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

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Footnote Exhibits - Page 0950 Strictly private & confidential HEL ABS sector has been experiencing fast growth in recent years 700.- <strong>Home</strong> equity ABS issuance volume 600 -2 500 - o .0 400 - u 300 - O 200 - 100 - Fuf 0 I 1 1998 1999 Sources: Thompson Financial Securities Data, Deutsche Bank * Data as of end of December 2006. " Projected by Deutsche Bank 2000 2001 2002 2003 2004 2005 2006 Note: Thompson Financial Securities Data changed its criteria of home equity ABS in January 2006. The new criteria excludes certain deals with relatively high FICO scores. It also no longer include overseas mortgages securitized in the US as home equity ABS, as it used to do. As a result, issuance figures shown here are generally lower than what may have been previously shown. 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.
Footnote Exhibits - Page 0951 Strictly private & confidential Deja-vu? MH had a similarly rapid (albeit milder) growth pattern 18 MH ABS issuance volume 16 14 o 12 10 CO 8 4 2 0 1993 1994 1995 1996 1997 1998 1999 2000 Deutsche Bank I2 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. 27
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2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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