DBRS Assigns Ratings to GSMSC Resecuritization Trust 2015-3R

DBRS, Inc. (DBRS) has today assigned the following ratings to the Resecuritization Trust Securities, Series 2015-3R issued by GSMSC Resecuritization Trust 2015-3R (the Trust):

-- $54.1 million Class 1A-1 rated A (sf)
-- $13.5 million Class 1A-1A rated A (sf)
-- $13.5 million Class 1A-1B rated A (sf)
-- $13.5 million Class 1A-1C rated A (sf)
-- $13.5 million Class 1A-1D rated A (sf)
-- $58.4 million Class 2A-1 rated A (sf)
-- $14.6 million Class 2A-1A rated A (sf)
-- $14.6 million Class 2A-1B rated A (sf)
-- $14.6 million Class 2A-1C rated A (sf)
-- $14.6 million Class 2A-1D rated A (sf)

There are two groups in this resecuritization trust. DBRS rates both groups, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the offered securities 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 underlying distribution date (generally the 25th of each month), commencing in May 2015. Interest and principal payments will be distributed sequentially to the securities, in the order of priority specified in the private placement memorandum.

Within both groups, the underlying securities do not provide for reduction of the principal balance of such securities by the amount of any losses, thus taking implied writedowns. No allocation of realized losses will be made to the offered securities under the Trust Agreement or the Indenture. Any reduction in amounts representing principal collections available to make payment on the offered securities will be made in reverse sequential order as specified in the private placement memorandum.

The groups are resecuritizations of one seasoned senior RMBS, represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by pools of seasoned Option ARM 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.