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 0991<br />
Strictly private & confidential<br />
Moody's typical loss severity assumption on the<br />
underlying loans<br />
Rating Level<br />
Loss severity percent<br />
Aaa 60.0%<br />
Aa 55.0%<br />
A 50.0%<br />
Baa 45.0%<br />
Ba 42.5%<br />
B 40.0%<br />
Source: Moody's Investor Service<br />
Deutsche Banik<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 />
67
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