2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
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Footnote Exhibits - Page 0941<br />
Strictly private & confidential<br />
There is a strong negative correlation between home<br />
price appreciation and loss severity<br />
Annualized home price appreciation rates since 1999 and loss severity by MSA<br />
80%<br />
0 a<br />
c70% -<br />
C:<br />
(U<br />
60% -<br />
50% -<br />
*S 40% -<br />
0<br />
230% -<br />
e 20% -<br />
32% at 5% HPA<br />
5% at 10% HPA<br />
1% at 15% HPA<br />
10% -<br />
- 0% --<br />
2%<br />
4% 6% 8% 10% 12% 14%<br />
Annualized average growth rate since 1999 in home prices<br />
16% 18%<br />
HPA data as of end of third quarter 2006, mortgage data as of October 2006<br />
Note: See the next page for more details<br />
Source: LoanPerformance, OFHEO, Deutsche Bank<br />
All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be<br />
different and will depend on the actual portfolios selected.<br />
Deutsche Banik<br />
17