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

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Footnote Exhibits - Page 0976Strictly private & confidentialDeutsche Bank's counterparty will have stablecounterparty risk while enjoy flexibility of assigning thecontract to another broker-dealerm A protection buyer will always have DB as the counterparty if the contract isinitially made with DBDB may hedge its position, but will never assign the contract to any third partyIf the CDO is DB's counterparty, it is required to be fully funded in a separate offshoreSPVE However, the protection buyer can offload the position byUnwind the contract with DBPhysically deliver the bondAssign the contract to another broker dealer (effectively covering the short)IDeutsche BankAll numbers shown in this. presentation are indicative and are based on a sample portfolio. Actual numbers will bedifferent and will depend on the actual portfolios selected.52000000
Footnote Exhibits - Page 0977Strictly private & confidentialAppendix:The underlying securities: subprime RMBSrnDeutsche Bank Securities Inc, a subsidiary of Deutsche Bank AG, conductsinvestment banking and securities activities in the United StatesDeutsche Bank000000t~jLAi
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2007_Subprime_Shorting-Home-Equity-Mezzanine-Tranches-1

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