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 0995<br />
Strictly private & confidential<br />
Typical home equity ABS structure: sequential with<br />
cross-over, OC turbo and step-down<br />
Principal collection<br />
1. Pay bond<br />
principal<br />
sequentially<br />
2. Loss will result if<br />
principal available<br />
is short of<br />
principal due<br />
Interest collection<br />
1. Pay bond coupons<br />
2. Cover principal losses<br />
IClass A<br />
* Class B<br />
Class C<br />
O/C<br />
A<br />
0<br />
0<br />
cj~<br />
cj~<br />
0<br />
0<br />
* In the first few years, principal are paid<br />
sequentially among senior, mezzanine and<br />
subordinate tranches<br />
* OC can be built up from the initial level by<br />
using excess spreads to pay down principal<br />
of bonds<br />
" After the cross-over date, mezzanine and<br />
subordinate bonds start to receive principal<br />
simultaneously with senior bonds (provide no<br />
trigger event occurs)<br />
* After the step-down date, part of OC is<br />
released (provided no trigger event occurs)<br />
" An optional redemption (clean-up) call allows<br />
the servicer to call the deal when the<br />
collateral pool is below 10% of the original<br />
size.<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.
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