EFTA01462181.pdf

Demystifying CLOs Collateral • Senior Secured Loans to [BB / B] rated corps Product Inception • Early 1990's Performance of Equity Classes • 17.5% average IRR on DB arranged US CLO equity (arranged between 2004 and 1st half 2007) • 130% - 197% of dividends to equity holders Ratings Stability of Debt Classes • 79% of AAAs maintained rating of AA- or better (2005 - 2007 vintage) 12) Performance through the Crisis • Only six transactions out of the 650 US cash-flow CLOs outstanding in mid 2008 actually experienced events of default (three of which were subsequently cured) (2) • No losses for investors holding notes rated A and above(3> (4) Diversification • -100 - 150 credits across 20 - 30 industries Transparency and Reporting • Loans traded and priced • Trustee reports with detailed collateral data 713—Faitlerfamancels nofliidlealke abstract results. Deb not making any represontiben as to the prordablity of any financial instrument or economic measure. AssumPlkins. Deutsche Bank osinions and estimates expressed constitute our Judgment as of the date of this material and are subjed to change vitthout notice. An investment in this type of transaction may 14 Corporate Banking & Securities result in the loss of your entire investment. Based on a Subset of DB arranged CLOs. a) US CLOs Benefit from improved Corporate Credit and Strengthened Deal Structures. Moody's. Sop 12. 2011. (3) Moody's and LSTA - Risk Retention and its Impact on CLOs via SEC. June 13. 2011. tur.774.,....; rot- I 411.nel-I (4) 'Collateral Crises - Gar, Norton, FDIC. MtplMencldic.govibank/analyticalrdif2011/sepUGorion_Rresentahon.pdt CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124600 CONFIDENTIAL SDNY_GM_00270784 EFTA01462181