Press Release

DBRS Morningstar Upgrades and Confirms Ratings on Two GAM Resecuritization Trust Transactions

Student Loans
July 14, 2023

DBRS, Inc. (DBRS Morningstar) upgraded and confirmed its ratings on the following classes of securities included in two GAM Resecuritization Trust transactions:

GAM Resecuritization Trust 2018-A:
-- Class A-1 Notes confirmed at AAA (sf)
-- Class A-2 Notes upgraded to AAA (sf) from AA (sf)
-- Class B Notes upgraded to AA (sf) from A (sf)

GAM Resecuritization Trust 2018-B:
-- Class A-1 Notes confirmed at AAA (sf)
-- Class A-2 Notes confirmed at AA (sf)
-- Class B Notes confirmed at A (sf)

CREDIT RATING RATIONALE/DESCRIPTION
The rating actions are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

-- Transaction capital structure, current ratings, and sufficient cash flow from the underlying trusts.

-- The currently available hard credit enhancement in the form of overcollateralization and the amounts on deposit in the reserve accounts, with the senior notes benefiting from subordination of the junior notes, as well as the change in the level of protection afforded by each form of credit enhancement since closing.

-- Credit enhancement levels are sufficient to support the DBRS Morningstar-expected default and loss severity assumptions under various stress scenarios.

-- Underlying collateral performances are within expectations. Cumulative net losses are low. Forbearance and delinquency levels remain stable.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (May 16, 2023; https://www.dbrsmorningstar.com/research/414028).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com\methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023)
https://www.dbrsmorningstar.com/research/412303
--Operational Risk Assessment for U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023)
https://www.dbrsmorningstar.com/research/415687
Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008
Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449
Rating U.S. Private Student Loan Securitizations (October 28, 2022)
https://www.dbrsmorningstar.com/research/404500

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/410863.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.