Goldman's latest RMBS of PRET mortgages raises $390.3 million

Goldman Sachs is marketing $390.3 million in residential mortgage-backed securities (RMBS) to investors, backing the notes with a pool of fixed-rate, step-rate and adjustable-rate mortgages.

The pool is backed by fully amortizing loans with terms to maturity of 30 years, primarily, but a small portion has an initial interest-only period.

Most of the underlying loans, 70%, have been modified. PRET 2026-RPL2 Trust is slated to close on May 8, and the notes have a final maturity date in June 2070, according to analysts from Fitch Ratings.

PRET 2026-RPL2 uses a sequential repayment structure, although the notes will not advance any principal and interest from delinquent loans, Fitch said.

PRET will issue the notes through nine tranches of class A, M and B notes. Classes A1, A2, M1 and M2 offer interest rates of 4.50%, according to Fitch analysts. The AAA-rated A1 class of notes will sell the bulk of notes from the deal, $295.1 million, and benefit from credit enhancements equaling 20.40% of the note balance, the rating agency said.

Goldman Sachs is the deal's sponsor and lead underwriter, and in terms of the underlying loans, the bank is also a depositor, according to Fitch. Selene Finance and Newrez are the servicers.

Fitch notes that 768 of the loans in the pool have non-interest bearing principal forbearance, or deferral amounts, totaling $20.9 million of the unpaid principal balance on them, Fitch said.

The deferral amounts were included when calculating the related borrowers' loan-to-value (LTV), despite lower payments and amounts not being owed during the loan term. This also increased their probability of default.

PRET 2026-RPL2's pool consists of 2,417 seasoned and reperforming loans that have an average balance of $161,508, with 80 months of seasoning, Fitch said. On a weighted average (WA) basis, they have a coupon of 5.2% and an original loan-to-value (LTV) ratio of 78.0%, Fitch said.

The vast majority of loans, 85.1%, are current, Fitch said. But 14.9% of the pool was 30 days delinquent by the cutoff date, Fitch said. Overall, 63.0% of the loans have not been delinquent in the past 12 months, and 37.0% have not had a delinquency in the past 12 months or more.

Only 3.6% of the mortgages are second liens, Fitch said, noting that they finance a mix of properties, including single-family homes, townhouses, planned-unit developments and condominiums. Borrowers have a FICO score of 688, and an original debt-to-income (DTI) ratio of 40.8%, the rating agency said.

Fitch assigns ratings of AA on the A2 notes; A and BBB on the M1 and M2 notes; and BB and B on the B1 and B2 notes, the rating agency said.