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

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Footnote Exhibits - Page 0932 Strictly private & confidential US <strong>Home</strong> price index in recent years has been above the long-term trend line US <strong>Home</strong> Price Index 450 - 400 Housing recessions HPI 15% above the trendline 403 350- 352 0 300 - In the past, peaks of HPI above trendline tended to be followed quickly by housing recessions -~200 0 HP 2 bove trendline HPI 9% above ( 150 - trendline
Footnote Exhibits - Page 0933 Strictly private & confidential Investment poured into the residential market has dramatically increased during the last decade 900 - Housing recessions Peaked in 2005 Q4 at 802 800 - 0 700 - c600 - U 2600 - C3 C 0 400 - U-) 0 cN,- 300~ C 0 200- 100 - US Real Private Domestic Residential Investment (seasonally adjusted annual rate; constant 2005 Q4 dollars; Left axis) N / Real US Gross Domestic Product (seasonally adjusted annual rate constant 2005 Q4 dollars; Right axis) 15 12 0 a 9 LO 60c 01 ----------- I- I 1975 1978 1981 1984 1987 1990 1993 1996 1999 2002 2005 Source: Bureau of Economic Analysis, Bureau of Labor Statistics, Deutsche Bank Data as of end of Third Quarter 2006 Deutsche Banik [ 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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2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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