DBRS Assigns Rating to APS Resecuritization Trust 2015-3

DBRS, Inc. (DBRS) has today assigned the following rating to the REMIC Notes, Series 2015-3 issued by APS Resecuritization Trust 2015-3 (the Trust):

-- $28.1 million Class 1-A rated BBB (sf)

There are two groups in this resecuritization trust. DBRS rates notes from Group 1, consisting of one seasoned senior residential mortgage-backed security (RMBS). The rating on the offered notes reflects the credit enhancement provided by subordination and the quality of the underlying assets.

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

Within Group 1, interest and principal payments on the securities will be made on the business day following the 25th of each month, commencing in May 2015. Interest payments will be distributed sequentially to the securities. Principal will be distributed sequentially to the securities in the order of priority specified in the offering memorandum until the principal balances thereof are reduced to zero. Any realized losses shall be allocated to reduce the Group 1 note Principal Amount of the Class 1-MZ notes until reduced to zero. Group 1 Realized Losses will not be allocated to the Class 1-A notes.

The DBRS-rated group is a resecuritization of one seasoned senior RMBS represented by a real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned Option ARM residential mortgages.

The ratings assigned by DBRS to the Class 1-A notes address (i) the likelihood of the receipt by Class 1-A notes of all principal distributions to which such Noteholders are entitled and (ii) the likelihood of the receipt by its Noteholders of the amount of interest actually received by the trust to the extent payable to the Class 1-A notes in accordance with the priorities described herein (as such interest received by the trust may have been reduced as a result of Group 1 Uncompensated Interest Shortfall Amounts, other interest shortfalls allocated to the Group 1 underlying certificates or another shortfall allocated to the Noteholders or the Group 1 underlying notes, and as such interest entitlement may be further reduced by the allocation of Additional Trust Fund Expenses as described in the operative documents). The rating assigned by DBRS to the Class 1-A notes does not address the likelihood of the receipt by its Noteholders of any Group 1 Accrued Note Interest payable on such Class 1-A Notes that exceeds the Class 1-A Available Interest Funds Amount.

DBRS ReREMIC METHODOLOGY EXCERPT:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying securities, 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.