DBRS Takes Action On Potential Interest Rate Swap Termination Payments for Swap Agreements Between Natixis Financial Products Inc. (Swap Counterparty) and RMBS Trusts

DBRS Inc., (DBRS) has today taken the following rating actions to the ultimate payment of any potential interest rate swap (IRS) termination amounts which may be owed by the RMBS trusts to Natixis Financial Products Inc. in the event of a failure to pay default where the trust is the defaulting party.

• Interest rate swap transaction between Supplemental Interest Trust, BNC Mortgage Loan Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 and Natixis Financial Products Inc. confirmed at ‘AA’ (sf).

• Interest rate swap transaction between IXIS Real Estate Capital Supplemental Interest Trust 2007-HE1 and Natixis Financial Products Inc. upgraded from ‘AA’ (sf) to ‘AAA’ (sf).

• Interest rate swap transaction between Natixis Real Estate Capital Supplemental Interest Trust 2007-HE2 and Natixis Financial Products Inc. upgraded from ‘AA’ (sf) to ‘AAA’ (sf).

The ratings do not address a) the likelihood that a swap termination event occurs on or before the swap termination date, (b) the payment of any swap termination payments owed by Natixis Financial Products Inc. to the trusts and (c) termination payments owed by the trusts to Natixis Financial Products Inc. if Natixis Financial Products Inc. is the defaulting party.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, which can be found on our website under Methodologies.