DBRS Assigns Ratings to Nomura Resecuritization Trust 2014-2R

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

-- $6.3 million Class 2A1 at AA (sf)
-- $0.9 million Class 2A2* at A (sf)
-- $1.1 million Class 2A3* at BBB (sf)
-- $2.0 million Class 2A8** BBB (sf)
-- $8.2 million Class 4A1 AA (sf)
-- $1.5 million Class 4A2* BBB (sf)

There are four groups total in this resecuritization trust. DBRS rates securities from Group 2 and Group 4, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination and the quality of the underlying assets.

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

Interest and principal payments will be made on the business day following the latest underlying distribution date (generally the 25th day of each month), commencing in May 2014. Within each DBRS-rated group, interest payments will be distributed on a pro rata basis to the securities, and principal will be distributed on a sequential basis, until the class principal balances thereof are reduced to zero.

With respect to each DBRS-rated group, the underlying securities do not provide for reduction of the principal balances thereof by the amount of any losses. Any increase in implied realized loss amounts from the underlying securities will be allocated in a reverse sequential order to the securities, until the principal balances have been reduced to zero.

Each DBRS-rated group 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.

The ratings assigned to the offered 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, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses).

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 sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust to make 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:

• denotes Initial Exchangeable Security.
  ** denotes Subsequent Exchangeable Security.

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.

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