EXHIBIT 99.2
▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
GSAMP 2004 AR2
ALL MORTGAGE LOANS
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
CURRENT PRINCIPAL BALANCE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
$50,001 - $100,000 1,014 $82,408,506 8.40% 7.539% 608 $81,271 88.27% 73.94% 77.52%
$100,001 - $150,000 1,511 187,860,668 19.14 7.342 612 124,329 89.38 63.64 86.53
$150,001 - $200,000 1,092 189,811,168 19.34 7.093 616 173,820 88.68 61.47 89.62
$200,001 - $250,000 678 152,044,744 15.49 7.002 617 224,255 88.69 56.75 90.48
$250,001 - $300,000 446 122,273,696 12.46 6.995 614 274,156 88.06 52.28 91.40
$300,001 - $350,000 291 94,327,044 9.61 6.738 623 324,148 88.50 50.42 93.09
$350,001 - $400,000 187 69,566,099 7.09 6.661 622 372,011 88.62 54.89 90.24
$400,001 - $450,000 93 39,104,231 3.98 6.934 621 420,476 88.06 41.13 84.82
$450,001 - $500,000 83 40,059,214 4.08 6.565 626 482,641 85.94 45.68 89.07
$500,001 - $550,000 4 2,103,203 0.21 6.869 675 525,801 90.18 100.00 49.28
$550,001 - $600,000 2 1,198,803 0.12 5.988 643 599,401 80.00 100.00 100.00
$650,001 - $700,000 1 699,302 0.07 5.990 621 699,302 74.47 100.00 100.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
CURRENT RATE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
5.000% - 5.499% 71 $18,415,726 1.88% 5.347% 642 $259,376 84.53% 77.16% 97.14%
5.500% - 5.999% 449 109,942,151 11.20 5.771 628 244,860 82.24 79.07 95.98
6.000% - 6.499% 597 121,005,879 12.33 6.253 626 202,690 86.36 69.80 93.47
6.500% - 6.999% 1,166 229,794,244 23.41 6.747 621 197,079 88.45 59.58 88.59
7.000% - 7.499% 1,062 182,700,895 18.62 7.241 613 172,035 89.71 54.49 85.44
7.500% - 7.999% 1,166 191,579,298 19.52 7.727 610 164,305 90.99 46.61 84.90
8.000% - 8.499% 500 74,730,766 7.61 8.205 603 149,462 91.20 49.08 85.67
8.500% - 8.999% 320 43,697,220 4.45 8.684 596 136,554 91.52 41.84 85.52
9.000% >= 71 9,590,496 0.98 9.378 584 135,077 91.10 54.01 83.56
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
CREDIT SCORE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
740 >= 64 $12,311,379 1.25% 6.668% 756 $192,365 92.66% 45.39% 55.09%
720 - 739 62 12,151,414 1.24 6.867 729 195,991 92.11 40.31 59.50
700 - 719 136 25,735,123 2.62 6.933 709 189,229 92.68 29.58 62.42
680 - 699 285 59,029,320 6.01 6.570 687 207,120 91.25 39.03 78.41
660 - 679 370 68,020,295 6.93 6.879 667 183,839 90.31 40.48 80.84
640 - 659 628 120,843,366 12.31 6.908 648 192,426 90.45 43.35 84.93
620 - 639 892 166,495,522 16.96 6.997 628 186,654 90.81 49.26 88.22
600 - 619 968 172,686,357 17.59 7.125 609 178,395 90.64 56.96 92.12
580 - 599 698 123,564,501 12.59 7.161 587 177,027 86.41 70.25 94.57
560 - 579 534 90,080,714 9.18 7.312 569 168,690 84.24 77.13 95.18
540 - 559 511 84,417,507 8.60 7.294 552 165,201 84.07 83.60 95.84
520 - 539 185 34,226,215 3.49 7.194 531 185,007 79.15 94.65 96.48
500 - 519 69 11,894,963 1.21 7.604 508 172,391 78.59 90.65 98.98
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
LIEN Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
1 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that we consider reliable, but we do not represent that it is accurate or
complete and it should not be relied upon as such. By accepting this material
the recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may not pertain to any
securities that will actually be sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected therein. We make no representations regarding the
reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. We and our affiliates,
officers, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy or sell, the securities mentioned herein or
derivatives thereof (including options). Information contained in this material
is current as of the date appearing on this material only and supersedes all
prior information regarding such securities and assets. Any information in the
material, whether regarding the assets backing any securities discussed herein
or otherwise, will be superseded by the information included in the final
prospectus for any securities actually sold to you and by any other information
subsequently filed with the Securities and Exchange Commission ("SEC"). This
material may be filed with the SEC and incorporated by reference into an
effective registration statement previously filed with the SEC. ▇▇▇▇▇▇▇, ▇▇▇▇▇ &
Co. does not provide accounting, tax or legal advice. In addition, we mutually
agree that, subject to applicable law, you may disclose any and all aspects of
any potential transaction or structure described herein that are necessary to
support any U.S. federal income tax benefits, without ▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
imposing any limitation of any kind.
