OREANDA-NEWS. Fitch Ratings has assigned the following ratings and Rating Outlooks to two groups in Nomura Resecuritization Trust 2015-11R (NMRT 2015-11R):

Group 3 Securities
--$10,847,000 class 3A1 'Asf'; Outlook Stable;
--$1,572,000 class 3A2 'BBBsf'; Outlook Stable;
--$1,729,000 Initial Exchangeable class 3A3 Not Rated;
--$1,572,586 Initial Exchangeable class 3A4 Not Rated;
--$3,301,586 Subsequent Exchangeable class 3A5 Not Rated.

Group 4 Securities
--$11,868,000 class 4A1 'Asf'; Outlook Stable;
--$802,000 class 4A2 'BBBsf'; Outlook Stable;
--$1,764,000 Initial Exchangeable class 4A3 Not Rated;
--$1,604,591 Initial Exchangeable class 4A4 Not Rated;
--$3,368,591 Subsequent Exchangeable class 4A5 Not Rated.

Additionally the following groups are not being rated by Fitch:

Group 1 Securities
-- $10,402,000 Class 1A1 Certificates;
-- $3,285,462 Class 1A2 Certificates.

Group 2 Securities
-- $7,448,000 Class 2A1 Certificates;
-- $17,377,900 Class 2A2 Certificates.

KEY RATING DRIVERS
NMRT 2015-11R is composed of four groups, and Fitch is rating four bonds from two of the groups. Each group is a resecuritization of an ownership interest in residential mortgage-backed securities. As a resecuritization, the securities will receive their cashflow from the underlying security. The Fitch-rated groups are collateralized with senior classes from Prime transactions issued in 2007. Collateral performance has shown improvement over the past few years. The underlying pool has exhibited improvement in the percentage of loans seriously delinquent. Also, the percentage of loans transitioning from current to delinquent has slowed as well.

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

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 group, we ran various prepayment speeds and loss timing scenarios in 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 cashflow timing stress scenarios.

Group 3 represents a 7.08% interest WaMu Mortgage Pass-Through Certificates, Series 2007-HY1 Trust Class 4A1. Based on the collateral composition of the Group 3 underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 6.10%. In the rating stress scenarios, Fitch assumed an 'Asf' XL of 23.57% and a 'BBBsf' XL of 18.63%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). Fitch determined that the required CE to support an 'Asf' rating is 25.32% and 20.29% to support a 'BBBsf' rating. The additional CE applied to the class 3A1 was done at the discretion of the issuer.

Group 4 represents a 4.70% interest WaMu Mortgage Pass-Through Certificates, Series 2007-HY6 Trust Class 2A1. Based on the collateral composition of the Group 4 underlying pool, Fitch assumed a base-case scenario XL of 9.51%. In the rating stress scenarios, Fitch assumed an 'Asf' XL of 24.04% and a 'BBBsf' XL of 18.63%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required CE. Fitch determined that the required CE to support an 'Asf' rating is 25.06% and 20.04% to support a 'BBBsf' rating.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents.

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 publication of a RW&Es appendix is not required for this transaction as stated in Fitch's Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions Report dated June 12, 2015.

DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.