Eurohome UK Mortgages 2007-2

Although the third transaction off the recently establish Eurohome conduit, this will be the second
issuance under the Eurohome UK Mortgage platform. This asset-backed issuance programme was
created for the purpose of securitising residential mortgage loan portfolios originated by DBUK Bank
(the Eurohome Mortgages 2007-1 securitised loans from Germany & Italy).

This transaction is a securitisation of conforming and non-conforming residential mortgages, all of
which have been originated in the UK. The initial pool contains 3,316 loans (the transaction allows
for further advance and loan conversion), of which 62.02% have been granted for re-mortgaging
purposes. First-time buyers make up 9.32% of the loans by initial aggregate balance, and 30.30%
are buy-to-let loans. Borrowers with repayment mortgages account for only 15.89% of the portfolio,
the average loan size is Stg161,302 and average seasoning is under 2mnths. The current WA LTV
ratio is 81.89%

As of closing of the loans in the provisional pool, 90.28% will accrue at a fixed rate that will revert to
a floating rate during the first 36mnths after closing. 8.30% in the provisional pool are linked to the
Bank of England base rate.

In regard to the actual borrowers, in the initial portfolio 75.54% are to self-certified obligors, and
some 60.39% of loans by aggregate balance have been made to self-employed borrowers. A total
of 1,032 loans (31.12%) in the initial pool were listed as having prior mortgage arrears, and 27.59%
of borrowers have been the subject to one or more county court judgements in the last 12 months.
Additionally, 2.17% of loans are to borrowers who have experienced a bankruptcy order or an
individual voluntary arrangement.

The deal is also heavily dependent geographically on the London & South East region which accounts
for 41.54% of the total aggregate loan amount, the next three regional concentrations being the South
West 13.76%, the North West 8.29%, and the West Midlands 6.11% .

The AAA notes struggled to match guidance of 9a/17a/25a. However guidance levels on the mezz-
anine and junior tranches seemed to reflect current market sentiment with the AA/A/BBB/BB notes
coming in line with their guidance of 35a/60a/140a/400a. The 4.3yrs AAA notes came 10bps wider
than the AAA notes in the recent Eurosail 2007-3BL, which had a similar average life (4.26yrs).
Further down the capital structure the AA/A/BBB notes in the Eurohome deal priced 5bps outside the
equivalent tranches in Eurosail, again for a similar average life (4.3yrs vs 4.54yrs), that apart from
Eurosail having a lower LTV (73.99%) and a higher near prime component (54.99%). As the song
goes, "what a difference a day makes" ... in this case a month !


Compare/contrast: Eurohomes UK Mortgages 2007-1, Eurosail2007-3BL
Eurohome UK Mortgages 2007-1Eurosail 2007-3 BL (UK)