DBRS Morningstar Finalizes Provisional Ratings on GS Mortgage-Backed Securities Trust 2022-LTV2

DBRS, Inc. (DBRS Morningstar) finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-LTV2 (the Certificates) issued by GS Mortgage-Backed Securities Trust 2022-LTV2 (GSMBS 2022-LTV2):

-- $246.7 million Class A-1 at AAA (sf)
-- $246.7 million Class A-X-1 at AAA (sf)
-- $246.7 million Class A-2 at AAA (sf)
-- $246.7 million Class A-X-2 at AAA (sf)
-- $246.7 million Class A-3 at AAA (sf)
-- $246.7 million Class A-X-3 at AAA (sf)
-- $123.3 million Class A-4 at AAA (sf)
-- $123.3 million Class A-X-4 at AAA (sf)
-- $123.3 million Class A-5 at AAA (sf)
-- $123.3 million Class A-X-5 at AAA (sf)
-- $123.3 million Class A-6 at AAA (sf)
-- $123.3 million Class A-X-6 at AAA (sf)
-- $148.0 million Class A-7 at AAA (sf)
-- $148.0 million Class A-X-7 at AAA (sf)
-- $148.0 million Class A-8 at AAA (sf)
-- $148.0 million Class A-X-8 at AAA (sf)
-- $148.0 million Class A-9 at AAA (sf)
-- $148.0 million Class A-X-9 at AAA (sf)
-- $24.7 million Class A-10 at AAA (sf)
-- $24.7 million Class A-X-10 at AAA (sf)
-- $24.7 million Class A-11 at AAA (sf)
-- $24.7 million Class A-X-11 at AAA (sf)
-- $24.7 million Class A-12 at AAA (sf)
-- $24.7 million Class A-X-12 at AAA (sf)
-- $61.7 million Class A-13 at AAA (sf)
-- $61.7 million Class A-X-13 at AAA (sf)
-- $61.7 million Class A-14 at AAA (sf)
-- $61.7 million Class A-X-14 at AAA (sf)
-- $61.7 million Class A-15 at AAA (sf)
-- $61.7 million Class A-X-15 at AAA (sf)
-- $37.0 million Class A-16 at AAA (sf)
-- $37.0 million Class A-X-16 at AAA (sf)
-- $37.0 million Class A-17 at AAA (sf)
-- $37.0 million Class A-X-17 at AAA (sf)
-- $37.0 million Class A-18 at AAA (sf)
-- $37.0 million Class A-X-18 at AAA (sf)
-- $185.0 million Class A-19 at AAA (sf)
-- $185.0 million Class A-X-19 at AAA (sf)
-- $185.0 million Class A-20 at AAA (sf)
-- $185.0 million Class A-X-20 at AAA (sf)
-- $185.0 million Class A-21 at AAA (sf)
-- $185.0 million Class A-X-21 at AAA (sf)
-- $123.3 million Class A-22 at AAA (sf)
-- $123.3 million Class A-X-22 at AAA (sf)
-- $123.3 million Class A-23 at AAA (sf)
-- $123.3 million Class A-X-23 at AAA (sf)
-- $123.3 million Class A-24 at AAA (sf)
-- $123.3 million Class A-X-24 at AAA (sf)
-- $98.7 million Class A-25 at AAA (sf)
-- $98.7 million Class A-X-25 at AAA (sf)
-- $98.7 million Class A-26 at AAA (sf)
-- $98.7 million Class A-X-26 at AAA (sf)
-- $98.7 million Class A-27 at AAA (sf)
-- $98.7 million Class A-X-27 at AAA (sf)
-- $61.7 million Class A-28 at AAA (sf)
-- $61.7 million Class A-X-28 at AAA (sf)
-- $61.7 million Class A-29 at AAA (sf)
-- $61.7 million Class A-X-29 at AAA (sf)
-- $61.7 million Class A-30 at AAA (sf)
-- $61.7 million Class A-X-30 at AAA (sf)
-- $26.4 million Class A-31 at AAA (sf)
-- $26.4 million Class A-X-31 at AAA (sf)
-- $26.4 million Class A-32 at AAA (sf)
-- $26.4 million Class A-X-32 at AAA (sf)
-- $26.4 million Class A-33 at AAA (sf)
-- $26.4 million Class A-X-33 at AAA (sf)
-- $273.0 million Class A-X at AAA (sf)
-- $11.7 million Class B-1 at AA (sf)
-- $7.1 million Class B-2 at A (sf)
-- $5.2 million Class B-3 at BBB (sf)
-- $4.9 million Class B-4 at BB (sf)
-- $771.0 thousand Class B-5 at B (sf)

Classes A-X-5, A-X-6, A-X-11, A-X-12, A-X-17, A-X-18, A-X-29, A-X-30, A-X-32, A-X-33, and A-X are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-X-1, A-2, A-X-2, A-3, A-X-3, A-X-4, A-5, A-6, A-7, A-X-7, A-8, A-X-8, A-9, A-X-9, A-X-10, A-11, A-12, A-13, A-X-13, A-14, A-15, A-X-15, A-X-16, A-17, A-18, A-19, A-X-19, A-20, A-X-20, A-21, A-X-21, A-22, A-X-22, A-23, A-X-23, A-24, A-X-24, A-25, A-X-25, A-26, A-X-26, A-27, A-X-27, A-X-28, A-29, A-30, A-X-31, A-32, and A-33 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

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-19, A-20, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-28, A-29, and A-30 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-31, A-32, and A-33) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 20.00%% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 7.65%, 5.35%, 3.65%, 2.05%, and 1.80% of credit enhancement, respectively.

Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction.

This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2022-LTV2 (the Certificates). The Certificates are backed by 296 loans with a total principal balance of $308,348,671 as of the Cut-Off Date (July 1, 2022).

Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV), first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. The weighted-average (WA) original combined LTV (CLTV) for the portfolio is 88.7% and the majority of the pool (90.4%) comprises loans with DBRS Morningstar-calculated current CLTV ratios greater than 80.0%, but not higher than 90%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, low debt-to-income ratios, robust income and reserves, as well as other strengths detailed in the Key Probability of Default Drivers section of the related report.

The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM; 34.0% of the pool), Fairway Independent Mortgage Corp. (16.1%), Movement Mortgage, LLC ( 11.5%), and various other originators, each comprising less than 10.0% of the pool.

All the mortgage loans will be serviced by Newrez, LLC doing business as Shellpoint Mortgage Servicing (SMS).

Computershare Trust Company, N.A. will act as the Master Servicer, Securities Administrator, Certificate Registrar, Rule 17g-5 Information Provider and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA (high) with a Stable trend by DBRS Morningstar) will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer.

CORONAVIRUS IMPACT
The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTV ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers.

As of the Cut-Off Date, there are no loans that are subject to an active coronavirus-related forbearance plan with the Servicer.

For more information regarding the economic stress assumed under its baseline scenario, please see the DBRS Morningstar commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update,” dated June 29, 2022.

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans.

The ratings reflect transactional challenges that include their R&W framework and the servicer’ financial capabilities.

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

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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