New York, March 09, 2009 -- Moody's Investors Service has downgraded the ratings of 46 tranches from
9 Alt-A RMBS transactions issued by GSAA. Additionally,
3 subordinate tranches were confirmed at their current ratings.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, Alt-A residential mortgage
loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been assigned to each collateral group,
Moody's assesses available credit enhancement from subordination,
overcollateralization, excess spread and any external support (mortgage
insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to ultimately arrive
at an updated rating.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy and Methodologies directory.
List of actions:
GSAA Home Equity Trust 2004-10
Cl. AF-4, Downgraded to Aa2; previously on 1/10/2005
Assigned Aaa
Cl. AF-5, Downgraded to Aa1; previously on 1/10/2005
Assigned Aaa
Cl. M-1, Downgraded to A1; previously on 1/10/2005
Assigned Aa2
Cl. M-2, Downgraded to Baa1; previously on 1/10/2005
Assigned A2
Cl. B-1, Downgraded to B1; previously on 1/10/2005
Assigned Baa2
Cl. B-2, Downgraded to Caa1; previously on 1/10/2005
Assigned Baa3
Cl. B-3, Downgraded to Ca; previously on 1/10/2005
Assigned Ba2
GSAA Home Equity Trust 2004-11
Cl. 1A1, Downgraded to Aa2; previously on 1/27/2005
Assigned Aaa
Cl. 2A1, Downgraded to Aa1; previously on 1/27/2005
Assigned Aaa
Cl. 2A3, Downgraded to Aa1; previously on 1/27/2005
Assigned Aaa
Cl. M-1, Downgraded to Baa2; previously on 1/27/2005
Assigned Aa2
Cl. M-2, Downgraded to B1; previously on 1/27/2005
Assigned A2
Cl. B-1, Downgraded to Caa3; previously on 1/27/2005
Assigned Baa2
Cl. B-2, Downgraded to Ca; previously on 1/27/2005
Assigned Ba2
GSAA Home Equity Trust 2004-4
Cl. A-1, Downgraded to A1; previously on 7/15/2004
Assigned Aaa
Cl. A-2B, Downgraded to A1; previously on 7/15/2004
Assigned Aaa
Cl. M-1, Downgraded to Baa1; previously on 7/15/2004
Assigned Aa1
Cl. M-2, Downgraded to B1; previously on 7/15/2004
Assigned A1
Cl. M-3, Downgraded to Ca; previously on 7/15/2004
Assigned Baa1
GSAA Home Equity Trust 2004-5
Cl. AF-4, Downgraded to Aa3; previously on 8/9/2004
Assigned Aaa
Cl. AF-5, Downgraded to Aa2; previously on 8/9/2004
Assigned Aaa
Cl. M-1, Downgraded to A2; previously on 8/9/2004
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 8/9/2004
Assigned A2
Cl. B-1, Downgraded to Caa1; previously on 8/9/2004
Assigned Baa2
Cl. B-2, Downgraded to Ca; previously on 8/9/2004
Assigned Baa3
GSAA Home Equity Trust 2004-6
Cl. A-1, Downgraded to Aa3; previously on 8/6/2004
Assigned Aaa
Cl. A-2, Downgraded to Aa3; previously on 8/6/2004
Assigned Aaa
Cl. M-1, Downgraded to Baa1; previously on 8/6/2004
Assigned Aa2
Cl. M-2, Downgraded to Ba2; previously on 8/6/2004
Assigned A2
Cl. M-3, Downgraded to B3; previously on 8/6/2004
Assigned Baa2
GSAA Home Equity Trust 2004-7
Cl. AF-4, Downgraded to Aa2; previously on 9/8/2004
Assigned Aaa
Cl. AF-5, Downgraded to Aa1; previously on 9/8/2004
Assigned Aaa
Cl. M-1, Downgraded to A2; previously on 9/21/2007
Aa2 Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to Baa2; previously on 9/21/2007
A2 Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to B2; previously on 9/8/2004
Assigned Baa2
Cl. B-2, Downgraded to Ca; previously on 9/21/2004
Assigned Ba1
GSAA Home Equity Trust 2004-8
Cl. M-1, Downgraded to A3; previously on 11/29/2004
Assigned Aa2
Cl. M-2, Downgraded to B1; previously on 11/29/2004
Assigned A2
Cl. B-1, Downgraded to Ca; previously on 9/21/2007
Baa2 Placed Under Review for Possible Downgrade
GSAA Trust 2004-3
Cl. M-1, Confirmed at Aa2; previously on 10/17/2007
Aa2 Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at A2; previously on 10/17/2007
A2 Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at Baa2; previously on 10/17/2007
Baa2 Placed Under Review for Possible Upgrade
Cl. B-2, Downgraded to Ba3; previously on 6/7/2004
Assigned Baa3
GSAA Trust 2004-CW1
Cl. IA-1, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
Cl. IIA-1, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
Cl. IIA-2, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
Cl. IIA-3, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
Cl. A-P, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
Cl. A-X, Downgraded to Aa1; previously on 7/5/2004
Assigned Aaa
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF158198
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Trevor Harris
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain GSAA Alt-A Seasoned Deals