Footnote Exhibits - Page 5870 flunds? funds? Warren: Warren: I appreciate you taking a crack at this. I appreciate you taking a crack at this. Let me know how you do. Let me know how you do. Pension Pension Given the market structure as it exists now, who ends up holding the credit risk? Given the market structure as it exists now, who ends up holding the credit risk? funds, foreign treasuries, CHO's, etc. funds, foreign treasuries, CMO's, etc. Mix of CDO investors -- European and Asian Banks and Insurers, Insurance Companies like AIG, Mix of CDO investors -- European and Asian Banks and Insurers, Insurance Companies like AIG, CIFG, Radian, Wall Street Commercial Paper Conduits, ABS Hedge Punds CIFG, Radian, Wall Street Commercial Paper Conduits, ABS Hedge Funds Hav?e the buyers really done the credit work? Do they have the risk appropriately priced or Have the buyers really done the credit work? Do they have the risk appropriately priced or are they just participating to deploy massive liquidity and looking at just relative pricing with they just participating to deploy massive liquidity and looking at just relative pricing with are the rating agencies looked at as pointing out the big problems? the rating agencies looked at as pointing out the big problems? With. 5000 loans per deal and 100 deals per CDO, this would seem to be more of a statistical With 5000 loans per deal and 100 deals per CDO, this would seem to be more of a statistical analysis than a detailed one but invesors may claim otherwise. analysis than. a detailed one but invesors may claim otherwise. Has the ability to layoff credit changed? The investment? bank "party line" is that Has the ability to lay off credit risk changed? The investment bank "party line" is that or do they have to they don't take or hold real credit risk, its all sold Is this they don't take or hold real credit risk, its all sold off. Is this accurate or do they have.to Are hold residual risk to do the business and are they typically also extending warehouse lines? residual risk to do the business and are they typically also warehouse lines? Are hold there other areas to look at for pressure beyond negative marks on securities, warehouse exposure other areas to look at for pressure beyond negative marks on warehouse exposure there and credit quality of any loans held and credit quality of any loans held directly? Wharehouse lines are extending all originators ... every firm street own home Wharehouse lines are extending to all originators...every fin on wall street own home equit y residuals. y res~duals. equit Besides residuals and warehouse lines, what areas can should Besides residuals and warehouse lines, what areas can we see performance hits should things continue to worsen? continue to worsen? Would seem to be it. Would seem to be it. mark to The MES themselves are held in a The MBS themselves are held in trading accounts-this could produce a negative mark to market, correct? correct? market, downgrades if Most are re-securitized into CDOs which.do not have to mark to market until downgrades if Most are re-securitized into CDOs ever. ever. or is they have What is CDO behavior now? Are they generally as active as they have been historically or is active What is CDO behavior now? Are they there any sort of a buyer's strike? there any sort of a buyer's strike? there are rumors of dealers Last few days have seen a marked slowdown in CDO activity and there are rumors of dealers Last few days have seen a marked slowdown in CDO losing money on several deals. losing money on several deals. Has the ability to layoff credit risk changed recently?? Has the ability to lay off credit risk changed recently? really what they hold? really what they hold? Tough to say, but masssive increase in Tough to say, but masssive increase in scrutiny I? kickouts of initial loans perhaps scrutiny / kickouts of initial loans perhaps loans. II dont know how to read filings so no dont know how to read filings so no loans. Can we tell from the filings Can we tell from the filings put back of deliqn loans (EPDs) and probably greater put back of deliqn loans (EPDs) and probably greater leading to worsening relative quality of retained leading to worsening relative quality of retained clue. clue. Must this