DBRS Finalizes Provisional Ratings on GS Mortgage-Backed Securities Trust 2019-PJ1

DBRS, Inc. (DBRS) finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-PJ1 (the Certificates) issued by GS Mortgage-Backed Securities Trust 2019-PJ1 as follows:

-- $196.0 million Class A-1 at AAA (sf)
-- $196.0 million Class A-2 at AAA (sf)
-- $18.6 million Class A-3 at AAA (sf)
-- $18.6 million Class A-4 at AAA (sf)
-- $147.0 million Class A-5 at AAA (sf)
-- $147.0 million Class A-6 at AAA (sf)
-- $49.0 million Class A-7 at AAA (sf)
-- $49.0 million Class A-8 at AAA (sf)
-- $214.6 million Class A-9 at AAA (sf)
-- $214.6 million Class A-10 at AAA (sf)
-- $214.6 million Class A-X-1 at AAA (sf)
-- $18.6 million Class A-X-3 at AAA (sf)
-- $147.0 million Class A-X-5 at AAA (sf)
-- $49.0 million Class A-X-7 at AAA (sf)
-- $2.9 million Class B-1 at AA (sf)
-- $6.2 million Class B-2 at A (sf)
-- $3.3 million Class B-3 at BBB (sf)
-- $2.0 million Class B-4 at BB (sf)
-- $577.0 thousand Class B-5 at B (sf)

Classes A-X-1, A-X-3, A-X-5 and A-X-7 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-4, A-6, A-8, A-9 and A-10 are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates, as specified in the offering documents.

Classes A-1, A-2, A-5, A-6, A-7 and A-8 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-3 and A-4) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect the 6.95% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 5.70%, 3.00%, 1.55%, 0.70% and 0.45% of credit enhancement, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of prime, first-lien, fixed-rate residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 334 loans with a total principal balance of $230,602,197 as of the Cut-Off Date (March 1, 2019).

The originators for the mortgage pool are loanDepot.com, LLC (loanDepot; 47.3%); Pentagon Federal Credit Union (19.3%); Caliber Home Loans, Inc. (17.8%); and Provident Funding Associates, L.P. (Provident; 15.6%). Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction.

NewRez LLC (formerly known as New Penn Financial, LLC) doing business as Shellpoint Mortgage Servicing will service approximately 52.7% of the mortgage loans. loanDepot will own the mortgage servicing rights for 47.3% of the pool and Cenlar FSB will service such loans as the sub-servicer. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer.

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of six months. Approximately 24.8% of the pool are conforming, high-balance mortgage loans that were underwritten by loanDepot and Provident using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 75.2% of the pool are traditional, non-agency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related rating report.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review.

This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, some unrated R&W providers, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to five years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS reduced the originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities.

The full description of the strengths, challenges and mitigating factors is detailed in the related rating report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

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