2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
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Footnote Exhibits - Page 0992
Strictly private & confidential
Other issues rating agencies consider
I
Mortgage insurance
- The presence of MI will reduce loss severity
- Rating agencies generally assume that the servicer won't be able to collect 100% of
claims. A "haircut" is made to the mortgage insurance
- Haircut is made according to the rating
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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