KBRA Assigns Preliminary Ratings to $325M GS Mortgage-Backed Securities Trust Offering

Kroll Bond Rating Agency (KBRA) said Thursday it assigned preliminary ratings to 38 classes of mortgage pass-through certificates from GS Mortgage-Backed Securities Trust 2021-INV1 (GSMBS 2021-INV1) valued at more than $325 million.

The transaction is backed by prime, agency-eligible, investment-purpose mortgage loans. The pool comprises 1,219 first-lien, fixed rate residential mortgage loans with an aggregate principal balance of $325.3 million as of the August 1, 2021 cut-off date. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the weighted-average original loan-to-value ratio of 61.4% and weighted-average original combined loan-to-value ratio of 61.5%. The weighted average original credit score is 767, which is well within the prime mortgage range.

The preliminary ratings assigned by KBRA are as follows:

• A-3, A-5, A-7, A-9, A-9-X, A-X-1, A-X-3, A-X-4, A-X-5, A-X-7: AAA
• B-1-A, B-A-X: AA+
• B-2-A, B-2-X: A+
• B-3-A, B-3-X: BBB+
• B-4: BB+
• B-5: B+
• B-6, A-IO-S, A-R: Not rated

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, an examination of the results from third-party loan file due diligence, cash-flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties, and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

The loans were originated by NewRez LLC, HomeBridge Financial Services Inc., and United Shore Financial Services LLC. The loan servicer is Shellpoint Mortgage Servicing and the master servicer is Nationstar Mortgage LLC.

A large majority of the mortgage loans (97.3%) are exempt from both the Qualified Mortgage (QM)/Abilityto-Repay (ATR) and TILA-RESPA Integrated Disclosure (TRID) rules as they were business-purpose loans on non-owner-occupied investment properties. The remaining loans (2.7%) are considered to be consumer-purpose, despite their occupancy status, based on a review conducted by the Sponsor via the TPR firms. These loans are subject to the ATR and TRID rules. All of the consumer-purpose loans are considered Qualified Mortgage-Agency Safe Harbor (2.6%) or Higher Priced Qualified Mortgage-Agency(0.1%).

The closing date of the offering is August 31, 2021.

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