Shorting Home Equity Mezzanine Tranches

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Footnote Exhibits - Page 0954 Strictly private & confidential Top subprime mortgage lenders in 2005 Am eriquest IndyMac ResMAE Other Ownit 1% 1.0% 9-40 12.0% 1.2% Novastar Equiflrst 1.4% .00 American General 1.5% Finance America 1.50% ECC 2.1% Aegis 2.2% BNC Accredited 2.5% New Century 7.9% Countrywide 6.7% Wells Fargo 6.4% 3.1% WMC 3.6% HSBC AC-RFC 3.8% 3.8% First Franklin 4.4% Source: Inside Mortgage Finance Publications, Deutsche Bank Fremont 5.2% Long Beach 5.4% Option One 6.0% Deutsche Bank 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. 30
Footnote Exhibits - Page 0955 Strictly private & confidential Subprime mortgages originated in 2005 by state 1.3% ' 1" OH -PA CO 1.7% CO .WA GA 2.1 2.3% NV 3.6% NJ MD 3.6% 3.6% IL 4.7% Source: Loan Performance Deutsche Bank 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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Shorting Home Equity Mezzanine Tranches

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