Goldman sells $373.2 million in MBS from a pool of mostly modified mortgages

A pool of about 2,265 first-lien residential mortgages will secure about $373.2 million in mortgage-backed notes from the GS Mortgage-Backed Securities Trust.

It is a Goldman Sachs deal through and through with several Goldman entities in the role of sponsor, seller and manager. According to the collateral characteristics, from DBRS Morningstar's observation, virtually all underlying loans are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay/Qualified Mortgage Rules; they are modified loans (96.3%); and of that group almost all were modified more than two years ago (97.5%).

DBRS added that the underlying mortgages have about 208 months of seasoning.

As of the deal's cutoff date, 83.7% of the pool was considered current, it said.

Shellpoint Mortgage Servicing, SPS, Selene and Fay are servicers, according to ratings analysts from Fitch Ratings, while Goldman Sachs is also the lead underwriter and initial note purchaser.

According to GSMBS 2024-RPL2's capital structure, the deal will issue A, M and C class notes through 12 tranches, including a risk-retention piece, according to Fitch. Along with DBRS, Fitch assigned ratings to classes A-1 through B-2. All of the notes have a final maturity date of July 2061, according to Fitch.

The structure will repay investors on a senior-subordinate, sequential basis, according to the rating agencies. Subordinate classes will not receive any principal until the senior classes are repaid in full. Meanwhile the notes absorb losses in a reverse-sequential order. Further, the structure calls for the trust to reallocate principal so that interest is paid on the AAA through AA rated notes before other principal distributions.

The most senior tranche, the class A-1 notes, will pay an interest rate of 3.75%, while the rest of the structure is expected to offer investors a net weighted average coupon, according to Fitch.

Such a high exposure to modified loans could result in reduced interest collections and therefore, less excess cash flow in the pool in the future, the rating agencies note.

DBRS assigns ratings of AAA, AA, A, BBB, A, BBB, BB and B to the A1; A2 and A3; A4; A5; M1; M2; BB and B, respectively. Fitch, meanwhile, assigns AAA to the A1 notes; AA to the A2; A to the M1; BBB to the M2; BB to the B1 and B to the B2.