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

Footnote Exhibits - Page 0995
Strictly private & confidential
Typical home equity ABS structure: sequential with
cross-over, OC turbo and step-down
Principal collection
1. Pay bond
principal
sequentially
2. Loss will result if
principal available
is short of
principal due
Interest collection
1. Pay bond coupons
2. Cover principal losses
IClass A
* Class B
Class C
O/C
A
0
0
cj~
cj~
0
0
* In the first few years, principal are paid
sequentially among senior, mezzanine and
subordinate tranches
* OC can be built up from the initial level by
using excess spreads to pay down principal
of bonds
" After the cross-over date, mezzanine and
subordinate bonds start to receive principal
simultaneously with senior bonds (provide no
trigger event occurs)
* After the step-down date, part of OC is
released (provided no trigger event occurs)
" An optional redemption (clean-up) call allows
the servicer to call the deal when the
collateral pool is below 10% of the original
size.
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.