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

Footnote Exhibits - Page 0996
Strictly private & confidential
Deals with multiple collateral groups: Y-structure
" A deal may have more than one group of
collateral, each supporting its own sets of
bonds
* Lower classes (or O/C) may receive cash
from entire pool
* This structure enables the better
performing group to aid the worse
performing one
" Triggers are more complicated
Class I-A
(group I)
Class I-B
(group I)
Class 1-A
(group 11)
Class U-B
(group 11)
Class C (group 1, H)
O/C (group 1, 1)
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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