Page 1 of 4
▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
GSAMP 2004 AR2
ALL MORTGAGE LOANS
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
ORIGINAL LTV Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
0.001% - 60.000% 78 $14,119,412 1.44% 6.316% 586 $181,018 51.66% 85.85% 95.28%
60.001% - 70.000% 132 25,223,416 2.57 6.439 589 191,086 66.59 80.34 93.53
70.001% - 80.000% 730 140,240,604 14.29 6.606 582 192,110 78.20 83.52 91.27
80.001% - 85.000% 280 58,136,434 5.92 6.606 580 207,630 84.50 83.47 86.78
85.001% - 90.000% 2,159 374,361,073 38.14 7.142 615 173,396 89.72 59.46 76.41
90.001% - 95.000% 2,023 369,375,738 37.64 7.282 640 182,588 94.78 40.84 99.27
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
DOCUMENTATION Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
FULL DOC 3,334 $571,486,631 58.23% 6.906% 603 $171,412 86.56% 100.00% 90.43%
LIMITED DOC 289 55,271,781 5.63 7.174 614 191,252 88.07 0.00 82.97
STATED DOC 1,779 354,698,265 36.14 7.281 638 199,381 91.77 0.00 86.15
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
PURPOSE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
PURCHASE 1,858 $320,490,454 32.65% 7.370% 638 $172,492 91.97% 39.31% 80.74%
REFI- NO CASH OUT 401 59,931,876 6.11 6.969 615 149,456 87.67 69.15 94.26
REFI-CASH OUT 3,143 601,034,347 61.24 6.898 605 191,230 86.78 67.23 92.01
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
OCCUPANCY Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
NON-OWNER 699 $108,733,910 11.08% 7.340% 650 $155,556 87.83% 48.53% 0.00%
OWNER OCCUPIED 4,681 868,230,223 88.46 7.023 612 185,480 88.61 59.52 100.00
SECOND HOME 22 4,492,543 0.46 6.689 655 204,207 89.16 42.45 0.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
PROPERTY TYPE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
2-4 UNITS 321 $70,018,386 7.13% 7.208% 635 $218,126 88.14% 51.06% 67.51%
CONDO 361 61,057,695 6.22 7.185 629 169,135 89.83 54.21 89.49
MANU/MOBIL 30 3,188,701 0.32 7.153 599 106,290 79.58 78.66 92.31
PUD 556 113,563,976 11.57 7.108 618 204,252 89.59 55.15 90.39
SINGLE FAMILY 4,134 733,627,918 74.75 7.023 613 177,462 88.33 59.63 90.06
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that we consider reliable, but we do not represent that it is accurate or
complete and it should not be relied upon as such. By accepting this material
the recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may not pertain to any
securities that will actually be sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected therein. We make no representations regarding the
reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. We and our affiliates,
officers, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy or sell, the securities mentioned herein or
derivatives thereof (including options). Information contained in this material
is current as of the date appearing on this material only and supersedes all
prior information regarding such securities and assets. Any information in the
material, whether regarding the assets backing any securities discussed herein
or otherwise, will be superseded by the information included in the final
prospectus for any securities actually sold to you and by any other information
subsequently filed with the Securities and Exchange Commission ("SEC"). This
material may be filed with the SEC and incorporated by reference into an
effective registration statement previously filed with the SEC. ▇▇▇▇▇▇▇, ▇▇▇▇▇ &
Co. does not provide accounting, tax or legal advice. In addition, we mutually
agree that, subject to applicable law, you may disclose any and all aspects of
any potential transaction or structure described herein that are necessary to
support any U.S. federal income tax benefits, without ▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
imposing any limitation of any kind.
