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 0940<br />
Strictly private & confidential<br />
Defaults of subprime mortgages are also strongly<br />
negatively correlated with home price growth rates<br />
30%<br />
25%<br />
0)<br />
220%<br />
Cumulative defaults of subprime ARMs by MSA growth rate quartiles<br />
(vintages 2000 - 2006)<br />
HPA: 2.00 - 4.49%<br />
(avg: 3.75%)<br />
Market share: 13%<br />
HPA: 4.52 - 5.79%<br />
(avg: 5.14%)<br />
Market share 13%<br />
15%<br />
.g 10%<br />
0<br />
5%<br />
0%<br />
0 6 12 18 24 30 36 42 48 54 60 66 72<br />
Loan age<br />
HPA: 5.83 - 9.96%<br />
(avg: 7.74%)<br />
Market share: 16%<br />
HPA: 10.06 - 17.66%<br />
7% (avg: 13.19%)<br />
Market share: 58%<br />
-*0* Lowest Quartile = 2nd Quartile - -3rd Quartile N Highest Quartile<br />
Source: LoanPerformance, OFHEO, Deutsche Bank<br />
HPA data as of end of the third quarter 2006, mortgage data as of December 2006<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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