EFTA01462184.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% # 54 'I 40 Oa. <4 .> 04, if" 4 ' "'erect, eiterte co# *1° t 04' e 1 €6)45 e e hoc +64 CLO Caa Bucket Levels CLOWARF Levels 2900 140% 12 0% 2800 10 0% 2700 8.0% 2600 60% 2500 4.0% 2400 2.0% 2300 00% 2200 itts Piiistietinnt-eAn a iV o r° tee, , e Nel, 414 .(1) eirt i et el'?" "Nft e 40,1 et' 1 1 +134 t SF rprkiPil 5 • d's / Deutsche Bank Source: Moody's Global Structured Finance Collateral Pedant's's° Review 6 SW LCD LLI Index Default Rates as of Jan 2014 17 Corporate Banking & Securities Pass performance is not indeative of future results. DB is not making any representation as to the piefilabifty of any rnancial instrument or economic measure. Assumpteas, opinions 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-0124603 CONFIDENTIAL SDNY_GM_00270787 EFTA01462184