New York, August 30, 2022 — Moody’s Buyers Service (“Moody’s”) has assigned definitve rankings to 61 lessons of residential mortgage-backed securities (RMBS) issued by GCAT 2022-INV3 Belief, and sponsored by Blue River Mortgage III LLC.
The securities are backed by a pool of GSE-eligible (100% by steadiness) residential mortgages, divided into two collateral teams (‘Y’-structure), originated by a number of entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing.
The whole ranking actions are as follows:
Issuer: GCAT 2022-INV3 Belief
Cl. 1-A-1, Definitive Score Assigned Aaa (sf)
Cl. 1-A-2, Definitive Score Assigned Aaa (sf)
Cl. 1-A-3, Definitive Score Assigned Aaa (sf)
Cl. 1-A-4, Definitive Score Assigned Aaa (sf)
Cl. 1-A-5, Definitive Score Assigned Aaa (sf)
Cl. 1-A-6, Definitive Score Assigned Aaa (sf)
Cl. 1-A-7, Definitive Score Assigned Aaa (sf)
Cl. 1-A-8, Definitive Score Assigned Aaa (sf)
Cl. 1-A-9, Definitive Score Assigned Aaa (sf)
Cl. 1-A-10, Definitive Score Assigned Aaa (sf)
Cl. 1-A-11, Definitive Score Assigned Aaa (sf)
Cl. 1-A-12, Definitive Score Assigned Aaa (sf)
Cl. 1-A-13, Definitive Score Assigned Aa1 (sf)
Cl. 1-A-14, Definitive Score Assigned Aa1 (sf)
Cl. 1-A-15, Definitive Score Assigned Aaa (sf)
Cl. 1-A-16, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-1*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-2*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-4*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-6*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-8*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-10*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-12*, Definitive Score Assigned Aaa (sf)
Cl. 1-A-X-14*, Definitive Score Assigned Aa1 (sf)
Cl. 1-A-X-16*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-1, Definitive Score Assigned Aaa (sf)
Cl. 2-A-2, Definitive Score Assigned Aaa (sf)
Cl. 2-A-3, Definitive Score Assigned Aaa (sf)
Cl. 2-A-4, Definitive Score Assigned Aaa (sf)
Cl. 2-A-5, Definitive Score Assigned Aaa (sf)
Cl. 2-A-6, Definitive Score Assigned Aaa (sf)
Cl. 2-A-7, Definitive Score Assigned Aaa (sf)
Cl. 2-A-8, Definitive Score Assigned Aaa (sf)
Cl. 2-A-9, Definitive Score Assigned Aaa (sf)
Cl. 2-A-10, Definitive Score Assigned Aaa (sf)
Cl. 2-A-11, Definitive Score Assigned Aaa (sf)
Cl. 2-A-12, Definitive Score Assigned Aaa (sf)
Cl. 2-A-13, Definitive Score Assigned Aa1 (sf)
Cl. 2-A-14, Definitive Score Assigned Aa1 (sf)
Cl. 2-A-15, Definitive Score Assigned Aaa (sf)
Cl. 2-A-16, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-1*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-2*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-4*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-6*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-8*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-10*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-12*, Definitive Score Assigned Aaa (sf)
Cl. 2-A-X-14*, Definitive Score Assigned Aa1 (sf)
Cl. 2-A-X-16*, Definitive Score Assigned Aaa (sf)
Cl. B-1, Definitive Score Assigned Aa3 (sf)
Cl. B-1-A, Definitive Score Assigned Aa3 (sf)
Cl. B-X-1*, Definitive Score Assigned Aa3 (sf)
Cl. B-2, Definitive Score Assigned A2 (sf)
Cl. B-2-A, Definitive Score Assigned A2 (sf)
Cl. B-X-2*, Definitive Score Assigned A2 (sf)
Cl. B-3, Definitive Score Assigned Baa2 (sf)
Cl. B-4, Definitive Score Assigned Ba2 (sf)
Cl. B-5, Definitive Score Assigned B2 (sf)
CI. 1-A-1A Loans, Definitive Score Assigned Aaa (sf)
CI. 2-A-1A Loans, Definitive Score Assigned Aaa (sf)
*Displays Curiosity-Solely Courses
RATINGS RATIONALE
The rankings are primarily based on the credit score high quality of the mortgage loans, the structural options of the transaction, the origination high quality and the servicing association, the third-party overview, and the representations and warranties framework.
Moody’s anticipated loss for this pool in a baseline scenario-mean are 1.31% and 1.55% for Group 1 and Group 2, respectively, in a baseline scenario-median are 0.99% and 1.15% for Group 1 and Group 2, respectively, and attain 7.82% and 10.32% for Group 1 and Group 2, respectively, at a stress stage in line with Moody’s Aaa rankings.
The principal methodology utilized in ranking all lessons besides interest-only lessons was “Moody’s Strategy to Score US RMBS Utilizing the MILAN Framework” printed in July 2022 and obtainable at https://rankings.moodys.com/api/rmc-documents/390484. The methodologies utilized in ranking interest-only lessons have been “Moody’s Strategy to Score US RMBS Utilizing the MILAN Framework” printed in July 2022 and obtainable at https://rankings.moodys.com/api/rmc-documents/390484 and “Moody’s Strategy to Score Structured Finance Curiosity-Solely (IO) Securities” printed in February 2019 and obtainable at https://rankings.moodys.com/api/rmc-documents/59126. Please see the listing of rankings on the prime of this announcement to determine which lessons are interest-only (indicated by the *). Alternatively, please see the Score Methodologies web page on https://rankings.moodys.com for a duplicate of those methodologies.
