Shorting Home Equity Mezzanine Tranches

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Footnote Exhibits - Page 0976 Strictly private & confidential Deutsche Bank's counterparty will have stable counterparty risk while enjoy flexibility of assigning the contract to another broker-dealer m A protection buyer will always have DB as the counterparty if the contract is initially made with DB DB may hedge its position, but will never assign the contract to any third party If the CDO is DB's counterparty, it is required to be fully funded in a separate offshore SPV E However, the protection buyer can offload the position by Unwind the contract with DB Physically deliver the bond Assign the contract to another broker dealer (effectively covering the short) I 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. 52 00 00 00
Footnote Exhibits - Page 0977 Strictly private & confidential Appendix: The underlying securities: subprime RMBS rn Deutsche Bank Securities Inc, a subsidiary of Deutsche Bank AG, conducts investment banking and securities activities in the United States Deutsche Bank 00 00 00 t~j LAi
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Shorting Home Equity Mezzanine Tranches

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