GS Mortgage-Backed Securities Trust 2021-NQM1 Certificates Assigned Preliminary Ratings
Overview
- GS Mortgage-Backed Securities Trust 2021-NQM1's issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and non-prime borrowers, generally secured by single-family residential properties, planned-unit developments, condominiums and two- to four-family residential properties.
- We assigned our preliminary ratings to the class A-1, A-2, A-3, M-1, B-1, and B-2 certificates.
- The preliminary ratings reflect our view of the transaction's credit enhancement, structural mechanics, and R&W framework, among other factors.
CENTENNIAL (S&P Global Ratings) April 29, 2021--S&P Global Ratings today assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2021-NQM1's mortgage pass-through certificates (see list).
The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and non-prime borrowers, generally secured by single-family residential properties, planned-unit developments, condominiums and two- to four-family residential properties. The loans are mainly nonqualified or exempt mortgage loans.
The preliminary ratings are based on information as of April 29, 2021. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
- The pool's collateral composition;
- The credit enhancement provided for this transaction;
- The transaction's associated structural mechanics;
- The representation and warranty framework for this transaction;
- The mortgage aggregator;
- The geographic concentration; and
- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool (see "Let The Good Times Roll," published March 24, 2021) and liquidity available in the transaction.
S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research at www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.
Related Criteria
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational Assessment Ranking Criteria, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: Assumptions Supplement For Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- Presale: GS Mortgage-Backed Securities Trust 2021-NQM1, April 29, 2021
- S&P Global Ratings Definitions, Aug. 7, 2020
- Select Servicer List, July 2, 2020
- Economic Research: The U.S. Faces A Longer And Slower Climb From The Bottom, June 25, 2020
- S&P Global Ratings Is Assessing The Impact Of COVID-19 On Mortgage Market Outlooks For Global RMBS, April 17, 2020
- Economic Research: An Already Historic U.S. Downturn Now Looks Even Worse, April 16, 2020
- Servicer Evaluation: Shellpoint Mortgage Servicing, April 1, 2020
- U.S. Residential Mortgage Input File Format For LEVELS, March 6, 2020
- Servicer Evaluation: Wells Fargo Bank N.A., Oct. 10, 2019
- Servicer Evaluation: Rushmore Loan Management Services LLC, Sept. 4, 2019
- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 5, 2019
- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBS As Of Aug. 5, 2019, Aug. 5, 2019
- Key Factors For Assessing U.S. Non-Qualified Mortgage Bank Statement Loans, April 10, 2019
- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence, April 25, 2016
- Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink, Aug. 9, 2012
Preliminary Ratings(i) Assigned
GS Mortgage-Backed Securities Trust 2021-NQM1
- Class A-1, $185,925,000: AAA (sf)
- Class A-2, $17,681,000: AA (sf)
- Class A-3, $30,113,000: A (sf)
- Class M-1, $17,128,000: BBB (sf)
- Class B-1, $11,327,000: BB (sf)
- Class B-2, $6,078,000: B (sf)
- Class B-3, $8,011,690: Not rated
- Class A-IO-S, (ii): Not rated
- Class X, (ii): Not rated
- Risk retention, $14,540,194(iii): Not rated
- Class R, not applicable: Not rated
(i)The information in this report reflects the preliminary private placement memorandum dated April 24, 2021. The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period, which initially is $276,263,690. (iii)The risk retention class is sized to approximately 5.0% of the collateral balance and will be entitled to payments from the retained interest available funds.
European Endorsement Status
Global-scale credit rating(s) issued by S&P Global Ratings' affiliates based in the following jurisdictions [To read more, visit Endorsement of Credit Ratings] have been endorsed into the EU and/or the UK in accordance with the relevant CRA regulations. Note: Endorsements for U.S. Public Finance global-scale credit ratings are done per request. To review the endorsement status by credit rating, visit the spglobal.com/ratings website and search for the rated entity.
'sf' Identifier
The 'sf' identifier is assigned to ratings on structured finance or securitization instruments when required to comply with an applicable law or regulatory requirement or when S&P Global Ratings believes it appropriate. The addition of the 'sf' identifier to a rating does not change that rating's definition or our opinion about the issue's creditworthiness. For detailed information on the instruments assigned the 'sf' identifier, please see the appendix to "S&P Global Ratings Definitions" for the types of instruments that carry the 'sf' identifier. To see if a credit rating has a 'sf' identifier, visit the standardandpoors.com website and search for the rated entity.
Primary Credit Analyst: | Kalpesh S Ghule, Centennial + 1 (303) 721 4157; kalpesh.ghule@spglobal.com |
Secondary Contacts: | Kimball Ng, New York +1 212-438-2250; kimball.ng@spglobal.com |
Matthew Mckenzie, New York 212-438-2187; matthew.mckenzie@spglobal.com | |
Surveillance Credit Analyst: | Truc T Bui, San Francisco + 1 (415) 371 5065; truc.bui@spglobal.com |
Analytical Manager: | Vanessa Purwin, New York + 1 (212) 438 0455; vanessa.purwin@spglobal.com |
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