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 0996<br />
Strictly private & confidential<br />
Deals with multiple collateral groups: Y-structure<br />
" A deal may have more than one group of<br />
collateral, each supporting its own sets of<br />
bonds<br />
* Lower classes (or O/C) may receive cash<br />
from entire pool<br />
* This structure enables the better<br />
performing group to aid the worse<br />
performing one<br />
" Triggers are more complicated<br />
Class I-A<br />
(group I)<br />
Class I-B<br />
(group I)<br />
Class 1-A<br />
(group 11)<br />
Class U-B<br />
(group 11)<br />
Class C (group 1, H)<br />
O/C (group 1, 1)<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.<br />
72
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