Kroll Bond Rating Agency Assigns Preliminary Ratings to GS Mortgage-Backed Securities Trust 2014-EB1 (GSMBS 2014-EB1)

Kroll Bond Rating Agency, Inc. (KBRA) assigns final ratings to eighteen classes of mortgage pass-through certificates from GS Mortgage-Backed Securities Trust 2014-EB1 (GSMBS 2014-EB1), a prime jumbo residential mortgage-backed securities (RMBS) transaction.

GSMBS 2014-EB1 represents the first post-crisis prime jumbo RMBS transaction for Goldman Sachs. MTGLQ Investors, L.P., a Goldman Sachs affiliate, will act as the deal’s sponsor and mortgage loan seller. The underlying collateral consists of 366 first-lien, residential mortgage loans with an outstanding principal balance of $282,800,740 as of the cut-off date. The aggregate pool comprises two loan groups, each of which consist of hybrid adjustable-rate mortgages (ARMs) with 30-year maturity terms. The two pools are distinguished by their respective initial fixed-rate periods, with pool 1 featuring 10-year hybrid ARMs (59 loans accounting for 16.4% of the aggregate pool balance) and pool 2 containing 7-year hybrid ARMs (307 loans representing 83.6% of the total pool). Collectively, approximately 7.9% of the mortgage loans possess a 10-year interest-only period. The aggregate pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the weighted average (WA) loan-to-value (LTV) and combined LTV (CLTV) ratios of 69.3% and 70.0%, respectively. The WA CLTV incorporates 5.4% of the pool possessing known junior mortgages. The pool’s WA original and current credit scores are 770 and 760, respectively, which are within the prime mortgage range.

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 loan file reviews performed by independent third-party firms, 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.

For complete details on the analysis performed for this transaction, please see KBRA’s Pre-Sale Report, GS Mortgage-Backed Securities Trust 2014-EB1, which was published on November 26, 2014 at www.kbra.com.

Related publications:

U.S. RMBS Rating Methodology, published January 9, 2012

Residential Mortgage Default and Loss Model, published January 9, 2012

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).