KBRA Assigns Preliminary Ratings to GS Mortgage-Backed Securities Trust 2026-HE2 (GSMBS 2026-HE2)
KBRA Assigns Preliminary Ratings to GS Mortgage-Backed Securities Trust 2026-HE2 (GSMBS 2026-HE2)
KBRA assigns preliminary ratings to 6 classes of mortgage-backed notes from GS Mortgage-Backed Securities Trust 2026-HE2 (GSMBS 2026-HE2), a $308.9 million RMBS transaction sponsored by Goldman Sachs Mortgage Company (Goldman Sachs or GSMC), consisting of first lien (10.9%) and second lien (89.1%) home equity line of credit (HELOC) loans. The underlying pool is seasoned approximately six months and comprises 3,088 loans, with United Wholesale Mortgage, LLC (UWM; 44.3%) as the largest contributing originator. The HELOCs are mostly interest-only (IO) adjustable-rate mortgages (ARMs), with initial draw windows of two (0.03%), three (76.3%), five (18.6%) or ten (4.8%) years, and 50.6% of the pool with 10-year IO periods. Most loans feature 10-year or 20-year amortization terms after the IO period, with final maturities primarily of 30 years (54.2%) and 20 years (43.9%). As of the July 31, 2026 cut-off date, the borrowers in the pool have drawn $307.9 million from a combined credit limit of $328.6 million for an aggregate utilization rate of 93.7% for the open HELOC loans.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), an examination of the results from third-party loan file due diligence, 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.
To access ratings and relevant documents, click here.
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Related Publications
Methodologies
- RMBS: U.S. RMBS Rating Methodology
- Structured Finance: Global Structured Finance Counterparty Methodology
Disclosures
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
About KBRA
Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.
Doc ID: 1016506
Analytical Contacts
James Huh, Director (Lead Analyst)
+1 646-731-2471
james.huh@kbra.com
Sabrina Vuong, Senior Analyst
+1 646-731-3324
sabrina.vuong@kbra.com
Jeremy Kugelman, Director
+1 646-731-1228
jeremy.kugelman@kbra.com
Patrick Gervais, Senior Managing Director (Rating Committee Chair)
+1 646-731-2426
patrick.gervais@kbra.com
Business Development Contact
Daniel Stallone, Managing Director
+1 646-731-1308
daniel.stallone@kbra.com
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