FN2409 2706 - Footnotes Levin-Coburn report.

Subcommittee
I I ~~4LI
Mb 1
Footnote Exhibits - Page 4501
Lehman,
-----
2007
Subject:
of the term
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Treatment
Requested
4:
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Footnote
#2424
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MBS-E-0020C
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To:
Sparks,
Molloy, Macdara - GS
call.
Thanks.
please advise the
htp://www.gs.com/disclaimeremail for
further information
communication.
Call
issued
to
client
the past 5 days, GSI has been working with Basis
in good
faith towards
a consensual
After repeated attempts
GSI has not
agreement
New York
Time tonight
which
date hereof
the following
the basis of Loss as detailed in
the.
schedule
required number of Market
traditional CDO buyers and are
focused
on
yield
pick-up
Basel 2 regulatory capital
system
portfolio of names
cash liabilities from the two deals as a ong/short pair
trade -- or example, AIG iscurrently
focused on this trade
CDO
aggressively sourcing
trade
with
short-term
2.
-
that are currently long ABX risk and can get comfortable
with the Hudson Mezz underlying portfolios
without
needing
companies like Progressive.
- offer RMBS CDS protection to buyers looking at cash liabilities as a
ong/short pair trade
ong/short
pair
trade
means to
to achieve returns
nearing completion of
options for the remaining size: CIFG, Radian, FGIC
-continue to focus on
he last
Capital)
long
in
cash
if
liquidity inCDS vs.
cash due to market technicals, and when we reach critical mass ($50-100mm),
compile
a
package
of
5:38
PM
Get these
AM
To:
wanted
where
are
on
Total
firm
bids
order on 20mm
single
on
this.
*Basis
George has
totally come
how
to
think
about
important
for Point Pleasant AAA's. PM's
taking
it done.
need further
that is
advise the sender immediately
Follow this link for further information on confidentiality and the
risks
50mm AA
I
Subject: Trade with
Booked in M5
Goldman, Sachs & Co.
product?
(Including
Vivien
To:
Wisenbaker,
are
working
on
Highland
are working on
e-mail:
[email protected]
sum up:
1.usually, the
To:
assuming a 50% severity
are homeequity
of 2006
(fico 625 and
them
and let them
really
Wiesel,
at
the
the attachment
ce or attachment
for the a2.
interest,
the
just
know
what
NY
10004
Tel:
can/cannot
provide
Confidential
Treatment
Requested
George
How
that GS send
avoidance
Egol, Jonathan M -
follow-ups
to go
morning SYD time work? If not, pls indicate a time
/ day
that
does.
double
check
with
preparing
the
balance
the
AM
Lehman,
HunKuk
Life
Bank
in
response
To:
Lehman,
to execute
Subject: FW: CDO Marks
From: Lehman, David A.
ficc-ops-cdopricing; ficc-tk-intlops-mtm
Swenson, Michael; ficc-mtgcorr-traders
size for CDO
for A and below
Goldman, Sachs & Co.
the
product
which we
the material is based on certain
factors and
absolute discretion
have considered
projections
or
risk and are
not suitable for
all investors. The
or short
analysis. The SPG
10.0%
Bar No SP coo
12776YAD4
okrnaSad. HOOPCDOO
1.75% (3250.000) Morvan Slanio
HG SP CDO SDBO133542
-
Sa. MEZZ
VERT K-1AA3 A 15000 45.730% 1 41% (70000 Bak Amric
Sen
(4631.20)
1.45% (4400000
MEZZ SP CDO SDB
245%
O COO SI0622O
171% (4.454.73)
S0D13332
00062NAED
(5.3556)
64068PAJ7
37924
38224AH6
0% (5.8770D)
MEZZ
SP
COO
SDB9010151
0BB2KAC
12777CAES CRNM0322A
C 10.000
615% 2.45%
87337UADS TAS 200544 D 5.00D0 39.60%
227%
(1.505,0003ah
135% (6.87500)RSC
MEZZ SP
COO SDB93411775
6.00000
12777CAE9
CRNME20002AC
efficient and effective
vehicle to access
'orth
Clients
my
boe
ticale
Managers
Companies
High recovery rates
9 9
and no more
Wiley & Son @2002, Goldman
Loans
%Ramped on Closing Date
of a diversified
rating of B1/B2
be a $500 million
portfolio of senior
Balance, paid senior to
46
0
Cn
71
~ C
0 *
* 0
CD
C
Event and
3
a
The
following
conditions
exist:
0a
Offered
side
spread
points
in
a The
- 0.17% =
4.93%
rn
I
credit
derivatives
market
investors to
go long
or short
and Will be
a For
buyer in any
decide to
l
amount; Optional
Physical RMBS,
to pay scheduled interest for a amount determined via dealer
All excluding
RMBS, CMBS
Credit
referenced
herein
used
IndexCo); Goldman Sachs, CMBX Launch Presentation: CMBX Indices: The New
US Commercial
initial
amount, with subsequent weightings
of
prepayment
underlying
transactions
The
pool
must
consist
of
at
least
90%
first
The New US
ote:
All financial information and other data shown are for illustrative purposes only and are not
nLW"
"done" and
date) -
accrued
payment date but excluding
m Markit
transaction
81
~~lIiIt~
1
06-1
Spread
Stats
1n
10ig
Lo
12
AA
32
A
54
BBB
154
BBB-
267
17
40
120
202
25 '
6-Mar-06
BBB
18.5%
A
29.5%
BBB
28.3%
AA
3.1%
AAA
4.0%
BBB-
35.0%
(1)Source:
Goldman
Sachs
BBB-
vs O T R CDX.HVOL
280
48
280
100
46
95
(Right)
be offered
information to any other party.
Any reproduction of this information, inwhole or in part, is
prohibited.
Notwithstanding
&Co. and all
of its affiliates)
a guarantee of quality.
of
the
Portfolio
Advisor
-a
of the Portfol
G)
removals
affecting
the
subordination
Collateral
or
looking at
Subject: Re: Paulson
rank highly. We know
on the wire plus maybe
triple-Bs.
This
chance to
do other
brainstorm
-- will be
ok acting
200 Baa2-rated 2006-vintage
or
and including some
sort of
narrow this
universe down,
14 what
these
characteristics
and
Exchange
Commission:
JASON
ANTHONY,
Branch
Chief
REID
sort of discussion
"Priority
Task".
What
them
to
12%
less than
4 sort
kind of money.
dollars at
7 protection
I think
Abacus. Is
relied on
20 our
aware, the focus of ACA's
4
ways opposite
7 your's?
that
would
if you have any questions.
-- CDO
Transaction
--
that Goldman
Portfolio:
fees
in
manager, ACA was paid
(i.e.
the
ACA should be .
thinking about getting
portfolio selection fees will be paid
in
For example,
(the tranche
is 7]%
is able to distribute
100% of the class A,class B and class C notes, the
Portfolio
Selection
aligns everyone's incentives: the Transaction
Sponsor, the Portfolio Selection Agent and Goldman.
--
and
will
objectives.
Permanent
Subcommittee
on
Investigations
Wall
Street &
02529736
may
separately
will
express
or
implied,
the Issuer on an
determination),
and
the Targeted
Back
the
CDS, as reduced
(as
set
forth
Obligation (to
prior
to
its
will be reduced
Portfolio and
to the Reference
consistent
with
the
ISDA
Dealer
occurrence
following
the
the
will
Targeted
Tranche;
* There
will
Event;
will have
Back
CDS
on
pocket
expenses
exceed
the
Date") an
Deleted: February
the financial, accounting,
tax and other
Senior,
Class
basis, as
set forth
Business
Day,
the
next
succeeding
as set
the Notes,
as applicable,
-
fee
for each Back-to-Back
Moody's and/or S&P.
The capital structure is
agencies.
16
FOIA
Confidential
Treatment
Requested
us
Cc:
C
C
Email on 1/6/2007 at 5:14pm, GS
MBS-E-002754054;
with
GS MBS-E-002522389
with attachment
2:11pm,
GS
3
GS MBS-E-003026086
4 Email
MBS-E-002444359;
MBS-E-
and Email on 2/2/2007 at 11:10am, GS MBS-E-002483499;
Email
on
3/22/2007 at 4:01pm, GS
6 ABSHE
64 LBMLT2006-21M8
A
Baa2
B68+
Baa2 BBB
Baa2 A
Baa2
BBB+
Baa2
BBB
22
on the list of
down
In addition,
they have
for you to review
with 80+ names.
