A portfolio of first-lien, fixed-rate and prime residential mortgages will secure $321.2 million in residential mortgage-backed securities (RMBS) from the GS Mortgage-Backed Securities Trust 2026-PJ2 (GSMBS 2026-PJ2).
The capital structure includes a long series of class A notes—mostly 'AAA' rated—and B notes, all of which had a final scheduled maturity of August 2056, according to ratings analysts at Fitch Ratings and Morningstar DBRS.
Two hundred, fifty-five loans are in the collateral pool as of the cutoff date.
GSMBS 2026-PJ2's losses are based on a senior-subordinate, shifting-interest structure, according to Fitch.
In the AAA rating stress, Fitch said, the GSMBS 2026-PJ2 expects a 10.3% final probability of default and has a final loss severity in the 'AAA' rating of 33.4%, with an expected loss of 3.45%.
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Shellpoint Mortgage Servicing and PennyMac will service the loans, and UWM has been named as subservicer, while Computershare Trust is the master servicer, Fitch said.
The pool's prime characteristics exceed the prime industry average from 2021 through 2024 by several measures, according to Fitch. All the loans are fixed-rate, compared with 95% for the industry average, and 90.6% of the mortgages are financing a primary residence, also higher than the industry average, at 87.6%, the rating agency said.
The home loans have a Fitch FICO score of 778, higher than the 764 for the prime industry average.
In terms of leverage, however, GSMBS 2026-PJ2's leverage is slightly higher than the prime industry average though, with a loan-to-value (LTV) ratio of 72.4%, compared to 66.0%.
As for the borrower profile, they have $420,154 in reserves on a weighted average (WA) basis, and a debt-to-income ratio of 36.3%.
Outside of the class A notes, Fitch assigns A, BBB, BB and B to the B2, B3, B4 and B5 notes, respectively.
DBRS ratings range from (P) AAA (sf) on the class A notes to (P) B (low) (SF) on the B5 class.