always be held Must this always be held How do you treat and address the residual risk/"equity tranche?" How do you treat and address the residual risk/"equity tranche?" or can this be securitized and sold in some way? or can this be securitized and sold in some way? hedge fund..... In the ABS someone owns it either the dealer, originator or aa hedge fund ..... In the ABS someone owns it either the dealer, originator or or that and Does either the DC or excess spread in any way insulate the equity tranche or that and Does either the CC or excess spread in any way insulate the equity tranche immediately vulnerable to any losses. losses. immediately vulnerable to any hit. If you The residual gets all excess spread so any decline in xis blc of losses is aa hit. If you The residual gets all excess spread so any decline in x/s b/c of losses is mean the equity in the mezz abs cdo, yes the excess spread protects it. mean the equity in the mezz abs cdo, yes the excess spread protects it. Does the equity?piece change based on the structure? Does the equity piece change based on the structure? Can its size vary in any deal? Can its size vary in any deal? Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAILO199518 Footnote Exhibits - Page 5871 Yes ... all deals are slightly different given quallity of the loans, mortgage and bond Yes... all deals are slightly different given quallity of the loans, mortgage and bond coupons, deserve/abiltiyto sell down cap structure i.e. BB, BB-, B... to sell down cap structure i.e. BB, BB-, B ... coupons, deserve/abiltiy Who determines what deals Bow do you look at risk control with respect to residual risk? Who determines what deals How do you look at risk control with respect to residual risk? you participate in and what residuals are held? in and what residuals are held? you participate I do not run the trading of residual for whole loans speak to michael commaratto. If you commaratto. If you I do not run the trading of residual for whole loans speak to michael mean CDO equity we look for early commit tment of equity by manager or investors or we feel the CDO equity we look for early commit tment of equity by manager or ?investors or we feel the mean manager has a good story. manager has a good story. Is NEW like the companies that have previously failed-in irrelevant issue or does its Is NEW like the 55 companies that have previously failed-in irrelevant issue or does its failure meaningfully degrade the performance of the market or create aa buyer's strike in some meaningfully degrade the performance of the market or create buyer's strike in some failure way. What makes NEW different, if anything? makes NEW different, if anything? What way. the continued problems .for the originators is relevant b/c these loans MUST be refinanced and as these loans MUST be refinanced and as the continued problems .for the originators is relevant b/c capacity leaves the system the marginal buyer will have trouble getting aa neew loan (also as the system the marginal buyer will have trouble getting neew loan (also as leaves capacity investors / I agencies etc are more picky about borrowers many of the weakest borrowers will be agencies etc are more picky about borrowers many of the weakest borrowers will be investors trapped in current loans) we need 15-35% of the people to default to make 100 % so we are not people to default to make 100 % so we are not trapped in current loans) we need 15-35% of the betting on a system meltdown but rather a squeeze on the weakest c redits. on a system meltdown but rather a squeeze on the weakest credits. betting Warren Warren DOwd/sanFrancisco/DBNA/DeuBa Dowd/SanFrancisco/DBNA/DeuBa 02113/2007 01:39 02/13/2007 01:39 PM To Confidential Treatment Requested by DBSI Treatment Requested by DBSI Confidential DBSI PSIEMAIL0199518 DBSI]SI_EMAIL0199518 Footnote Exhibits - Page 5872 Greg Greg Lippmann/NewYork/DBNA/DeuBa@DBAmericas Lippmann/NewYork/DBNA/DeuBa@DBAmericas cc cc Subject Subject funds? funds? hey greg. hey greg. u have a few mins to speak to partner to partner u have a few mins to Confidential Treatment Requested by DBSI Treatment Requested by DBSI Confidential DBSIPSIEMAIL0199512 Footnote Exhibits - Page 5873 CDS and also see below. the analyst is looking at potentially