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

Footnote Exhibits - Page 0970
Strictly private & confidential
We assume base case prepayment assumption using
historical prepayment data - ARMs
ARM historical prepayments and base case assumption
100
90
80
70
60
50
40
30
20
10
0
0 6 12 18 24 30 36 42 48
Age (month)
54 60
- 2-2000 2001 2002 - 2003 --X-2004 -- 2005 -- 2006 - Base Case
Source: Loan Performance, Deutsche Bank
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.
46