Goldman Sachs launches a pure agency MBS deal – Asset Securitization ReportFebruary 14, 2022
Goldman Sachs Mortgage Co.’s patience is paying off, as the company finally sponsors its first pure agency investor RMBS for 2021 through the GS Mortgage-Backed Securities Trust 2021-INV1. The collateral pool has an aggregate principal balance of about $325.3 million.
GS Mortgage-Backed Securities Trust 2021-INV1 consists of about 1,219 newly originated, fixed-rate agency eligible mortgage loans, with original terms of up to 30 years. On average, the loans have a stated principal balance of $266,889, and on a weighted average (WA) basis, the mortgage rate is 3.3%, according to Moody’s Investment Service.
It is a high quality pool, with a WA credit score of 771, a WA combined loan-to-value (LTV) of 61.5%, and a WA debt-to-income ratio of 35.9%. Also, a number of borrowers in the pool have more than one mortgage in the pool (the loans are secured by non-owner occupied investor properties), according to Moody’s. Such situations represent about 14% of the pool balance.
Moody’s noted that While Goldman Sachs Mortgage is the deal’s sponsor, a number of originators contributed to the pool, including New Rez, LLC, HomeBridge Financial Services and United Wholesale Mortgage, LLC. The notes have a legal final maturity of December 2051. Coupons range from 0.5% to 4.1%.
Borrowers in the pool have a high income, an average of $13,441 per month, plus significant liquid assets of about $204,2176 and stable employment histories, of an average of 9.4 years, according to Moody’s.
The capital structure features a senior-subordination, with a cash flow method that follows a shifting-interest structure. This will allow subordinated bonds to pay down over time as the loan pool balance declines, Moody’s said. One caveat is that this could expose the senior bonds to eroding credit enhancement over time, and raise performance volatility.
While the GS Mortgage-Backed Securities Trust has a lot of strengths, geographic concentration has emerged as a potential credit concern. California accounts for 40.0% of the mortgage loan pool. Drilling down further, high-cost metro areas comprise the largest representation of the loan balances by cities. Los Angeles leads the list, with 15.8%; followed by New York, with 8.2%; Seattle, with 7.6%; San Francisco, with 5.9%, and others totaling 18.9%, according to Moody’s.
The rating agency expects to assign ratings ranging from ‘Aaa’ to A3’.