GS Mortgage-Backed Trust to market $593 million on prime, fixed RMBS

A pair of transactions from the GS Mortgage-Backed Securities Trust program will issue a combined $593.5 million in prime quality, first-lien, fixed-rate residential mortgage-backed securities.

Slated to close on March 28, the transactions are similar in characteristics and structure, according to ratings analysts at DBRS Morningstar. Goldman Sachs Mortgage Co is the sponsor and seller, and the investment bank itself, Goldman Sachs & Co., will be the initial note purchaser, the rating agency said.

They are called the GS Mortgage-Backed Securities Trust, series 2024-PJ3 and 2024-PJ4. In both cases United Wholesale Mortgage originated the largest proportion of loans, with full documentation. United accounted for 30.2% of the pool, while other originators accounted for either slightly more than 10% or less than 10%. The trust will repay noteholder on the 25th of each month in both cases. Both series of notes will repay investors through a senior-subordinate, pro rata capital structure that uses a locked-out class and a senior enhancement floor to mitigate tail risk and shore up credit support to the notes, according to DBRS.

On a combined basis the two portfolios have 594 underlying loans; the GSMBS-PJ3 series has an outstanding pool balance of $292.5 million, with an average loan balance of $978.3 million, and the GSMBS-PJ4 has an outstanding pool balance of $300.9 million, and an average loan balance of $1 million, DBRS said.

Other characteristics are very similar. On a weighted average (WA) basis, the collateral loans in GSMBS-PJ3 have a 765 FICO score; a debt-to-income ratio of 38.15%; an original cumulative loan-to-value ratio of 73.6%; and seasoning of eight months.

Single-family homes, including planned-unit developments and townhomes, accounted for almost the entire pool, at 92.8%, in both series. Also in both cases, 89.9% of the loans are used for purchases, while just 6.5% and 3.6% are used for refinance and cash-outs, DBRS said.

Borrowers have an average annual income of $503,009 with liquid reserves of $506,238

on the GSMBS-PJ3 pool, and an average annual income of $536,762, and liquid reserves of $497,719 on the GSMBS-PJ4.

Fitch Ratings and DBRS assigns AAA to all the A tranches. DBRS assigns ratings of AA to the B1 notes and A to the B2 notes; and BBB through B on the B3 through B5 tranches. For its part, Fitch assigns ratings of AA- to the B1 notes; A- to the B2 notes; BBB- to the B3 notes; BB- to the B4 notes and B- to the B5 tranches.

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