EFTA Document EFTA01462202

CLO Collateral Performance during the Crisis(') CLO Managers Outperform with Lower Defaults U.S. CLO Managed Defaults U.S. Loan Index Defaults efrr eP eP is <41% 01% 4:` +6‘ NPC ce 40 O6 er CLO Caa Bucket Levels 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% etteenetenntWt:// ete iet e, "eel" , 4P et' Deutsche Bank Corporate Banking & Securities CLO Senior OC Levels - Median 132% 129% 126% 123% 120% 117% 114% 111% .13 eP re if ef, efl It es.? 0 ) Cete a cP. t e / / CLO WARF Levels 2900 2800 2700 2600 2500 2400 2300 2200 ,e ) tete 0 0 0 NN t'C' I # 34 ce oi j v9" 4, O87 4° / xlif Source: Moody's Global Structured Finance Collateral Pedomiance Review & S&P LCD LLI Index Default Rates as of Jan 2014 17 (1) Past performance is not indicative of future results. DB is not making any representation as to the profitability of any financial instrument or economic measure. Assumptions, opinions and estimates expressed constitute our judgment as of the dale of this material and are subject to change without notice. An investment in this type of transaction may result in the loss of your entire investment. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 124636 SDNY_GM_00270820 EFTA01462202