Are you availaUe
alternIoour
Baa2 888+
Baa2
BBB+
26
HEAT
Baa2 BBB
31 LBMLT
Baa2
BBB+
37
LBMLT
2006-WL2
M8
542514SM7
40 MABS
43 MLMI
48
Baa2 BBB
Baa2
BBB
BB B
Baa2 BBB-
55
Baa2 BBB
58 SAIL
Baa2 BBB
61 SGMS
Baa2 BBB+
Baa2 BBB+
17 MABS 2006-WMC4
PM
Laura
Schwartz
Kreitman,
Gail;
Herald -
Granoff,
Melanie;
Tourre,
Fabrice;
ficc-mtgcorr-desk
exclude
portfolio
the transaction.
with Paolo to confirm
he
meantime,
can
materials
Thanks,
David
Paulson
Portfolio
Tel:
(212)
our
model
in
anticipation
t
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AM
To: Paolo
Cc:
due diligence, and would like to compare
your results with
we
your independent
due diligence
any fiduciary
disclosure? Please
you have collected
performance,
correct ?
From:
Subject:
M8. However, we
Cc:
proposed 92 names
referencing
two
obligations
and needs
to be
of
PM
Thanks Keith, let us take a look at these names.
Rgds,
Fabrice
3:51 PM
Fabrice,
FFML 2007-FF2 B2
To: Keith Gorman
Gail
well. Would you mind
including ?4-5 names
lot
Rgds,
Fabrice
to you earlier today,
there are 3 positions we would like to substitu in ABACHUS
2007-AC1. They
MBS-E-002444961
not intended to, and
is
for
information may be subject to legal, professional or other privilege
or may
other legal rules. It must
not be disclosed to any person
without our authority.
a
please
this e-mail from your
to
Confidential
ABACUS 2007-ACI,
by the
Initial Purchaser.
NOT INSURED OR GUARANTEED BY, THE HOLDERS
OF
AND
SECURITIES
ACT
PROVIDED
BY
RULE
CIRCULARS.
Purchaser, the
Buyer only, the information set
forth under the heading "The Protection Buyer' and except, with respect
to
Buyer or
the Portfolio
Selection Agent
set forth
Protection Buyer' and except, with respect to the Portfolio Selection
Agent only, the information
"The Portfolio Selection Agent").
to the information contained in this Offering Circular
under the
heading "The
Protection Buyer",
respect to the information
Agent", the Portfolio
are no
expression of any such
contained
in
Selection
The Initial Collateral
Security set forth
in his Offering Circular in the table under the heading "The
Collateral
a description of the terms of such Initial Collateral
Security.
or to make any representation
other than
Circular does not
to buy any securities other than the Notes.
The delivery of this Offering Circular
at any time does not imply that the information
herein is
of this Offering
in
orce
such Notes or possesses
sale by it
in
orce
s subject
the Issuers and the Initial Purchaser to inform themselves about
and to observe such
Circular does not constitute
invitation to purchase,
any of the Notes in any jurisdiction in which such offer or invitation
would be unlawful.
to the public
ii
Confidential
made
under,
section
21
of
of
Singapore.
in connection with
or subscription
may not be
sold, or be made
whether
in Singapore
such offer,
sale
or invitation does not constitute an offer or sale, or invitation for subscription or purchase,
of the
NOTICE
Securities and Exchange
not being offered or sold and may not
be
for the
(1) pursuant to an
of
applicable
being furnished by the Issuers in connection with an
offering exempt from registration under the Securities Act, solely for the purpose
of
investor to consider the purchase of the Notes described herein.
Except as
its contents or use
than considering an investment
PROSPECTIVE
INVESTOR
(AND
WITHOUT
LIMITATIONS
THE
TRANSACTION
TO THE
TAX TREATMENT
TREATMENT",
"TAX
STRUCTURE",
AND
GIVEN TO SUCH
NEITHER THE FACT THAT
IS EFFECTIVELY
Sachs
STATE
DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT
MISLEADING.
TO MAKE,
PURCHASER, CUSTOMER, OR
THIS PARAGRAPH.
To permit compliance
with the Securities Act in connection with the sale of the Notes in reliance
on Rule
is a Qualified Institutional Buyer
of
designated by such Holder or beneficial owner
the information required
at the
under Section 13 or Section 15(d) of the United States
Securities
Exchange
to Rule
12g-3-2(b) under
the Exchange
In accordance with
the Indenture and the Issuing and Paying Agency Agreement, the Trustee and
the Issuing
and Paying Agent, as applicable, also will make available for inspection by Holders of the
Notes certain reports or communications received from the Issuers.
Prior to making
to professional
advisors to
make their
financial
evaluation of the merits and risks of investment in he Notes and should
carefully
consider
the
nature of the Notes, the matters set forth elsewhere in this Offering
Circular and the extent of
their
100% of the principal
with (i)
the payment
by the
Issuer to
SUMMARY
The following summary is qualified in ts entirety by the detailed information appearing
elsewhere
of
certain
investment in
the Notes,
not defined shall have the meanings set forth under "Glossary
of Defined Terms".
the
Credit Default Swap,
in
other
than
(i) he
Collateral, (ii) ts rights under the Credit Default Swap, the Basis
Swap, the Collateral Put Agreement and the Portfolio Selection
Agreement and (iii) certain other assets.
ABACUS 2007-AC1, Inc. (the "Co-Issuer"
and,
of
the State of Delaware for the sole purpose of co-issuing the Co-
Issued Notes.
Co-Issuer
will
have
Issuer
Assets.
300
ordinary
"Issuer
been
a licensed trust
thereto (the
"Administrator"), as
terms of a charitable
Issuer.
Management, L.L.C. ("ACA Management"
Portfolio
provide any other services to the Issuer
or act
as the
or other duties to the Issuer or to
the holders
have
Portfolio
Selection
Agreement".
Notes
Obligation will
the
period
the Credit
Default Swap
of the
Priority of
aggregate
Amount of all
senior to such Class
Notional
Principal
Amount
zero,
the
lesser
Adjustment
Amount");
(iii) on any Stated Maturity related to a Series of such Class,
after giving
effect to
(i) and
(ii) above,
to subclauses
(i) through (iv) above will be based on the Aggregate USD
Equivalent Outstanding
(as expressed in
Obligation Repayment Amount
make principal payments on
or pending
and (b)
the related
Aggregate
of
Notes
(ii) on
Notes of such
(or the USD Equivalent of such principal amount if issued
in
respect to
date pursuant
USD Equivalent
calendar
Buyer
on
to terminate
of the
Payment
Proceeds)
to purchase
(and the
Securities'),
as
(a)
Collateral
(2) in
the case
of clauses
Collateral Securities
"The Collateral
Collateral Security
Amortization Amount,
Investments.
If
the Issuer liquidates a Collateral Security in order to pay a
Cash Settlement Amount,
aCurrency Adjusted Notional
of
in
its
sole
discretion,
or
more
Supplemental
and calculations
14
Confidential
GS MBS-E-001918053
such
Collateral
Securities
in
any
such
than Put
(ii) five Business Days prior to
the Payment
to any Noteholders by
the Issuer on the
Trustee will
the
Trustee
Provider in exchange for
of an amount
interest
thereon);
(iii)
directed to liquidate
15
Confidential
(provided
of par for
Put Provider to the Issuer
of
and unpaid interest
Optional Redemption,
other than
Put Excluded
at
other
to the
applicable Noteholders
Provider in exchange for
of an amount equal
Collateral
of
of the
party or (c)
Basis Swap Counterparty is the defaulting party, the
Issuer or the Trustee
(vii)
as described
Liquidation
Procedure;
16
Confidential
Treatment
Requested
that,
Trustee
the Collateral
of the
Eligibility Criteria,
the Collateral
Security
Quantity
Constraint,
the
Collateral
Administrator
will
Stated
Maturity)
or
Mandatory
Redemption
preceding Due Period,
late
and unpaid
ha s
if (x) the
Performance
as
any of the rights
loans
having
loan,
resulting
entity,
although
such
loans
may
be
securitized
loan
loans
having
more
for
increased
losses.
amortizing
loans,
because
sale
and RMBS.
certain
a residential mortgage
subject the servicer to
RMBS
issuer
and
could
Asset-Backed
and
the transfer
of such
Recently, delinquencies,
affect the ability
subprime
owed
that
investments
Agent
remain Outstanding,
of
Adjusted
Aggregate
Outstanding
Amount
respect to such
Credit Default
Credit
Events
of Notes
Buyer
F%
Payments-Principal
Proceeds-Stated
Maturity,
Notes) or each Noteholder
The
Issuers
listed on any stock
in he following order of priority:
(i)
to
the
payment
consecutive
Nnte iq listed
on qnv stock
stock
exchange
so
require,
notice
given
to
the
Holders
Notes of any Class pursuant
to the Indenture
interpretation thereof)
relating thereto;
any of the
of combination
Agent
or
the
of Notes, the
future
Holders.
