2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

Footnote Exhibits - Page 0937
Strictly private & confidential
Typical ABS and CDO deal structures
ABS Collateral Pool
Mortgage Loan# 5000
Average Loan Size 200,000
CLTV 85%
California Loan 30%
FICO 620
Interest Only 20%
CDO Collateral Pool
ABS bonds
(mostly BBB or 100 specific credits
BBB-, 5-10% BB)
ABS Capital Structure
Tranche Thickness Support
AAA 80% 20%
AA 5% 15%
A 6% 9%
BBB+ 2% 7%
BBB 1% 6%
BBB- 1% 5%
BB 1% 4%
OC (Equity) 4% 0%
CDO Capital Structure
Tranche Thickness Support
AAA 80% 20%
AA 10% 10%
BBB 5% 5%
O/C (Equity) 5% 0%
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.
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