2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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Footnote Exhibits - Page 0938 Strictly private & confidential Historically, lifetime losses in subprime mortgages reached over 6%, even with the strong housing market Historical Cumulative Net Loss Rate Initial %of as of December 2006 Pool Vintage Dec-04 Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 ARM ARM 2006 0.00% 0.02% 76.1% 2005 0.00% 0.01% 0.02% 0.04% 0.10% 0.18% 79.7% 2004 0.01% 0.02% 0.05% 0.10% 0.17% 0.27% 0.39% 0.53% 72.7% 2003 0.24% 0.34% 0.45% 0.56% 0.68% 0.81% 0.90% 0.98% 62.2% 2002 0.89% 1.05% 1.21% 1.39% 1.50% 1.67% 1.79% 1.82% 63.9% 2001 2.36% 2.55% 2.73% 3.14% 3.17% 3.34% 3.50% 3.63% 58.9% 2000 3.990/ 4.35% 4.78% 5.17% 5.59% 5.77% 5.96% 6.13% 63.1% 1999 5.26% 5.45% 5.59% 5.74% 6.11% 6.41% 6.55% 6.59% 50.9% 1998 5.72% 6.27% 6.51% 6.63% 6.72% 6.78% 6.88%* 6.88%* 51.9% Fixed Rate Fixed 2006 0.00% 0.00% 23.9% 2005 0.00% 0.00% 0.01% 0.02% 0.06% 0.10% 20.3% 2004 0.02% 0.04% 0.07% 0.10% 0.14% 0.24% 0.39% 0.56% 27.3% 2003 0.25% 0.34% 0.44% 0.55% 0.65% 0.75% 0.87% 0.97% 37.8% 2002 1.11% 1.28% 1.46% 1.71% 1.86% 2.06% 2.22% 2.34% 36.1% 2001 2.89% 3.18% 3.42% 3.68% 3.87% 3.92% 4.11% 4.15%* 41.1% 2000 4.77% 4.89% 5.22% 5.43% 5.78% 5.91% 6.19% 6.52% 36.9% 1999 5.05% 5.35% 5.56% 5.64% 6.03% 6.09% 6.25%* 6.27% 49.1% 1998 5.56% 5.59% 5.68% 6.13% 6.33%* 6.48%* 6.58%* 6.63*% 48.1% Re-estimated by Deutsche Bank to adjust for the effect due to optional calls on certain deals Source Moody's, LoanPerformance, Deutsche Bank Cumulative loss data published by Moody's in December 2006 Deutsche Banik D h B k All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be different and will depend on the actual portfolios selected.
Footnote Exhibits - Page 0939 Strictly private & confidential Nearly 60% of outstanding subprime mortgages are located in the MSAs with double digit 6-year average of annual home price growth rates 20%-- 18%-- 16% 14% 12% 10% 8% 6%-- 4%-- 2%- 0%-I 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% - - 5-yr annualized HPA rate - Cumulative distribuition of subprime mortgage outstanding Source: LoanPerformance, OFHEO, Deutsche Bank HPA data as of the end of Third Quarter 2006, mortgage data as of December 2006 All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be different and will depend on the actual portfolios selected. Deutsche Banik 15
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