Aggregate
thereby, and,
if materially
case
the Protection
subclause (i),
each Series)
materially adversely
affected thereby
issuance
or,
pending
additional
and
(f)
income tax
rules thereof
provide any
a Partial
of Co-Issued
Notes or
franchises as
the Trustee, the Issuing
the
change
of
jurisdiction,
(c)
he
on
Counterparty, the Collateral
and
institute
against, or join any other person in instituting against, the Issuer
or
Co-Issuer
any
bankruptcy,
reorganization,
the issuance of
terms of
any
previously issued Notes of the relevant Class of such Series, if
any;
Condition and
shall, to
Issuer Notes, additional
and
each
applicable
laws
principles
thereof.
Reports
Prepared
Pursuant
may request
other reports
to
equal
approximately
$192,000,000
net proceeds,
offering will equal or exceed the Currency Adjusted
Aggregate
Outstanding
Amount
issuance
to
and
may
GS
MBS-E-001918098
of the
Credit Default
may have against
days to enter
Credit Default
Swap will
Termination
Date").
GS
MBS-E-001918099
Buyer.
Default Swap".
In addition,
on a
of
Collateral
Securities
(rounded
up,
nor
for
othpr than Put Fyrhided
of
Settlement Date.
The Collateral
the Notes,
the Currency
Reference
to the Issuer in connection with an
additional issuance
(in
of the par amount thereof) and (b)zero (any such payment,
an "Additional Issuance
the Issuer's
Issuer actually purchases
of such Collateral
a
Mandatory
Redemption
Put Provider
Swap as a result of a default by the Basis
Swap Counterparty, the
the Protection
at the sole discretion
Issuer on the
available
on
the
will be
GS MBS-E-001918102
a Reference
Condition
and
the
Moody's
Rating
Condition
consent of the other
Rating Condition:
(ii)
a
party
may
part of its interest
(inwhole
the
Credit
Default
credit rating
at least
an
greater
the Issuer
will not
(e)
Event (as such
Swap,
or Affected Party (as such
term is
Swap and Collateral Put Agreement and shall,
within 30 days following such
termination, enter
of such 30 day period:
(i) all
Issuer to

(x) the payment of any unpaid Portfolio Selection Fees by the Issuer to the
Portfolio Selection
Agent following
an opinion
not cause the
any replacement credit
documentation and agreements
case of
documentation or
Condition.
Subject
such
30
Protection
Basis Swap
Counterparty
Procedures
Mandatory
THE PROTECTION BUYER
quarterly and
through
Broad Street,
Group
of, and
guaranteed
will no rights or
Act of 1934
rata with other
issued by
71
Confidential
;,
such
party
of the Basis
100%
Condition
and
the
Moody's
Rating
Condition
and
nair
has c h Affilina ft the CCeIr will oflt hA qijhif rt to Any
withholding
tax
and
satisfaction
without the written
or
challenges
or
(iii)
date be
amount has
of an
into a replacement
be amended
Condition
consent
Rating
Condition:
(i)
all its assets
Collateral
such
transfer.
82
Confidential
against
have
the right to direct the Issuer with respect to the enforcement
of any
of a Currency
and
Sachs
GS
MBS-E-001918122
Condition
and
the
Moody's
own Notes. Any Notes owned
by the
to disposition
will be entitled to vote with respect
to any
accounts with respect
ACA Management, L.L.C.
ACA Management, L.L.C.
services to
("ACA
Shareholders owning
S.F.
Holding
Corp.,
Solutions"), ACA Management's
direct parent corporation,
at 140 Broadway,
Selection
claims on its policies of insurance.
Any further
explanation as
to the
rating may
is
not
a
revision
and is subject to, and qualified in
its entirety by reference
of the
Credit Default
Determination Date.
for such purpose in accordance
with the Priority of Payments.
The Portfolio Selection
each
Payment
Date,
for each Class of
Aggregate USD
Portfolio Selection
Fee Rate
Interest
the immediately
in April 2008, from
Issuer to the Portfolio
the Issuers, the Trustee,
thereunder.
The
Portfolio
Selection
Affiliates may engage in
to those followed by the Portfolio
Selection
Agent
to time,
kind or class of
Agent and
its Affiliates."
for the benefit
of the Holders
equity
of
have
remuneration
their
Noteholders must
Priority of Payments.
any business other
in the
of
treated as
terms of an
agreement, dated April
25, 2007, between
the Administrator and
Ebanks
and
Carrie
Bunton.
on purchase,
to,
counsel.
have
Revision), the Governor
or its operations;
nf the
payment
this section, with
taxing jurisdiction
other than
the United
is
not
intended
be imposed.
of the transaction. Each
particular
circumstances
Circular.
affect the continued validity
only, and
l NSULT THFIR OWN TAX ADVISORS AS TO
U.S.
LAWS. IN PARTICULAR,
a beneficial owner of a
Note that
is, or
of America,
or a partnership created
federal income
over its administration
of such trust, and
of investors that
including but not
as the
or
its
employees
particular
thereto) for
their own
account or
that are
and
reoresentations.
the
Issuer
is
entitled
income tax
by the
The Code
related to
withholding
offset fully
payments.
The
the
Credit
a
payments
isnot
881 of the
that
neither
(x)
such
Notes as
and beneficial
in full) may adversely
on
no
ruling
or any other,
particularly
the
Class
also holds
Co-Issued
Issuer
for
a protective
U.S. Holders
will be
considered to
the
Co-Issued
payments
of
reasonable
be
and required
portions of total
Note
treated as
property
U.S.
Holder.
Because
the amount
of OID
to be
on the assumption
isappropriate,
that purchases
the daily portion for
by
by the
Note exceeds the difference
income of
an original
Issue
Price)
daily portions for the
elect to amortize
in the
gross income
of a
in
of the for the
timing of the amortization
of the Co-
when principal payments
the term "rateably"
in proportion
of any Co-Issued Notes should
consult its
rules
on
its
interest,
a
Co-Issued
Note
having market
acquires during
the year
to have
having
amortizable
bond
IRS.
have a
basis in
of such
(ii)
educed
by
Note, other than
taxable
and the U.S.
debt obligations
for more
than one
MBS-E-001918136
should be
equity) in
he Issuer.
Notes
each
Payments
as
applicable, on the date such payment is received (based on the
U.S. Dollar
Sterling,
for U.S. federal income
required to
a Co-Issued Note during
such accrued interest income
using the U.S. Dollar spot rate for the Euro, Sterling, Canadian Dollars,
Australian Dollars, New Zealand Dollars or Yen, as applicable, on the last day
of
day of the
of the
accrued interest,
from
year
income tax purposes
to accrued
interest income
will equal
U.S.
Dollar
Canadian Dollars,
Australian Dollars,
New Zealand
Dollars or
be treated
not
period
apayment attributable to OID (whether in connection with a payment
of interest or on the sale, exchange,
redemption,
retirement
Australian Dollars, New Zealand
Yen. Euro, Sterling, Canadian Dollars, Australian Dollars, New Zealand Dollars or Yen,
as applicable,
time of such sale,
Canadian
as
applicable,
exchange,
redemption,
retirement
ordinary
or loss in an
Sterling, Canadian Dollars, Australian
Co-Issued Notes determined at
Notes and
such U.S.
exchange, redemption,
Dollar
Note. Any gain
be exchange gain or
payment is received
Australian
and the
Note based
Sterling,
recognized only to the
extent of the total gain or loss realized by the U.S. Holder on the sale, exchange,
redemption,
consequences to U.S.
of such Co-Issued Note.
Notes
Investment
in
foreign
rules pertaining
make an election
with
return for the first taxable year
for
which
it
held
U.S. Holder will
(i)as ordinary income,
translated
the Issuer's
for interest paid
Related
Issuer
for the dividends received
Inaddition,
to such U.S.
in computing the Issuers
the extent
rules pertaining
a QEF does not distribute all of its earnings
in a taxable year,
taxes, U.S. Holders
may owe
under a reasonable
amortization method. Although
taking into account
purposes,
into
one
or
U.S. Holders
consult
their
The Issuer will
were
gain and an y
to
prior
years as if such liability had been due with respect to each
such prior year. For purposes of these rules,
gifts,
exchanges
of the
average amount
years (or, if
adjustments
Holders
In the event
the Issuer's
by vote or value) of the Class of Issuer Notes,
a percentage
proportion of
the same
or
loss
to the difference
amount
debt instrument),
or loss
as
U.S.
