DBRS Assigns Ratings to Nomura Resecuritization Trust 2014-3R

DBRS has today assigned the following ratings to the Resecuritization Trust Securities, Series 2014-3R issued by Nomura Resecuritization Trust 2014-3R (the Trust):

-- $13.0 million Class 1A1 at AAA (sf)
-- $4.8 million Class 1A2 at BBB (sf)
-- $7.9 million Class 3A1 at AAA (sf)
-- $3.3 million Class 3A2 at BBB (sf)

The classes above are Initial Exchangeable Securities. The Initial Exchangeable Securities can be exchanged for the corresponding Subsequent Exchangeable Securities, and vice versa, subject to the conditions and procedures described in further detail in the offering memorandum.

There are four groups in this resecuritization trust. DBRS rates securities from Groups 1 and 3, each consisting of one or two seasoned senior residential mortgage-backed securities (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 July 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 Group 1, 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. With respect to Group 3, realized losses from the underlying security 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 or two seasoned senior RMBS represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of Alt-A, fixed- and adjustable-rate, first-lien, one- to four-family residential mortgages.

The ratings assigned to the offered 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 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:
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.

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