Goldman Sachs Launches Pure Agent MBS Deal



Patience Goldman Sachs Mortgage Co. pays off as the company finally sponsors its first purely agent-based investor RMBS for 2021 through the GS Mortgage-Backed Securities Trust 2021-INV1. The total balance of the collateral pool is approximately USD 325.3 million.

GS Mortgage-Backed Securities Trust 2021-INV1 consists of approximately 1,219 newly issued fixed rate mortgages, eligible for agencies, with an initial maturity of up to 30 years. According to Moody’s Investment Service, the loan average declared principal balance is $ 266,889, and on a weighted average (WA) basis, the mortgage rate is 3.3%.

It is a high quality pool with a credit rating of WA 771, a combined loan-to-value (LTV) ratio of WA of 61.5% and a debt-to-income ratio of WA of 35.9%. In addition, according to Moody’s, a number of borrowers in the pool have more than one mortgage in the pool (the loans are secured by the investor’s non-owner real estate). Such situations account for about 14% of the pool balance.

Moody’s noted that while Goldman Sachs Mortgage is sponsoring the deal, a number of initiators have contributed to the pool, including New Rez, LLC, HomeBridge Financial Services and United Wholesale Mortgage, LLC. The final maturity of the bonds is December 2051. Coupons range from 0.5% to 4.1%.

According to Moody’s, the borrowers in the pool have high incomes, averaging $ 13,441 per month, plus substantial liquid assets of around $ 204,2176 and a stable seniority of 9.4 years on average.

The capital structure is subordinate to senior management with a cash flow method that follows a variable percentage structure. This will allow the subordinated bonds to pay off over time as the loan pool shrinks, Moody’s said. One caveat is that this could over time expose senior bonds to weakening credit enhancement mechanisms and increase the volatility of results.

While the GS Mortgage-Backed Securities Trust has many strengths, geographic concentration has become a potential problem for lending. California accounts for 40.0% of the mortgage pool. Further, it should be noted that metro areas with high costs account for the largest number of loans by city. Los Angeles tops the list with 15.8%; it is followed by New York with 8.2%; Seattle – 7.6%; According to Moody’s, San Francisco is 5.9%, others 18.9%.

The rating agency expects to assign ratings from “Aaa” to A3 “.


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