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

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Footnote Exhibits - Page 0992 Strictly private & confidential Other issues rating agencies consider I Mortgage insurance - The presence of MI will reduce loss severity - Rating agencies generally assume that the servicer won't be able to collect 100% of claims. A "haircut" is made to the mortgage insurance - Haircut is made according to the rating 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. 68
Footnote Exhibits - Page 0993 Strictly private & confidential Over-collateralization: the most basic credit enhancement a A deal is over-collateralized when - The balance of the pool is larger than the aggregate balance of the bonds - Collection proceeds are first used to pay bonds' interest and principal * Most mortgage ABS deals use some form of over-collateralization to enhance the credit for - Bondholder - Insurer M The exceptions are - Whole-loan deals issued by GSEs - Some deals with issuer-guaranteed classes E OC can be viewed as a special tranche that is the first loss piece for the deal 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. 69 00 00 00
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2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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