2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1
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* -<br />
Strictly private & confidential<br />
Footnote Exhibits - Page 0934<br />
Generic new issue spreads for BBB & BBB- home equity<br />
tranches have tightened since summer 2003, but have<br />
widened somewhat in 4th quarter 2006<br />
1000 -<br />
900 -<br />
800 -<br />
700 -<br />
600 -<br />
6/11/2004<br />
500 -<br />
400 -<br />
300 -<br />
12/9/2005<br />
335<br />
1 /275<br />
425<br />
200 -<br />
100 -<br />
U !I<br />
1997 1998<br />
1999 2000 2001<br />
.c 0<br />
1 1<br />
2002 2003<br />
- * .45e<br />
2004 2005 2006 <strong>2007</strong>.<br />
30<br />
- - AA<br />
- A<br />
.... BBB<br />
- BBB-<br />
Note: Issuance of BBB- bonds was not common before 2003<br />
Data as of February 2, <strong>2007</strong><br />
Source: Deutsche Bank<br />
Deutsche Bank<br />
All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be<br />
different and will depend on the actual portfolios selected.<br />
10
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