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 0939<br />
Strictly private & confidential<br />
Nearly 60% of outstanding subprime mortgages are<br />
located in the MSAs with double digit 6-year average of<br />
annual home price growth rates<br />
20%--<br />
18%--<br />
16%<br />
14%<br />
12%<br />
10%<br />
8%<br />
6%--<br />
4%--<br />
2%-<br />
0%-I<br />
100%<br />
90%<br />
80%<br />
70%<br />
60%<br />
50%<br />
40%<br />
30%<br />
20%<br />
10%<br />
0%<br />
- - 5-yr annualized HPA rate - Cumulative distribuition of subprime mortgage outstanding<br />
Source: LoanPerformance, OFHEO, Deutsche Bank<br />
HPA data as of the end of Third Quarter 2006, mortgage data as of December 2006<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 />
Deutsche Banik<br />
15