Shorting Home Equity Mezzanine Tranches

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Footnote Exhibits - Page 0936 Strictly private & confidential Hyperactivity in mezz CDO issuance kept mezzanine subprime mortgage spreads tight in most part of 2006 Annual Issuance Volume for Mezzanine RMBS CDO 80 - 70 - 69 c 60 - 50 - c40 .0 -3Q m30- =20 - 10 - 0- 9 [M 13 1999 2000 2001 17 2002 18 71I ~ 10 27 2003 2004 2005 2006 Source: MCM structured Finance Watch, Deutsche Bank Data as of the end of 2006. Issuance volume includes cash, hybrid and synthetic mezzanine RMBS CDO. 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. 12
Footnote Exhibits - Page 0937 Strictly private & confidential Typical ABS and CDO deal structures ABS Collateral Pool Mortgage Loan# 5000 Average Loan Size 200,000 CLTV 85% California Loan 30% FICO 620 Interest Only 20% CDO Collateral Pool ABS bonds (mostly BBB or 100 specific credits BBB-, 5-10% BB) ABS Capital Structure Tranche Thickness Support AAA 80% 20% AA 5% 15% A 6% 9% BBB+ 2% 7% BBB 1% 6% BBB- 1% 5% BB 1% 4% OC (Equity) 4% 0% CDO Capital Structure Tranche Thickness Support AAA 80% 20% AA 10% 10% BBB 5% 5% O/C (Equity) 5% 0% 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. 13
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Shorting Home Equity Mezzanine Tranches

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