Fitch Takes Various Actions on 15 GS Mortgage RMBS Securitizations.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. residential mortgage pass-through certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size : GSAMP GSAMP Global Strategy for Asthma Management and Prevention , Series 2002-HE2 --Classes A-1 & A-2 affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. at 'AAA'; --Class B-1 upgraded to 'A-' from 'BBB+'; --Class B-2 upgraded to 'BBB+' from 'BBB'. GSAMP, Series 2002-NC1 --Class A-2 affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'A'; --Class B-1 affirmed at 'BBB'. GSAMP, Series 2002-WF --Classes A-1 & A-2B affirmed at 'AAA'; --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'A+'; --Class B-1 affirmed at 'BBB'. GSAMP, Series 2003-AHL --Classes A-1 & A-2B affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'A'; --Class B-1 affirmed at 'BBB'; --Class B-2 affirmed at 'BBB-'. GSAMP, Series 2003-FM1 --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'A+'; --Class B-1 affirmed at 'A-'; --Class B-2 is rated 'BBB' and placed on 'Rating Watch Negative'. GSAMP, 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 'BB+' from 'BBB-'; --Class B-2 downgraded to 'B+' from 'BB+'. GSAMP, Series 2003-HE2 --Class A-1A, A-1B, A-2, A-3A, & A-3C affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'A+'; --Class M-3 affirmed at 'A+'; --Class M-4 affirmed at 'A-'; --Class B-1 downgraded to 'BBB' from 'BBB+'; --Class B-2 downgraded to 'BB+' from 'BBB'. GSAMP, Series 2003-NC1 --Class M-1 affirmed at 'AAA'; --Class M-2 affirmed at 'AA-'; --Class M-3 affirmed at 'A+'; --Class B-1 affirmed at 'BBB+'; --Class B-2 affirmed at 'BBB'. GSAMP, Series 2004-AR1 --Classes A-1A, A-1B, A-2B, & A-2C affirmed at 'AAA'; --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'AA'; --Class M-3 affirmed at 'AA-'; --Class M-4 affirmed at 'A+'; --Class M-5 affirmed at 'A'; --Class M-6 affirmed at 'A-'; --Class B-1 affirmed at 'BBB+'; --Class B-2 affirmed at 'BBB'; --Class B-3 affirmed at 'BBB-'; --Class B-4 affirmed at 'BB+'; --Class B-5 affirmed at 'BB'. GSAMP, Series 2004-AR2 --Classes A-1A, A-1B, & A-2B affirmed at 'AAA'; --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'AA'; --Class M-3 affirmed at 'AA-'; --Class M-4 affirmed at 'A+'; --Class M-5 affirmed at 'A'; --Class M-6 affirmed at 'A-'; --Class B-1 affirmed at 'BBB+'; --Class B-2 affirmed at 'BBB'; --Class B-3 affirmed at 'BBB-'; --Class B-4 affirmed at 'BB+'. GSAA GSAA Gwathmey Siegel Associates Architects , Series 2004-NC1 --Classes AF-3, AF-4, AF-5, & AF-6 affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'A'; --Class B-1 affirmed at 'BBB'; --Class B-2 affirmed at 'BBB-'. GSAMP, Series 2004-NC2 --Classes A-1A, A-1B, & A-2C affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'A'; --Class M-3 affirmed at 'A-'; --Class B-1 affirmed at 'BBB+'; --Class B-2 affirmed at 'BBB'; --Class B-3 affirmed at 'BBB-'. GSAMP, Series 2004-OPT --Classes A-1 & A-4 affirmed at 'AAA'; --Class M-1 affirmed at 'AA'; --Class M-2 affirmed at 'AA-'; --Class M-3 affirmed at 'A+'; --Class B-1 affirmed at 'A'; --Class B-2 affirmed at 'BBB+'; --Class B-3 affirmed at 'BBB'; --Class B-4 affirmed at 'BBB-'. GSAMP, Series 2005-HE3 --Classes A-1A, A-1B, A-2B, & A-2C affirmed at 'AAA'; --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'A'; --Class M-3 affirmed at 'A-'; --Class M-4 affirmed at 'A-'; --Class B-1 affirmed at 'BBB+'; --Class B-2 affirmed at 'BBB'; --Class B-3 affirmed at 'BBB-'. GSAMP, Series 2005-HE4 --Classes A-1A, A-2A, A-2B & A-2C affirmed at 'AAA'; --Class M-1 affirmed at 'AA+'; --Class M-2 affirmed at 'AA+'; --Class M-3 affirmed at 'AA'; --Class M-4 affirmed at 'AA-'; --Class M-5 affirmed at 'A+'; --Class M-6 