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

Footnote Exhibits - Page 0956
Strictly private & confidential
Subprime mortgage borrower base relative to general
US population
* Subprime mortgage sector typically lends
to borrowers better than the bottom 5% of
US consumers but worse than the top
71%.
* Said another way the subprime mortgage
universe 'attaches' at about 5% of US
consumers and 'detaches' at roughly
29%. 5% and Below are not deemed
suitable for traditional home equity ABS
deals.
" About 71% of US consumers have better
credit and are eligible for better financing
terms from either Fannie Mae or Freddie
Mac, or prime mortgage lenders.
" Although subprime mortgage borrowers
are not exactly consumers with the worst
credit, they form the top 81 % of the
bottom 29% of US consumers.
" FICO scores of the majority of subprime
mortgage borrowers are below 650.
3%3%
Source: Fair Isaac Corporation
How do people score in the US?
FICO Score range for typical subprime
mortgage borrowers
11%
12% 13%
FICO score range
780+
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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