Shorting Home Equity Mezzanine Tranches

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Footnote Exhibits - Page 0944 Strictly private & confidential Average jobless rates by states from 2001 to 2005 varied between 3 to 7% Quartiles of 5-Year Average Unemployment Rate (2001-2005) I I I Lowest Quartile Second Quartile Third Quartile Highest Quartile 5-year 6-year 5-year 6-year 5-year 6-year 5-year 6-year Jobless HPA cumul. 2005 Jobless HPA cuml. 2005 Jobles HPA cumul. 2005 Jobless HPA cumul. 2005 rate (CAGR) defaults Orig % State rate (CAGR) defaults Orig % State s rate (CAGR) defaults Orig % rate (CAGR) defaults Orig % 3.37% 6.91% 12.62% 0.1% ME 4.52% 10.09% 9.28% 0.4% RI 5.06% .14.17% 5.66% 0.5% 5.76% 4.55% 25.42% 0.7% 3.54% 5.58% 18.01% 0.1% CT 4.58% 10.26% 9.98% 1.2% IN 5.07% 3.19% 28.67% 1.6% 5.88% 4.17% 25.99% 5.8% 3.64% 16.13% 5.10% 0.5% OK 4.68% 4.85% 27.24% 0.7% KS 5.14% 4.41% 19.71% 0.5% 5.89% 5.13% 25.24% 1.8% 3.71% 3.98% 21.18% 0.3% GA 4.74% 5.06% 25.04% 3.0% AZ 5.23% 14.49% 9.49% 4.0% 6.10% 6.64% 22.43% 0.7% 3.72% 12.89% 8.40% 2.5% FL 4.79% 16.28% 11.05% 10.3% AR 5.25% 5.76% 22.92% 0.4% 6.11% 7.38% 15.28% 5.0% 3.78% 10.66% 10.27% 0.1% ID 4.80% 9.20% 20.21% 0.4% CO 5.26% 4.34% 19.30% 1.9% 6.12% 16.21% 4.56% 18.7% 3.98% 10.00% 6.95% 0.4% AL 4.95% 5.42% 22.60% 0.8% MO 5.28% 5.92% 20.66% 1.8% 6.31% 5.63% 28.74% 0.9% 3.98% 11.29% 12.62% 0.3% MA 4.96% 9.44% 7.46% 2.0% PA 5.29% 9.24% 19.01% 2.5% 6.46% 3.53% 20.19% 3.5% 3.98% 9.25% 11.70% 0.1% NV 4.96% 15.41% 7.81% 2.0% TN 5.34% 5.07% 26.10% 1.7% 6.54% 9.89% 16.39% 2.3% 4.18% 4.33% 21.93% 0.5% WI 5.01% 6.34% 17.08% 1.4% NM 5.46% 8.49% 21.18% 0.4% 6.58% 5.00% 29.69% 0.5% 4.29% 15.18% 8.52% 3.3% UT 5.01% 5.93% 25.20% 0.9% WV 5.47% 6.14% 21.27% 0.1% 6.80% 17.08% 10.07% 0.2% 4.34% 9.28% 16.55% 0.1% NJ 5.05% 13.09% 11.64% 2.9% NY 5.66% 11.55% 12.02% 3.9% 7.02% 8.88% 12.30% 0.1% 4.36% 7.95% 12.89% 1.7% OH 5.70% 3.44% 27.87% 3.0% 7.12% 10.37% 17.98% 1.2% Source: US Department of Labor, Office of Federal Housing Enterprise Oversight, LoanPerformance and Deutsche Bank Job data as of the end of 2005, HPA data as of end of second quarter, Default data as of end of August C/2 All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be Deutsche Bank [ different and will depend on the actual portfolios selected. 20 00 __1
Footnote Exhibits - Page 0945 Strictly private & confidential The quartile of states with highest unemployment rates have not been the one with highest default rates Cumulative defaults of subprime ARMs by State Unemployment Rate Quartile (vintages 2000 - 2006) / T 18% hird Quartile X UER: 5.06 - 5.70% 16% (avg: 5.33%) 16% Market share: 20% 14% 12% 10% 8% 6% 4% 2% 0 6 Source: LoanPerformance, OFHEO, Deutsche Bank Data as of December 2006 12 18 24 30 36 42 48 54 60 66 72 Loan age Ac,- Second Quartile 12% UER: 4.52 - 5.05% (avg: 4.84%) 9 Market share: 23% 1 L Highest Quartile UER: 5.76 - 7.12% (avg: 6.36%) Market share: 48% Lowest Quartile UER: 3.37% - 4.36% (avg: 3.91%) Market share: 9% Deutsche Banik All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be different and will depend on the actual portfolios selected.
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