DBRS Morningstar Assigns Provisional Ratings to GS Mortgage-Backed Securities Trust 2020-PJ2

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-PJ2 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2020-PJ2 (GSMBS 2020-PJ2):

-- $336.4 million Class A-1 at AAA (sf)
-- $336.4 million Class A-2 at AAA (sf)
-- $36.8 million Class A-3 at AAA (sf)
-- $36.8 million Class A-4 at AAA (sf)
-- $252.3 million Class A-5 at AAA (sf)
-- $252.3 million Class A-6 at AAA (sf)
-- $84.1 million Class A-7 at AAA (sf)
-- $84.1 million Class A-8 at AAA (sf)
-- $373.2 million Class A-9 at AAA (sf)
-- $373.2 million Class A-10 at AAA (sf)
-- $373.2 million Class A-X-1 at AAA (sf)
-- $36.8 million Class A-X-3 at AAA (sf)
-- $252.3 million Class A-X-5 at AAA (sf)
-- $84.1 million Class A-X-7 at AAA (sf)
-- $336.4 million Class A-X-8 at AAA (sf)
-- $4.9 million Class B-1 at AA (sf)
-- $6.7 million Class B-2 at A (sf)
-- $5.3 million Class B-3 at BBB (sf)
-- $3.0 million Class B-4 at BB (sf)
-- $792.0 thousand Class B-5 at B (sf)

Classes A-X-1, A-X-3, A-X-5, A-X-7, and A-X-8 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9, A-10, and A-X-8 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes A-1, A-2, A-5, A-6, A-7, and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.70% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.45%, 2.75%, 1.40%, 0.65%, and 0.45% of credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.

GSMBS 2020-PJ2 is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 528 loans with a total principal balance of $395,759,2691 as of the Cut-Off Date (February 1, 2020).

The originators for the mortgage pool are United Shore Financial Services, LLC (40.8%); loanDepot.com, LLC (14.6%); and various other originators, each comprising less than 10.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans were sold to MAXEX Clearing LLC (9.2%) and SG Capital Partners LLC (0.7%) and were subsequently acquired by the Mortgage Loan Seller.

NewRez LLC doing business as Shellpoint Mortgage Servicing will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) File Reviewer.

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of three months. Approximately 33.2% of the pool are conforming high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 66.8% of the pool are traditional nonagency prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related presale report.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure.

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, and a satisfactory third-party due-diligence review.

This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers, and sunset provisions that allow for certain R&Ws to expire within three to five years after the Closing Date. To capture the perceived weaknesses in the R&W framework, DBRS Morningstar reduced the originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities.

The full description of the strengths, challenges, and mitigating factors is detailed in the related presale report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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