Morningstar DBRS Finalizes Provisional Credit Ratings on GS Mortgage-Backed Securities Trust 2024-PJ9

DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-PJ9 (the Notes) issued by GS Mortgage-Backed Securities Trust 2024-PJ9:

-- $284.3 million Class A-1 at AAA (sf)
-- $284.3 million Class A-1-X at AAA (sf)
-- $284.3 million Class A-2 at AAA (sf)
-- $264.1 million Class A-3 at AAA (sf)
-- $264.1 million Class A-3A at AAA (sf)
-- $264.1 million Class A-3-X at AAA (sf)
-- $264.1 million Class A-4 at AAA (sf)
-- $264.1 million Class A-4A at AAA (sf)
-- $132.0 million Class A-5 at AAA (sf)
-- $132.0 million Class A-5-X at AAA (sf)
-- $132.0 million Class A-6 at AAA (sf)
-- $158.4 million Class A-7 at AAA (sf)
-- $158.4 million Class A-7-X at AAA (sf)
-- $158.4 million Class A-8 at AAA (sf)
-- $26.4 million Class A-9 at AAA (sf)
-- $26.4 million Class A-9-X at AAA (sf)
-- $26.4 million Class A-10 at AAA (sf)
-- $66.0 million Class A-11 at AAA (sf)
-- $66.0 million Class A-11-X at AAA (sf)
-- $66.0 million Class A-12 at AAA (sf)
-- $39.6 million Class A-13 at AAA (sf)
-- $39.6 million Class A-13-X at AAA (sf)
-- $39.6 million Class A-14 at AAA (sf)
-- $198.1 million Class A-15 at AAA (sf)
-- $198.1 million Class A-15-X at AAA (sf)
-- $198.1 million Class A-16 at AAA (sf)
-- $132.0 million Class A-17 at AAA (sf)
-- $132.0 million Class A-17-X at AAA (sf)
-- $132.0 million Class A-18 at AAA (sf)
-- $105.6 million Class A-19 at AAA (sf)
-- $105.6 million Class A-19-X at AAA (sf)
-- $105.6 million Class A-20 at AAA (sf)
-- $66.0 million Class A-21 at AAA (sf)
-- $66.0 million Class A-21-X at AAA (sf)
-- $66.0 million Class A-22 at AAA (sf)
-- $20.2 million Class A-23 at AAA (sf)
-- $20.2 million Class A-23-X at AAA (sf)
-- $20.2 million Class A-24 at AAA (sf)
-- $284.3 million Class A-X at AAA (sf)
-- $23.0 million Class B at BBB (low) (sf)
-- $16.3 million Class B-1 at AA (low) (sf)
-- $16.3 million Class B-1-A at AA (low) (sf)
-- $16.3 million Class B-1-X at AA (low) (sf)
-- $3.9 million Class B-2 at A (low) (sf)
-- $3.9 million Class B-2-A at A (low) (sf)
-- $3.9 million Class B-2-X at A (low) (sf)
-- $2.8 million Class B-3 at BBB (low) (sf)
-- $2.8 million Class B-3-A at BBB (low) (sf)
-- $2.8 million Class B-3-X at BBB (low) (sf)
-- $1.7 million Class B-4 at BB (low) (sf)
-- $777.0 thousand Class B-5 at B (low) (sf)
-- $23.0 million Class B-X at BBB (low) (sf)

Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-3L, A-4L, A-16L, and A-22L Loans initially contemplated in the offering documents, as they were not issued at closing.

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, A-X, B-1-X, B-2-X, B-3-X, and B-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-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, A-22, A-24, B, B-1, B-2, B-3, and B-X 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 note (Class A-23) with respect to loss allocation.

The AAA (sf) credit ratings on the Notes reflect 8.50% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.25%, 2.00%, 1.10%, 0.55%, and 0.30% credit enhancement, respectively.

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

This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2024-PJ9 (the Notes). The Notes are backed by 318 loans with a total principal balance of $310,686,0861 as of the Cut-Off Date.

The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 68.7%. A small portion of the pool (3.0%) comprises loans with Morningstar DBRS calculated current CLTV ratios between 80.0% and 90.0%, while none of the pool falls above 90.0% current CLTV. In addition, 95.9% of the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation.

The mortgage loans are originated by United Wholesale Mortgage, LLC (UWM; 54.9%), and various other originators, each comprising less than 10.0% of the pool.

Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as Delaware Trustee. U.S. Bank Trust Company, National Association will act as Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representation and Warranty Reviewer.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors.

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:
-- Representations and warranties framework.
-- Servicers' financial capabilities.

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

Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-IO Certificates).

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 and 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 factor(s) 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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US 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 (September 30, 2024) https://dbrs.morningstar.com/research/440090.

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.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model (ONLY MODEL)
https://dbrs.morningstar.com/research/440090.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024),
https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024)
https://dbrs.morningstar.com/research/440091
-- Legal Criteria for U.S. Structured Finance (October 28, 2024),
https://dbrs.morningstar.com/research/441840
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024)
https://dbrs.morningstar.com/research/440086

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

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