DBRS Assigns Provisional Ratings to GCAT 2019-RPL1 Trust

DBRS, Inc. (DBRS) assigned provisional ratings to the following Mortgage-Backed Notes, Series 2019-RPL1 (the Notes) to be issued by GCAT 2019-RPL1 Trust (the Trust):

-- $174.6 million Class A-1 at AAA (sf)
-- $14.7 million Class M-1 at AA (sf)
-- $14.3 million Class M-2 at A (sf)
-- $19.3 million Class M-3 at BBB (sf)
-- $11.1 million Class B-1 at BB (sf)
-- $12.6 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Notes reflects the 41.25% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 36.30%, 31.50%, 25.00%, 21.25% and 17.00%, 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 seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 1,754 loans with a total principal balance of $297,685,029 (including the principal reduction alternative (PRA) deferred principal balances of $512,746) as of the Statistical Cut-Off Date (June 30, 2019).

The portfolio is 149 months seasoned and contains 88.1% modified loans. The modifications happened more than two years ago for 50.8% of the modified loans. Within the pool, 617 loans have non-interest-bearing deferred amounts of $25,764,738. Included in the deferred amounts are proprietary principal forgiveness and Home Affordable Modification Program PRA amounts of $512,746. The non-PRA amounts of $25,251,992 comprise approximately 8.5% of the total principal balance. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the current balance including the applicable non-interest-bearing deferred and PRA amounts.

As of the Statistical Cut-off Date, 89.8% of the pool is current, 7.1% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 3.1% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 26.6% and 55.3% of the loans have been zero times 30 days delinquent (0 x 30) for at least 24 months and 12 months, respectively, under the MBA delinquency method. All but 3.4% of the pool is exempt from the Ability-to-Repay/Qualified Mortgage (QM) rules. The applicable loans are designated as either Temporary QM Safe Harbor, QM Rebuttable Presumption or Non-QM.

The Sellers, AG MITT RPL TRS LLC (AG) and AG MITT RPL LLC, acquired the mortgage loans from various sellers in 2018 and 2019 and will contribute the loans to the Trust through an affiliate, GCAT RPL Depositor, LLC (the Depositor). As the Sponsor, AG or one of its majority-owned affiliates will acquire and retain a 5% eligible horizontal interest by retaining the Class B-3, Class B-4, Class B-5, Class A-IO-S, Class C, Class SA and Class PRA Notes to satisfy the credit risk-retention requirements. The loans were originated and previously serviced by various entities through purchases in the secondary market.

As of the Closing Date, the loans will be serviced by Fay Servicing, LLC. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super-lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-2 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired.

The lack of P&I advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially, and subordination levels are greater than expected losses for the rated Notes, which may provide for timely payment of interest to the rated Notes.

The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes.

The full description of the strengths, challenges and mitigating factors are detailed in the related presale 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 or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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