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

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Footnote Exhibits - Page 0964
Strictly private & confidential
Typical 2006-vintage home equity deals from major
issuers
0
- _
Co
VU.uvo
$207,619
7.45%
92%
80%
57.5%
80.0%
NA
NA
91.6%
45.0%
NA
7.2%
23.35%
16.40%
10.90%
9.40%
8.00%
6.75%
5.75%
4.70%
(76.65%)
(6.95%)
(5.50%)
(1.50%)
(1.40%)
(1.25%)
(1.00%)
(1.05%)
84.9%
$192,957
8.58%
100%
80%
94.3%
99.3%
42.23%
64.84%
94.1%
22.1%
602
9.5%
77.7%.
$202,198
7.33%
81%
80%
NA
45.1%
40.69%
60.75%
91.7%
38.7%
620
26.2%
i E.4
23.70%
15.45%
9.95%
8.30%
6.70%
5.35%
4.25%
3.45%
(76.30%)
(8.25%)
(5.50%)
(1.65%)
(1.60%)
(1.35%)
(1.10%)
(0.80%)
21.10%
14.55%
9.50%
8.05%
6.65%
5.40%
4.35%
(78.90%)
(6.55%)
(5.05%)
(1.45%)
(1.40%)
(1.25%)
(1.05%)
86.5%
$145,305
8.43%
87%
82%
25.2%
69.2%
NA
NA
94.1%
10.9%
623
15.7%
22.00%
14.65%
9.05%
7.40%
5.90%
4.50%
3.50%
2.80%
.(78.00%)
(7.35%)
(5.60%)
(1.65%)
(1.50%)
(1.40%)
(1.00%)
(0.70%)
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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