adding to current position in CDS and also to current position the analyst is looking at potentially adding see below, before he moved potentially' expressing the bet in some of the equity names. had a few questions before he moved some of the equity names. had a few questions potentially expressing the bet in -wd forward tho. do you have time to speak to brock? lemme know. lemme know. -wd to brock? forward tho. do you have time to speak Warren Dowd Warren Dowd Deutsche Bank Securities Inc. Deutsche Bank Securities Inc. Institutional Equity Sales Institutional Equity Sales phone: 415-617-2831 phone: 415-617-2831. mobile: 617-833-3744 mobile: 617-833-3744 warren.dowd@db.com warren.dowd@db.com IM: warrendowddb warrendowddb IM: on 02/13/2007 10:37 AM --------- Forwarded by Warren Dowd/SanFrancisco/DBNA/DeuBa on 02/13/2007 10:37 AM --------- Forwrded by Warren Dowd/SanFrancisco/DBNA/DeuBa ftBrock Vandervliet ft "Brock Vandervliet" Confidential Treatment Requested by DBSI Requested by DBSI Confidentia Treatment DBSIPSIEMAIL019951 Footnote Exhibits - Page 5874 02/12/2007 12:42 02/12/2007 12:42 PM To Warren Warren Dowd/SanFrancisco/DBNA/DeuBa@DBAmericas anFrancisco/DBA/DeuBa@DBAmefricas Dowd/S cc cc Subject Subject Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAJL0199518 DBSI]SI_EMAll. .Ql99S18 Footnote Exhibits - Page 5875 ?'s Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSIPSIEMAIL0199518 DBSI]SI_EMAIL0199518 Footnote Exhibits - Page 5876 Warren: Warren: I appreciate you taking a crack at this. I appreciate you taking a crack at this. Let me know how you do. Let me know how you do. Pension Given the market structure as it exists now, who ends up holding the credit risk? Pension Given the market structure as it exists now, who ends up holding the credit risk? funds, foreign treasuries, CMO's, etc. funds, foreign treasuries, CMO's, etc. Have the buyers really done the credit work? Do they have the risk appropriately priced or Have the buyers really done the credit work? Do they have the risk appropriately priced or are they just participating to deploy massive liquidity and looking at just relative pricing with are they just participating to deploy massive liquidity and looking at just relative pricing with the rating agencies looked at as pointing out the big problems? the rating agencies looked at as pointing out the big problems? Has the "ability to layoff credit risk changed? The investment bank "party line" is that The investment bank "party line" is that Has the ability to lay off credit risk changed? they don't take or hold real credit risk, its all sold off. all sold off. Is this accurate or do they have to Is this accurate or do they have to they don't take or hold real credit risk, its Are hold residual risk to do the business and are they typically also extending warehouse lines? Are hold residual risk to do the business and are they typically also extending warehouse lines? there other areas to look at for pressure beyond negative marks on securities, warehouse exposure there other areas to look at for pressure beyond negative marks on securities, warehouse exposure and credit quality of any loans held directly? ' and credit quality of any loans held directly? Besides residuals and warehouse lines, what areas can we see performance hits should things should things Besides residuals and warehouse lines, what areas can we see performance hits continue to worsen? continue to worsen? The MBS themselves are held in trading accounts-this could produce a negative mark to The MBS themselves are held in trading accounts-this could produce a negative mark to market, correct? market, correct? What is CDO behavior now? Are they generally as active as they have been historically or is What is CDO behavior now? Are they generally as active as they have been historically or is there any sort of a buyer's strike? there any sort of a buyer's strike? Has the ability to layoff predit risk changed recently? Can we tell Can we tell from the filings from the filings Has the ability to lay off credit risk changed recently? really what they hold? really what they hold? Must this How do you'treat and address the risk/"equity tranche?" Must this always be held always be How do you treat and address the residual risk/"equity