DBRS Rates Nomura Resecuritization Trust 2011-3R

DBRS has today assigned the following ratings to the Resecuritization Trust Securities, Series 2011-3R issued by Nomura Resecuritization Trust 2011-3R (the Trust).

-- $10.5 million Class 1A1* rated at AAA (sf)
-- $2.7 million Class 1A2* rated at AA (sf)
-- $2.0 million Class 1A3* rated at A (sf)
-- $13.3 million Class 1A4** rated at AA (sf)
-- $15.2 million Class 1A5** rated at A (sf)

There are three groups total in this resecuritization trust. DBRS rates Group 1, which consists of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination within Group 1. The ratings also reflect the quality of the underlying assets. Certain classes of securities (Initial Exchangeable Securities) are exchangeable for certain other classes of securities (Subsequent Exchangeable Securities) and vice versa, in the combinations described in the private placement memorandum.

The ratings assigned to the securities address (i) the likelihood of the receipt by security holders of all principal distributions to which such security holders are entitled and (ii) the likelihood of the receipt by security holders of the amount of interest actually received by the trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities or any other cause, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses). For more details on the ratings, please refer to the offering documents.

Other than the specified securities 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 day of the month), commencing in July 2011. Within Group 1, interest payments will be distributed on a pro rata basis and principal payments will be distributed on a sequential basis to the securities 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 within Group 1.

Group 1 is a resecuritization consisting of one seasoned senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of Alt-A, fixed and adjustable-rate, first lien, one- to four-family residential mortgages.

Notes:

• denotes Initial Exchangeable Certificate.
  ** denotes Subsequent Exchangeable Certificate.

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

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on our website under Methodologies.