Shareholder',
any
Sterling, Canadian Dollar, Australian Dollar, New Zealand Dollars or Yen purchase
price, as applicable,
based on the
taxable
each of their
isany that
may be
ueateu
will not be subject to U.S.
federal
if
applicable,
in an "equity interest"
offered security"
Pmhihited
trmn .tions within the meanino of Section 406 of ERISA or Section
4975 of the Code
may arise.if the Notes
to which the Issuer,
from
the
prohibited
transaction provisions of Section 406 of ERISA and Section 4975 of the Code
may be applicable,
decision to acquire
a Note and
Exemptions
responsibility
provisions
of
insurance
company
general
an
Issued Notes,
the Initial Purchaser
Issuing
interest
in
the
Issuer
responsibility
provisions
Asset
Regulations. In order to not exceed the 25 percent. limit referred
to above, no ERISA
offering or thereafter. Therefore,
number of other
their
investment
ACQUISITION OF AN
ALL OF
RESTRICTIONS SET
GOVERNMENTAL, CHURCH,
NON-U.S. OR
OTHER PLAN
A RESULT OF
to purchases by ERISA
will not in actuality own 25% or more of such
value.
of the issuer
because one or more ERISA Plans
is an owner of Issuer Notes (or of a Note characterized as an "equity
interest" in the Issuer), certain transactions
that the Issuer might enter into, or may
have entered
into, in
constitute non-exempt "prohibited transactions"
significant cost to
cause non-exempt prohibited
transactions. It also
assets of a
responsibilities by fiduciaries
of such plans
whether Section 404(b)
of the district
would
be satisfied or any of the exceptions to the requirement set forth in 29 C.F.R.
Section
2550.404b-1
would
be
available.
Any
of any benefit
plan investor to
its counsel regarding the
result in a
requirement of
investor
to effect its purchase of any Note, is in no
respect a
representation by
meets all relevant
("narticinants'
or
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
received with value on
be
or
Clearstream cash account only as of the Business Day following
settlement in DTC.
to be
taken by
a Holder
of
the
Notes (including the presentation of the applicable Notes for exchange as described below) only at
the
direction
whose account with
in a Global Note are credited
and only in respect of that portion or number of the aggregate principal amount of the Notes as to which
the participant or participants has or have given direction.
The giving of notices and other
communications
by such persons to Holders of beneficial
interests in
regulatory requirements as may
DTC has
State of New York,
a
"clearing
Uniform
Commercial
Code
and
a
"Clearing Agency" registered
pursuant to the provisions of Section 17A of the Exchange Act. DTC
was created
participants and facilitate the clearance and settlement
of securities
for
may
DTC
such as banks, brokers,
Euroclear and Clearstream each
book-entry
through or maintain
of
internationally-traded
Clearstream also
deal domestic
securities markets
relationships. Euroclear and
systems across which their respective customers may settle trades with
each other.
companies and
their interests in a Regulation S Global
Note
therein ("direct participants") or as
indirect participants through organizations that are direct
or indirect accountholders
in direct participants.
Although the Clearing
in order to facilitate
Clearing Agencies,
to perform these procedures, and the procedures
may be discontinued
Trustee nor the
responsibility
respective participants or indirect
denominated in an Approved Currency other than Dollars
will
AMRO GSTS NOMINEES
Branch)
Sachs
with LaSalle
Bank National
Individual Definitive
or unable to
of any amendment
to or change
would not
be required
efforts to make arrangements
definitive Notes
will be
Note, such
of an exchange
of an interest
such certification
and exchangeable
for individual
definitive Notes
the Issuing and
definitive Notes representing
one or more individual
request for removal
will
deliver
only Notes that bear such legend, or will refuse to remove such legend, as the case may be,
unless
there
such
satisfactory
evidence,
on
114
Sachs
GS
MBS-E-001918153
required
Payment Date, by
the Registered
paying and
transfer agent.
own account for investment
is a private investment
which it
s purchasing
the Notes
Co-Issuer,
to the Issuer,
notice. If
such Non-Permitted
the Issuer shall

Permitted Holder, to sell such Notes or interest in Notes to
a purchaser
the
Trustee
behalf
professionals
highest such bidder.
Paying Agent, as applicable, may select a purchaser by any
other means
investment
in he chain of title from the Holder
to the Non-Permitted
Issuer and
transfers. The
shall be remitted
to the Non-Permitted
Issuer nor the Trustee
result of any
to any
(any such person
or
and Paying Agent (and notice by the Issuing and Paying
Agent to the
on such terms as the Issuer may
choose.
highest such bidder.
Person
in
ERISA Plan Holder,
to
cooperate
such transfers.
The proceeds
shall not be liable
to any Person having
an interest in the
or the exercise
be
state
laws of
made in reliance
resold,
entity
described
4975 of the
Code as a
FOR
of the
Issuer Notes)
under "-Rule
904
of
Regulation
a
and
and
the
to
the terms
the
United
the account
or
benefit of, a U.S. Person or a U.S. resident (as determined for purposes of the Investment Company Act,
a "U.S.
Resident") except
to, the
or
or
benefit
of,
on
United States
or benefit of,
an offer
not
participating
in
he
offer or sale
stabilize,
the price
they may be
and
authority
so as
debentures,
whether
of an invitation for
which
is:
relating to claims
on amounts which
is
aware,
involving
itpending
Buyers/Qualified
stock
McKee
Nelson
matters
with
respect
to
Cayman
Islands
corporate
law
Calder, George
Sachs
GS
MBS-E-001918166
obligor credit risk;
the vehicle
of equipment
a fixed rate,
flow from loans made
servicing or timely
automobiles, generally
having the
have varying contractual
generally have
mileage or use in the
event that the
option; provided
that any
will be excluded
governmental
and
(2)
entered
into
between
Type.
"ABS
Timeshare
Securities":
that
depend
assets
timeshare mortgage loans.
Timeshare mortgage loans
by first
Owners
become
tenants
in
common
definition of
"Structured Product Security" (unless it is a Wrapped Security) and each other Excluded Specified Type.
"Actual Principal
Maturity
on behalf
Obligation, the actual expressly
addresses the full
of the
rating is
available from
a Rating
a Collateral
Amortization
Amount,
Excess
Principal
Amount
or
EURIBOR, the second TARGET
and (iv)
on
Face Amount
Principal Amount
related to
such Reference
Obligation and
as
such
(ii) each
Maturity).
Default
the stated
spread above
Agency
Agreement,
Notes, and
with respect
Barclays Bank PLC;
Sachs
Date made by
If,on any Applicable
"Reference
Banks"
mean four mnior hanks in the London interbank market selected by the Basis Swap
Calculation Agent.
upward)
on
the
Issuers
Determination
States of
dated as
is he
defaulting party,
(ii) resulting
from a
which
the
a "Tax Event" or
"Illegality", in each case
Swap).
either
a
Swap or the Collateral Put Agreement).
"BIE
Paying Agent, as
will be substituted
for an existing
substituted, (iii) the BIE Exercise
Period. (iv) the BIE
account
information
of
the
Issuer
deliver such BIE
present
payment
Issuer and (vii) account information
for such Originating
Noteholder to present
"BIE Basis
Swap Payment":
of (i) he present
substitution(s)
occurred)
Counterparty would
Securities identified in any related Collateral
Security
Substitution
existing Collateral
Securities identified
"BIE Collateral Security
consent
of each of the Basis Swap Counterparty, the Collateral Put Provider and
the Protection Buyer
Weighted
Securities
Substitution
of all existing
in which such BIE Collateral
Security is denominated must
"BIE
Noteholder, specifying (i)
(ii) each Collateral
Security to be
amount, and (iii) the BIE Notification Date.
"BIE Exercise Period":
of a BIE Acceptance Notice to
but excluding the
Days thereafter.
"BIE Notification
a BIE
from the date of such BIE Consent
Solicitation.
"BIE
amount
of the expenses of the Issuer and the Trustee that would be incurred
as a
an existing BIE Collateral Security.
