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

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.
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