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 0971<br />
Strictly private & confidential<br />
Most of losses in collateral happen between year 2 and<br />
year 4, especially after rate-adjustment induced<br />
payment shocks<br />
100%- Cumulative Net Loss Distribution by Age<br />
90%--<br />
0<br />
80%-<br />
70%-<br />
60%-<br />
0JW<br />
E 50%-<br />
40%-<br />
4-<br />
0R<br />
30%-<br />
20%-<br />
10%_<br />
0%<br />
0 6 12 18 24 30 36 42 48 54 60 66 72 78 84<br />
Loan age<br />
Deutsche Bank<br />
All number% --- ARM<br />
different an .....<br />
.-, FIX<br />
portfolio. Actual numbers will be
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