137
Confidential
in
Chicago,
Illinois
Index
Determination
the
cash
Indenture
and
having
such
loans
securities
include
which
has
(i)
occurred
and
year divided
by 365)
and (y)denominated
Due
Period
relating
of demand
and time
Moody's
such
commercial
paper
(v)
offshore
money
a cent being rounded upward)
on the
to the Issuers, the
the quotations upon which the Series Interest Rates
are based, and
in any event
Treaty establishing
the European
ABS
Single-Tranche
Synthetic
Securities.
"Expected
payment, where
such amount
Aggregate Implied
deficiency
balance
(however
described)
date on which
and
such Reference
Obligation or
or successors thereto.
Period for which
Basis Swap Payment
Date;
ICE Unscaled Credit
on such
date; and
by giving
respect
(A) the product
Interest Amount
with respect
to such
Payment
on
and
denominated
Obligation,
an
amount
a Principal Payment
or a Reference
the full scope
of the payment
Obligation,
Period
Reference
(i) each Dollar denominated Reference
Obligation, the notional
amount of such
Reference Obligation denominated
Obligation
the Insurer set
the Stated Maturity
Currency Adjusted
of
Notes;
(c)
of doubt, excluding those
Payment Subaccount on
Payment
Date;
155
Confidential
Treatment
Requested
Telerate Page 3750, as of 11:00 a.m. (New York time)
on
(b) If,on
Page 3750,
or such
Basis
Swap
Calculation
Agent
deposits
such arithmetic mean
on the
however,
that
provided
11:00
Applicable Index
each Applicable index Determination
the quotations upon which
the Series Interest Rates
5:00 p.m. (New
Index Determination
of such
Class, as
the case
the redemption
date to
15 8
then the Moody's
Reference
Obligation,
as
recorded
effect
determination; except:
(iii) all proceeds (as
thereof.
of their respective affiliates is as the sole source of
such information,
from
fiscal
agreement
relating
master servicer,
(e)
Trepp,
successors and assigns
relief under any bankruptcy
Securitization
News,
Commercial
Mortgage
(vi)
any
increase
For
changes.
"Reference
more Writedown
Obligation
Notional
Amount
within
(iv)
the
such loans or securities include an effective prepayment premium; and
(v)
previously
(other than an RMBS Agency
Security),
then
only by reference
to the chart
Investment
Grade
6.
REITs
-1
-2
-2
-3
1933,
"Senior
the
aggregate
outstanding
each Class
of Notes.
servicer, sub servicer, master servicer,
fiscal
agent,
such time.
including
Cashflow
designed to assure the
not the market value of)
a portfolio of
under
Regulation
S.
"U.S.
repayment (inwhole
or in
of such Obligation are
to such Class
"USD
Equivalent":
An
Currency of
Eligible Investment,
number calculated under clause
provided
which ratings
to any Reference
with respect
(iii)
not provide for writedowns,
Reference
Obligation,
Agent.
product of (i) he
sum of all Writedown Reimbursements related to such Reference Obligation on that day,
(ii) the Applicable Percentage
as
matters
Option One Mortgage
Mortgage
Security
ABSHE 2006-HE4
_______________________Mortgage
Scrt
13
(0
OD
(0
S-A-1
G)
C/)
wt:
29
22.222.222
8 22,222,222 HEAT 2006-3 MB HEAT 2006-3 437094UZ7 MortgaeVSecurity
---__
54251RAN3 nt 22,222,222 19,413,000
Remaining
Notional
61753EAM2 Resident
NHELI
2006HE3
65536QAN8
Resident
OOMLT
2007-1
dn
Corp
,5,0 100000 Baa2
bligor
Amount
Reference
Obligation
Reference
Entity
CUSIP
Type
Amount
Amount
Initial
Factor
Rating
Rating
Rating
Date
Life
Servicer/CDO
Manager
Insurer
88
22,222,222
SVHE
2006-OPT3
O
Mortgage
SecuCor
p7toO
ABS Structured
...........
AND REGISTRAR
Law
warranty, express
set
forth
solicitation
not imply that the
of the
to the public
disclose to any
and all persons,
treatment and
U.S.
state
or
of offering
hereby
purchase any such Securities.
in
Regulation
Reserve
generally must
of any
required registration
or annual
request
any time
or from
time to
Company, National
Sachs
101 years
Minimum
Denomination
(Integral
Multiples):
Securities, Rule
Day, the
(ii) any Redemption Date
Clearing Method:
Rule 144A
this
Payment
Date
preceding
the
Class
of at least "BB"
clauses (1)and
(2)does not
have a
subscript;
an issuer
organized in
"AA" by S&P and at least
"Aa2"
by
Moody's,
(2)
thereon
in
cash
during
a
tax
(other than an Exchanged
Manager,
or
a
CDO
Security
initial
only) the
Notes
on
Quality Tests,
Limitations
or
2.5% or $12.5
percentage
percentage of the
the stated
Based
Collateral Quality
Tests--Maximum Average
and such
assumptions may
there can
specified herein.
The expected
or
., mesar thn
cp,,rition nrar the qoairitipe Art Thp nRpminritip qrp qihinct to certain transfer restrictions
and can be
Securities-Priority
Controlling Class
the Collateral
Ob igations
without limitation,
the Priority
of Payments.
be desirable,
of the Subordinated Securities
fully redeem such
the Coverage
Tests. Ifany
Par Value
Date, Principal Proceeds
and, thereafter, Interest
Classes then
to which
Securities
purchased
portion
of
pursuant
Event
no
lonaer
Securities-Priority
on
yield securities
or obligor
their
for a second
collateral,
and
by a
with respect
to the
to directly
of
liquidity
or
as easily as publicly
will
generally
Obligations.
assumed losses relating to
defaults on the underlying
disposition
principal and interest
the
Securities.
Concentration
Risk.
to economic
risks than investing
in the United
of
enforcing
obligors may
not be
only with the
right to directly
enforce compliance by
Obligation nor
any rights
of set-off
The
-19-
Confidential
Treatment
Requested
with acceptable
credit support
types of
certain period
paragraph
is
applicable
of creditors
the
remaining
that
it
debts
as
they
to invalidate,
in whole
debts were
then greater
than all
of its
amount
the issuer or
a
Subordinated Securities, then by the Holders of the Class E
Notes, then
Notes,
of
proceeding
in exchange
any other basis.
See also "-Assignments
of and Participations
for
the
Issuer
to
acquired
most
participation
agreements
are not
reauired to
with
directly
compliance
extent the borrower
may set-off claims
creditor
of
borrower.
perform independent
credit analyses
of the
Selling Institutions.
other than
other
or sub-Participation
in he
Interest
Proceeds,
in
Collateral
See
payments
Criteria
Securities and
Obligations, it-is unlikely that the proceeds of such sales or
together with
the value
S Notes,
of each Class
in
Post Reinvestment
Collateral
and on any sales of Collateral Obligations.
In addition,
be
affected.
of
Collateral
Reinvestment
Period
amount
of
distributions
percentage of the Collateral Portfolio will bear interest
based on
LIBOR or
in
accordance
interest rates available
for such Eligible
bear interest at
less
could adversely impact
the ability to
make distributions on the Subordinated
Securities.
The
Issuer
or interest
the
impact
Subordinated Securities
Subordinated Securities.
of its Affiliates, with acceptable
credit support
arrangements, if
with respect
to all
as a general
creditor of such
for purchase by the Issuer
if,
at
(or committed for purchase),
withholding
taxes
(except
for
withholding
taxes
a Securities Lending
make
such withholding taxes. There can be no assurance
that,
change in any applicable
as
leases
become or be treated as subject to withholding
taxes imposed by any jurisdiction.
In addition, the Internal
which
often
to
make
or
payments that
distributions to,
the Holders
There
remaining payments
on the
payment
Issuer may
will
not
become
income will not
tax as the
Investors
should
into
for
money laundering
related anti-money
laundering obligations.
Issuer to
enact anti-money
that
may
and
Credit.
Regulation
not Purpose
requirements of Regulation
the
meaning
Under the Indenture, each
to have
represented that
place
any Federal
Reserve District
without limitation, Regulation
and its Investment
Professionals. The success
certain individuals comprising
the Collateral Managers
The individuals comprising
attention
individuals could have
"The Collateral Manager-Key Personnel".
arise from the
its Affiliates and/or any funds
managed by the Collateral Manager and their respective
clients
by the
of other transactions with
counterparty
Hedge Agreements, the Securities Lending Agreements and Synthetic
Repririties The followinn hriefiv summari7P.s some of these conflicts hut is not intended to
be an exhaustive
Conflicts of Interest
its Affiliates
The Collateral
Obligations.
