Fitch Rates Nomura Resecuritization Trust 2014-6R

NEW YORK--()--Fitch Ratings has assigned the following ratings and Outlooks to two groups in Nomura Resecuritization Trust 2014-6R:

Group 5 Securities

--$17,594,000 class 5A1 'BBBsf'; Outlook Stable;

--$2,793,000 initial exchangeable class 5A2 not rated;

--$2,793,000 initial exchangeable class 5A3 not rated;

--$4,748,103 initial exchangeable class 5A4 not rated;

--$5,586,000 subsequent exchangeable class 5A5 not rated;

--$7,541,103 subsequent exchangeable class 5A6 not rated;

--$10,334,103 subsequent exchangeable class 5A7 not rated.

Group 6 Securities

--$9,732,000 class 6A1 'Asf'; Outlook Stable;

--$1,132,000 class 6A2 'BBBsf'; Outlook Stable;

--$679,000 initial exchangeable class 6A3 not rated;

--$1,131,000 subsequent exchangeable class 6A4 not rated;

--$3,169,000 subsequent exchangeable class 6A5 not rated;

--$3,395,000 initial exchangeable class 6A6 not rated;

--$3,395,541 initial exchangeable class 6A7 not rated;

--$1,810,000 subsequent exchangeable class 6A8 not rated;

--$9,959,541 subsequent exchangeable class 6A9 not rated;

--$4,979,000 subsequent exchangeable class 6A10 not rated;

--$6,790,541 subsequent exchangeable class 6A11 not rated;

--$8,374,000 subsequent exchangeable class 6A12 not rated;

--$11,090,541 subsequent exchangeable class 6A13 not rated;

--$11,769,541 subsequent exchangeable class 6A14 not rated.

NMRR 2014-6R is comprised of six groups. Fitch is rating bonds in two groups - Bond 5A1 in group 5 and bonds 6A1 and 6A2 in group 6. Each group is a resecuritization of an ownership interest in a mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated groups are collateralized with senior classes of prime and Alt-A transactions issued in 2006 and 2007. While the mortgage pools performed worse than initial expectations, performance has stabilized and improved in recent years.

This transaction contains certain classes designated as Initial Exchangeable Securities and others as Subsequent Exchangeable Securities.

For Group 5, classes 5A2, 5A3, and 5A4 are Initial Exchangeable Securities and classes 5A5, 5A6 and 5A7 are Subsequent Exchangeable Securities. For the Fitch rated group, interest is paid pro-rata and principal is paid sequentially.

For Group 6, classes 6A3, 6A4, 6A5, 6A6 and 6A7 are Initial Exchangeable Securities and classes 6A8, 6A9, 6A10, 6A11, 6A12, 6A13 and 6A14 are Subsequent Exchangeable Securities. For the Fitch rated group, interest is paid pro-rata and principal is paid sequentially.

Key rating drivers include the performance of the underlying pools 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 cashflow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cashflow timing stress scenarios.

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

Group 5 represents a 100% interest in the JP Morgan Mortgage Trust 2007-A2, Class 3-A-2. Fitch's 'BBBsf' rating for class 5A1 reflects the credit risk of the underlying transaction and the 37% subordination provided by the new resecuritization trust. The underlying collateral pool for JPMMT 2007-A2, class 3-A-2 consists of 7-year hybrid loans. As of Sept. 25, 2014, the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 727 and a sLTV of 113.9%. The top three state concentrations are CA (23.2%), Fl (11.9%) and NJ (8%). Delinquent loans account for 19.6% of the current pool.

Group 6 represents 8.35% interest in the Leman XS Trust, series 2006-2N, class 1-A1. Fitch's 'Asf' and 'BBBsf' rating respectively for class 6A1 and 6A2 reflects the credit risk of the underlying transactions and the 57% and 52% subordination provided by the new resecuritization trust. The underlying collateral pool for LXS 2006-2N, class 1-A1 consists of option ARM loans. As of September 25, 2014, the loans remaining in the underlying pool have an original weighted average (WAVG) credit score of 700 and a sLTV of 123.4%. The top three state concentrations are CA (62.9%), FL (8.3%) and VA (4.6%). Delinquent loans account for 33.7% of the current pool.

For further information, see Nomura Resecuritization Trust 2014-6R Representations and Warranties Appendix, dated Sept. 30, 2014.

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

In addition to the information sources identified in Fitch's criteria listed below, Fitch's analysis incorporated information from the LoanPerformance database including underlying loan level information and from Intex for the underlying bond structure. The re-REMIC structure was provided by Nomura Securities International, Inc..

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' (December 2013);

--'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 2014-6R - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=785329

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=886614

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Contacts

Fitch Ratings
Media Relations
Sandro Scenga, New York
Tel: +1 212-908-0278
Email: sandro.scenga@fitchratings.com
or
Primary Analyst
Roger Lin
Director
+1-212-908-0778
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Ryan O'Loughlin
Analyst
+1-212-908-0387
or
Committee Chairperson
Rui Pereira
Managing Director
+1-212-908-0766

Contacts

Fitch Ratings
Media Relations
Sandro Scenga, New York
Tel: +1 212-908-0278
Email: sandro.scenga@fitchratings.com
or
Primary Analyst
Roger Lin
Director
+1-212-908-0778
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Ryan O'Loughlin
Analyst
+1-212-908-0387
or
Committee Chairperson
Rui Pereira
Managing Director
+1-212-908-0766