EFTA01455443.pdf

Shod duration CLO equity Area of expertise: Alternative investments Theme: Structural solutions verview The evolution of CLOs — The US CLO market is becoming more open to creativity in deal Short Duration CLO 1.0 2.0 CLO structures and investment strategies — Strong demand for seasoned CLO deals has inspired the creation of short Launch Pre Credit Crisis Post Credit Crisis 2014 duration CLOs — DB is a pioneer in this space, having launched the first short duration Non-Call Period 3.5 Years —2 Years 1Year CLO in the US market in May of 2014 for the leading credit manager, Reinvestment Period 6-7 Years 3-4 Years 1Year Ares Management — DB's CLO team have several short duration CLO deals in the pipeline Final Maturity 14-16 Years 11-12 Years 10 Years DB CLO Pipeline Example deal: Ares XXX — Closed May 2014 z Target Pricing Manager Late September/Early October Regiment Capital - Cavalry V (Short Duration) Key features: Mid/Late October Ares — Ares managed CLO with vanilla loan collateral Q14 Mountain Hawk IV (WAMCO) — 100% ramped at close 014 Benefit Street VI (Providence) — No reinvestment period 1415 LCM — Non call period of one year, and a 10 year legal final 1Q15 Blackrock — No single tranche refinancing/re-pricing, no issuer repurchase of notes Characteristics of short duration CLOs — Simplified documentation and structure, lower fee deal vs typical 2.0 Short duration CLOs combine the best features of 1.0 and 2.0 CLOs, and CLOs — Post closing, the manager has ability to reinvest a maximum of 50% offer an attractive alternative versus CLO 1.0 or refinanced 2011/2012 CLO of loan prepayments and 100% of credit risk/credit improved sales, bonds: provided certain conditions are satisfied — Significant Original Issue Discount when compared to typical 2.0 new issue deals Capital Structure — Very little or no reinvestment period, and one year non-call period creates more bullet like debt vs. regular CLOs Rating WAS Class (Moody's) Par Arnount($) Percentage (years)• Coupon OM Price — Capped amend-to-extend activity and capped reinvestment of Class A Notes (Ma) 40.000,0001 166.5$ 13.01 L • (0.851% L • 11.101% (99.27)% prepayments gives more certainty over debt and equity life when Class B Notes (A321 3.000.0001 (9.11% 15.21 L • (1.451% L • (1.801% (98.31)% Class C Notes (A21 7,000,0001 (4.71% 15.2) L • (2.201% L • 12.751% (97.41)% compared to typical CLOs Class D Notes 183321 14,000.0001 (3.91% 15.2) L • (2.851% L • 11601% (96.55)% — No issuer repurchase of notes, modification of weighted average life rule, Class E Notes 10.2) 20,500.000] (5.71% 15.2] L • 1420)% L • 15.151% (95.80176 which are two debt unfriendly features in many CLOs Equity NR 6.150.0071 110.01% TVA N/A N/A (8703)% — Equity is positive IRR to one year call (this is not the case for any new TOTAL (360,750,0001 1100.01% L • [1.281% I • 11.621% • WAL & Prise sokulated based on a 25% CPR, 2% CAD& 70% wont and &Tyr Coll with 50% issue 2.0) prepayment, rrinvnr&ln equal or shorter maturity assets as long os tim WAL is greater than 2.0 yews — The short duration CLO deals marketed through DB are Volcker compliant Deutsche Asset E. Wealth Martagen,.c:!, For Internal Use Only 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 114204 CONFIDENTIAL SDNY_GM_00260388 EFTA01455443