KBRA Assigns Preliminary Ratings to GS Mortgage-Backed Securities Trust 2026-HE2 (GSMBS 2026-HE2)
NEW YORK, August 17, 2026--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.
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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.