DBRS Morningstar Finalizes Provisional Credit Ratings on GS Mortgage-Backed Securities Trust 2023-PJ5

DBRS, Inc. (DBRS Morningstar) finalized the following provisional credit ratings to Mortgage-Backed Notes, Series 2023-PJ5 (the Notes) issued by GS Mortgage-Backed Securities Trust 2023-PJ5 (GSMBS 2023-PJ5):

-- $304.4 million Class A-1 at AA (high) (sf)
-- $304.4 million Class A-1-X at AA (high) (sf)
-- $304.4 million Class A-2 at AA (high) (sf)
-- $278.9 million Class A-3 at AAA (sf)
-- $278.9 million Class A-3A at AAA (sf)
-- $278.9 million Class A-3-X at AAA (sf)
-- $278.9 million Class A-4 at AAA (sf)
-- $278.9 million Class A-4A at AAA (sf)
-- $139.5 million Class A-5 at AAA (sf)
-- $139.5 million Class A-5-X at AAA (sf)
-- $139.5 million Class A-6 at AAA (sf)
-- $167.4 million Class A-7 at AAA (sf)
-- $167.4 million Class A-7-X at AAA (sf)
-- $167.4 million Class A-8 at AAA (sf)
-- $27.9 million Class A-9 at AAA (sf)
-- $27.9 million Class A-9-X at AAA (sf)
-- $27.9 million Class A-10 at AAA (sf)
-- $69.7 million Class A-11 at AAA (sf)
-- $69.7 million Class A-11-X at AAA (sf)
-- $69.7 million Class A-12 at AAA (sf)
-- $41.8 million Class A-13 at AAA (sf)
-- $41.8 million Class A-13-X at AAA (sf)
-- $41.8 million Class A-14 at AAA (sf)
-- $209.2 million Class A-15 at AAA (sf)
-- $209.2 million Class A-15-X at AAA (sf)
-- $209,2 million Class A-16 at AAA (sf)
-- $139.5 million Class A-17 at AAA (sf)
-- $139.5 million Class A-17-X at AAA (sf)
-- $139.5 million Class A-18 at AAA (sf)
-- $111.6 million Class A-19 at AAA (sf)
-- $111.6 million Class A-19-X at AAA (sf
-- $111.6 million Class A-20 at AAA (sf)
-- $69.7 million Class A-21 at AAA (sf)
-- $69.7 million Class A-21-X at AAA (sf)
-- $69.7 million Class A-22 at AAA (sf)
-- $25.4 million Class A-23 at AA (high) (sf)
-- $25.4 million Class A-23-X at AA (high) (sf)
-- $25.4 million Class A-24 at AA (high) (sf)
-- $304.4 million Class A-X at AA (high) (sf)
-- $7.2 million Class B-1 at AA (low) (sf)
-- $7.2 million Class B-2 at A (low) (sf)
-- $4.1 million Class B-3 at BBB (low) (sf)
-- $2.3 million Class B-4 at BB (sf)
-- $1.3 million Class B-5 at B (sf)

Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, and A-X are interest-only (IO) notes. The class balances represent notional amounts.

Classes A-1, A-1-X, A-2, A-3, A-3A, A-3-X, A-4, A-4A, A-6, A-7, A-7-X, A-8, A-10, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, and A-24 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents.

Classes A-3, A-3A, A-4, A-4A, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, and A-22 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-23 and A-24) with respect to loss allocation.

The AAA (sf) credit ratings on the Notes reflect 15.00% of credit enhancement provided by subordinated notes. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 7.25%, 5.05%, 2.85%, 1.60%, 0.90%, and 0.50% credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 268 loans with a total principal balance of $328,165,691 as of the Cut-Off Date (October 1, 2023).

The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. The weighted-average (WA) original combined loan-to-value ratio (CLTV) for the portfolio is 72.9% and the minority of the pool (9.0%) comprises loans with DBRS Morningstar calculated current CLTVs greater than 80.0%, but not higher than 90%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, low debt-to-income (DTI) ratios, robust income, and reserves, as well as other strengths detailed in the Key Probability of Default Drivers section of the related rating report. In addition, all the loans in the pool were originated in accordance with the new general qualified mortgage (QM) rule.

The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (54.9%), Cross Country Mortgage, LLC (15.7%), Guaranteed Rate, Inc (6.1%), and various other originators, each comprising less than 10.0% of the pool.

The mortgage loans will be serviced by Newrez, LLC doing business as (d/b/a) Shellpoint Mortgage Servicing (96.4%) and UWM (3.6%).

Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider, and Custodian. U.S. Bank Trust National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will act as Delaware Trustee. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer.

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

This transaction allows for the issuance of Classes A-3L, A-4L, A-16L, and A-22L loans, which are the equivalent of ownership of Classes A-3, A-4, A-16, and A-22 Notes, respectively. These classes as issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected.

The credit ratings reflect transactional strengths that include the following:
-- High-quality credit attributes
-- Well-qualified borrowers
-- Satisfactory third-party due-diligence review
-- Structural enhancements
-- 100% current loans

The transaction also includes the following challenges:
-- R&W framework.
-- Servicers’ financial capabilities

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

DBRS Morningstar’s credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Payment Amounts, the related Interest Shortfalls, and the and Principal Payment Amounts (for non-IO Certificates).

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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/416784 (July 4, 2023).

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

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023; https://www.dbrsmorningstar.com/research/420108).

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/384482.

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

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

This is a solicited credit rating.

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

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit 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 (April 28, 2023),
https://www.dbrsmorningstar.com/research/413297

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), https://www.dbrsmorningstar.com/research/415687

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023),
https://www.dbrsmorningstar.com/research/420333

-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023), https://www.dbrsmorningstar.com/research/414076

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

-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023), https://www.dbrsmorningstar.com/research/420106

-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023), https://www.dbrsmorningstar.com/research/420107

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