Fitch Downgrades 2 & Affirms 3 Classes from GSAMP 2003-HE1.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has taken rating actions on the following GS Mortgage Securities Corp. (GSAMP GSAMP Global Strategy for Asthma Management and Prevention ) residential mortgage pass-through certificates: Series 2003-HE1 -- Class M-1 affirmed at 'AA'; -- Class M-2 affirmed at 'A+'; -- Class M-3 affirmed at 'A-'; -- Class B-1 downgraded to 'BBB-' from 'BBB'; -- Class B-2 downgraded to 'BB+' from 'BBB-'. The affirmations, affecting approximately $53.37 million of the outstanding certificates, reflect a stable relationship between credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing and expected loss. The downgrades, affecting approximately $10.25 million of the outstanding certificates, are taken as a result of deterioration in the relationship between credit enhancement and future expected losses. The downgraded bonds have been on Rating Watch Negative for six months. Since classes B-1 and B-2 were placed on Rating Watch Negative, the transaction has passed both triggers and $4.1 million of overcollateralization (OC) was released to class X. Monthly losses have generally exceeded excess spread over the last twelve months causing the OC to deteriorate below its target before and after its step-down date. Although cumulative losses as a percentage of the initial pool balance are expected to be lower than initially expected, excess spread available to cover losses is currently less than initially anticipated due to fast collateral prepayments and rising interest rates. As the bond coupons are floating rate, the available excess spread has been further squeezed as the pool has become significantly more weighted towards fixed-rate mortgages. The percentage of the pool composed of fixed-rate mortgages has increased from 40% at issuance to approximately 63% of the current pool balance. The collateral of the above transaction consists of sub-prime, closed-end, first-lien, fixed-rate and adjustable-rate mortgage Adjustable-rate mortgage (ARM) A mortgage that features predetermined adjustments of the loan interest rate at regular intervals based on an established index. The interest rate is adjusted at each interval to a rate equivalent to the index value plus a predetermined spread, or loans that are separated into two groups. Group 1 consists of loans with original principal balances that conform to Freddie Mac Freddie Mac: see Federal Home Loan Mortgage Corporation. and Fannie Mae Fannie Mae: see Federal National Mortgage Association. principal balance limit guidelines and Group 2 consists of all other loans. Approximately 59% of the loans were originated to the underwriting guidelines of New Century Mortgage Corp. and approximately 41% of the loans were originated to the underwriting guidelines of Finance America. The loans are serviced by Ocwen Financial Corp., which is rated 'RPS2' by Fitch. Series 2003-HE1 is seasoned 39 months and has a pool factor (i.e., current mortgage loans outstanding as a percentage of the initial pool) of approximately 15%. Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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