DBRS Rates Nomura Resecuritization Trust 2011-1R

DBRS has today assigned the following ratings to the Resecuritization Trust Securities, Series 2011-1R issued by Nomura Resecuritization Trust 2011-1R (the Trust).

-- $22.5 million Class 1A1* rated at AAA(sf)
-- $25.5 million Class 1A3** rated at AA (sf)
-- $28.1 million Class 1A5** rated at A (sf)
-- $3.1 million Class 1A7* rated at AA (sf)
-- $2.6 million Class 1A8* rated at A (sf)
-- $5.6 million Class 1A9** rated at A (sf)

This resecuritization trust consists of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination. The ratings also reflect the quality of the underlying asset. 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 the likelihood of the receipt by the security holders of all distributions to which such security holders are entitled, as such entitlements may be reduced by (i) the allocation of certain net interest shortfalls allocated to the underlying securities, including but not limited to net interest shortfalls resulting from prepayments of the related underlying mortgage loans, application of the Servicemembers Civil Relief Act, as amended, in respect of the related underlying mortgage loans or reductions in the interest rate on the related underlying mortgage loans as a result of modifications on such underlying mortgage loans or the underlying servicer’s failure to make any required advances of interest on the underlying mortgage loans and (ii) related Extraordinary Trust Expenses. The ratings do not address the likelihood of the receipt by Certificateholders of any payments of unpaid interest shortfall amounts.

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 (the 25th day of the month), commencing in January 2011. Interest 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.

The Trust is a resecuritization consisting of one senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned prime, 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.