tranche?" or can this be securitized sold in way? ' or can this be securitized and sold in some way? Does either the DC or excess spread in any way insulate the equity tranche or that and Does either the OC or excess spread in any way insulate the equity tranche or that and immediately vulnerable to any losses. immediately vulnerable to any losses. Does the equity piece on the its vary in deal? Can its size vary in any deal? Does the equity piece change based on the structure? Who determines what deals How do you look at control residual risk? Who How do you look at risk control with respect to residual risk? you participate in and what residuals held? you participate in and what residuals are held? Is like 5 companies that have previously failed-in irrelevant issue does its Is NEW like the 5 companies that have previously failed-in irrelevant issue or does its failure meaningfully degrade ,the performance of the market create buyer's strike in some failure meaningfully degrade-the performance of the market or create a buyer's strike in some way. What makes NEW different, if anything? makes different, way. Confidential Treatment Requested by DBSI Confidential Treatment Requested by DBSI DBSI-PSI-EMAIL0199519( DBSI _PSI _EMAILO 199519C Footnote Exhibits - Page 5877 ADDITION TO Goldman Sachs supplemental response to questions for the record From: Sandler, David fmailto:dsandler@omm.coml Sent: Thursday, April 07, 2011 08:37 AM To: Goshorn, Daniel (HSGAC) Subject: Goldman Sachs Dan On August 20, 2010, Goldman Sachs provided the wire transfer numbers in conjunction with their testing of the Federal Reserve discount window as requested by the Subcommittee. As highlighted in previous responses, Goldman Sachs only used this access to test that all the necessary policies, procedures and operational capabilities required to access this funding were in place . The amounts borrowed were returned in their entirety the next day_ Goldman Sachs recently discovered that one test transaction was inadvertently omitted from the information previously provided to the Subcommittee due to the test being conducted by Goldman Sachs Bank USA, a Utah Industrial bank, which tested their necessary policies, procedures and operational capabilities with the Federal Reserve discount window. Below is a chart providing details of the transaction, including the wire transfer number: Borrow Date 0912312008 Retum Date 0912412008 Collateral Pled ed $ 100,620,000.00 Amount Borrowed $ 50,000,000.00 Reference Number 20080923QMGOI/llOO2000035 With this supplementation, we believe Goldman Sachs' prior production on this issue is complete. David Sandler O'Melveny & Myers UP 1625 Eye Street, NW Wa.shington, D.C. 20006 (202) 383-5123 (phone) (202) 383-5414 (fax) dsandler@omm.com This m~09r and ony ottochrd dOCllmrntl tontoin informotion/rom thr low firm of O'Melveny & Myeo: UP that may be tonfidrntiol and/orprivilegrd. I/you ore not the Intrndrd r<<.ipirnt. you may not rrod, topy, distriblltr, or IIsr this in/ormotion. 'fyoll hove reuived this tronsmission in error, please notift the sender immediotely by reply e-mail and then dele te tills messoge. 1 Footnote Exhibits - Page 5878 From: Se nt: To: Cc: Subject: Bi rnbaum, Josh Sunday, August 19, 200711:48 PM Lehman, David A.; Montag, Tom Sparks, Daniel L; Mullen, Donald; Swenson, Michael; Finck, Greg RE: Mtg Department Weekly Update On the AAA outperforroance question, I think AAAs would have performed similarly without our adding . Given the remote likelihood of loss on "real " RMBS AAAs (i ,e. not MA COOs), trading around 90 is mostly a liquidity trade and last week's injecti on of liquidity should have been particularly constructive for MAs. Of note, we saw AAA buying from relatively conservative accounts not normally involved in outright strategies (III, for example) . -----Original Message----From: Lehman, David A. Sent: Sunday, August 19, 2007 9:23 PM To : Montag, Tom Cc: Sparks, Daniel L: Mullen, Donald: Swenson, Michael; Finck, Greg; Birnbaum, Josh Subject : Re: Mtg Department Weekly Update Going back to your previous question - Net/net the department is long 600ish rom ABX AAAs (short the seasoned 06-1, long the newer 07-1 index) Swenny or Birnbaum can speak to your question re : AAA ABX px action Wrt