EFTA01462182.pdf

CLO - Simple and Transparent Structure Used Since Early 1990s • In essence, a CLO is nothing more than a finance company set up to purchase and manage a pool of primarily senior secured bank loans • Like a finance company, the loan assets are financed by raising senior debt and junior capital or equity from investors in the capital markets • Senior debt tranches rated AAA — BB benefit from credit enhancement • Equity benefits from term-non recourse, non mark-to-market financing provided by senior tranches • All investors benefit from monthly reporting and 3rd party oversight from trustees, ratings agencies and accountants Liabilities Collateral Manager $400 mm Asset Pool Portfolio AAA 60% 90% -100% Management L + 158 bps Bank Loans Rated BBIB Weighted Avg. L + 325 - 425 coupon >- Cost of Debt: Initial Rating Periodic Aucits AA 14% 5- L + 220 bps L + 225bps A 7% L + 310 bps Ongoing Monitoring BBB 5% L + 415 bps Rating BB 4% L + 625 bps Trustee Accountants L. L + 725 bps Agencies B 2% Equity 8% Monitoring Function Deutsche Bank 15 Corporate Banking & Securities CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124601 CONFIDENTIAL SDNY_GM_00270785 EFTA01462182