Morningstar DBRS Assigns Credit Ratings to GS Mortgage-Backed Securities Trust 2024-RPL6

DBRS, Inc. (Morningstar DBRS) assigned credit ratings to the Mortgage-Backed Securities, Series 2024-RPL6 (the Notes) issued by GS Mortgage-Backed Securities Trust 2024-RPL6 (the Trust) as follows:

-- $249.7 million Class A-1 at AAA (sf)
-- $24.4 million Class A-2 at AA (high) (sf)
-- $274.1 million Class A-3 at AA (high) (sf)
-- $296.1 million Class A-4 at A (high) (sf)
-- $313.7 million Class A-5 at BBB (sf)
-- $21.9 million Class M-1 at A (high) (sf)
-- $17.6 million Class M-2 at BBB (sf)
-- $11.1 million Class B-1 at BB (sf)
-- $8.3 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 30.55% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (high) (sf) credit ratings reflect 23.75%, 17.65%, 12.75%, 9.65%, and 7.35% 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 the Notes. The Notes are backed by 1,546 loans with a total principal balance of $378,433,800 as of the Cut-Off Date (September 30, 2024).

As of the Cut-Off Date, there were $10,197,869 of principal reduction amounts (PRA), and collections on the related mortgage loans will constitute reimbursements for such PRA and will be paid to the holder of the Class PRA Notes and the retained interest owner. The Class PRA Notes will not be entitled to receive interest payments.

The portfolio is approximately 130 months seasoned and contains 50.4% modified loans. The modifications happened more than two years ago for 79.1% of the modified loans. Within the pool, 382 mortgages have non-interest-bearing deferred amounts, which equate to approximately 5.2% 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, 97.1% of the loans in the pool are current. Approximately 0.9% of the loans are in bankruptcy (all but one of the bankruptcy loans are performing) and 2.9% are 30 days delinquent. Approximately 56.7% 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 76.7% have been 0 x 30 for at least the past 12 months under the MBA delinquency method.

Approximately 52.4% of the pool 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 (47.6%).

The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC) and MCLP Asset Company, Inc., 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.

The mortgage loans will be serviced by NewRez LLC doing business as (dba) Shellpoint Mortgage Servicing (SMS, 46.3%) and Nationstar Mortgage LLC dba Rushmore Servicing (Rushmore, 34.7%). Approximately 19.1% of the mortgage loans being serviced by an interim servicer will be transferred to SMS on or about November 26, 2024. The servicing fees for SMS and Rushmore are 4.5 basis points and 5.1 basis points, respectively.

There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related 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 of 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).

On or after the Payment Date on which the aggregate Unpaid Principal Balance of the Mortgage Loans is less than 25% of the Aggregate Cut-Off Date Unpaid Principal Balance, the Controlling Holder will have the option to purchase all remaining property of the Issuer at the Minimum Price (Optional Clean-Up Call). The Controlling Holder 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).

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 A-2 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 on to the breach reserve account.

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

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

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

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 amount, any interest shortfall amount, and the related class principal balances.

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 rating on the Class A-1 Notes does not address the payment of any net WAC shortfall amount based on its position in the cash flow waterfall.

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 (August 13, 2024) at 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 (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 and Rating Methodology (September 30, 2024),
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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.