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

Footnote Exhibits - Page 0973
Strictly private & confidential
The 2005 and 2006-vintages have underperformed their
predecessors
Serious Delinquency Rate for Non-IO ARM
Serious Delinquency Rate for 10 ARM
30%
c 25%
20%
15%
o 10%
0
a-
E5%
30%
a)
C-)
25%
20%
515%'
2 10%
C
C 5%
00-
0~*~'
C,
0 6 12 18 24 30 36
Loan age
- 2002 - - 2003 - -2004 - 2005 - 2006
0 6 12 18 24 30 36
Loan age
-0 2003 - -2004 -- 2005 - 2006
Note: There was virtually no subprime 10 lending before 2003.
Data as of October 2006
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.