correlation, j ust the super senior RMBS trades subp r ime portfolios) were impacted (40 - 100% or 50 - 10 0 % of BBB/BBB- The desk is currenty evaluating the right parameter for the cmbs super seni or shorts but we have not had as much observability as we have had in rmbs _ - Redacted by the PermaneDt Subcommittee on Investigations David A . Lehman Goldman, Sachs & Co. S5 Broad Street I New York, NY 10004 Tel: 212-902-2927 Fax: 212-902-1691 e-mail: david . lehman@gs.com Mob : 91711. . . . . . . ----- Ori g i na l Message From : Montag, Tom To: Lehman, David A. Sent: Sun Aug 19 20:42:07 2007 Sub j ect: Re: Mtg Departme nt Weekly Update How much of aaa outperforming was us buying? What assets were affected by correl at i on change? .----- Original Message Fr om: Lehman, David A. To : Montag, Tom Cc: Mullen, Donald : Sparks, Daniel LI Swenson, Michael; Finck, Greg Sent: Sun Aug 19 19 : 20:36 2007 Permanent Subcommittee on Investigations Wall Street & The Financial Crisis Report Footnote #1805 GS MBS-E-010681647 Footnote Exhibits - Page 5879 Subject : RE: Mtg Department Weekly Update Got it of the ~1 .6bb AAA ABX bot I believe 900mm was SPG trading getting longer and 700mm was short covering in books (Alt A, Hybrids) I don't have the current AAA ABX position 9 the dept level in front of me but wil l get it and circle back -----Original Message - ---From: Montag, Tom Sent : Sunday, August 19, 20077 :1 1 PM To: Lehman, David A. Subject: Re : Mtg Department Weekly upda t e r saw the ch ange. I wondered if that covewr ed risk or took us long. Understand net is same we are longer ----- Original Mess age From : Lehman, David A. To: Montag, Tom Cc: Sparks , Daniel L; Mullen, Donald; Swenson, Michael ; Finck, Greg Se n t : Sun Aug 19 19:01:36 2007? Subject : RE: Mtg Depa rtment Weekly Update Added Fi nck, he can speak to your first question re: Fixed Agcy the dept net added subcprime risk via ASK and o o o o o o o in AAA The dept net added risk via ASX @ across the curve but pre dominantly @ the AAA level (below from Swenny) Mortgage Dept Net ABX Change on the Week AM. AA A BBB BBBTotal + + + + +1,580mm 11 5 50 155 100 +2, 000mm _ .. Rnfactnf by the Permlnent Subcommittee on InVUli,ltions -----Origi n al Message----From: Montag, Tom Sent : Sunday, August 19, 2007 6 : 50 PM To: Lehman , David A. Subject : Re : Mtg Department Weekly Update Fixed agency . ALe we trying to get down? What d id we buy? Was it al l indices again or did we How much did whole dept reduce risk this wee k? actually cover aby shorts? ----- Original M essage ----From : Lehman , David A. To: Montag, Tom ; Sparks, Daniel L; Mullen , Cc: Swenson , Michael; Finck , Greg Sent : Sun Aug 19 17 : 03 :4 6 2007 Subject : Mtg Department Weekly update Donald ; Salame , Pablo 2 GS MBS-E-010681648 Footnote Exhibits - Page 5880 Resi Mortgage Update (Fi nck ) Mortgage Derivatives Remains most stable and orderly Resi mortgage market Flows are healthy: JPMIM selling -IS Inverse 10, Countrywide selling 600mm po, othe~wise insignificant * Setter demand for levered , non-balance-sheet-intensive positions (lOs , Inverse r Os) * P&L on week : +$500k ~ Hedges: Pass-throughs, Swaps ~ ~ Fixed Agency/Prime (AAA super- senior Pass-throughs now 1 - 24 back from ~) - Dealers (pa rticularly Count rywide) are overloaded and dumping bonds into any available bid - Only 2-3 active street bidders : most dealers are passing on every thi ng * Decent two-way flows: Sold roughly $l B CMOs on week, and bought appro ximately $ 700mm ~ P&L on Week: - l Omm on spread widening : Making money trading, but losing more money on positions mark-downs in widening o Position size (Secondary , New issue , and Loans) : - $68 * Hedges : Predominantly Agency Pass-throughs, with some swaps * Spreads conti nue to widen under selling pressure Hybrid Agency/Prime * Very heavy selling. Bid $108-$15B on the wee k mostly out of Reits (Thornburg , KKR, FBR) o Spreads con tinue to push wider on supply pressure (AAA Libor Floaters now L+100) o Bought and sold over $2B . Developing good supply/demand balance with large money managers becoming big buyers * P&L on Week: -$15mm * Position Size (Secondary / Loans): -$4B o Hedges : ~500mm ABX (down from over $IB), Agency Pas s - throug hs, and Swaps Alt-A o Very light origination