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

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Footnote Exhibits - Page 0990 Strictly private & confidential What factors are used in deciding assumptions? I Factors used in determining the base case assumptions include: - Borrower characteristics (income, credit history, etc) - Loan characteristics (LTV ratio, term, property type, purpose, occupancy, MI, etc) - Pool characteristics (concentration, etc) - Originator and servicer practices and loan programs - Macro and local economic consideration (employment, real estate market, etc.) Deutsche Bank 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. 66
Footnote Exhibits - Page 0991 Strictly private & confidential Moody's typical loss severity assumption on the underlying loans Rating Level Loss severity percent Aaa 60.0% Aa 55.0% A 50.0% Baa 45.0% Ba 42.5% B 40.0% Source: Moody's Investor Service Deutsche Banik 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. 67
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2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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