GS Mortgage-Backed Trust prepares to raise $440 million in MBS

Goldman Sachs Mortgage Company is planning to issue mortgage-backed securities (MBS) through the GS Mortgage-Backed Securities Trust 2022-INV1, to finance a $440.8 million collateral pool.

Fixed-rate conforming and non-conforming mortgages will secure the notes, as the trust finances a pool of 1,284 first-lien loans securing investor properties with up to 30 years of original terms to maturity, according to a pre-sale report from Moody’s Investors Service.

Only about 1.0% of the mortgage loan assets are for personal use, and are qualified mortgages under Regulation Z. On average, the collateral’s stated principal balance is about $343,347, and the notes will be issued through a capital structure with super senior, subordinate and exchangeable notes, according to Moody’s.

Classes A-X-1 through A-X-10 are interest-only certificates, and will not be entitled to distributions of principal and will accrue interest when no exchangeable certificates are outstanding, according to Moody’s.

Moody’s expects to assign ratings ranging from ‘Aaa’ on the A-1 notes, which have a coupon of 2.5% and subordination levels of 15%, to ‘B3’ on the B-5 notes, with a coupon of 3.2%, and a subordination level of 0.9%.

GSMC, the sponsor and mortgage seller, and MCLP Asset Company, another mortgage loan seller, bought the loans for the transaction. On the transaction’s closing date GSMC and MCLP will sell all of its interests of the mortgage loans to the depositor, according to the rating agency.

The loans themselves have an interest rate of 3.5%, on a weighted average (WA) basis, according to Moody’s, and a WA cumulative loan-to-value (LTV) ratio of 64.6%. All of the loans are first-lien loans, and just 0.4% of the assets in the pool are junior liens, according to Moody’s.

At the borrowers’ level, the loans in the collateral pool have a debt-to-income (DTI) ratio if 33.6%, an average FICO score of 772, and an average original term of 356 months.