DBRS Rates Nomura Home Equity Loan NIM 2006-HE3

Dominion Bond Rating Service (DBRS) has today assigned the following ratings to the Net Interest Margin Notes, Series 2006-HE3 (NIM Notes) issued by Nomura Home Equity Loan NIM 2006-HE3:

-- $22.7 million Class N1 rated at A (low)
-- $4.3 million Class N2 rated at BBB (low)
-- $2.7 million Class N3 rated at BB (high)
-- $9.3 million Class N4 rated at B

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-HE3 (the Underlying Trust). The Class X Certificates will be entitled to all excess cashflows (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. In addition, the Notes will benefit from an underlying swap agreement, Swiss Re Financial Products Corporation (the Swap Provider).

Payments on the NIM Notes will be made on the 25th of each month, commencing in December 2006. Class N4 Notes are Accrual Notes, as the interest amount accrued on these notes is paid as principal to Class N1 through N3 Notes and such accrued interest amount is added to the principal balance of the Class N4 Notes. On each payment date, Interest payments will be distributed sequentially to the holders of Class N1 through N3 Notes, followed by principal payments distributed sequentially to the holders of Class N1 through N3 Notes, until the Note balance of such class has been reduced to zero. Interest followed by principal payments will be then distributed to Class N4 Notes. Any remaining amounts will be distributed to the Issuer, the Indenture Trustee and holders of preference shares.

The mortgage loans in the Underlying Trust were primarily originated or acquired by People’s Choice Home Loan Inc. (38.19%), First NLC Financial Services, LLC (14.47%) and Equifirst Corporation (10.77%). The remaining mortgage loans were originated by various other originators.

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

Ratings

Back to top