EFTA01462202.pdf

CLO Collateral Performance during the Crisis(') CLO Managers Outperform with Lower Defaults CLO Senior OC Levels - Median U.S. CLO Managed Defaults U.S. Loan Index Defaults 132% 129% 126% 123% 120% 117% 114% 111% efrr eP eP is <41% 01% 4:` .13 eP re if ef, efl +6‘ NPC ce 40 O6 er It es.? 0 ) Cete a cP. t e / / CLO Caa Bucket Levels CLO WARF Levels 2900 14.0% 12.0% 2800 10.0% 2700 8.0% 2600 6.0% 2500 4.0% 2400 2.0% 2300 0.0% 2200 etteenetenntWt:// ,e ) tete 0 0 0 NN eteiet e, "eel" , 4P et' t'C' I # 34 ce oi j v9" 4, O87 4 ° / xlif Deutsche Bank Source: Moody's Global Structured Finance Collateral Pedomiance Review & S&P LCD LLI Index Default Rates as of Jan 2014 17 (1) Past performance is not indicative of future results. DB is not making any representation as to the profitability of any financial instrument or economic measure. Assumptions, opinions Corporate Banking & Securities and estimates expressed constitute our judgment as of the dale of this material and are subject to change without notice. An investment in this type of transaction may result in the loss of your entire investment. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124636 CONFIDENTIAL SDNY_GM_00270820 EFTA01462202