Collateral Manager and its Affiliates may give
advice or take action for their own account or their other
client
the Issuers. The
Collateral Manager and
its Affiliates may
whose securities
are Collateral Obligations,
and may own,
directly or through other funds that they manage, equity or debt
securities issued by obligors
The Collateral Manager
negotiated
fee
the
Secured
an d
their respective
in obligations and/or
interests different
their respective
companies organized to issue collateralized
bond or
in seeking investments to purchase for the
Issuer while at the same
time the Collateral Manager or one or more Affiliates is
also seeking to purchase
officer,
director,
Manager and
might have been
effort to avoid
other market
receive or have
nor any Affiliate thereof has any obligation (affirmative or otherwise)
to investments
or to
inform the
offering
or
The Collateral Manager
without offering
Furthermore, the Collateral
in
the
investments to
before or without the Collateral Manager
or
the Collateral Manager and its Affiliates
may
offer
or in
Thus, other funds or accounts that
itor they manage or
advise could become co-investors with the Issuer.
The Collateral Manager will endeavor to resolve conflicts with respect to investment
opportunities in
a manner which it deems equitable (in its sole discretion) to the extent
possible
be prohibited under the terms of the Collateral
Management
Agreement from directing the acquisition of
Collateral Obligations from, or disposition of
Collateral Obligations to, its Affiliates or any other account managed by the
Collateral
Affiliates
except in a transaction conducted on terms as favorable to the Issuer as would
apply if such person
were not so affiliated.
Fee
Payments
Subordinated Securities have
earned the Specified
See
Collateral
Manager".
Collateral Obligations than would otherwise be the case
in
order to increase the likelihood that the holders of the Subordinated Securities receive the Specified Internal
Rate
of Return for the Collateral Manager to be paid the Incentive Collateral Management Fee. Speculative
investments in Collateral Obligations could lead
to
than initially expected, which
could result in reductions
Upon
Collateral Manager,
the
Subordinated
Securities
appoint
a
provided in the Collateral Management Agreement. Subordinated Securities Secured Notes by the
Collateral Manager or any of its Affiliates will have no voting
rights
replacement of the Collateral Manager and will be deemed
not to be outstanding in connection with any such
vote; provided, however, that Subordinated Securities and Secured Notes held by the
Collateral Manager or
respect
to all other matters as to which the holders of
Subordinated
entitled to vote, including,
redemption of the Securities or a
redemption following a Withholding Tax Event and
any
vote to appoint a replacement collateral manager that is not an Affiliate of the Collateral Manager
pursuant to
"Description of the Securities-Optional Redemption".
Under the Collateral Management Agreement, the Collateral Manager is permitted to recommend or
effect direct trades between the Issuer and
the
or
funds
an Affiliate serve
clients
may
as Collateral. Such investments may be different from those
made on
its Affiliates may
also have ongoing relationships
with, render services to or engage in transactions with, companies whose obligations are included in the
Collateral and may own
securities issued by issuers of and other obligors of Collateral
Obligations. As a result, officers or Affiliates
of the
Collateral Manager
known
to
responsible
for monitoring the Collateral and performing the other obligations under the Collateral Management
Agreement. The
possession of
Manager (even if such information is not
known to the individuals at the Collateral Manager responsible for monitoring the Collateral and performing
the other obligations under
the Collateral Management Agreement) may restrict the Collateral Manager from
purchasing
addition, Affiliates and clients of the Collateral Manager
may
to, or
the Collateral
at certain times be
purchase or dispose
of investments for its respective account, the Issuer, any similar entity for which it
serves as
manager or advisor and for its clients or Affiliates. It is he intention of the Collateral Manager
that
and
which they become
to the Issuer (or share with the Issuer or inform
the
-28-
other party to
date
certain,
which
the Closing
of any
adverse claim
Securities
Securities
will
be
of such remaining
of Interest Proceeds used
not available to
respect to each
such Class of
and
enforceable,
the
Deferred
repayment, on such
Date.
For purposes of determining any Interest Accrual Period, if any Payment Date
or the Stated Maturity,
extended to but excluding the date on which payment
is
required
to
include such date.
In the event
that the date
if made on
Notes,
period from
and after
removed
Principal
Principal
On each
described
consent
of
Securities,
only to the eligible
as an
Notes other
E
Payment
redemption.
Cancellation
All
ull,
(a)
that are senior
to such Class
in the conduct
in the sale of any or all of the Collateral,
but only if (i)such direction
will not conflict with any
rule
(ii) the Trustee
the Trustee has,
in its opinion,
is continuing,
the Trustee
of the Controlling
or (ii) a default
or provision of
Security adversely
affected thereby
benefit
with respect
to the
(ii)except
in
the
Holders of at least
have made awritten request
proceedings
in
its
percentage
of
be
prepaid,
more supplemental
indenture
is
the
to
of
any Secured Note or
the Note Interest Rate or the redemption price with respect to
any
specified date on
of any Collateral
to the payment of
distributions on the Subordinated
or
suit for the
enforcement of any
such payment on
(or, in
the case
of redemption of a Security, on or after the applicable Redemption Date
of such
is
required
the
Indenture;
(iv)
except
permit
the creation of any lien with respect to any part of
the Collateral or terminate such lien
on
subject
Trustee
of
the
(v)
consent is
to preserve the Collateral
to
pursuant to the Indenture;
the provisions of the Indenture with respect to any supplemental
indenture
except
Securities
that other provisions of
the Indenture cannot be
(viii) modify any of the provisions of
the Indenture
of interest on or principal of any Secured Note, (b)modify
any
provisions for the
therein;
(ix)
amend
by the Issuer
for
bankrupt
or
insolvent,
the
Issuer or the Co-Issuer to the institution of bankruptcy or insolvency
proceedings against it,
or the filing
the Co-Issuer of
seeking reorganization,
the Issuer or
petition or the appointment of
a receiver, liquidator,
GS MBS-E-001918284
amount
(based
(c)
end of business
on the date
of
receipt
Collateral
Obligations
the
extent
not
invested
in
rating agency.
under the related Securities Lending Agreement),
shall
or
Monitor
to
S Loss
Criteria
the
Moody's
Weighted
such reinvestment;
Recovery
Rate
and
Moody's
Recovery
Rate
transfer or termination,
the S&P
Lending
Agreements.
have
received
an
oc rinninnI
he
any amount
Facility or
Collection
of funds on
be equal to
Underlying
principal payments
available
for
distribution
immediately after
the Aggregate
Amounts
"Collateral Obligation"
Issuer shall
for such Synthetic
obligations of the Issuer
entered into
(in
amounts on
deposit in
Counterparty
(in its sole discretion) on
behalf of the Issuer
in writing, either (x)
Principal
Amount of any
Interest Collection
Account (or, if the amounts on deposit were, or are the proceeds of,
Subordinated
Securities
Collateral
under
be withdrawn
and is not
any
in an
in the following
among
such
funds),
period
on
Payment Dates)
not
share capital of the Issuer will consist of 50,000
ordinary shares,
debt
incurred
prepayments
from
rate index, e.g., LIBOR,
rate (each
as defined
in the
base
market, acting
standardized
documentation
however,
the degree
disposition
of this section, with respect
to each
state,
Security as acapital
asset and not
taxpayer
decisions in effect or
Offering
at any time,
for general information only, and there can be no assurance
that
the
tax
consequences
LOCAL, FOREIGN OR OTHER
As used in this section, the term U.S. Holder" includes
a beneficial owner of a Security that is, for
U.S. federal
States of America, an entity
treated for United States federal income tax purposes as a corporation
or
or any
Columbia,
an estate
the income
of which is includable in gross income for U.S. federal income tax purposes regardless of its
source, or a trust
the United States of America is able to exercise primary
supervision over its
to control all substantial
decisions of such trust
elected
to
U.S.
limited
institutions, U.S.
persons whose functional currency is not the Dollar, insurance companies, persons that own (directly or
indirectly) equity interests
in beneficial owners of Securities and subsequent purchasers of the Securities.
