CLO Collateral Performance during the Crisis(') CLO Managers Outperform with Lower Defaults U.S. CLO Managed Defaults -U. S Loan Index Defaults <4 .> 04, # 54 'I 40 Oa. CLO Caa Bucket Levels 140% 12 0% 10 0% 8.0% 60% 4.0% 2.0% 00% itts Piiistietinnt-eAn iVor° eirt i et el'?" "Nft e 40,1 a et' Deutsche Bank Corporate Banking & Securities CLO Senior OC Levels - Median 132% 129% 126% 123% 120% 117% 114% 111% if" 4 ' "'erect, eiterte €6)45 e e co# *1° t 04' e 1 hoc +64 CLOWARF Levels 2900 2800 2700 2600 2500 2400 2300 2200 tee, , e Nel, 414 .(1) rpr il 5 • / 1 1 +134 tSF kiP d's Source: Moody's Global Structured Finance Collateral Pedant's's° Review 6 SW LCD LLI Index Default Rates as of Jan 2014 17 Pass performance is not indeative of future results. DB is not making any representation as to the piefilabifty of any rnancial instrument or economic measure. Assumpteas, 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 124603 SDNY_GM_00270787 EFTA01462184