Goldman Sachs launches pure agency MBS deal

Goldman Sachs Mortgage Co.’s patience is paying off, as the company is finally sponsoring its first pure RMBS agency investor for 2021 through the GS Mortgage-Backed Securities Trust 2021-INV1. The collateral pool has an aggregate capital balance of approximately $ 325.3 million.

GS Mortgage-Backed Securities Trust 2021-INV1 consists of approximately 1,219 newly issued qualifying fixed rate mortgages, with initial 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) ratio of 61.5% and a WA debt to income ratio of 35.9%. In addition, a number of borrowers in the pool have more than one mortgage in the pool (loans are secured by unowned investor properties), according to Moody’s. Such situations represent around 14% of the pool balance.

Moody’s noted that although Goldman Sachs Mortgage is the sponsor of the deal, a number of originators have 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. The coupons range from 0.5% to 4.1%.

Borrowers in the pool have high income, averaging $ 13,441 per month, along with significant cash flow of about $ 204,2176 and a stable employment history, averaging 9.4 years, according to Moody’s.

The capital structure has a first ranking subordination, with a cash flow method that follows a changing interest structure. This will allow the subordinated bonds to repay over time as the loan pool balance decreases, Moody’s said. One caveat is that this could expose senior bonds to erosion of credit enhancement over time and increase performance volatility.

While the GS Mortgage-Backed Securities Trust has many strengths, geographic concentration has become a potential credit issue. California represents 40.0% of the mortgage pool. Going further, high-cost metropolitan areas are the largest representation of loan balances by city. Los Angeles tops 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 plans to assign ratings ranging from “Aaa” to A3 “.

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