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 0973<br />
Strictly private & confidential<br />
The 2005 and 2006-vintages have underperformed their<br />
predecessors<br />
Serious Delinquency Rate for Non-IO ARM<br />
Serious Delinquency Rate for 10 ARM<br />
30%<br />
c 25%<br />
20%<br />
15%<br />
o 10%<br />
0<br />
a-<br />
E5%<br />
30%<br />
a)<br />
C-)<br />
25%<br />
20%<br />
515%'<br />
2 10%<br />
C<br />
C 5%<br />
00-<br />
0~*~'<br />
C,<br />
0 6 12 18 24 30 36<br />
Loan age<br />
- 2002 - - 2003 - -2004 - 2005 - 2006<br />
0 6 12 18 24 30 36<br />
Loan age<br />
-0 2003 - -2004 -- 2005 - 2006<br />
Note: There was virtually no subprime 10 lending before 2003.<br />
Data as of October 2006<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.
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