DBRS Assigns BBB (sf) Ratings to GSMSC Resecuritization Trust 2014-2R

DBRS has today assigned the following ratings to the Series 2014-2R Resecuritization Trust Securities issued by GSMSC Resecuritization Trust 2014-2R (the Trust):

-- $14.0 million Class 2A rated BBB (sf)
-- $7.0 million Class 2A-1 rated BBB (sf)
-- $7.0 million Class 2A-2 rated BBB (sf)

Class 2A is an Exchange Note. Class 2A-1 and Class 2A-2 are Exchangeable Notes. The Exchange Notes can be exchanged for the Exchangeable Notes, and vice versa, subject to the conditions and procedures described in further detail in the offering memorandum.

There are three groups in this resecuritization trust. DBRS rates notes from Group 2, which consists of three seasoned senior residential mortgage-backed securities (RMBS). The ratings on the offered notes reflect the credit enhancement provided by subordination and the quality of the underlying assets.

Other than the classes specified above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made on the business day following the latest underlying distribution date (generally the 25th of each month), commencing in July 2014. Interest payments will be distributed sequentially to the securities. Principal will be distributed sequentially to the securities, in the order of priority specified in the private placement memorandum, until the principal balances thereof are reduced to zero.

Any losses realized from the underlying securities will be allocated in a reverse sequential order to the securities.

The DBRS-rated group is a resecuritization of three seasoned senior RMBS, represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned, Alt-A, one- to four-family, fixed-rate residential mortgages.

The ratings assigned to the securities address (1) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (2) the likelihood of the receipt by securityholders of the amount of interest actually received by the issuing entity to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the issuing entity may have been reduced as a result of interest shortfalls or any other cause, and as such interest entitlement may be further reduced by the allocation of Extraordinary Trust Expenses as further described in the operative documents).

DBRS ReREMIC METHODOLOGY EXCERPT:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities.

In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and what is collected on the underlying securities can sometimes be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

The rating is endorsed by DBRS Ratings Limited for use in the European Union.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.