EFTA01462189.pdf

Sample $400mm Broadly Syndicated CLO - Summary Capital Structure Rating WAL Class of Notes Size($) Size (%) Coupon Yield (S8P1Moody's) (my') Class A Notes (AAA)/(Aaa) [249,000,0001 (60.0$ [6.3] L + (1.50)% L+ [1.581% Class B Notes IAAIL [55,000,0001 [1.3.3)% (7.4] I. + [2.001% I. + [2.20]% Class C Notes [A]/- [28,000,000] [6.7]% (7.5] L + [2.801% L + [3.101% Class D Notes (BBB(/- [20,750,000] [5.01% (8.1] 1+ [3.501% L + (4.15]% Class E Notes 1551/- [18,250,0001 [4.4]96 [8.61 L + (4.851% L + [6.25)% Class F Notes [8]/- [6,400,000] [1.51% (8.9] L + (5.551% L + (7.251% Equity NR (36,460,000] [9.11% N/A N/A N/A TOTAL [413,860,000] (100.0]% L + [2.011% L+ [2.251% Initial Portfolio Assumptions Target.) Test Transaction Assumptions(?) 131 Lien Senior Seared Loans (%) [55.51% MM. (90.0%) Expected Closing 01.2014 Lien / Senior Unsecured Loans 0.51% Non-Call Period(?) (2 11 years Max. (10.0%) Senior Secured / Unsecured Bonds WA Reinvestment PeriodINIt (4 1) years WAL [5.91 years [8.0] years Legal Final Matunty2) (12.1] years WARF [2650] (2700] Expected Ramp-Up Period?) (3) months Diversity (65I 160] Payment Frequency [Quarterly] Senior/Junior/Incentive WeigNed Average Spread 13.951%(') (3901% Management Fees per amum [0.20%! 0.25% /20969 Portfolio Price (1004]% (1) WAL calculated based on a 20% CPR. 0% CADR and run to maturity with reinvestments into 5.5-yr bullet maturity assets Deutsche Bank (2) From the. Closing Date 26 Corporate Banking & Securities (3) Repayments and sale proceeds from credit risk assets may be reinvested after the end of the Reinvestment Period, subject to certain conditions (4) Targeted levels aro the expected Effective Date levels only and no representation is made that these targeted levels will equal the actual characterithcs on the Effectiie Date (5) Excludes LIBOR Floors (6) 20% of cashlbns over 12% IRR hurdle CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124612 CONFIDENTIAL SDNY_GM_00270796 EFTA01462189