Thirteen classes of GS Mortgage Securities Corp. residential mortgage pass-through certificates from four GSAMP transactions have been downgraded by Fitch Ratings.Fitch also placed 11 classes on Rating Watch Negative, assigned Distressed Recovery ratings to five classes, and affirmed the ratings on 16 other classes in the transactions. The negative rating actions were attributed to faster-than-expected prepayments and earlier-than-expected collateral losses for series 2005-S1 and 2005-S2; losses that have exceeded excess spread for the past eight months for series 2006-S1; and losses that have exceeded excess spread for three of the past four months for series 2006-S2. The deals consist of closed-end fixed-rate mortgage loans secured by second liens on residential properties.

Subscribe Now

Authoritative analysis and perspective for every segment of the mortgage industry

30-Day Free Trial

Authoritative analysis and perspective for every segment of the mortgage industry