Fitch Affirms $670MM & Downgrades $195MM from 10 GS 2003 & 2004 Subprime Transactions

2008-05-01 23:52:09 -

- Fitch Ratings has taken the following rating actions on Goldman Sachs (GS) mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Affirmations total $669.5 million and downgrades total $195.2 million.

GSAMP Trust 2003-AHL Total

--$9.0 million class A-1 affirmed at 'AAA';

--$11.0 million class A-2B affirmed at

'AAA';

--$9.2 million class M-1 affirmed at 'AA';

--$3.5 million class M-2 downgraded to 'BBB+' from 'A';

--$2.3 million class B-1 downgraded to 'B' from 'BBB';

--$1.1 million class B-2 downgraded to 'CC/DR3' from 'BBB-';

Deal Summary

--Originators: Accredited

--60+ day Delinquency: 17.72%

--Realized Losses to date (% of Original Balance): 1.43%

GSAMP Trust 2003-FM1 Total

--$17.1 million class M-1 downgraded to 'A+' from 'AA+';

--$2.3 million class M-2 downgraded to 'BBB' from 'A+';

--$0.7 million class B-1 downgraded to 'BB+' from 'A-';

--$0.3 million class B-2 downgraded to 'B' from 'BBB';

Deal Summary

--Originators: Fremont

--60+ day Delinquency: 30.94%

--Realized Losses to date (% of Original Balance): 0.82%

GSAMP Trust 2003-HE1 Total

--$21.9 million class M-1 affirmed at 'AA';

--$15.6 million class M-2 downgraded to 'A' from 'A+';

--$1.6 million class M-3 downgraded to 'BBB+' from 'A-';

--$2.3 million class B-1 downgraded to 'BB-' from 'BB+';

--$1.8 million class B-2 downgraded to 'C/DR5' from 'B+';

Deal Summary

--Originators: New Century (60%) and Finance America (40%)

--60+ day Delinquency: 23.03%

--Realized Losses to date (% of Original Balance): 2.06%

GSAMP Trust 2003-HE2 Total

--$6.3 million class A-1A affirmed at 'AAA';

--$0.6 million class A-1B affirmed at 'AAA';

--$24.0 million class A-2 affirmed at 'AAA';

--$4.4 million class A-3A affirmed at 'AAA';

--$12.0 million class A-3C affirmed at 'AAA';

--$25.0 million class M-1 affirmed at 'AA';

--$4.6 million class M-2 affirmed at 'A+';

--$2.1 million class M-3 downgraded to 'A' from 'A+';

--$3.6 million class M-4 downgraded to 'BBB' from 'A-';

--$1.8 million class B-1 downgraded to 'BB+' from 'BBB';

--$1.2 million class B-2 downgraded to 'BB' from 'BB+';

Deal Summary

--Originators: Option One (75%) and Accredited (25%)

--60+ day Delinquency: 17.58%

--Realized Losses to date (% of Original Balance): 0.93%

GSAMP Trust 2003-NC1 Total

--$11.4 million class M-1 affirmed at 'AAA';

--$3.4 million class M-2 affirmed at 'AA-';

--$0.1 million class M-3 affirmed at 'A+';

--$1.5 million class B-1 downgraded to 'BB+' from 'BBB+';

--$0.4 million class B-2 downgraded to 'B' from 'BBB';

Deal Summary

--Originators: New Century

--60+ day Delinquency: 19.53%

--Realized Losses to date (% of Original Balance): 0.83%

GSAMP Trust 2004-AR1 Total

--$0.9 million class A-1A affirmed at 'AAA';

--$0.0 million class A-1B affirmed at 'AAA';

--$16.8 million class A-2B affirmed at 'AAA';

--$3.8 million class A-2C affirmed at 'AAA';

--$52.2 million class M-1 affirmed at 'AA+';

--$31.4 million class M-2 affirmed at 'AA';

--$21.4 million class M-3 affirmed at 'AA-';

--$15.7 million class M-4 affirmed at 'A+';

--$15.7 million class M-5 affirmed at 'A';