For U.S. federal income tax purposes, the Issuer,
and
not
the
Co-Issuer,
will
Department of Treasury
a specific exemption from net
income-based
U.S.
activities in
the United
for their own account,
whether such trading (or such other activity) is conducted by the corporation or its employees or through a
resident broker, commission agent, custodian or other agent. This
particular
non-U.S. cornoratinns that are engaged in activities in the United
States other than tradina in stocks and
securities (and any other activity closely
related thereto) for their
dealers in stocks
be
subject
to U.S. federal income taxes on its net income. In his regard, on the Closing Date, the Issuer will receive an
opinion from McKee Nelson
to
the
effect that, although no activity closely comparable to that contemplated by the Issuer has
been the subject
or judicial
compliance
the Indenture, the Collateral Management Agreement, and other related documents (the "Documents") by
all parties thereto, the
or business in he
United States under the Code and, consequently, the Issuer will not be
subject to U.S. federal income tax
on
a net income basis (or the branch profits tax described below). The opinion of Special
U.S.
Tax Counsel will
be based on the Code, the Treasury Regulations (final, temporary and proposed) thereunder, the existing
authorities, and Special
judgment concerning their application
certain factual assumptions and representations as to the Issuer's
permitted activities. The Issuer intends to conduct its affairs in accordance
with the Documents and
such
assumptions and representations, and the remainder of this summary assumes such result. In
addition,
in
complying with the Documents and such assumptions and representations, the Issuer and
the Collateral
the
opinion
of
However, the opinion of Special U.S. Tax Counsel and
any such
on
the IRS or the courts, and no ruling will
be sought from the IRS regarding this, or any other, aspect of
the
U.S. federal
income tax treatment of the Issuer. Accordingly, in the absence of
authority on point, the U.S.
federal income tax treatment of the Issuer
is
not entirely free from doubt, and there can be no assurance that
-86-
Confidential
Treatment
Requested
If, notwithstanding
Tax Counsel
opinions, it were nonetheless
was
Issuer would
be subject
under the
taxable income
(and possibly
to the
ability
the yield of the Secured
Notes
and
be subject
action
to
subject
to
U.S.
countries. Generally,
to
amount
thereof.
The Code provides
an exemption (the
"portfolio interest exemption") from such withholding tax for interest paid with respect
to certain
is
withholding taxes
Funding
Term
tax on
qualifications, income derived by the Issuer will be
free of
of U.S. withholding
of
a
workout
generally become
Issuer
becoming
will acquire Collateral
acquire a particular
tax (with
with Collateral
GS
MBS-E-001918321
States person"
in conjunction
by applicable law,
Notes,
single investor or
of
Secured
Notes
U.S. federal
other than
instrument;
interest
make the
likelihood late
payment or nonpayment a remote
contingency). Prospective U.S. Holders of the Class C Notes, the Class
D Notes or the Class E Notes should note that, because interest on these Secured Notes can be deferred,
the Issuer intends
as
payments on these Secured Notes in the stated redemption
prices
the OlD rules described
below. Such OID inclusion
on such Secured Notes generally will be treated as income from
sources
in gross income the
OID on
the
method of accounting for U.S. federal income tax purposes. If
a
not
subject
received.
gain from the
the U.S. Holder.
he case of
such Class of Secured Notes that provides for a floating rate of interest,
the amount of
on the assumption
accrual period, such
increase or decrease of the amount
of OID accrued for such period. Under the foregoing method,
U.S.
Notes or the Class E Notes may be
required
to include OID in advance of
the receipt of
Class of Secured Notes issued
with more than
1272(a)(6) of
the Code
below
instruments
if
payments
Secured Notes
de minimis OlD. Because principal repayments on such Secured Notes
are subject to
Notes
is
uncertain.
of accruing OID on these Secured Notes under such circumstances,
the
Issuer
method". These rules
require that the
OID be calculated based on
a prepayment assumption and the
anticipated
Secured Notes and prescribe a
method for adjusting
the amount and
discount where the actual prepayment rate differs from the prepayment assumption.
Under the Code, the prepayment
assumption must be
determined in the
intended the
the initial offering price of the Secured Notes. Solely
for purposes
bond
Obligations will either
made that the
or at any other rate.
It is
method
of
accruing
Secured
Notes
or more
accruing OID may be the noncontingent bond method that governs
contingent payment
debt obligations. Such method could affect
the amount and character of the gain or loss recognized upon
a
-89-
Secured Note at a price other
than the adjusted Issue Price
but at a cost less
than the remaining
stated redemption price
daily portions
In
of a
Secured Note
less than the
be
(computed in accordance
is he
the U.S. holder
at
price at maturity,
and the denominator of which is the sum of the daily
portions for such Secured
Note for all days
under the
prepayment assumption.
of the OID
rules, each U.S.
redemption
price
elect to amortize such premium
under a constant yield
Note. The amortizable
the
The U.S.
in determining the life
purpose.
issue price
minimis amount,
such discount
the term "ratably" may be based
on the term
a U.S. Holder may be permitted to accrue market discount
in
proportion
OID
and
premium
in
income as interest, based on a constant
yield method. Ifan election to treat all interest as OlD were to be
made
debt instruments having market
during the year of the
election or
The election to
Secured
of such Secured Note to such U.S. Holder, (i) ncreased
by any
accrued market discount such U.S. Holder
previously included
Note,
and
Secured Note.
or other taxable
opinion 1 10.Idcr cabasld r arnni, that thara ic cnAmc
incrrtaintv rpnwrriinn
gross income should be
credit limitation purposes. However,
(measured
by
the
If
applicable
to
Securities, the rules
corporation",
discussed below, generally override those pertaining to a PFIC with respect to
which
its
to elect to defer payment .of some
or all of the taxes on the QEF's
income subject to an
amount.
of
Subordinated Securities should be aware that it is possible that the Collateral Obligations may be purchased
by the Issuer with substantial OID,
the cash payment of which
may be
income
from
additional
Collateral
substantial
amounts
of earnings for U.S. federal income tax purposes that are
not distributed on the
of taxes,
U.S. Holders
that make
a QEF
Inaddition,
in obligations that are not in registered
form, a
to
such
obligations when calculating its share of the Issuer's earnings and
(b)may be required
to treat income
that some
The Issuer will provide, upon request,
all information
a
A
the
rules
election will be required
gain recognized upon
ratably over each day in
the
thereof) for the Subordinated Securities. The
U.S. Holder will be subject to tax on such items at the highest
ordinary income tax rate
U.S. Holder, in which the
items
regardless of the
tax liability
prior years as if such liability
had been due with
corporate reorganizations and
use of the
Securities. Very generally, an
with respect to
a Subordinated Security exceed 125 percent of the average amount of distributions in respect
thereof during the
U.S. Holder's holding period for the
Subordinated Security).
in
the
In many cases, application of the tax
on gain on disposition and receipt of
excess
distributions
RESPECT TO THE
Investment in
as acontrolled foreign
the subpart
F income
the fact
Furthermore,
for
period for the Subordinated
the U.S.
the end
the U.S.
Holder had
to such Lower-Tier PFICs.
by
such
by such U.S.
Obligations
that are treated
Company". If
earnings and
pursuant
to
the
current or
from sources within
capital gain or loss
Security for more than one year at the time
of
be entitled to
so recognized
generally will
offset income
Subordinated Security. Such
basis will be
of the CFC
distributions from the
a nontaxable
deemed
to
a
non-timely
QEF
as ordinary income and
a
treated as
a CFC
by
of
the
In
this
not include any
director of the
resident) may
Form
5471.
that
purchases
if (a) such
the Issuer or (b) f transfer,
when aggregated with all
the preceding
Holder fails to file any such required form,
the U.S.
this
apply with respect
to their acquisition
of the Subordinated
from
the Class Notes (assuming
that the Class E Notes are
treated as debt of the Issuer). However, a Tax-Exempt U.S. Holder
that
also
acquires
consider whether interest
GS MBS-E-001918329
distributions or
Holder which
is subject
to the
Securities (or,
E Notes)
with respect to income
Tax-Exempt
U.S.
Holder.
A
UBTI with respect to income
from the
on "excess
above.
Tax-Exempt
U.S.
federal
to person's
reports
U.S.
in
the
in
certain
types
of
or (ii)
the Securities to a Holder that isnot, for U.S. federal
income tax purposes,
or
withholding
Holder
a Non-U.S.
withholding if
Non-U.S. Holder (and, if applicable, its
beneficial owners also
Non-U.S. Holder,
or otherwise
by a Non-U.S.
will be as
described in the
the
Non-U.S.
Holders
payments to any
an instrument
as an exempted
is hereafter enacted
gains
years from the
to Title I of ERISA),
including
isnot "significant".
Prohibited transactions
4975 of the
of a Plan with respect to which the
Issuer, the
a person. Certain
of
by bank
manager'), PTCE
transactions
in
of such
fiduciary or
as determined
in good
pursuant
other
administrative
or
in Securities
and
in light
of the
and the enactment
whpthpr its purchase of Securities
will be permissible
constitute "plan assets"
of
from treatment as "plan assets" to the extent they support
certain participating
annuities issued
1998.
under
features.
