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

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.
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