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Rating Action:

Moody's takes action on $624 Million of Subprime RMBS issued by GSAMP

17 Sep 2010

New York, September 17, 2010 -- Moody's Investors Service has downgraded the ratings of 15 tranches and confirmed the ratings of 2 tranches from three RMBS transactions issued by GSAMP. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages.

Issuer: GSAMP Trust 2006-HE1

Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to A3 (sf); previously on Jan 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade

Cl. A-2D, Downgraded to Ba1 (sf); previously on Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to Caa2 (sf); previously on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to C (sf); previously on Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade

Cl. M-3, Downgraded to C (sf); previously on Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade

Issuer: GSAMP Trust 2006-NC2

Cl. A-1, Downgraded to Caa2 (sf); previously on Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to B1 (sf); previously on Jan 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to Ca (sf); previously on Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2D, Confirmed at Ca (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

Issuer: GSAMP Trust 2007-H1

Cl. A-1A, Confirmed at A2 (sf); previously on Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade

Cl. A-1B, Downgraded to Caa3 (sf); previously on Jan 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

Cl. A-1C, Downgraded to Ca (sf); previously on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade

Cl. A-2A2S, Downgraded to Aa2 (sf); previously on Mar 13, 2009 Confirmed at Aaa (sf)

Cl. A-2B, Downgraded to Caa3 (sf); previously on Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2C, Downgraded to Ca (sf); previously on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to C (sf); previously on Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The actions are a result of the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007.

To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings.

The principal methodology used in rating these notes was "Subprime RMBS Loss Projection Update: February 2010"rating methodology published in February 2010. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment remains at high levels, and weakness persists in the housing market. Moody's notes an increasing potential for a double-dip recession, which could cause a further 20% decline in home prices (versus its baseline assumption of roughly 5% further decline). Overall, Moody's assumes a further 5% decline in home prices with stabilization in early 2011, accompanied by continued stress in national employment levels through that timeframe.

A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689

For more information please see www.moodys.com.

Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating.

A list of these actions including CUSIP identifiers may be found at:

Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF218962

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, confidential and proprietary Moody's Analytics' information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

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Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Mark Branton
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
USA

Moody's takes action on $624 Million of Subprime RMBS issued by GSAMP
No Related Data.
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