DBRS Rates Tranched Credit Default Swaps Referencing the Class A-1 Certificates issued by Two RMBS Trusts.

DBRS has today assigned ‘A’ ratings to the below credit default swap transaction (“CDS”) between Natixis Financial Products, Inc. (“Natixis”) and Halyard Securities, LLC (“Halyard”):

General Terms of the CDS referencing a portion of the Class A-1 Certificates issued by IXIS Real Estate Capital Trust 2007-HE1:

Fixed Rate Payer: Halyard Securities, LLC
Floating Rate Payer: Natixis
Reference Entity: IXIS Real Estate Capital Trust 2007-HE1
Reference Obligation: Class A-1 Certificates
Original Swap Notional: $1,000,000
Attachment Point: 79.0%
Exhaustion Point: 100.000%

General Terms of the CDS referencing a portion of the Class A-1 Certificates issued by Natixis Real Estate Capital Trust 2007-HE2:

Fixed Rate Payer: Halyard Securities, LLC
Floating Rate Payer: Natixis
Reference Entity: Natixis Real Estate Capital Trust 2007-HE2
Reference Obligation: Class A-1 Certificates
Original Swap Notional: $1,000,000
Attachment Point: 85.0%
Exhaustion Point: 100.000%

The rating above addresses the likelihood that any Cash Settlement Amount as defined in the CDS, if it shall so occur, will be no greater than zero.

The reference obligations are the most senior certificates in RMBS trusts that are backed by subprime fixed and adjustable-rate mortgage loans secured by residential properties.

Notes:
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.

This is a Structured Finance rating.