Mortgage is preparing to sell $297.2 million in residential mortgage-backed securities (RMBS), secured by a pool of first-lien, fixed-and adjustable-rate, amortizing residential mortgages, according to analysts at S&P Global Ratings and Fitch Ratings.
The deal, GSMBS 2026-NQM6, has a slightly smaller pool balance and loan count compared with the two previous non-QM deals from the platform, according to the rating agency’s research.
All notes are expected to mature with a final payment date of Dec. 27, 2066, analysts at S&P said.
The transaction will repay noteholders through a combination of pro rata and sequential payments. Classes A-1FCF and A-1LCF, the first-and last-cash flow tranches, will receive sequential payments, while the A-1A and A-1B certificates will be repaid on a pro rata basis, S&P said. After that, principal will be paid sequentially to the class A2 through B3 certificates, the rating agency said.
Also, the transaction includes step-up rates for classes A-1FCF, A-1FCF, A-1A, A-1B, A-2 and A-3 certificates on each monthly distribution date beginning in November 2030. This will be the sum of the applicable fixed coupon at closing and 1.00% and will depend on the pool’s net weighted average coupon (WAC).
Some collateral pool characteristics could be credit liabilities to the pool, according to S&P, including the fact that a more than one third of the loans, 39.61%, are financing investment properties. S&P assigned a foreclosure frequency adjustment factor of 2.00x.
Another third, 377 loans or 33.71%, are cash-out refinances with an average amount of $140,172.
Other potential weaknesses include alternative-income verification self-employed borrowers account for 45.6% of borrowers in the pool, S&P said.
Nevertheless, deal strengths include a better-than-archetypal home equity, with a weighted average (WA) original cumulative loan-to-value ratio of 70.23%. The borrower pool also has a FICO score of 740 on a WA basis.
The pool also benefits from third-party due diligence providers of SitusAMS, Selene Diligence and Clarifi, the rating agency said.
S&P assigns ratings of AAA to the A1 notes AA and A to the A2 and A3 notes, respectively; BBB to the M1 notes; and BB and B to classes B1 and B2, respectively.
