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

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Footnote Exhibits - Page 0938Strictly private & confidentialHistorically, lifetime losses in subprime mortgagesreached over 6%, even with the strong housing marketHistorical Cumulative Net Loss RateInitial %ofas of December 2006PoolVintage Dec-04 Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06ARMARM2006 0.00% 0.02% 76.1%2005 0.00% 0.01% 0.02% 0.04% 0.10% 0.18% 79.7%2004 0.01% 0.02% 0.05% 0.10% 0.17% 0.27% 0.39% 0.53% 72.7%2003 0.24% 0.34% 0.45% 0.56% 0.68% 0.81% 0.90% 0.98% 62.2%2002 0.89% 1.05% 1.21% 1.39% 1.50% 1.67% 1.79% 1.82% 63.9%2001 2.36% 2.55% 2.73% 3.14% 3.17% 3.34% 3.50% 3.63% 58.9%2000 3.990/ 4.35% 4.78% 5.17% 5.59% 5.77% 5.96% 6.13% 63.1%1999 5.26% 5.45% 5.59% 5.74% 6.11% 6.41% 6.55% 6.59% 50.9%1998 5.72% 6.27% 6.51% 6.63% 6.72% 6.78% 6.88%* 6.88%* 51.9%Fixed RateFixed2006 0.00% 0.00% 23.9%2005 0.00% 0.00% 0.01% 0.02% 0.06% 0.10% 20.3%2004 0.02% 0.04% 0.07% 0.10% 0.14% 0.24% 0.39% 0.56% 27.3%2003 0.25% 0.34% 0.44% 0.55% 0.65% 0.75% 0.87% 0.97% 37.8%2002 1.11% 1.28% 1.46% 1.71% 1.86% 2.06% 2.22% 2.34% 36.1%2001 2.89% 3.18% 3.42% 3.68% 3.87% 3.92% 4.11% 4.15%* 41.1%2000 4.77% 4.89% 5.22% 5.43% 5.78% 5.91% 6.19% 6.52% 36.9%1999 5.05% 5.35% 5.56% 5.64% 6.03% 6.09% 6.25%* 6.27% 49.1%1998 5.56% 5.59% 5.68% 6.13% 6.33%* 6.48%* 6.58%* 6.63*% 48.1%Re-estimated by Deutsche Bank to adjust for the effect due to optional calls on certain dealsSource Moody's, LoanPerformance, Deutsche BankCumulative loss data published by Moody's in December 2006Deutsche BanikD h B k All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will bedifferent and will depend on the actual portfolios selected.
Footnote Exhibits - Page 0939Strictly private & confidentialNearly 60% of outstanding subprime mortgages arelocated in the MSAs with double digit 6-year average ofannual home price growth rates20%--18%--16%14%12%10%8%6%--4%--2%-0%-I100%90%80%70%60%50%40%30%20%10%0%- - 5-yr annualized HPA rate - Cumulative distribuition of subprime mortgage outstandingSource: LoanPerformance, OFHEO, Deutsche BankHPA data as of the end of Third Quarter 2006, mortgage data as of December 2006All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will bedifferent and will depend on the actual portfolios selected.Deutsche Banik15
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