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

Footnote Exhibits - Page 0932
Strictly private & confidential
US Home price index in recent years has been above
the long-term trend line
US Home Price Index
450 -
400
Housing recessions
HPI 15% above the trendline
403
350-
352
0
300 - In the past, peaks of HPI above trendline tended to be followed quickly by housing recessions
-~200
0 HP 2 bove trendline
HPI 9% above
( 150 - trendline
<) 100 -
50 .Long-tern exponential trendline with annual growth rate = 5.1%
50 -- Lo
0
1975 1978 1981 1984 1987 1990 1993 1996 1999 2002 2005
Source: Office of Federal Housing Enterprise Oversight, Deutsche Bank
Data as of end of Third Quarter 2006
All numbers shown in this presentation are indicative and are based on a sample portfolio. Actual numbers will be
Deutsche Bank Mdifferent and will depend on the actual portfolios selected.
8