--$25.1 million class M-6 affirmed at 'A-';

--$16.3 million class B-1 affirmed at 'BBB+';

--$14.3 million class B-2 affirmed at 'BBB';

--$5.3 million class B-3 downgraded to 'BB+' from 'BBB-';

--$7.7 million class B-4 downgraded to 'B' from 'BB+';

--$5.4 million class B-5 downgraded to 'C/DR5' from 'BB';

Deal Summary

--Originators: Ameriquest

--60+ day Delinquency: 19.34%

--Realized Losses to date (% of Original Balance): 1.67%

GSAMP Trust 2004-AR2 Total

--$44.0 million class M-1 affirmed at 'AA+';

--$31.7 million class M-2 affirmed at 'AA';

--$18.1 million class M-3 affirmed at 'AA-';

--$14.0 million class M-4 affirmed at 'A+';

--$5.6 million class M-5 downgraded to 'A-' from 'A';

--$5.1 million class M-6 downgraded to 'BB+' from 'BBB+';

--$5.5 million class B-1 downgraded to 'B' from 'BBB-';

--$4.1 million class B-2 downgraded to 'C/DR5' from 'BB';

--$3.4 million class B-3 downgraded to 'C/DR5' from 'BB-';

--$5.3 million class B-4 downgraded to 'C/DR6' from 'B';

Deal Summary

--Originators: Ameriquest

--60+ day Delinquency: 29.98%

--Realized Losses to date (% of Original Balance): 2.25%

GSAMP Trust 2004-NC2 Total

--$16.1 million class A-1A affirmed at 'AAA';

--$1.8 million class A-1B affirmed at 'AAA';

--$6.9 million class A-2C affirmed at 'AAA';

--$38.0 million class M-1 affirmed at 'AA';

--$13.5 million class M-2 affirmed at 'A';

--$7.8 million class M-3 downgraded to 'BBB+' from 'A-';

--$4.4 million class B-1 downgraded to 'BBB' from 'BBB+';

--$5.2 million class B-2 downgraded to 'BBB-' from 'BBB';

--$3.3 million class B-3 downgraded to 'BB' from 'BBB-';

Deal Summary

--Originators: New Century

--60+ day Delinquency: 18.55%

--Realized Losses to date (% of Original Balance): 1.05%

GSAMP Trust 2004-OPT

--$2.5 million class A-1 affirmed at 'AAA';

--$1.6 million class A-4 affirmed at 'AAA';

--$43.4 million class M1 affirmed at 'AA';

--$34.3 million class M2 downgraded to 'BBB+' from 'A';

--$9.8 million class M3 downgraded to 'BBB' from 'BBB+';

--$7.0 million class B1 downgraded to 'BB' from 'BBB';

--$7.0 million class B2 downgraded to 'B' from 'BB+';

--$6.3 million class B3 downgraded to 'CC/DR4' from 'BB';

--$3.6 million class B4 downgraded to 'C/DR5' from 'BB-';

Deal Summary

--Originators: Option One

--60+ day Delinquency: 21.97%

--Realized Losses to date (% of Original Balance): 1.23%

GSAA Trust 2004-NC1 Total

--$0.1 million class AF-3 affirmed at 'AAA';

--$20.9 million class AF-4 affirmed at 'AAA';

--$23.0 million class AF-5 affirmed at 'AAA';

--$15.9 million class AF-6 affirmed at 'AAA';

--$8.7 million class M-1 affirmed at 'AA';

--$6.4 million class M-2 affirmed at 'A';

--$4.7 million class B-1 affirmed at 'BBB';

--$1.7 million class B-2 affirmed at 'BBB-';

Deal Summary

--Originators: New Century

--60+ day Delinquency: 4.60%

--Realized Losses to date (% of Original Balance): 1.09%

Additional details are available in the following research, available at www.fitchratings.com

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

Fitch Ratings, New York
Tara Sweeney, 212-908-0347
Michele Patterson, 212-908-0779
or
Media Relations:
Sandro Scenga, 212-908-0278