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

Footnote Exhibits - Page 0993
Strictly private & confidential
Over-collateralization: the most basic credit
enhancement
a A deal is over-collateralized when
- The balance of the pool is larger than the aggregate balance of the bonds
- Collection proceeds are first used to pay bonds' interest and principal
* Most mortgage ABS deals use some form of over-collateralization to enhance the credit for
- Bondholder
- Insurer
M The exceptions are
- Whole-loan deals issued by GSEs
- Some deals with issuer-guaranteed classes
E OC can be viewed as a special tranche that is the first loss piece for the deal
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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