volumes : le ss than $500mm on week o Significant widening in AAAs, both Fixed and ARMs - Super-Seni or AAA pa~$-throughs widened a point on week from FNMA : now back 3-24 . (3pts wider o ver month) - AAA Hybrid~ also much wider : 25+bps on week * P&L on week (ex Residual writedown): +lOmm on ABX widening * Position Size : -500mm loans * Hedges : Short $18 ABX AAAs . Covered back SOO+mm ABX on week , need to cov e r more Subprime/Scratch and Dent o Very quiet with essentially no new o r iqination we continue to work on Cbass portfolio for potential buy opportunity also, working on new d eal with HSBC 10an3: weak investor interest o P&L on week: 7mm (ABX widening) o $1.3B ABX short vs $lB SUbprime and 600mm S&O position ASS Summary (Swenson) l} Closing Price and Ch anges for the week ended ABX 07-1 : AM AA A BB. BBB- 91-00 67 - 00 45-00 35-00 33-16 Weekly Change +1. 5pts -3 . 0pts - 3 . 5pts -3.5p t~ -3 . 5pts 3 Confidential Treatment Requested by Goldman Sachs GS MBS-E-010681649 Footnote Exhibits - Page 5881 21 General Color ~ Market was up as much as 6 or 7 points post Fed annou n cement this morning. Market came off the highs as fast mone y faded the rall y with the market c l osing up 2 points on average o f'urther liquidations from rea l money accounts facinq r e demptions. of AAA and AA home e quity out for b id wi t h roughly two- thirds t rading Multiple billions * M oody ' s downgraded 84% o f the second lien unive rse including 78 AAA bonds , likely to trigge r numerous forced sales S&~ o o downgraded 158 Alt-A deals that had been previously on watch ~osition 3 ) Cu rrent SP" Trading Desk RMBS AM Summary : - long $2.2bb o o o RMBS AA- long $1. Obb RMBS Single-As RMBS BBB/BBB- - net short $O.8bb 100% in single-name CDS net sho rt $3 . 5bb (80% in single-name CDS - 60 ' in 2005 vintaqe) 4 ) August 13th - 17th Total ABX Indi ces by Rating Bough t AM lIA A this week: BBB BBBTotal $1, 5S0mm 180 175 180 282 $2,397nun ASS and Co rrelat ion Desk Net ABX Risk Chanqc on the Week : AM AA A BBB BBBTotal + + + + + 865nun llS 50 155 100 Redacted by Ihe Perm.MRI +1,285nun SubcommiUH on InveslicatioltS M r tga ge Dept Net ABX Change on the Wee k o AM AA A +1 , 580mm BBB BBB- + + + + llS 50 155 10 0 Tot al CMBS _ +2,0 00mm 4 Confidential Treatment Requested by Goldman Sachs GS MS5-E-010681650 Footnote Exhibits - Page 5882 Redacted by Permanent Subcommittee on Investigations COOs (Lehman) o o Desk wao able to short lOO+m notional on the weck Sold one cash "A" and bought protection from two different counterparties @ the o Flows largely from hedge funds and fast money desks covering short risk positions we still have not seen a lot of new longs in the market o First time in 6+ weeks we have seen decent trading activity o Market continues to be disloca ted w1th few dealers making markets and nobody looki ng to get long risk "AA" and "J>.." level 5 Confidential Treatment Requested by Goldman Sachs GS MBS-E-010681651 .' Michll,,1 1.llnmlltJNelYVIII'k1DDNA/Dt!uDII(i!,)ODAMERICAS 07/1 :!/2CJ07 07:41 PM Footnote Exhibits - Page 5883 TIl(ircg l.iP1111II11I1I/NcwYmklDBNA/1.ll:ul !u(~~lJ)UA IIU:riCIIS. Iticlmn.l I)A Ihcrt/NcwYork/1 )1JNAlJ)cu1JlI(~I)BEMEA ee bee SubjcclFw: ABS t:1X> DJJ IlIvcstur List fyi, Boaz asking for accounts that hold subprime risk for possible principal short opportunities Forwarded by Michael Lamont/NewYork/DBNA/DeuBa on 07/1212007 07:40 PM Michael Lamont/NewYork/DBN A/DeuBa boaz weinstein 07/12/2007 07:39 PM cc John Pipilis/NewYork/DBNA/DeuBa@DBEMEA, michael herzig Subject ASS COO DB Investor List To This is the raw data with ASS COO Sales made by DB in past 3 years. This will give you a general sense of where the paper went but is a little hard to deCipher. Eg, data shows that Magnetar bought a lot of high quality NR equity in 2006-- but it has no casflow lockout triggers, CIFG wrapped some AAA paper, but is is actually a static, challenged portfolio, many of the buyers listed are COOs (Cohen, DB Zwirn, Deerfield, Dynamic, Harding, etc). We will send you some more qualitative analysis shortly. Accounts in my mind with the most risk from our list are Commerzbank, Basis, BSAM (RIP), IKB. This is probably in line with the broader market although we havent done much high grade abs cdo business the last few