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 - 2007 vintage) 12) • Only six transactions out of the 650 US cash-flow CLOs outstanding in mid 2008 actually experienced events of default (three of which were subsequently cured) (2) • No losses for investors holding notes rated A and above(3> (4) • -100 - 150 credits across 20 - 30 industries • Loans traded and priced • Trustee reports with detailed collateral data 713—Faitlerfamancels nofliidlealke abstract results. Deb not making any represontiben as to the prordablity of any financial instrument or economic measure. AssumPlkins. osinions and estimates expressed constitute our Judgment as of the date of this material and are subjed to change vitthout notice. An investment in this type of transaction may 14 result in the loss of your entire investment. Based on a Subset of DB arranged CLOs. a) US CLOs Benefit from improved Corporate Credit and Strengthened Deal Structures. Moody's. Sop 12. 2011. (3) Moody's and LSTA - Risk Retention and its Impact on CLOs via SEC. June 13. 2011. tur.774.,....; rot- I 411.nel-I (4) 'Collateral Crises - Gar, Norton, FDIC. MtplMencldic.govibank/analyticalrdif2011/sepUGorion_Rresentahon.pdt CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124600 CONFIDENTIAL SDNY_GM_00270784 EFTA01462181