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 0956<br />
Strictly private & confidential<br />
<strong>Subprime</strong> mortgage borrower base relative to general<br />
US population<br />
* <strong>Subprime</strong> mortgage sector typically lends<br />
to borrowers better than the bottom 5% of<br />
US consumers but worse than the top<br />
71%.<br />
* Said another way the subprime mortgage<br />
universe 'attaches' at about 5% of US<br />
consumers and 'detaches' at roughly<br />
29%. 5% and Below are not deemed<br />
suitable for traditional home equity ABS<br />
deals.<br />
" About 71% of US consumers have better<br />
credit and are eligible for better financing<br />
terms from either Fannie Mae or Freddie<br />
Mac, or prime mortgage lenders.<br />
" Although subprime mortgage borrowers<br />
are not exactly consumers with the worst<br />
credit, they form the top 81 % of the<br />
bottom 29% of US consumers.<br />
" FICO scores of the majority of subprime<br />
mortgage borrowers are below 650.<br />
3%3%<br />
Source: Fair Isaac Corporation<br />
How do people score in the US?<br />
FICO Score range for typical subprime<br />
mortgage borrowers<br />
11%<br />
12% 13%<br />
FICO score range<br />
780+<br />
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 />
32
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