2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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