Page 2 of 4
▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
GSAMP 2004 AR2
ALL MORTGAGE LOANS
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
STATE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
CA 1,069 $281,690,301 28.70% 6.579% 613 $263,508 84.72% 59.21% 91.20%
FL 711 110,389,057 11.25 7.299 620 155,259 90.34 51.69 87.50
NY 228 61,805,709 6.30 7.096 613 271,078 86.59 48.68 85.30
IL 327 59,034,066 6.01 7.228 630 180,532 91.45 56.04 89.43
AZ 311 42,863,253 4.37 7.216 620 137,824 91.04 55.95 91.70
MI 309 39,408,078 4.02 7.281 610 127,534 90.37 62.92 82.20
TX 258 33,227,606 3.39 7.448 614 128,789 89.87 48.89 81.09
MD 148 30,495,716 3.11 7.178 612 206,052 89.71 64.55 92.23
MA 109 28,857,922 2.94 6.961 620 264,752 89.30 55.96 92.98
MN 152 27,574,328 2.81 7.054 631 181,410 90.73 57.62 78.01
Other 1,780 266,110,641 27.11 7.303 615 149,500 90.31 63.03 87.97
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
ZIP Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
33177 16 $2,639,597 0.27% 7.056% 605 $164,975 87.14% 70.20% 100.00%
94591 7 2,564,489 0.26 6.682 622 366,356 90.25 56.30 87.20
92592 8 2,518,348 0.26 6.348 618 314,794 86.69 68.59 100.00
95206 12 2,408,646 0.25 6.557 630 200,721 88.77 68.44 88.05
89031 11 2,239,729 0.23 7.558 612 203,612 89.52 73.83 84.15
94509 6 2,195,187 0.22 6.086 683 365,864 90.17 38.57 100.00
11706 8 2,159,128 0.22 7.333 604 269,891 83.24 43.39 90.07
33196 10 2,156,211 0.22 6.983 652 215,621 93.08 13.42 87.28
60629 11 2,063,586 0.21 6.966 634 187,599 91.79 59.05 100.00
93536 8 2,003,152 0.20 6.713 601 250,394 88.77 91.00 100.00
Other 5,305 958,508,604 97.66 7.062 616 180,680 88.52 58.22 88.34
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
DELINQUENCY (ABS) Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
CURRENT 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
REMAINING MONTHS TO MATURITY Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
1 - 180 49 $6,640,204 0.68% 6.765% 600 $135,514 76.59% 72.97% 79.73%
181 - 240 66 10,000,506 1.02 6.548 602 151,523 77.99 68.87 96.86
241 - 360 5,287 964,815,967 98.30 7.064 617 182,488 88.72 58.02 88.44
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
AMORTIZATION TYPE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
2 YR ARM 3,407 $612,065,686 62.36% 7.142% 619 $179,649 90.42% 51.75% 87.15%
3 YR ARM 970 181,755,556 18.52 7.092 625 187,377 90.87 56.70 86.41
FIXED 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that we consider reliable, but we do not represent that it is accurate or
complete and it should not be relied upon as such. By accepting this material
the recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may not pertain to any
securities that will actually be sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected therein. We make no representations regarding the
reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. We and our affiliates,
officers, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy or sell, the securities mentioned herein or
derivatives thereof (including options). Information contained in this material
is current as of the date appearing on this material only and supersedes all
prior information regarding such securities and assets. Any information in the
material, whether regarding the assets backing any securities discussed herein
or otherwise, will be superseded by the information included in the final
prospectus for any securities actually sold to you and by any other information
subsequently filed with the Securities and Exchange Commission ("SEC"). This
material may be filed with the SEC and incorporated by reference into an
effective registration statement previously filed with the SEC. ▇▇▇▇▇▇▇, ▇▇▇▇▇ &
Co. does not provide accounting, tax or legal advice. In addition, we mutually
agree that, subject to applicable law, you may disclose any and all aspects of
any potential transaction or structure described herein that are necessary to
support any U.S. federal income tax benefits, without ▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
imposing any limitation of any kind.
