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

Footnote Exhibits - Page 0950
Strictly private & confidential
HEL ABS sector has been experiencing fast growth in
recent years
700.- Home equity ABS issuance volume
600 -2
500 -
o
.0
400 -
u 300 -
O 200 -
100 - Fuf
0 I 1
1998 1999
Sources: Thompson Financial Securities Data, Deutsche Bank
* Data as of end of December 2006. " Projected by Deutsche Bank
2000 2001 2002 2003 2004 2005 2006
Note: Thompson Financial Securities Data changed its criteria of home equity ABS in January 2006. The new criteria excludes certain deals with
relatively high FICO scores. It also no longer include overseas mortgages securitized in the US as home equity ABS, as it used to do. As a result,
issuance figures shown here are generally lower than what may have been previously shown.
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.