Components that may result in an improve or downgrade of the rankings:
Up
Ranges of credit score safety which can be larger than essential to guard traders in opposition to present expectations of loss might drive the rankings up. Losses might decline from Moody’s authentic expectations on account of a decrease variety of obligor defaults or appreciation within the worth of the mortgaged property securing an obligor’s promise of fee. Transaction efficiency additionally relies upon drastically on the US macro financial system and housing market.
Down
Ranges of credit score safety which can be inadequate to guard traders in opposition to present expectations of loss might drive the rankings down. Losses might rise above Moody’s authentic expectations on account of the next variety of obligor defaults or deterioration within the worth of the mortgaged property securing an obligor’s promise of fee. Transaction efficiency additionally relies upon drastically on the US macro financial system and housing market. Different causes for worse-than-expected efficiency embrace poor servicing, error on the a part of transaction events, insufficient transaction governance and fraud.
Lastly, efficiency of RMBS continues to stay extremely depending on servicer procedures. Any change ensuing from servicing transfers or different coverage or regulatory change can affect the efficiency of those transactions. As well as, enhancements in reporting codecs and information availability throughout offers and trustees might present higher perception into sure efficiency metrics resembling the extent of collateral modifications.
REGULATORY DISCLOSURES
For additional specification of Moody’s key ranking assumptions and sensitivity evaluation, see the sections Methodology Assumptions and Sensitivity to Assumptions within the disclosure kind. Moody’s Score Symbols and Definitions will be discovered on https://rankings.moodys.com/rating-definitions.
Additional data on the representations and warranties and enforcement mechanisms obtainable to traders can be found on https://rankings.moodys.com/paperwork/PBS_1340181.
The evaluation depends on an evaluation of collateral traits to find out the collateral loss distribution, that’s, the operate that correlates to an assumption concerning the probability of prevalence to every stage of attainable losses within the collateral. As a second step, Moody’s evaluates every attainable collateral loss situation utilizing a mannequin that replicates the related structural options to derive funds and subsequently the last word potential losses for every rated instrument. The loss a rated instrument incurs in every collateral loss situation, weighted by assumptions concerning the probability of occasions in that situation occurring, ends in the anticipated lack of the rated instrument.
Moody’s quantitative evaluation entails an analysis of eventualities that stress components contributing to sensitivity of rankings and take into consideration the probability of extreme collateral losses or impaired money flows. Moody’s weights the affect on the rated devices primarily based on its assumptions of the probability of the occasions in such eventualities occurring.
For rankings issued on a program, sequence, class/class of debt or safety this announcement supplies sure regulatory disclosures in relation to every ranking of a subsequently issued bond or observe of the identical sequence, class/class of debt, safety or pursuant to a program for which the rankings are derived solely from current rankings in accordance with Moody’s ranking practices. For rankings issued on a help supplier, this announcement supplies sure regulatory disclosures in relation to the credit standing motion on the help supplier and in relation to every explicit credit standing motion for securities that derive their credit score rankings from the help supplier’s credit standing. For provisional rankings, this announcement supplies sure regulatory disclosures in relation to the provisional ranking assigned, and in relation to a definitive ranking which may be assigned subsequent to the ultimate issuance of the debt, in every case the place the transaction construction and phrases haven’t modified previous to the project of the definitive ranking in a fashion that may have affected the ranking. For additional data please see the issuer/deal web page for the respective issuer on https://rankings.moodys.com.
For any affected securities or rated entities receiving direct credit score help from the first entity(ies) of this credit standing motion, and whose rankings might change on account of this credit standing motion, the related regulatory disclosures shall be these of the guarantor entity. Exceptions to this method exist for the next disclosures, if relevant to jurisdiction: Ancillary Providers, Disclosure to rated entity, Disclosure from rated entity.
The rankings have been disclosed to the rated entity or its designated agent(s) and issued with no modification ensuing from that disclosure.
These rankings are solicited. Please confer with Moody’s Coverage for Designating and Assigning Unsolicited Credit score Rankings obtainable on its web site https://rankings.moodys.com.
Regulatory disclosures contained on this press launch apply to the credit standing and, if relevant, the associated ranking outlook or ranking overview.
Moody’s basic ideas for assessing environmental, social and governance (ESG) dangers in our credit score evaluation will be discovered at https://rankings.moodys.com/paperwork/PBC_1288235.
The World Scale Credit score Score on this Credit score Score Announcement was issued by considered one of Moody’s associates exterior the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Primary 60322, Germany, in accordance with Artwork.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit score Score Companies. Additional data on the EU endorsement standing and on the Moody’s workplace that issued the credit standing is obtainable on https://rankings.moodys.com.
The World Scale Credit score Score on this Credit score Score Announcement was issued by considered one of Moody’s associates exterior the UK and is endorsed by Moody’s Buyers Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA beneath the regulation relevant to credit standing companies within the UK. Additional data on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is obtainable on https://rankings.moodys.com.
Please see https://rankings.moodys.com for any updates on adjustments to the lead ranking analyst and to the Moody’s authorized entity that has issued the ranking.
Please see the issuer/deal web page on https://rankings.moodys.com for added regulatory disclosures for every credit standing.
Carissa Hinman
Analyst
Structured Finance Group
Moody’s Buyers Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
Padma Rajagopal
VP – Sr Credit score Officer/Supervisor
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
Releasing Workplace:
Moody’s Buyers Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
