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 0972<br />
Strictly private & confidential<br />
Nearly $783 billion subprime mortgages will experience<br />
payment shocks in the next 3 years<br />
amount of current outstanding subprime mortgages with future payment shocks<br />
Estimated50<br />
45<br />
3: 15<br />
ci)<br />
o 10<br />
5-<br />
Aug-06 Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11<br />
El First rate adjustment only M10 expiration only 1l Reset & 10 simultaneous<br />
O Actual first rate adjustment only MActual 10 expiration only E]Actuial reset & 10 simultaneous<br />
Note: Securitized subprime mortgages only<br />
Data as of October 2006<br />
Sources: LoanPerformance, Deutsche Bank<br />
Deutsche Bank R<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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