Morningstar DBRS Finalizes Provisional Credit Ratings on PRET 2024-RPL2 Trust

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the PRET 2024-RPL2 Trust Mortgage-Backed Notes, Series 2024-RPL2 (the Notes) issued by PRET 2024-RPL2 Trust (PRET 2024-RPL2 or the Trust) as follows:

-- $286.5 million Class A-1 at AAA (sf)
-- $22.6 million Class A-2 at AA (high) (sf)
-- $309.1 million Class A-3 at AA (high) (sf)
-- $330.5 million Class A-4 at A (high) (sf)
-- $348.0 million Class A-5 at BBB (sf)
-- $21.4 million Class M-1 at A (high) (sf)
-- $17.5 million Class M-2 at BBB (sf)
-- $9.5 million Class B-1 at BB (high) (sf)
-- $7.4 million Class B-2 at B (high) (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) credit rating on the Notes reflects 26.40% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 20.60%, 15.10%, 10.60%, 10.60%, and 8.15% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,851 loans with a total principal balance of $409,733,315 as of the Cut-Off Date (July 31, 2024).

The mortgage loans are approximately 182 months seasoned. As of the Cut-Off Date, 95.3% of the loans are current (including 2.3% bankruptcy-performing loans), and 4.8% of the loans are 30 days delinquent (including 0.5% bankruptcy loans) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 46.1% and 74.6% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively.

The portfolio contains 88.3% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 86.9% of these loans. Within the pool, 830 mortgages have an aggregate non-interest-bearing deferred amount of $31,804,839 which comprises 7.8% of the total principal balance.

PRET 2024-RPL2 represents the fourth rated securitization of the seasoned performing and reperforming residential mortgage loans issued by the Sponsor, Goldman Sachs Mortgage Company (GSMC), but the second on the PRET shelf. The Sponsor is registered with the U.S. Securities and Exchange Commission and incorporated in the state of Delaware.

The Mortgage Loan Seller will contribute the loans to the Trust through GS Mortgage Securities Corp. (the Depositor). As the Sponsor, GSMC or one of its majority-owned affiliates will acquire and retain a 5% eligible interest of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.

Selene Finance LP (Selene) is servicing all the loans. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners 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 Controlling Holder will have the option to direct the Servicer to sell any mortgage loan that becomes 90-plus days delinquent in a sale conducted at arm's length terms in a commercially reasonable manner to any person, other than the Servicer or an affiliate.

On any Payment Date on or after the earlier of (a) the three-year anniversary of the Closing Date and (b) the date on which the aggregate Principal Balance of the Mortgage Loans is reduced to less than 30% of the balance as of the Cut-Off Date, the Controlling Holder will have the option to purchase all remaining loans and other property of the Issuer at the Redemption Price. The Controlling Holder will be the beneficial owner of more than 50% the Class X Notes.

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 A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The credit ratings reflect transactional strengths that include the following:
-- Loan-to-value ratios,
-- Satisfactory third-party due-diligence review,
-- Seasoning, and
-- Structural features.

The transaction also includes the following challenges:
-- Representations and warranties standard,
-- No servicer advances of delinquent P&I, and
-- Assignments and endorsements.

Morningstar DBRS' 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 Current Interest, Interest Shortfall Amount, and Class Principal Balance.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

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 (June 28, 2024), https://dbrs.morningstar.com/research/435279.

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

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.

Morningstar DBRS 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.
140 Broadway, 43rd Floor
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://dbrs.morningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (June 28, 2024), https://dbrs.morningstar.com/research/435258
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (June 28, 2024), https://dbrs.morningstar.com/research/435282
-- Representations and Warranties Criteria for U.S. RMBS Transactions (June 28, 2024), https://dbrs.morningstar.com/research/435273
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators (June 28, 2024), https://dbrs.morningstar.com/research/435259
-- Operational Risk Assessment for U.S. RMBS Servicers (June 28, 2024), https://dbrs.morningstar.com/research/435261

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