DBRS Rates Nomura Home Equity Loan NIM 2006-FM2

Dominion Bond Rating Service (DBRS) has today assigned the following ratings to the Net Interest Margin Notes, Series 2006-FM2 (the NIM Notes) issued by Nomura Home Equity Loan NIM 2006-FM2 (the Trust).

- $29.6 million Class N1 rated at A (low)
- $9.7 million Class N2 rated at BBB (low)
- $6.4 million Class N3 rated at BB

The NIM Notes are backed by a 100% interest in the Class X and Class P Certificates issued by Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM2 (the Underlying Trust). The Class X Certificates will be entitled to all excess cash flows (after applying realized losses) of the respective loan groups in the underlying trust, and the Class P Certificates will be entitled to all prepayment premiums or charges received in respect of the mortgage loans. The NIM Notes will also be entitled to the benefits of a NIM Cap Agreement with HSBC Bank USA, NA. The Trust will receive funds should LIBOR exceeds 5.32% per annum subject to a ceiling of 9.50% per annum. In addition, the NIM Notes will benefit from an underlying swap agreement, an underlying interest rate cap agreement and an underlying basis risk cap agreement with HSBC Bank USA, NA.

Payments on the NIM Notes will be made on the 25th of each month commencing in November 2006. The interest payment amount will be distributed to the Noteholders, followed by the principal payment amount to the Noteholders until the principal balance of the NIM Notes is reduced to zero. Any remaining amounts may be paid to holders of preference shares, which are not rated by DBRS.

The mortgage loans in the Underlying Trust were solely originated or acquired by Fremont Investment & Loan.

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

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