Eurohome UK Mortgages 2007-1

Eurohome is the first transaction from the newly established UK mortgage origination arm of
Deutsche Bank AG, namely db mortgages. db mortgages began originating in April 2006 and
mainly operates in the near-prime & buy-to-let residential markets. All the mortgage offers are
made via intermediaries.

The collateral consists of a pool of 1,922 first-ranking mortgages secured over freehold, lease-
hold and feudal, owner-occupied and "buy-to-let" properties in the UK. Of this pool, 68.25% of
the loans are where the income information was self-certified and 53.32% are buy-to-let mort-
gages. 32.32% of the pool are discounted loans and 67.68% are fixed-rate with a future switch
to floating, which creates an interest rate mismatch.

The average outstanding loan size is Stg160,490, with the largest loan being Stg1,004,711. The
current weighted-average LTV ratio of the pool is 83.61%, with average seasoning of under 3
mnths. Of the pool, the largest concentration of mortgages by geographic area is in southeast
England (including London), which accounts for 39.19%. The next 3 largest concentrations are:
the SouthWest 29.49%, the NorthWest 7.26%, and Wales 4.82%.

The guidance levels of 13a/mid20s/mid40s/mid80s/high200s were pitched very close to the levels
seen on the Great Hall transaction, showing little or no concession for dbm's first-time issuer status
and lack of performance history. Rather unsurprisingly, the price talk proved to be optimistic, though
the issuer still achieved a AAA funding level competitive with the regular non-conforming issuers,
albeit for a less credit-compromised pool. The mezzanine tranches fared less well, with Eurohome
pricing 6/6/1/15bps outside the latest Eurosail deal, despite the latter's high sub-prime component.


Compare/contrast: Brunel Residential Mortgages PLC, Eurosail 2007-1NC, Great Hall 2007-1,