EFTA Document EFTA01462201

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 $400 mm Asset Pool 90% -100% Bank Loans Rated BBIB L + 325 - 425 coupon Deutsche Bank Corporate Banking & Securities Collateral Manager Portfolio Management Initial Rating Periodic Aucits Ongoing Monitoring Rating Agencies Trustee Accountants Monitoring Function L. Liabilities AAA 60% L + 158 bps Weighted Avg. >- Cost of Debt: 5- L + 220 bps AA 14% L + 225bps A 7% L + 310 bps BBB 5% L + 415 bps BB 4% L + 625 bps B 2% L + 725 bps Equity 8% 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124634 CONFIDENTIAL SDNY_GM_00270818 EFTA01462201