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Rating Action:

Moody's takes action on $68 million of 2004 Subprime RMBS from GSAMP

29 Mar 2013

New York, March 29, 2013 -- Moody's Investors Service has upgraded the ratings of seven tranches and affirmed the ratings of three tranches from two GSAMP RMBS transactions, backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: GSAMP Trust 2004-FM1

Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 9, 2012 Confirmed at Ba3 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Confirmed at Ca (sf)

Cl. M-3, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Cl. B-1, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Cl. B-2, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Issuer: GSAMP Trust 2004-FM2

Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 9, 2012 Upgraded to Ba3 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Upgraded to Caa2 (sf)

Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Cl. B-3, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Cl. B-4, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to C (sf)

RATINGS RATIONALE

The actions are a result of recent performance reviews of these transactions and reflect Moody's updated loss expectations on these pools.

Today's rating actions constitute of a number of upgrades and affirmations. Today's rating actions take into account the updated pool losses relative to the total credit enhancement available from subordination, as well as excess spread and external enhancement such as pool insurance policies, reserve accounts, and guarantees. In addition, Moody's considered the volatility of the projected losses and the timing of the expected defaults.

Ratings on tranches that currently have very small unrecoverable interest shortfalls are capped at Baa3 (sf). For tranches with larger outstanding interest shortfalls, Moody's applies "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. These rating actions take into account only credit-related interest shortfall risks.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels into 2014.

The above methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor).

Other factors used in these ratings are described in "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009.

When assigning the final ratings to senior bonds, in addition to the methodologies described above, we considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, we also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace.

The primary sources of assumption uncertainty are our central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.7% in February 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions.

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF322281

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

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255

REGULATORY DISCLOSURES

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Edward Hou
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Amita Shrivastava
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's takes action on $68 million of 2004 Subprime RMBS from GSAMP
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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