DBRS Morningstar Assigns Ratings to GS Mortgage-Backed Securities Trust 2023-RPL1

DBRS, Inc. (DBRS Morningstar) assigned ratings to the Mortgaged-Backed Securities, Series 2023-RPL1 (the Notes) issued by GS Mortgage-Backed Securities Trust 2023-RPL1 (GSMBS 2023-RPL1 or the Trust), as follows:

-- $294.7 million Class A-1 at AAA (sf)
-- $27.2 million Class A-2 at AA (high) (sf)
-- $321.9 million Class A-3 at AA (high) (sf)
-- $341.7 million Class A-4 at A (high) (sf)
-- $356.5 million Class A-5 at BBB (high) (sf)
-- $19.7 million Class M-1 at A (high) (sf)
-- $14.8 million Class M-2 at BBB (high) (sf)
-- $10.1 million Class B-1 at BB (high) (sf)
-- $6.9 million Class B-2 at B (high) (sf)
-- $6.9 million Class B-3 at B (sf)

The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) rating on the Notes reflects 25.35% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and B (sf) ratings reflect 18.45%, 13.45%, 9.70%, 7.15%, 5.40%, and 3.65% of credit enhancement, respectively.

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

DBRS, Inc. (DBRS Morningstar) assigned ratings to GS Mortgage-Backed Securities Trust 2023-RPL1 (GSMBS 2023-RPL1 or the Trust), a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 2,834 loans with a total principal balance of $415,559,596 as of the Cut-Off Date (February 28, 2023).

The portfolio is approximately 189 months seasoned and contains 86.0% modified loans. The modifications happened more than two years ago for 77.3% of the modified loans. Within the pool, 974 mortgages have non-interest-bearing deferred amounts, which equate to approximately 9.8% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts.

As of the Cut-Off Date, 98.9% of the loans in the pool are current. Approximately 1.1% of the loans are in bankruptcy. (All bankruptcy loans are performing.) Approximately 59.6% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method, and 99.2% have been 0 x 30 for at least the past 12 months under the MBA delinquency method.

The majority of the pool (92.8%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (7.2%).

The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 98.71%) and MCLP Asset Company, Inc. (MCLP; 1.29%), acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market.

The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.

As of the Cut-Off Date, approximately 74.0% of the loans are serviced by an Interim Servicer. All servicing will be transferred to NewRez LLC (NewRez) doing business as Shellpoint Mortgage Servicing (Shellpoint; 100.0%) by May 1, 2023.

Similar to previous GSMBS RPL securitizations, the servicing fee payable for GSMBS 2023-RPL1 will be calculated using a dollar servicing fee construct. The monthly servicing fee charged per loan will be determined based on the delinquency status of each mortgage loan with a maximum servicing fee of 0.35%. In its analysis, DBRS Morningstar assumed a fixed aggregate servicing fee rate higher than suggested by the dollar servicing fee construct.

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 to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable).

When the aggregate pool balance of the mortgage loans is reduced to less than 25% of the Cut-Off Date balance, the Controlling Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Controlling Noteholder will be the beneficial owner of more than 50% of the Class B-5 Notes (if no longer outstanding, the next most subordinate Class of Notes, other than Class X).

As a loss-mitigation alternative, the Controlling Noteholder may direct the Servicer to sell mortgage loans that are in an early or advanced stage of default or for which foreclosure or default is imminent to unaffiliated third-party investors in the secondary whole-loan market on arm's-length terms and at fair market value to maximize proceeds on such loans on a net present value basis.

The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M-1 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties' fees, Net Weighted-Average Coupon (WAC) shortfalls, and making deposits to the breach reserve account.

The ratings reflect transactional strengths that include the following:
-- Loan-to-Value Ratios,
-- Current loan status,
-- Seasoning, and
-- Satisfactory third-party due-diligence review.

The transaction also includes the following challenges:
-- Representations and warranties framework,
-- No servicer advances of delinquent principal and interest, and
-- Assignments, endorsements, and missing documents.

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

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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

The principal methodology applicable to the ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410473).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/407678/baseline-macroeconomic-scenarios-for-rated-sovereigns-december-2022-update.

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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 [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (May 4, 2020),
https://www.dbrsmorningstar.com/research/360574/assessing-us-rmbs-pools-under-the-ability-to-repay-rules

-- Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022),
https://www.dbrsmorningstar.com/research/402153/interest-rate-stresses-for-us-structured-finance-transactions

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 11, 2020),
https://www.dbrsmorningstar.com/research/366613/third-party-due-diligence-criteria-for-us-rmbs-transactions

-- Representations and Warranties Criteria for U.S. RMBS Transactions (April 22, 2020),
https://www.dbrsmorningstar.com/research/359902/representations-and-warranties-criteria-for-us-rmbs-transactions

-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

-- Operational Risk Assessment for U.S. RMBS Originators (November 23, 2022),
https://www.dbrsmorningstar.com/research/405664/operational-risk-assessment-for-us-rmbs-originators

-- Operational Risk Assessment for U.S. RMBS Servicers (November 23, 2022),
https://www.dbrsmorningstar.com/research/405665/operational-risk-assessment-for-us-rmbs-servicers

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].