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

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Footnote Exhibits - Page 0944Strictly private & confidentialAverage jobless rates by states from 2001 to 2005varied between 3 to 7%Quartiles of 5-Year Average Unemployment Rate (2001-2005)I I ILowest QuartileSecond QuartileThird QuartileHighest Quartile5-year 6-year5-year 6-year5-year 6-year5-year 6-yearJobless HPA cumul. 2005 Jobless HPA cuml. 2005 Jobles HPA cumul. 2005 Jobless HPA cumul. 2005rate (CAGR) defaults Orig % State rate (CAGR) defaults Orig % State s rate (CAGR) defaults Orig %rate (CAGR) defaults Orig %3.37% 6.91% 12.62% 0.1% ME 4.52% 10.09% 9.28% 0.4% RI 5.06% .14.17% 5.66% 0.5%5.76% 4.55% 25.42% 0.7%3.54% 5.58% 18.01% 0.1% CT 4.58% 10.26% 9.98% 1.2% IN 5.07% 3.19% 28.67% 1.6%5.88% 4.17% 25.99% 5.8%3.64% 16.13% 5.10% 0.5% OK 4.68% 4.85% 27.24% 0.7% KS 5.14% 4.41% 19.71% 0.5%5.89% 5.13% 25.24% 1.8%3.71% 3.98% 21.18% 0.3% GA 4.74% 5.06% 25.04% 3.0% AZ 5.23% 14.49% 9.49% 4.0%6.10% 6.64% 22.43% 0.7%3.72% 12.89% 8.40% 2.5% FL 4.79% 16.28% 11.05% 10.3% AR 5.25% 5.76% 22.92% 0.4%6.11% 7.38% 15.28% 5.0%3.78% 10.66% 10.27% 0.1% ID 4.80% 9.20% 20.21% 0.4% CO 5.26% 4.34% 19.30% 1.9%6.12% 16.21% 4.56% 18.7%3.98% 10.00% 6.95% 0.4% AL 4.95% 5.42% 22.60% 0.8% MO 5.28% 5.92% 20.66% 1.8%6.31% 5.63% 28.74% 0.9%3.98% 11.29% 12.62% 0.3% MA 4.96% 9.44% 7.46% 2.0% PA 5.29% 9.24% 19.01% 2.5%6.46% 3.53% 20.19% 3.5%3.98% 9.25% 11.70% 0.1% NV 4.96% 15.41% 7.81% 2.0% TN 5.34% 5.07% 26.10% 1.7%6.54% 9.89% 16.39% 2.3%4.18% 4.33% 21.93% 0.5% WI 5.01% 6.34% 17.08% 1.4% NM 5.46% 8.49% 21.18% 0.4%6.58% 5.00% 29.69% 0.5%4.29% 15.18% 8.52% 3.3% UT 5.01% 5.93% 25.20% 0.9% WV 5.47% 6.14% 21.27% 0.1%6.80% 17.08% 10.07% 0.2%4.34% 9.28% 16.55% 0.1% NJ 5.05% 13.09% 11.64% 2.9% NY 5.66% 11.55% 12.02% 3.9%7.02% 8.88% 12.30% 0.1%4.36% 7.95% 12.89% 1.7%OH 5.70% 3.44% 27.87% 3.0%7.12% 10.37% 17.98% 1.2%Source: US Department of Labor, Office of Federal Housing Enterprise Oversight, LoanPerformance and Deutsche BankJob data as of the end of 2005, HPA data as of end of second quarter, Default data as of end of AugustC/2All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will beDeutsche Bank [ different and will depend on the actual portfolios selected.2000 __1
Footnote Exhibits - Page 0945Strictly private & confidentialThe quartile of states with highest unemployment rateshave not been the one with highest default ratesCumulative defaults of subprime ARMs by State Unemployment Rate Quartile(vintages 2000 - 2006) / T18%hird QuartileX UER: 5.06 - 5.70%16% (avg: 5.33%)16%Market share: 20%14%12%10%8%6%4%2%0 6Source: LoanPerformance, OFHEO, Deutsche BankData as of December 200612 18 24 30 36 42 48 54 60 66 72Loan ageAc,- Second Quartile12% UER: 4.52 - 5.05%(avg: 4.84%)9 Market share: 23%1 L Highest QuartileUER: 5.76 - 7.12%(avg: 6.36%)Market share: 48%Lowest QuartileUER: 3.37% - 4.36%(avg: 3.91%)Market share: 9%Deutsche BanikAll 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.
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