DBRS Morningstar Assigns Ratings to GS Mortgage-Backed Securities Trust 2022-RPL1
RMBSDBRS, Inc. (DBRS Morningstar) assigned ratings to the following Mortgaged-Backed Securities, Series 2022-RPL1 (the Notes) issued by GS Mortgage-Backed Securities Trust 2022-RPL1 (GSMBS 2022-RPL1 or the Trust):
-- $231.7 million Class A1 at AAA (sf)
-- $12.6 million Class A2 at AA (sf)
-- $8.8 million Class M1 at A (sf)
-- $7.5 million Class M2 at BBB (sf)
-- $4.1 million Class B1 at BB (sf)
-- $3.5 million Class B2 at B (sf)
-- $244.3 million Class A3 at AA (sf)
-- $253.1 million Class A4 at A (sf)
-- $260.6 million Class A5 at BBB (sf)
The Class A3, A4, and A5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.
The AAA (sf) ratings on the Notes reflect 14.75% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 10.10%, 6.85%, 4.10%, 2.60%, and 1.30% of credit enhancement, respectively.
Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.
This transaction is a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of mortgage-backed notes. The Notes are backed by 2,870 loans with a total principal balance of $286,054,025 as of the Cut-Off Date (January 31, 2022).
The portfolio is approximately 198 months seasoned and contains 58.8% modified loans. The modifications happened more than two years ago for 85.3% of the modified loans. Within the pool, 495 mortgages have non-interest-bearing deferred amounts, which equates to approximately 2.1% of the total principal balance. There are no government-sponsored enterprise Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts.
As of the Cut-Off Date, 98.6% of the loans in the pool are current. Approximately 1.4% are 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 1.1% are in bankruptcy (all bankruptcy loans are performing). Approximately 70.1% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency method.
The majority of the pool (98.5%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (1.5%).
The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 95.9%), MCLP Asset Company, Inc. (MCLP; 2.6%), and MTGLQ Investors, L.P. (MTGLQ; 1.5%), acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market.
The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.
The mortgage loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The initial aggregate servicing fee for the GSMBS 2022-RPL1 portfolio will be 0.25% per annum.
There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the Servicer deems such advances recoverable).
When the aggregate pool balance of the mortgage loans is reduced to less than 25% of the Cut-Off Date balance, the Controlling Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Controlling Noteholder will be the beneficial owner of more than 50% of the Class B5 Notes (if no longer outstanding the next most subordinate class of Notes, other than Class X).
As a loss mitigation alternative, the Controlling Noteholder may direct the Servicer to sell mortgage loans that are in an early or advanced stage of default or for which foreclosure or default is imminent to unaffiliated third-party investors in the secondary whole loan market on arms-length terms and at fair market value to maximize proceeds on such loans on a net present value basis.
The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M1 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties' fees, net weighted-average coupon shortfalls, and making deposits on to the breach reserve account.
CORONAVIRUS DISEASE (COVID-19) IMPACT
The 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 pandemic, DBRS Morningstar saw an increase in 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 pandemic, the option to forbear 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, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers.
For more information regarding the economic stress assumed under its baseline scenario, please see the following DBRS Morningstar commentary: Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update, dated December 9, 2021.
The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS Morningstar ratings of A (sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes.
The full description of the strengths, challenges, and mitigating factors are detailed in the related rating 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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