Issuer and
tax purposes. Although
be treated
(ii) he traditional debt features
of the Co-Issued
conversion rights, warrants
and other typical
equity features. Based
subject to the considerations
the Co-Issued Notes may be purchased by a Plan. Nevertheless,
without regard to whether the
Co-
of
ERISA
the Initial
or Section
purchase,
holding
and
disposition
church,
non-U.S.
or
other
Co-Issuer,
the
Collateral
Manager
U.S.
domestic
of the Securities.
issuance of the
Global Securities, DTC or its custodian will credit, on its intemal
system,
the
aggregate
the sole
in a Global Security
Trustee
or Euroclear,
as applicable,
as indirect
the
securities
account
any transactions
of the
-104-
Confidential
Treatment
principal
regulatory
requirements
company
York, a member
and
and trust companies
that clear through
time unwilling
result of any amendment
Date, the
Issuer or
the paying
will issue individual
of an interest
Note,
such
exchange of an interest
such
by DTC.
definitive
Securities
applicable
-105-
Confidential
GS MBS-E-001918339
completed
assignment
partial
being transferred. No
of a
subject
of the legend thereon.
or upon
on a Security, the Issuer
will
as the
an opinion of counsel,
Issuer that neither the
legend nor the restrictions
Company Act. Payments
to the relevant Payment Date,
by
Dollar
of Amprin
as
any
to making
of
the
(i) (A)
for
its
Institutional Buyer as to
is
acquiring
for its
distribution thereof, (D)
he purchaser and
of investing
to the extent the
a broker-dealer that
trust fund or plan in which
the partners,
beneficiaries or
and
each
other Person
that it shall not sell participation
interests
in
the
arrangement pursuant
to which any other Person shall be entitled to a
beneficial interest
(except when each
(1) he
Secured Notes
and each such account's assets
(except when each
in a principal amount of not less than the minimum
denomination
(K) he
purchaser will
transferee of its
Issuer
may
receive
that any purported
requirements
of
become the beneficial
owner of any
a Non-Permitted
Notes,
the
that
reguiarv
in
he
sale or the exercise
whom the
purchaser reasonably
United
States.
Collateral
Issuer,
the restrictions on transfer set forth
herein and
be
null
Act. The purchaser
Secured
investment
or the
for the
purchaser; (B)
he purchaser
or otherwise)
upon any advice, counsel or representations (whether written or oral) of the Issuers,
the Initial Purchaser, the
respect to
the sections
circular for such Secured
party; (C)
or the Registrar
return,
performance,
(D) he purchaser has consulted
with its
own legal,
regulatory, tax,
business, investment,
Trstee, the Colnateral Administratnr the Ariministratnr or the Registrar (or
any of
their respective
those risks; (F)
Secured Notes for any account, the purchaser has not made
any disclosure,
assurance, guarantee
or representation
Section
in (A), the purchase,
transaction under
Section 406 of ERISA or Section 4975 of the Code (or, in the case of agovernmental,
church,
non-U.S.
that
does
effect:
THE
BY
PURCHASING
FOR THE ACCOUNT
IN AN OFFSHORE
OF
GS MBS-E-001918342
PARTNERS,
BENEFICIARIES
OR
PARTICIPANTS
(Z)
NOT OPERATE TO
TRANSFER ANY RIGHTS
SINCE
AN AUTHORIZED REPRESENTATIVE
OF THE DEPOSITORY
ENTITY AS IS
BUT NOT IN
PRINCIPAL
NOT A
RESPECT OF THIS NOTE.
following legend:
EACH HOLDER
THE REPRESENTATIONS
SECURITY ACT OF 1974, AS AMENDED
("ERISA'))
WHICH
PLAN (AS DEFINED IN
behalf
Any purported
of
the
initio
and
Issuers, the Trustee
the right to resell
transferred
Indenture.
Amount of the Class
an
(x) and (xi)
(other than naranranhs
Notes)
and
meeting the
than the
applicable minimum
of
Secured
Notes.
U.S.
Knowledgeable Employee
Buyer
any such
not for sale in
solely
each such account is a Qualified Purchaser
or a Knowledgeable
Employee), (D) o
the extent the
any account
for which it is purchasing the Subordinated Securities) is a private investment
company
30,
agrees that
in the Subordinated
in he
distributions on
the Subordinated
purchaser's
a Qualified Purchaser
set forth
in the
forth in the Indenture
transfer of the Subordinated Securities
to a purchaser
Purchaser or (b)a Knowledgeable Employee
and
(ii)(a)
Trustee makes
noticp to
Securities
to
neither
such
at any time, offer to buy or offer to sell
the Subordinated Securities by
will not
sale of the Subordinated
made
in
reliance on an exemption from registration under the Securities Act, and may be reoffered,
resold,
pledged
or
exercises sole investment
a U.S. Person
in an offshore
in the case of
the Collateral have
requirements of this paragraph
ab initio.

(vi) The purchaser is not purchasing the Subordinated Securities with a view toward the resale,
distribution or other disposition
understands
and
agrees
has had
information concerning
as it
with respect to
opportunity to ask questions
(vii)
In connection with the purchase of the Subordinated Securities: (A)none of the Issuers,
the
is not
any Subordinated Securities,
Manager),
the Registrar (or
adviser for the purchaser;
otherwise) upon
representations (whether written
or oral) of the Issuers, the Initial Purchaser, the Trustee, the Collateral
Manager, the Collateral Administrator, the Administrator
or the Registrar (or
Manager
Manager and Affiliates')
in a
none of the
their
to the
expected or
projected success,
profitability, return,
benefit
otherwise)
tax,
business,
pursuant to the Indenture)
advice from such advisers as
it
the Initial Purchaser, the Collateral
Manager, the Trustee, the Collateral
Administrator,
of their respective Affiliates); (E)
the purchaser
understanding of all of the risks
thereof (economic
is
and
(G)
any disclosure,
Plan Investor
(i)will not cause participation by Benefit
Plan Investors to
be "significant" within
and disposition
interest therein will
not constitute or
If the purchaser is a governmental, church
or other
federal, state, local or non-U.S. law that
issubstantially
similar
I of ERISA
its purchase, holding and disposition of a
U.S. Subordinated
Security will not constitute or result in a non-exempt violation under
any such substantially
Plan
Investors
is
"significant",
Subordinated
Securities
Collateral Manager, the
their
of
any such employees or (ii) persons that have represented that they are
Controlling Persons, will
MBS-E-001918347
purchase, and the
Securities as
equity in
in
conjunction
with
affiliates,
the Aggregate
Collateral Manager
on behalf
written
BENEFIT
PLAN INVESTOR,
ITS PURCHASE,
found on, among
at
www.treas.qov/ofac.
are prohibited
States
Amount
or Section 4975
of the Code,
in
local
Section 4975
of the
as the Securities
Exchange.
3.
are listed
accounts. The Indenture, however,
Securities
$2,000,000 in
Aggregate Outstanding
Notes, $365,000,000 in Aggregate Outstanding Amount of the
Class A Notes,
$22,500,000 in Aggregate Outstanding Amount of the Class B Notes, $25,000,000 in Aggregate Outstanding
Amount of the Class C Notes, $30,000,000
in Aggregate Outstanding Amount of the Class
D
Notes,
$17,500,000
of the Purchase Agreement, the Initial Purchaser is committed to
take
be offered
be entitled to (i) an underwriting discount
on the Securities,
and (ii) a
the aggregate principal or
the Initial Purchaser
and
other
will not be
as
or sold within the United States or
to, or for the account or
benefit of, a
purposes
to, the registration requirements
of the Securities Act.
The Issuers have been
it proposes to
States through their agents to Persons
that are not U.S.
to resell the Securities to
U.S.
Persons
and
Institutional Buyers (or, with
Subordinated Securities,
Accredited Investors)
is a Qualified
a
Knowledgeable
Employee).
Act who are not Accredited
Investors, provided
be the
Any
by broker-dealers who are registered
as such
Securities
may from
sold
pursuant to Regulation S
to, or for the account or benefit of, any U.S. Person or
a U.S. Resident
will send to each distributor, dealer or
person
pursuant to Regulatio

FN2409 2706 - Footnotes Levin-Coburn report.

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Transcript of FN2409 2706 - Footnotes Levin-Coburn report.