Eleven classes of certificates from four deals issued by GSAMP Trust in 2002 and 2004 have been downgraded by Moody's Investors Service.The affected transactions are GSAMP Trust series 2002-HE, 2004-HE1, 2004-HE2, and 2004-SEA2. The downgrades were attributed to an analysis of the credit enhancement provided by subordination, overcollateralization, and excess spread relative to expected losses. GSAMP Trust 2002-HE, 2004-HE1, and 2004-HE2 are backed by subprime fixed- and adjustable-rate mortgage loans, while GSAMP Trust 2004-SEA2 is backed by seasoned subprime fixed-rate mortgage loans.
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