Kroll Bond Rating Agency, LLC (KBRA) assigns preliminary ratings to 38 classes of mortgage pass-through certificates from GS Mortgage Backed-Securities Trust 2020-INV1 (GSMBS 2020-INV1), a prime RMBS transaction backed predominately by conforming agency-eligible investment-purpose mortgage loans exempt (38) from Ability-to-Repay (ATR) rules. For 335 loans (28.4%) the designation is either agency QM or agency higher-priced QM even though the loans are represented to be business purpose. While business purpose loans are exempt from ATR/QM standards, the aggregator has tested for QM status for cash-out loans in the case they may be considered consumer purpose despite their non-owner occupancy.
The GSMBS 2020-INV1 pool comprises 1,167 first-lien, prime residential mortgage loans with an aggregate principal balance of $416.3 million as of the cut-off date. The collateral consists entirely of fully-amortizing, fixed rate mortgages (FRMs), most of which possess a 30-year (98.5%) maturity term. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 64.0% and WA original CLTV of 64.1%. The weighted average original credit score is 767, which is well within the prime mortgage range. KBRA notes that this transaction is being marketed during the global Coronavirus (COVID-19) pandemic and while none of the loans are in active forbearance plans as of the closing date, the risk exists that additional loans could enter forbearance subsequent to closing. KBRA has reflected this risk as well as other COVID-related factors in its analysis of the pool.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
- GSMBS 2020 INV1 Tear Sheet
- GSMBS 2020 INV1 Representations and Warranties Disclosure
- RMBS KBRA Comparative Analytic Tool (KCAT)
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- U.S. RMBS Rating Methodology
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.
Hannah Brennan, Analyst
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Jeremy Kugelman, Associate
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Edward DeVito, Managing Director (Lead Analyst)
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Jack Kahan, Senior Managing Director (Rating Committee Chair)
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Michele Patterson, Managing Director
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