GS Mortgage raises $308 million in MBS, backed by prime collateral

GS Mortgage Securities is selling about $308 million in mortgage-backed securities (MBS) to investors through its latest deal of the year, the 2024-PJ11 series.

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Morningstar | DBRS, which rates the notes, says 256 loans provide collateral for repayment. They are first-lien, fully amortizing, fixed-rate mortgages with 15- to 30-year original terms, and are considered of prime quality. Virtually all the loans are qualified mortgages and were underwritten through full documentation, the rating agency said.

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Payments begin on January 25, and continue each month until May 2055, the expected final scheduled distribution date, according to the rating agency. Asset Securitization Report’s deal database says notes will repay the notes on a senior-subordinate basis.

Most of the tranches are rated AAA from DBRS and Aaa from Moody’s Ratings. Coupons vary from 6% on the A1 tranche to 0.6% on the BX2 tranche, according to the deal database.

A vast majority of the collateral pool balance, 82.6%, are mortgages used to purchase primary residences, according to DBRS. Just 17.4% finances second homes. Most of the property comprised of single-family homes, including planned unit developments and townhomes, the rating agency said.

On a weighted average (WA) basis, borrowers on the underlying loans have a FICO score of 766 and an original cumulative loan-to-value (CLTV) of 69.6%.

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The underlying mortgages have an average balance of $1.2 billion, with a WA coupon of 6.7%. Borrowers have an annual income of $648,410, with liquid reserves of $1 billion.

All the loans are current, as of the cut-off date, DBRS said.

California accounts for the largest portion of the pool, 33.8%, followed by Arizona and Florida, with 7.5% and 6.6% of the pool balance, respectively.

United Wholesale Mortgage (UMW) originated 36.3% of the pool, the largest portion. PennyMac Loan Services, CMG Mortgage and other originators account for 15.1%, 11,0%, and 10.0% of the pool, according to the rating agency. Nationstar Mortgage is on the deal as the master servicer, while PennyMac is the subservicer.