affirmed at 'A'; --Class B-1 affirmed at 'A-'; --Class B-2 affirmed at 'BBB+'; --Class B-3 affirmed at 'BBB'; --Class B-4 affirmed at 'BBB-'. The affirmations, affecting approximately $2.8 billion 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 (CE) and expected loss. The upgrades, affecting approximately $13.9 million of the outstanding certificates, are taken as a result of an improving relationship between CE and expected loss. The downgrades, affecting approximately $9 million of the outstanding certificates, are taken as a result of a deteriorating de·te·ri·o·rate v. de·te·ri·o·rat·ed, de·te·ri·o·rat·ing, de·te·ri·o·rates v.tr. To diminish or impair in quality, character, or value: relationship between CE and expected loss. In addition, the Rating Watch Negative affects $429,000 of the outstanding certificates. GSAMP 2003-HE1, classes B-1 and B-2 are downgraded because losses have exceeded excess spread for seven of the nine months since the overcollateralization (OC) stepped-down and, as a result, eroded e·rode v. e·rod·ed, e·rod·ing, e·rodes v.tr. 1. To wear (something) away by or as if by abrasion: Waves eroded the shore. 2. To eat into; corrode. the OC below target. As of the February 2007 remittance Money sent from one individual to another in the form of cash, check, or some other manner. Financial statements sent by a creditor to a debtor frequently refer to the process of submitting a monthly remittance. REMITTANCE, comm. law. date, the OC is $329,000 below the target of $2.3 million. The OC as a percent of the current balance is 3.4% ($1.9 million). The cumulative loss as a percentage of the original pool balance is 1.6% and the 60+ delinquency delinquency Criminal behaviour carried out by a juvenile. Young males make up the bulk of the delinquent population (about 80% in the U.S.) in all countries in which the behaviour is reported. rate (including bankruptcy bankruptcy, in law, settlement of the liabilities of a person or organization wholly or partially unable to meet financial obligations. The purposes are to distribute, through a court-appointed receiver, the bankrupt's assets equitably among creditors and, in most , foreclosure foreclosure Legal proceeding by which a borrower's rights to a mortgaged property may be extinguished if the borrower fails to live up to the obligations agreed to in the loan contract. , and REO reo Noun NZ a language [Maori] ) as a percentage of the current pool balance is 26.6%. Losses are expected to continue to exceed excess spread. GSAMP 2003-HE2, classes B-1 and B-2 are downgraded because losses have exceeded excess spread for four of the five months since the overcollateralization (OC) stepped-down and, as a result, eroded the OC below target. As of the February 2007 remittance date, the OC is $398,000 below the target of $3.6 million. The OC as a percent of the current balance is 2.8% ($3.3 million). The cumulative loss as a percentage of the original pool balance is 0.63% and the 60+ delinquency rate (including bankruptcy, foreclosure, and REO) as a percentage of the current pool balance is 15.5%. Losses are expected to continue to exceed excess spread. GSAMP 2003-FM1, class B-2 is placed on Rating Watch Negative because losses have exceeded excess spread for the last three months and, as a result, eroded the OC below target. As of the February 2007 remittance date, the OC is $315,000 below the target of $2.2 million. The OC as a percent of the current balance is 6.3% ($1.9 million). The excess spread as an annualized annualized Of or relating to a variable that has been mathematically converted to a yearly rate. Inflation and interest rates are generally annualized since it is on this basis that these two variables are