DBRS Morningstar Assigns Provisional Ratings to GS Mortgage-Backed Securities Trust 2021-PJ7

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2021-PJ7 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2021-PJ7:

-- $740.4 million Class A-1 at AAA (sf)
-- $740.4 million Class A-2 at AAA (sf)
-- $93.4 million Class A-3 at AAA (sf)
-- $93.4 million Class A-4 at AAA (sf)
-- $444.2 million Class A-5 at AAA (sf)
-- $444.2 million Class A-6 at AAA (sf)
-- $555.3 million Class A-7 at AAA (sf)
-- $555.3 million Class A-7-X at AAA (sf)
-- $555.3 million Class A-8 at AAA (sf)
-- $111.1 million Class A-9 at AAA (sf)
-- $111.1 million Class A-10 at AAA (sf)
-- $296.2 million Class A-11 at AAA (sf)
-- $296.2 million Class A-11-X at AAA (sf)
-- $296.2 million Class A-12 at AAA (sf)
-- $185.1 million Class A-13 at AAA (sf)
-- $185.1 million Class A-14 at AAA (sf)
-- $49.4 million Class A-15 at AAA (sf)
-- $49.4 million Class A-15-X at AAA (sf)
-- $49.4 million Class A-16 at AAA (sf)
-- $49.4 million Class A-17 at AAA (sf)
-- $49.4 million Class A-17-X at AAA (sf)
-- $49.4 million Class A-18 at AAA (sf)
-- $49.4 million Class A-18-X at AAA (sf)
-- $789.8 million Class A-19 at AAA (sf)
-- $789.8 million Class A-20 at AAA (sf)
-- $93.4 million Class A-21 at AAA (sf)
-- $883.2 million Class A-X-1 at AAA (sf)
-- $740.4 million Class A-X-2 at AAA (sf)
-- $93.4 million Class A-X-3 at AAA (sf)
-- $93.4 million Class A-X-4 at AAA (sf)
-- $444.2 million Class A-X-5 at AAA (sf)
-- $111.1 million Class A-X-9 at AAA (sf)
-- $185.1 million Class A-X-13 at AAA (sf)
-- $8.8 million Class B-1 at AA (sf)
-- $13.5 million Class B-2 at A (sf)
-- $10.7 million Class B-3 at BBB (sf)
-- $7.9 million Class B-4 at BB (sf)
-- $1.9 million Class B-5 at B (sf)

Classes A-7-X, A-11-X, A-15-X, A-17-X, A-18-X, A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-9, and A-X-13 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X, A-12, A-14, A-16, A-17, A-17-X, A-18, A-18-X, A-19, A-20, A-21, and A-X-2 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, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, and A-20 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 4.95% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 4.00%, 2.55%, 1.40%, 0.55%, and 0.35% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 953 loans with a total principal balance of $929,183,733 as of the Cut-Off Date (July 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of three months. Approximately 92.2% of the pool are traditional, nonagency, prime jumbo mortgage loans. The remaining 7.8% 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. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report.

The originators for the mortgage pool are Guaranteed Rate, Inc, Guaranteed Rate Affinity, LLC, and Proper Rate, LLC, together as Guaranteed Rate Parties (46.2%); CrossCountry Mortgage, LLC (14.7%); 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 (10.4%) and were subsequently acquired by the Mortgage Loan Seller.

NewRez LLC (doing business as Shellpoint Mortgage Servicing) will service the mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator, Rule 17g-5 Information Provider, 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 transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure.

No loans in this transaction, as permitted by the Coronavirus Aid, Relief, and Economic Security Act, signed into law on March 27, 2020, had been granted forbearance plans because the borrowers reported financial hardship related to the Coronavirus Disease (COVID-19) pandemic.

Coronavirus Impact
The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes, shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forebear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its moderate scenario (see “Global Macroeconomic Scenarios - June 2021 Update,” published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and commentary: “DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19),” dated March 12, 2020; “DBRS Morningstar Global Structured Finance Rating Methodologies and Coronavirus Disease (COVID-19),” dated March 20, 2020; and “Global Macroeconomic Scenarios - June 2021 Update ,” dated June 18, 2021.

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans.

The ratings reflect transactional weaknesses that include their R&W framework, entities lacking financial strength or securitization history, servicer’s financial capabilities, and borrowers on forbearance plans.

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

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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 (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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@dbrsmorningstar.com.

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

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