Shorting Home Equity Mezzanine Tranches
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches
2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches
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Footnote Exhibits - Page 0935<br />
Strictly private & confidential<br />
ABX.HE BBB and BBB- indexes have widened in the face of<br />
deteriorating fundamentals, more than generic spreads<br />
ABX HE (BBB/BBB-) Spreads<br />
500 -<br />
450 -<br />
400 -<br />
.c 350 -<br />
0<br />
C 300 -<br />
250 -<br />
- 200 -<br />
0 150 -<br />
CL<br />
100<br />
-<br />
.........<br />
452<br />
299<br />
276<br />
. 159<br />
50 -<br />
0-<br />
Jan-2006<br />
I I.<br />
Mar-2006 May-2006 Jul-2006 Sep-2006 Nov-2006 Jan-2007<br />
-- 06-1 EBB<br />
-06-1 BBB- - 06-2 BBB -06-2BBB-<br />
Note: issuance of BBB- bonds was not common before 2003<br />
Data as of January 12, 2007<br />
Source: Deutsche Bank<br />
All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be<br />
Deutsche Banik different and will depend on the actual portfolios selected.<br />
11
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