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 0976<br />
Strictly private & confidential<br />
Deutsche Bank's counterparty will have stable<br />
counterparty risk while enjoy flexibility of assigning the<br />
contract to another broker-dealer<br />
m A protection buyer will always have DB as the counterparty if the contract is<br />
initially made with DB<br />
DB may hedge its position, but will never assign the contract to any third party<br />
If the CDO is DB's counterparty, it is required to be fully funded in a separate offshore<br />
SPV<br />
E However, the protection buyer can offload the position by<br />
Unwind the contract with DB<br />
Physically deliver the bond<br />
Assign the contract to another broker dealer (effectively covering the short)<br />
I<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 />
52<br />
00<br />
00<br />
00
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