Fitch Rates Nomura U.S. RMBS Resecuritization Trust 2015-1R

Fitch Ratings has assigned the following ratings and Outlooks to five groups in Nomura Resecuritization Trust 2015-1R:

Group 1 Securities

--$17,119,000 class 1A1 'BBBsf'; Outlook Stable;

--$2,717,000 initial exchangeable class 1A2 not rated;

--$2,718,000 initial exchangeable class 1A3 not rated;

--$4,619,572 initial exchangeable class 1A4 not rated;

--$5,435,000 subsequent exchangeable class 1A5 not rated;

--$7,337,572 subsequent exchangeable class 1A6 not rated;

--$10,054,572 subsequent exchangeable class 1A7 not rated.

Group 3 Securities

--$14,813,000 class 3A1 'BBBsf'; Outlook Stable;

--$2,116,000 initial exchangeable class 3A2 not rated;

--$2,116,000 initial exchangeable class 3A3 not rated;

--$2,116,677 initial exchangeable class 3A4 not rated;

--$4,232,000 subsequent exchangeable class 3A5 not rated;

--$4,232,677 subsequent exchangeable class 3A6 not rated;

--$6,348,677 subsequent exchangeable class 3A7 not rated.

Group 4 Securities

--$15,212,000 class 4A1 'BBBsf'; Outlook Stable;

--$1,691,000 initial exchangeable class 4A2 not rated;

--$2,112,000 initial exchangeable class 4A3 not rated;

--$2,113,846 initial exchangeable class 4A4 not rated;

--$3,803,000 subsequent exchangeable class 4A5 not rated;

--$4,225,846 subsequent exchangeable class 4A6 not rated;

--$5,916,846 subsequent exchangeable class 4A7 not rated.

Group 5 Securities

--$16,982,000 class 5A1 'BBBsf'; Outlook Stable;

--$2,365,000 initial exchangeable class 5A2 not rated;

--$2,149,673 initial exchangeable class 5A3 not rated;

--$4,514,673 subsequent exchangeable class 5A4 not rated.

Group 6 Securities

--$8,959,000 class 6A1 'Asf'; Outlook Stable;

--$1,063,000 initial exchangeable class 6A2 'BBBsf'; Outlook Stable;

--$911,000 initial exchangeable class 6A3 not rated;

--$1,974,000 initial exchangeable class 6A4 not rated;

--$2,278,232 initial exchangeable class 6A5 not rated;

--$1,974,000 subsequent exchangeable class 6A6 not rated;

--$4,252,232 subsequent exchangeable class 6A7 not rated;

--$3,948,000 subsequent exchangeable class 6A8 not rated;

--$5,163,232 subsequent exchangeable class 6A9 not rated;

--$6,226,232 subsequent exchangeable class 6A10 not rated.

NMRR 2015-1R is comprised of six groups. Fitch is rating six bonds from five of the groups. Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated groups are collateralized with a senior class from prime and Alt-A transactions issued from 2006 to 2007. Collateral performance has shown improvement over the past few years. The underlying pools have exhibited significant declines in the percentage of loans seriously delinquent. Also in the aggregate, the percentage of loans transitioning from current to delinquent has slowed as well.

For the Fitch rated groups, interest is paid pro-rata and principal is paid sequentially. Realized losses are applied reverse sequentially.

KEY RATINGS DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated groups, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the Fitch rated bonds would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.

The group-to-bond association for the Fitch-rated groups are as follows:

--Group 1 represents a 41.89% interest in the Structured Adjustable Rate Mortgage Loan Trust series 2007-7 Class 1A1;

--Group 3 represents a 6.00% interest in the GSR Mortgage Loan Trust 2007-AR1 class 2A1;

--Group 4 represents a 10.14% interest in the Wells Fargo Alternative Loan 2007-PA6 Trust class A1;

--Group 5 represents a 21.13% interest in the WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust class A1A;

--Group 6 represents a 12.66% interest in the Banc of America Funding 2007-C Trust class 7A1.

For further information, see Nomura Resecuritization Trust 2015-1R Representations and Warranties Appendix, dated Jan. 30, 2015.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 2014);

--'U.S. RMBS Master Rating Criteria,' (July 2014);

--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 2014);

--'U.S. RMBS Loan Loss Model Criteria' (November 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);

--'U.S. RMBS Cash Flow Analysis Criteria' (April 2014);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (January 2014);

--'Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers' (January 2014).

Applicable Criteria and Related Research: Nomura Resecuritization Trust 2015-1R

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=861473

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=978973

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