EFTA Document EFTA01455443

Shod duration CLO equity Area of expertise: Alternative investments Theme: Structural solutions verview — The US CLO market is becoming more open to creativity in deal structures and investment strategies — Strong demand for seasoned CLO deals has inspired the creation of short duration CLOs — DB is a pioneer in this space, having launched the first short duration CLO in the US market in May of 2014 for the leading credit manager, Ares Management — DB's CLO team have several short duration CLO deals in the pipeline DB CLO Pipeline Target Pricing Late September/Early October Mid/Late October Q14 014 1415 1Q15 Manager Regiment Capital - Cavalry V (Short Duration) Ares Mountain Hawk IV (WAMCO) Benefit Street VI (Providence) LCM Blackrock Characteristics of short duration CLOs Short duration CLOs combine the best features of 1.0 and 2.0 CLOs, and offer an attractive alternative versus CLO 1.0 or refinanced 2011/2012 CLO bonds: — Significant Original Issue Discount when compared to typical 2.0 new issue deals — Very little or no reinvestment period, and one year non-call period creates more bullet like debt vs. regular CLOs — Capped amend-to-extend activity and capped reinvestment of prepayments gives more certainty over debt and equity life when compared to typical CLOs — No issuer repurchase of notes, modification of weighted average life rule, which are two debt unfriendly features in many CLOs — Equity is positive IRR to one year call (this is not the case for any new issue 2.0) — The short duration CLO deals marketed through DB are Volcker compliant Deutsche Asset E. Wealth Martagen,.c:!, The evolution of CLOs Launch Non-Call Period Reinvestment Period Final Maturity CLO 1.0 2.0 Pre Credit Crisis 3.5 Years 6-7 Years 14-16 Years Post Credit Crisis —2 Years 3-4 Years 11-12 Years Short Duration CLO 2014 1 Year 1 Year 10 Years Example deal: Ares XXX — Closed May 2014 z Key features: — Ares managed CLO with vanilla loan collateral — 100% ramped at close — No reinvestment period — Non call period of one year, and a 10 year legal final — No single tranche refinancing/re-pricing, no issuer repurchase of notes — Simplified documentation and structure, lower fee deal vs typical 2.0 CLOs — Post closing, the manager has ability to reinvest a maximum of 50% of loan prepayments and 100% of credit risk/credit improved sales, provided certain conditions are satisfied Capital Structure Class Rating (Moody's) Par Arnount($) Percentage WAS (years)• Coupon OM Price Class A Notes (Ma) 40.000,0001 166.5$ 13.01 L • (0.851% L • 11.101% (99.27)% Class B Notes (A321 3.000.0001 (9.11% 15.21 L • (1.451% L • (1.801% (98.31)% Class C Notes (A21 7,000,0001 (4.71% 15.2) L • (2.201% L • 12.751% (97.41)% Class D Notes 183321 14,000.0001 (3.91% 15.2) L • (2.851% L • 11601% (96.55)% Class E Notes 10.2) 20,500.000] (5.71% 15.2] L • 1420)% L • 15.151% (95.80176 Equity NR 6.150.0071 110.01% TVA N/A N/A (8703)% TOTAL (360,750,0001 1100.01% L • [1.281% I • 11.621% • WAL & Prise sokulated based on a 25% CPR, 2% CAD& 70% wont and &Tyr Coll with 50% prepayment, rrinvnr&ln equal or shorter maturity assets as long os tim WAL is greater than 2.0 yews For Internal Use Only 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 114204 SDNY_GM_00260388 EFTA01455443