years, compare HL and Citi, that have placed a tremendous amount of paper into Asia with accounts like SHBC, STAH, UOB, Lyon, etc. These deals arent severely dented as of yet but could get there. You may also want to follow up with ABS Correlation / Lippmann. In the end most of the ASS COO cash mezzanine paper went into other ASS CDOs, I think ASS Correlation business across the street has had more of a real money distribution focus. Forwarded by Michael Lamont/NewYork/DBNA/DeuBa on 07/12/2007 07:22 PM Scott Cohen/NewYork/DBNA /OeuBa 07/12/2007 01:42 PM To Michael Lamont/NewYork/DBNA/DeuBa@DBAmericas cc Subject Updated Investor Buyer list CONFIDENTIAL - PRODUCED TO M&T PURSUANT TO PROTECTIVE ORDER Permanent Subcommittee on Investigations DBSI_(l12(lIH.D Wall Street & Tile Financial Crisis Re ort Footnote #1262 D85,-0120 1843 r I .o ., Plcnse find tbe updated list of buyers. Tbank you, -Scott (See attacbed file: Investor List w buyers.xls) Scott Coben Deutscbe Bank I Global Markets 60 Wall Street New York, NY lOOOS scott.ccben9db.ccm tel. 212 2S0 SBSS fax 646 2S'1 2401 Footnote Exhibits - Page 5884 CONFIDENTIAL - PRODUCED TO M&T PURSUANT TO PROlECflVE ORDER Footnote Exhibits - Page 5885 Division Summary Highlights? Week Ending November 30th, 2007 Confidential Treatment Requested by Goldman Sachs GS MBS?E?009648684 Footnote Exhibits - Page 5886 Mortgages Mort ages Perfonnance ($mm) WTD Res; Prime Res; Crodit Mro (71.2) (112.1) (132.8) Qro (101.5) (302.4) (252.3) 94 7.2 YTD (175.0) (981 .5) (1.750.3) 3,742.3 29U 1.130.4 mS.2} 355.2 (26.3) (27.0) (8.9) 54.1 liS. Act -436% -414% N.M. " YTD Indices efi Indc~ eX.HE.AM. 07-' SpreDd ABX.HE .BBB-.07-1 SJXcad Im, w... I 2.200 705 3,229 110.5 105.0 L~' Woe. 1.490 3,145 I Change (-J (710) (206) (84) (7.3) (3O,0) (75) (90) CDOIClO SPG Othor' Revenues: Expenses: Prerax P&L: (45.7) (53.7) (10.2) (63.9) 208.2 (32.6) (140..) (61.2) (201.5) N.M. ~MBX 07?2 AAA Spread BOA AM 10YR CMBS paper CMBX 07?2 A Spn:ad MBX 07?2 BBB? Spread 103.2 15.0 '" '.0 292.0 (252.6) 39.4 30% ,,% '.'" 200 "0 1,110 Confidential Treatment Requested by Goldman Sachs GS MBS-E-00964B706 Footnote Exhibits - Page 5887 CONFIDENTIAL Fixed Income, Currencies and Commodities Business Planning Committee Presentation November 19th, 2007 Confidential Treatment Requested by Goldman Sachs GS MBs.E-023605099 Footnote Exhibits - Page 5888 Financial Highlights Overview o o o 2007 is a rec::ord year fOf Flee with revenues of Si7.8bn (+22% YS. 2006 1 +32% ~. 2007 Ong Plan) and pre-tax profit of sa.BI:ln 2007 maf1ted 1'tIt! year records for 7 of the a blJsiness lines within Flee 2008 proJeded revenues of $17 .4bn reflect increases across our franchise bu sines ses offset by decreases In principalling ,., 18.0 10.0 Divisional Totals 11.8 Regional Conbibutions 17.8 17.4 1o .0 12.0 10.0 ' .0 ' .0 ' .0 '0 Ii f. l,Qe8 j it as 2,514 2001 2.35.3 '''' 20.9!! 3.222~ [1) ~ 1nducI.. ~' 121 1Iudg.c..- ,... Coot of _ ""'*'" r...."" ona Subel_ 4 Confidential Treatment Requested by Goldman Sachs GS MBS-E-02360S102 Footnote Exhibits - Page 5889 2007 Business Overview Business Revenues ($mm) and Perfonnance Drivers Gl<>t*IRP l2,f75 CUmftdq '1,125 .......,."kI. :" E... - . . ~.- GlObal CrWlt Global SSG ......... I ! ACC_. t ",~ ;'4.5 t $2.~5G $1.225 ~. I~~ J" t r U,712 -, GS MBS-E-023605104 Confidential Treatment Requested by Goldman Sachs Footnote Exhibits - Page 5890 2008 Business Ovel'View 2008 Budget ($ In MiRiom~) Revenues Valiable Expen:ut.!ll " ;) . ":Z008 2001 11,7S5 1,654 11~.101 :",' ChQ G8 % Chg 07 2006 r: ~ yL07 VS. 06 14,508 1.686 12,820 -2% 2008 Commentary o Inatlases across frand1ise are offset by pl'incipalling o Decrease in Cos! of PQwer 17,350 22" .2% 1,295 16,055 5,34 1 2,581 7,922 ?22% Revenues Net of V.riable OpeAlting E;o;penses Direct Expenses ",879 3 ,980 Alocated Expenses Tobil Operating EXJ*1$e1l PI'II-UlX earnings 2,419 7 ,298 :8,803 50% 2,972 1,972 5,952 8,132 e,868 47% 2,594 Pre-tax Margin 47~ 3,222 ." '''' .." ,,% .'"" i:,' '" "" 23% 23% o Inatlsse of Equity Award amortization and new hires o Increase largely driven by Federation allocations Total staff '" 15" Tot.! Stall Indudft employe", PMo., OOfIIiu!tanl3l & temp, ~nd ....b..l!eri..... 9 Confidential Treatment Requested by Goldman Sachs GS MB5-E-023605107 Footnote Exhibits - Page 5891 2008 Business Ovelrview 2006 - 2008P Revenues by Su.,lness Unit o o 200BP revenues of $17.4bn reflects inc:ra13ses across our Franchise businesses, offset by principalling dec-eases Globally diverse portfolio with each region contributing meaningfully to 2007 results (Americas $8.4bn, Europe $5.7bo, Asia $3.6bn) OSP VS. 07E 07E VI 06 Global Cre~ F====== ,,% 10% -18% 12% 37% IRP GSSG (Ex CamolldaUons) ""' .", CommodlUH (Ex Cost of Power) F===== F=== ~~~--~--------' ,000 ~% Qlrrendes 7% -18% 115% Mortgages '7% 121 % Emerging Morkets 17% Money M'IIrkets o Smm '" ,,% 4,000 10 Confidential Treatment Requested by Goldman Sachs GS MS$-E?023805108 Footnote Exhibits - Page 5892 _ . Redacted by Ihe Penaanenl Sabcommillee on Invesligations Expense Overview Headcount and Compensation Stdl'byBv...... -_.I'lCC,!tt~ oo Tobl "-'"dIIrwriting T OIai Undetwritng ,,,,, Ho .... 24, o 4,222 , ,,,., 1 ,\151 7,1565 115,1155 ",", - o . SQ! !iipi.!i No .... 24, ',,," 1.965 "'" .. % 3.().49 ',' " T oIallrrlU\lTleflt BiIf\Ier 1_ Mana~t 'em 31,2215 "" '" 'J> '" ." 2,8.17 25,562 ',,,", "" " 33 ,.n " AsMt ',,", Incentive'eN TOIiIIAssel~ Seeunlie$ Servi<;tls " 5crrW::e~ ,.., 2,116 . S ' ,no '" (81 ) ", " " 2,180 Total Au~ Marmgement afld Securities 1,206 6.474 37.665 T ot31 nlll ,ovenUe5 o 45,981 7 Confidential Treatment Requested by Goldman Sachs GS MBS-E-023604874 Footnote Exhibits - Page 5896 Securities Division 4Q07 Managing Director Meeting January 10th, 2008 Private and Confidential: For Internal Use Only Confidential Treatment Requested by Goldman Sachs GS MBS-E-023604914 Footnote Exhibits - Page 5897 _ - Redacled by the Permanent Subcommillee on Innsligltions FICC Financial Highlights 2004?2008P, as internall~' reported o (Sbn) 2007 record revenues of$16.7bn (+15% vs. 20061 +24-J. vs . 2007 Original Plan) and record pre-tax profits of $7.8bn 2008P revenues of Si7.7bn (+6'% vs. 2007) and pre-tax profits of $8 .6b" reflects +22% increase in Franchise offset by reduced Principal Trading revenues o $20.0 $18.0 $1G.0 $14.0 $12.0 $10.0 $8.0 30"1. 200aP v 2007 20% I R."'"_lox 2007 v 2006 L~~~_?~IS~b_ff _______________ I ,,% ,,% $G.O $4.0 $2.0 $0.0 2004 Total Staff Rev per Staff (Smm) 2,059 10% Revenues Pn>-Tn 0% 2005 2,353 Total Staff "" 2006 2,602 $5.0 _Pre-ta~: 2007 2OO8P 3,185 $4.2 $4.2 2,961 $5.6 -a-Margin $5.6 _Revenues Confidential Treatment Requested by Goldman Sachs GS MS$-E'()23604917 Footnote Exhibits - Page 5898 FICC Business Overview 2006?2008P Revenues by Business Unit, as internally reported o Records set in 6 out of 8 brJsinesses In 2007 OSP v 07 07v06 IRP ISmm) +32% +S% ~31% +22% +107"/0 FX Money Markets +52"/.. +97"/0 -(6)"10 Emerging Markets +43"/0 Commodities -(20)'I.- Credit +29% +35"10 .(2)"/0 +25"10 Mortgages GSSG -(15)% +S,-. o +8% 08P v 07 500 1,000 1,500 2,000 .2007 2,500 3,000 3,500 4,000 r:: .. ?c:-~-,-m-od-::""::-.--"-::'-_-'":-H-:bIG"""C::P",' .. a 2006 .2008P Revenues +6% Rev Net of Variable +10"10 4,500 Confldentia! Treatment Requested by Go!dman Sachs GS MBS-E"()23604918 Footnote Exhibits - Page 5899 Global Mortgages Business Unit Townhall Q42007 Private & Confidential: For Intemal Use Only Confidential Treatment Requested by Goldman Sachs GS MSS.E-023605301 Footnote Exhibits - Page 5900 Firmwide Full Year Earnings ($ in Millions, Except Per Sihare Amounts) FY07 Net Revenues Pre-Tax Earnings Net Earnings Diluted EPS ROE ROTE FY06 % Change Confidential Treatment Requested by Goldman Sachs GS M8S-E-023605304 Footnote Exhibits - Page 5901 _ - Redacted by the P~nnanent Subcommilltt: on Investigations Q4 2007 Global Mortgages Revenues (Quarterly Perfonnance) ($ in mm) I $1,200 Quarterly Revenues $1 ,114 Full Year Revenue Performance Global Mortgages: .,.. 25% vs, FY 2007 0407 Performance Drivers SPG Trad'ng: S800 o Strong results from capital structure positioning, with an overall Short bias COO: o Continued mark-downs on deteriorating perfomlance Residential Credit: $400 $272 o Write-downs across Sub Prime and Alt-A, as a result of continued weakness in deal performance Residential Prime: o Result of mar1(-downs of retained positions; lack of investor appetite for RMBS CRE Loan Trading: ($174) -$400 4Q06 1Q07 2007 3007 4Q07 FY 2006 FY 2007 Confidential TJeatment Requested by Goldman Sachs GS MBS-E-023605308