Morningstar DBRS Finalizes Its Provisional Credit Ratings on GS Mortgage-Backed Securities Trust 2025-PJ2

DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2025-PJ2 (the Notes) issued by GS Mortgage-Backed Securities Trust 2025-PJ2:

-- $275.1 million Class A-1 at AAA (sf)
-- $275.1 million Class A-2 at AAA (sf)
-- $275.1 million Class A-3 at AAA (sf)
-- $206.3 million Class A-4 at AAA (sf)
-- $206.3 million Class A-5 at AAA (sf)
-- $206.3 million Class A-6 at AAA (sf)
-- $165.0 million Class A-7 at AAA (sf)
-- $165.0 million Class A-8 at AAA (sf)
-- $165.0 million Class A-9 at AAA (sf)
-- $41.3 million Class A-10 at AAA (sf)
-- $41.3 million Class A-11 at AAA (sf)
-- $41.3 million Class A-12 at AAA (sf)
-- $110.0 million Class A-13 at AAA (sf)
-- $110.0 million Class A-14 at AAA (sf)
-- $110.0 million Class A-15 at AAA (sf)
-- $68.8 million Class A-16 at AAA (sf)
-- $68.8 million Class A-17 at AAA (sf)
-- $68.8 million Class A-18 at AAA (sf)
-- $21.8 million Class A-19 at AAA (sf)
-- $21.8 million Class A-20 at AAA (sf)
-- $21.8 million Class A-21 at AAA (sf)
-- $296.9 million Class A-22 at AAA (sf)
-- $296.9 million Class A-23 at AAA (sf)
-- $296.9 million Class A-24 at AAA (sf)
-- $296.9 million Class A-25 at AAA (sf)
-- $296.9 million Class A-X-1 at AAA (sf)
-- $275.1 million Class A-X-2 at AAA (sf)
-- $275.1 million Class A-X-3 at AAA (sf)
-- $275.1 million Class A-X-4 at AAA (sf)
-- $206.3 million Class A-X-5 at AAA (sf)
-- $206.3 million Class A-X-6 at AAA (sf)
-- $206.3 million Class A-X-7 at AAA (sf)
-- $165.0 million Class A-X-8 at AAA (sf)
-- $165.0 million Class A-X-9 at AAA (sf)
-- $165.0 million Class A-X-10 at AAA (sf)
-- $41.3 million Class A-X-11 at AAA (sf)
-- $41.3 million Class A-X-12 at AAA (sf)
-- $41.3 million Class A-X-13 at AAA (sf)
-- $110.0 million Class A-X-14 at AAA (sf)
-- $110.0 million Class A-X-15 at AAA (sf)
-- $110.0 million Class A-X-16 at AAA (sf)
-- $68.8 million Class A-X-17 at AAA (sf)
-- $68.8 million Class A-X-18 at AAA (sf)
-- $68.8 million Class A-X-19 at AAA (sf)
-- $21.8 million Class A-X-20 at AAA (sf)
-- $21.8 million Class A-X-21 at AAA (sf)
-- $21.8 million Class A-X-22 at AAA (sf)
-- $296.9 million Class A-X-23 at AAA (sf)
-- $296.9 million Class A-X-24 at AAA (sf)
-- $296.9 million Class A-X-25 at AAA (sf)
-- $296.9 million Class A-X-26 at AAA (sf)
-- $15.9 million Class B-1A at AA (low) (sf)
-- $15.9 million Class B-X-1 at AA (low) (sf)
-- $15.9 million Class B-1 at AA (low) (sf)
-- $4.5 million Class B-2A at A (low) (sf)
-- $4.5 million Class B-X-2 at A (low) (sf)
-- $4.5 million Class B-2 at A (low) (sf)
-- $3.1 million Class B-3 at BBB (low) (sf)
-- $1.6 million Class B-4 at BB (low) (sf)
-- $647,000 Class B-5 at B (low) (sf)

Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing.

Classes A-1, A-2, A-3, A-4, 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-1L, A-2L, and A-3L are super senior notes or loans. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation.

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents.

The AAA (sf) credit ratings on the Notes reflect 8.25% 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 3.35%, 1.95%, 1.00%, 0.50%, 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 of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2025-PJ2 (the Notes). The Notes are backed by 256 loans with a total principal balance of $323,627,565 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 68.2%. In addition, all 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; 39.6%), CMG Mortgage, Inc. DBA CMG Financial (CMG, 15.1%), PennyMac Loan Services, (12.8%), and various other
originators, each comprising less than 10.0% of the pool.

The mortgage loans will be serviced by Newrez, LLC (Newrez), doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint; 75.7%) and PennyMac Loan Services (PennyMac; 19.9%).

Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer. Computershare Trust Company, N.A. will act as the Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Computershare Delaware Trust Company will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer.

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

This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are 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.

In 2024, the Maryland Appellate Court ruled that a statutory trust that held a defaulted HELOC must be licensed as both an Installment Lender and a Mortgage Lender under Maryland law prior to proceeding to foreclosure on the HELOC. On January 10, 2025, the Maryland Office of Financial Regulation ("OFR") issued emergency regulations that apply the decision to all secondary market assignees of Maryland consumer-purpose mortgage loans, and specifically require "passive trusts" that acquire or take assignment of Maryland mortgage loans that are serviced by others to be licensed. While the emergency regulations became effective immediately, OFR indicated that enforcement would be suspended until April 10, 2025. The emergency regulations will expire on June 16, 2025, and the OFR has submitted the same provisions as the proposed, permanent regulations for public comment. Failure of the Issuer to obtain the appropriate Maryland licenses may result in the Maryland OFR taking administrative action against the Issuer and/or other transaction parties, including assessing civil monetary penalties and issuing a cease and desist order. Further, there may be delays in payments on, or losses in respect of, the Notes if the Issuer or Servicer cannot enforce the terms of a Mortgage Loan or proceed to foreclosure in connection with a Mortgage Loan secured by a Mortgaged Property located in Maryland, or if the Issuer is required to pay civil penalties.

There is one loan (0.3% of the pool) that is a Maryland consumer-purpose mortgage loan.

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 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 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 (January 2, 2025) https://dbrs.morningstar.com/research/445477.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (January 2, 2025) https://dbrs.morningstar.com/research/445477.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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.

-- 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 (December 3, 2024), https://dbrs.morningstar.com/research/444064
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024), https://dbrs.morningstar.com/research/440086

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