DBRS rates Tranched Credit Default Swap Referencing the Class A-2 Certificates issued by BNC Mortgage Loan Trust 2007-2

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 the Class A-2 Certificates issued by BNCMT Mortgage Loan Trust 2007-2

Fixed Rate Payer: Halyard
Floating Rate Payer: Natixis
Reference Entity: BNCMT Mortgage Loan Trust 2007-2
Reference Obligation: Class A-2 Certificates
Original Swap Notional: $1,000,000
Attachment Point: 70.0%
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 obligation is the most senior certificate in RMBS trust that is backed by subprime fixed and adjustable-rate mortgage loans secured by residential real 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.