Shorting Home Equity Mezzanine Tranches
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches
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Footnote Exhibits - Page 0937<br />
Strictly private & confidential<br />
Typical ABS and CDO deal structures<br />
ABS Collateral Pool<br />
Mortgage Loan# 5000<br />
Average Loan Size 200,000<br />
CLTV 85%<br />
California Loan 30%<br />
FICO 620<br />
Interest Only 20%<br />
CDO Collateral Pool<br />
ABS bonds<br />
(mostly BBB or 100 specific credits<br />
BBB-, 5-10% BB)<br />
ABS Capital Structure<br />
Tranche Thickness Support<br />
AAA 80% 20%<br />
AA 5% 15%<br />
A 6% 9%<br />
BBB+ 2% 7%<br />
BBB 1% 6%<br />
BBB- 1% 5%<br />
BB 1% 4%<br />
OC (<strong>Equity</strong>) 4% 0%<br />
CDO Capital Structure<br />
Tranche Thickness Support<br />
AAA 80% 20%<br />
AA 10% 10%<br />
BBB 5% 5%<br />
O/C (<strong>Equity</strong>) 5% 0%<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 />
13
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