A pool of 30-year, fixed-rate mortgages financing mainly jumbo loans will collateralize the $333 million deal from GS Mortgage-Backed Securities Trust 2023-PJ4.
On average, the 287 fixed-rate loans in the pool have a balance of $1.1 million, and have about 6.2 months of seasoning, according to a pre-sale report from Fitch Ratings. Goldman Sachs is the lead manager on the deal, according to the Asset Securitization Report's deal database.
Goldman Sachs Mortgage, meanwhile, is sponsoring the deal, and among originators that contributed loans to the collateral pool, United Shore Financial Services accounts for the largest share, at 42.5%. Other contributors include AmeriHome Mortgage (15.86%), and CompanyCrossCountry Mortgage (7.3%), while other mortgage originators together accounted for 35.25% of the pool. Each lender accounted for less than 10% of the pool, Fitch said.
On a weighted average basis the loans have an original loan-to-value (LTV) of 72.6%, and a month-to-month cumulative LTV of 71.4%, according to Fitch. The pool's WA model FICO score is 756, and debt-to-income ratio is 36.9%, the rating agency said. Also on a weighted average basis the collateral has average reserves of $552,445.
Expected losses on the pool were adjusted higher, due to GSMBS 2023-PJ4's smaller loan count compared with previous deals. The GSMBS 2023-PJ3, for instance, was 315, while the prime industry average for 2022-2023 was 718, according to Fitch.
GSMBS 2023-PJ3 is structured with higher subordination floors that protect the senior classes of notes from losses and shut the bottom classes out of principal cash flow. While that structure conveys protection to the senior classes from losses during the life of the deal, it also presents so-called tail risk to the subordinate classes. The senior notes have a subordination floor of 3.5% and a 2.50% subordination floor, Fitch said.
SitusAMS performed due diligence on all of the loans in the pool, according to Fitch.
Fitch expects to assign ratings of 'AAA' to the A-5 through A-21 notes; 'AA+' to the A-23 through A-X notes; 'AA-' on the B-1 notes; 'A-' to the B-2 notes; 'BBB-' to the B-3 notes and 'BB-' and 'B-' to the B-4 and B-5 notes. All of the notes have a final scheduled maturity of August 2053.
