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 0959<br />
Strictly private & confidential<br />
Example: Borrower's debt-to-income ratio may grow<br />
dramatically after resets in a typical subprime loan<br />
Mortgage maturity<br />
Loan size<br />
Teaser rate<br />
Teaser period<br />
10 period<br />
Reset frequency<br />
Initial DTI<br />
Mortgage DTI<br />
Current LIBOR<br />
Initial periodic cap<br />
Subsequent periodic cap<br />
Margin<br />
Assumed annual income growth<br />
Growth rate of other debts<br />
360 months<br />
$200,000<br />
7.50%<br />
24 months<br />
60 months<br />
6 months<br />
40%<br />
35%<br />
5.59%<br />
3%<br />
1.5%<br />
6%<br />
4%<br />
20%<br />
At origination<br />
After first reset<br />
After the second reset<br />
Mortgage<br />
coupon<br />
7.50%<br />
10.50%<br />
11.59%<br />
Monthly<br />
Payment<br />
$1,250.00<br />
$1,750.00<br />
$1,932.33<br />
Payment<br />
shock<br />
N/A<br />
$500.00<br />
$182.33<br />
Mortgage<br />
DTI<br />
35.0%<br />
45.3%<br />
49.1%<br />
Total DTI<br />
40.0%<br />
52.0%<br />
56.2%<br />
Annual<br />
Income<br />
$42,857.14<br />
$46,354.29<br />
$47,272.28<br />
Monthly payment for<br />
non-mortgage<br />
debts<br />
$178.57<br />
$257.14<br />
$281.69<br />
After expiration of 10<br />
11.59% $2,046.70 $114.37 47.1%<br />
57.3% $52,142.27<br />
$444.34<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 />
35
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