Page 3 of 4
▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
GSAMP 2004 AR2
ALL MORTGAGE LOANS
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
INITIAL PERIODIC CAP Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
2.000 4,377 $793,821,242 80.88% 7.131% 620 $181,362 90.52% 52.88% 86.98%
N/A 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
PERIODIC CAP Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
1.000 4,377 $793,821,242 80.88% 7.131% 620 $181,362 90.52% 52.88% 86.98%
N/A 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
MONTHS TO RATE RESET Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
13 - 24 3,407 $612,065,686 62.36% 7.142% 619 $179,649 90.42% 51.75% 87.15%
25 - 36 970 181,755,556 18.52 7.092 625 187,377 90.87 56.70 86.41
N/A 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
LIFE MAXIMUM RATE Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
0.001 - 11.999 333 $79,300,479 8.08% 5.690% 631 $238,140 87.09% 70.60% 94.71%
12.000 - 12.499 443 89,696,371 9.14 6.265 633 202,475 89.30 65.67 91.78
12.500 - 12.999 926 185,776,130 18.93 6.748 628 200,622 90.57 55.40 87.76
13.000 - 13.499 917 160,398,019 16.34 7.243 617 174,916 90.79 51.19 84.23
13.500 - 13.999 1,009 169,758,373 17.30 7.726 614 168,244 91.60 43.14 84.08
14.000 - 14.499 428 64,346,038 6.56 8.202 606 150,341 91.96 45.17 85.05
14.500 - 14.999 263 36,293,922 3.70 8.685 597 138,000 91.81 37.65 84.34
15.000 >= 58 8,251,911 0.84 9.364 586 142,274 91.35 47.30 82.93
N/A 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct. Of Weighted Weighted Weighted
Pool By Avg. Avg. Avg. Avg.
Number of Principal Principal Gross Current Principal Original Pct. Full Pct. Owner
MARGIN Loans Balance Balance Coupon FICO Balance LTV Doc Occupied
------------------------------------------------------------------------------------------------------------------------------------
0.001 - 4.999 123 $22,516,062 2.29% 7.069% 631 $183,057 90.70% 43.93% 81.44%
5.000 - 5.499 1 134,895 0.01 7.250 560 134,895 90.00 100.00 100.00
6.000 - 6.499 4,043 736,722,604 75.06 7.126 620 182,222 90.50 53.46 87.18
6.500 - 6.999 208 34,103,373 3.47 7.270 616 163,959 90.78 46.60 86.46
7.000 >= 2 344,309 0.04 7.186 606 172,154 93.50 0.00 69.96
N/A 1,025 187,635,434 19.12 6.743 601 183,059 80.09 80.85 94.72
------------------------------------------------------------------------------------------------------------------------------------
Total: 5,402 $981,456,677 100.00% 7.057% 616 $181,684 88.53% 58.23% 88.46%
------------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that we consider reliable, but we do not represent that it is accurate or
complete and it should not be relied upon as such. By accepting this material
the recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may not pertain to any
securities that will actually be sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected therein. We make no representations regarding the
reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. We and our affiliates,
officers, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy or sell, the securities mentioned herein or
derivatives thereof (including options). Information contained in this material
is current as of the date appearing on this material only and supersedes all
prior information regarding such securities and assets. Any information in the
material, whether regarding the assets backing any securities discussed herein
or otherwise, will be superseded by the information included in the final
prospectus for any securities actually sold to you and by any other information
subsequently filed with the Securities and Exchange Commission ("SEC"). This
material may be filed with the SEC and incorporated by reference into an
effective registration statement previously filed with the SEC. ▇▇▇▇▇▇▇, ▇▇▇▇▇ &
Co. does not provide accounting, tax or legal advice. In addition, we mutually
agree that, subject to applicable law, you may disclose any and all aspects of
any potential transaction or structure described herein that are necessary to
support any U.S. federal income tax benefits, without ▇▇▇▇▇▇▇, ▇▇▇▇▇ & Co.
imposing any limitation of any kind.
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