Sample BSL CLO — Equity Return Profile 20% —0—Equity Returns Under 6 Year Call Scenario 15% 10% gr 5% 0% -5% -10% 0% 1% 2% 3% 4% Per Annum Default Rate Equity Returns Constant Annual Default Rate Call Year 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% Call at 4.0 114.51% (12.11% (9.1196 [5.71% [2.01% (-2.11% [-6.71% Call at 5.0 116.01% [13.81% [11.01% [7.61% [3.7J% (-0.91% (-6.21% Call at 6.0 116.81% (14.6)% [12.0]% (8.51% [4.3J% [-0.81% [-6.91% Call at 7.0 (16.51% (14.31% [11.71% [8.11% 13.3]% [-2.61% (-10.1]% Run till Maturity 115.31% (13.21% [10.4)% (6.51% 10.61% [-7.11% (-18.0]% Deutsche Bank Corporate Banking & Securities 6% See Appendix for Modeling Assumptions (1) Past performance is not indicative of future results. DB is not making any representation as to the profitability of any financial insliument or economic measure. Assumptions. °plaices and °Manatee expressed COriSlittfie 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. 27 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124613 CONFIDENTIAL SDNY_GM_00270797 EFTA01462190