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

Footnote Exhibits - Page 0972
Strictly private & confidential
Nearly $783 billion subprime mortgages will experience
payment shocks in the next 3 years
amount of current outstanding subprime mortgages with future payment shocks
Estimated50
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3: 15
ci)
o 10
5-
Aug-06 Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11
El First rate adjustment only M10 expiration only 1l Reset & 10 simultaneous
O Actual first rate adjustment only MActual 10 expiration only E]Actuial reset & 10 simultaneous
Note: Securitized subprime mortgages only
Data as of October 2006
Sources: LoanPerformance, Deutsche Bank
Deutsche Bank R
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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