Mixed Results on GSC Group CDOs

Fitch has affirmed one class of notes, downgraded five classes, and placed three classes of notes issued by GSC ABS CDO 2006-4u Ltd. (GSC 2006-4u) on Rating Watch Negative.The following rating actions are effective immediately: $0 class A-S1VF notes affirmed at 'AAA'; $85,000,000 class A1 notes downgraded to 'AA' from 'AAA', placed on Rating Watch Negative; $45,000,000 class A2 notes downgraded to 'A' from 'AA', placed on Rating Watch Negative; $45,000,000 class A3 notes downgraded to 'BB' from 'A', placed on Rating Watch Negative; $33,000,000 class B notes downgraded to 'CCC' from 'BBB', remains on Rating Watch Negative; $10,000,000 class C notes downgraded to 'CC' from 'BB+', remains on Rating Watch Negative. GSC 2006-4u is a hybrid cash and synthetic arbitrage collateralized debt obligation (CDO), which closed on Oct. 6, 2006. The portfolio is managed by GSC Group who maintains a CDO asset manager rating of 'CAM2' for structured finance CDOs. GSC 2006-4u is composed of 94.28% residential mortgage-backed securities, 0.84% commercial mortgage-backed securities, and 4.88% CDOs. On July 12, 2007, class B and class C notes were placed on Rating Watch Negative because of negative migration of subprime RMBS assets in the portfolio. In addition, Fitch has also removed three classes of notes from Rating Watch Negative. The following rating actions are effective immediately: $0 class A-1A notes affirmed at 'AAA'; $125,000,000 class A-1B notes affirmed at 'AAA'; $13,500,000 class A-2 notes affirmed at 'AAA'; $56,500,000 class B notes affirmed at 'AA'; $14,500,000 class C notes affirmed at 'AA-'; $22,500,000 class D notes downgraded to 'A-' from 'A'; $21,000,000 class E notes downgraded to 'BB' from 'BBB', removed from RWN; $4,718,616 class F notes downgraded to 'B' from 'BB+', removed from RWN; $4,718,616 class G notes downgraded to 'B-' from 'BB', removed from RWN. GSC 2006-2m is an arbitrage cash flow collateralized debt obligation, with hybrid features, which closed on May 31, 2006. The portfolio is managed by GSC Group who maintains a CDO asset manager rating of 'CAM2' for structured finance CDOs. GSC 2006-2m is composed of 82.97% RMBS, 6.62% CMBS, and 9.47% CDOs. The class A-1A is structured as delayed draw notes. On July 12, 2007, classes E, F and G notes were placed on Rating Watch Negative because of negative migration of subprime RMBS assets in the portfolio.