DBRS Morningstar Assigns Provisional Ratings to GS Mortgage-Backed Securities Trust 2021-MM1

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2021-MM1 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2021-MM1 (GSMBS 2021-MM1):

-- $288.6 million Class A-1 at AAA (sf)
-- $288.6 million Class A-2 at AAA (sf)
-- $34.0 million Class A-3 at AAA (sf)
-- $34.0 million Class A-4 at AAA (sf)
-- $216.4 million Class A-5 at AAA (sf)
-- $216.4 million Class A-6 at AAA (sf)
-- $72.1 million Class A-7 at AAA (sf)
-- $72.1 million Class A-8 at AAA (sf)
-- $322.5 million Class A-9 at AAA (sf)
-- $322.5 million Class A-10 at AAA (sf)
-- $322.5 million Class A-X-1 at AAA (sf)
-- $288.6 million Class A-X-2 at AAA (sf)
-- $34.0 million Class A-X-3 at AAA (sf)
-- $216.4 million Class A-X-5 at AAA (sf)
-- $72.1 million Class A-X-7 at AAA (sf)
-- $322.5 million Class A-X-10 at AAA (sf)
-- $4.9 million Class B-1 at AA (sf)
-- $4.9 million Class B-2 at A (sf)
-- $2.7 million Class B-3 at BBB (sf)
-- $1.5 million Class B-4 at BB (sf)
-- $849,000 Class B-5 at B (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-5, A-X-7, and A-X-10 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-X-2, A-X-3, A-X-5, A-X-7, and A-X-10 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 certificate (Classes A-3, A-4, A-9, A-10, A-X-1, A-X-2, A-X-3, A-X-5, A-X-7, and A-X-10) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.55%, 2.10%, 1.30%, 0.85%, and 0.60% 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 371 loans with a total principal balance of $339,491,581 as of the Cut-Off Date (November 1, 2021).

Movement Mortgage, LLC (Movement Mortgage) originated all the loans in the pool, and Goldman Sachs Mortgage Company is the Sponsor and Mortgage Loan Seller of the transaction. This transaction represents the first GSMBS prime securitization that includes 100% Movement Mortgage loans, but the 20th postcrisis prime securitization issued from the GSMBS shelf.

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of two months. The pool is composed of nonagency, prime jumbo mortgage loans, which were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac, but were ineligible for purchase by such agencies because of loan size.

NewRez LLC doing business as Shellpoint Mortgage Servicing will service the mortgage loans. Computershare Trust Company, N.A. will act as the Master Servicer, Securities Administrator, Certificate Registrar, 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.

Coronavirus Impact
The Coronavirus Disease (COVID-19) 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. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the coronavirus, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an active coronavirus-related forbearance plan with the Servicer.

For more information regarding the economic stress assumed under its baseline scenario, please see the DBRS Morningstar commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” dated September 8, 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 challenges that include their R&W framework and servicers’ financial capabilities.

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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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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