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 0946<br />
Strictly private & confidential<br />
Though jobless rates had an impact on subprime<br />
mortgage defaults, the pattern has not been nearly as<br />
clear as that of home price growth rates<br />
As shown on the last page<br />
* The quartile of the states with highest unemployment rates from 2001 to 2005,<br />
which includes California, has had fairly low cumulative default rates, compared<br />
with other quartiles<br />
* This shows that, at least in the last six years, the job market has not been the<br />
most influential factor of subprime mortgage credit performance, good or bad<br />
* The low defaults in the quartile of states with highest unemployment rates have<br />
largely been the result of California's strong housing market, which, despite a<br />
below average job market, has produced one of the lowest cumulative default<br />
rates<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 />
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