ordinarily stated and compared. percentage of the current pool balance is approximately 2.2%. The cumulative loss as a percentage of the original pool balance is 0.62% and the 60+ delinquency rate (including bankruptcy, foreclosure, and REO) as a percentage of the current pool balance is 28.8%. Fitch will continue to closely monitor this transaction. The collateral of the above transactions primarily consists of conforming and non-conforming, fixed-rate and adjustable-rate, subprime mortgage loans secured by first and second liens A Second lien financing is a form of financing secured on a second ranking basis by (more or less) the same security, which secures the first ranking financing. The first lien lenders and the second lien lenders agree that, in the event of a security enforcement or bankruptcy, the on residential properties. The loans underlying GSAMP 2003-AHL were originated or acquired by Accredited accredited recognition by an appropriate authority that the performance of a particular institution has satisfied a prestated set of criteria. accredited herds cattle herds which have achieved a low level of reactors to, e.g. Home Lenders, Inc. The loans underlying the transactions containing 'AR' were originated or acquired by Argent ar·gent n. 1. Heraldry The metal silver, represented by the color white. 2. Archaic Silver or something resembling it. Mortgage Company, LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control and Olympus Mortgage Company. The loans underlying GSAMP 2003-FM1 were originated or acquired by Fremont Investment & Loan. The loans underlying the transactions containing 'NC' were originated or acquired by New Century Mortgage Corp. The loans underlying GSAMP 2004-OPT were originated or acquired by Option One Mortgage Corp. The loans underlying GSAMP 2002-WF were originated or acquired by Wells Fargo Wells Fargo armored carriers of bullion. [Am. Hist.: Brewer Dictionary, 1147] See : Protectiveness Wells Fargo company that handled express service to western states; often robbed. [Am. Hist. Home Mortgage, Inc. The loans underlying the transactions containing 'HE' were originated by various originators. Chase Home Finance, LLC (rated 'RPS1' by Fitch) services mortgages in GSAMP 2003-AHL, GSAMP 2003-HE2, GSAA 2004-NC1, GSAMP 2005-HE3, and GSAMP 2005-HE4. Countrywide coun·try·wide adv. & adj. Throughout a whole country; nationwide: launched a fundraising campaign countrywide; a countrywide search. Adj. 1. Home Loans, Inc. (rated 'RPS1' by Fitch) services mortgages in GSAMP 2004-AR1, GSAMP 2004-AR2, and GSAMP 2005-HE3. Litton Loan Servicing Loan servicing is the process by which a mortgage bank or subservicing firm collects the timely payment of interest and principal from borrowers. The level of service varies depending on the type loan and the terms negotiated between the firm and the investor seeking their services. , LP (rated 'RPS1' by Fitch) services mortgages in GSAMP 2002-HE2, GSAMP 2003-NC1, and GSAMP 2004-NC2. Ocwen Financial Corp. (rated 'RPS2' by Fitch) services mortgages in GSAMP 2002-NC1, GSAMP 2003-FM1, and GSAMP 2003-HE1. Option One Mortgage Corp. (rated 'RPS1' by Fitch) services mortgages in GSAMP 2003-HE2 and GSAMP 2004-OPT. Wells Fargo Home Mortgage, Inc. (rated 'RPS1' by Fitch) services mortgages in GSAMP 2002-WF. Wilshire Credit Corp. (rated 'RPS1' by Fitch) services mortgages in GSAMP 2005-HE3. The pool factors (i.e., current mortgage loans outstanding as a percentage of the initial pool) for the transactions range from 7% (2003-FM1) to 61% (2005-HE4) and the seasoning ranges from 16 months (2005-HE4) to 55 months (2002-NC1). 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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