Shorting Home Equity Mezzanine Tranches

1 I
I
Footnote Exhibits - Page 0963
Strictly private & confidential
Typical 2005-vintage home equity deals from major
issuers .
0
.5u
0~
Co
94.0%
$193,360
7.41%
90%
83%
39.6%
78.2%
NA
NA
81.8%
33.9%
636
24.6%
26.35%
14.10%
9.70%
8.50%
6.80%
5.70%
4.50%
3.20%
(73.65%)
(12.25%)
(4.40%)
(1.20%)
(1.70%)
(1.10%)
(1.20%)
(1.30%)
£
?9.BYo
$223,787
6.69%
90%
83%
36.9%
78.0%
44.50%
70.80%
97.2%
41.6%
647
63.2%
20.20%
12.80%
7.85%
6.45%
5.30%
4.20%
3.40%
2.40%
(79.80%)
(7.40%)
(4.95%)
(1.40%)
(1.15%)
(1.10%)
(0.80%)
(1.00%)
4 /.o Ia
$205,009
7.21%
87%
81%
29.0%
69.0%
41.00%
62.60%
89.7%
39.4%
626
39.3%
22.90% (77.10%)
15.80% (7.10%)
10.20% (5.60%)
8.65% (1.55%)
7.05% (1.60%)
5.95% (1.10%)
4.85% (1.10%)
62.7%
$151,066
7.51%
85%
81%
18.9%
63.5%
NA
NA
93.6%
9.1%
614
10.9%
20.60%
13.75%
8.30%
6.80%
5.25%
4.05%
2.95%
(79.40%)
(6.85%)
(5.45%)
(1.50%)
(1.55%)
(1.20%)
(1.10%)
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.