EFTA Document EFTA01462181

Demystifying CLOs Collateral Product Inception Performance of Equity Classes Ratings Stability of Debt Classes Performance through the Crisis Diversification Transparency and Reporting Deutsche Bank Corporate Banking & Securities • Senior Secured Loans to [BB / B] rated corps • Early 1990's • 17.5% average IRR on DB arranged US CLO equity (arranged between 2004 and 1st half 2007) • 130% - 197% of dividends to equity holders • 79% of AAAs maintained rating of AA- or better (2005 - 2