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 0970<br />
Strictly private & confidential<br />
We assume base case prepayment assumption using<br />
historical prepayment data - ARMs<br />
ARM historical prepayments and base case assumption<br />
100<br />
90<br />
80<br />
70<br />
60<br />
50<br />
40<br />
30<br />
20<br />
10<br />
0<br />
0 6 12 18 24 30 36 42 48<br />
Age (month)<br />
54 60<br />
- 2-2000 2001 2002 - 2003 --X-2004 -- 2005 -- 2006 - Base Case<br />
Source: Loan Performance, Deutsche Bank<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 />
46
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