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Shorting Home Equity Mezzanine Tranches

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Footnote Exhibits - Page 0981<br />

Strictly private & confidential<br />

Profile of traditional home equity product<br />

* Low balance<br />

* Second or third lien<br />

" Credit score above 680<br />

" Usually a refinancing to take out cash<br />

* 15-year maturity (or shorter)<br />

" Combined loan-to-value (CLTV) ratio less than 100<br />

U Include home equity lines of credit (securitized separately)<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 />

57

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