EFTA01365183

From: Sent: To: CC: Daniel Sabba 12/12/2014 12:33:07 PM [email protected] Stewart Oldfield Subject: Follow-up on CID mezzanine (Cl Attachments: Clear Lake - Final Offering Circular.PDF; ING_INI CLO 2011-1 Indenture.pdf; ING 2011-1 Offering Memoradum (ecopy).pdf; Clear Lake - Indenture.pdf classification: confidential Hi Jeffrey, Per our conversation, we wanted to send you two mezzanine CLO bonds from our investment bank's inventory, for a total of S8.9mm. These deals have weighted average lives (WAL) of approximately 5 years or less and the bonds are 3m Libor floaters. Some points that apply to both deals: - both deals are callable in the next payment date - when modeling weighted average for different constant prepayment rates (cPRs), we assumed 1% constant default rate and 75% recovery - both deals are eligible for repo once a Global Master Repurchase Agreement (GMRA) is implemented with Southern Financial (we have started the GMRA process) I would like to speak about these transactions when you have a moment and brief you on bid/ask, market dynamics, regulatory environment, etc. CL0 2.0 Manager: Voya Ticker: INGIM 2011-1A D Size: 43.9mm offer: 100.00 Rating: BB+ Coupon: 3mL+450bps Discount Margin (DM): 450bps WAL range: next payment date-5.49y (10CPR) WAL (40 CPR): 3.47y WAL (25 CPR): 4.67y WAL (10 CPR): 5.49y CLO 1.0 Manager: Babson Ticker: CLRLK 2006-14 C Size: S5mm Offer: 96.00 Rating: Baa2/BBB Coupon: 3mL+145bps DM range: 235-274bps DM (40 CPR): 274bps DM (25 CPR): 253bps DM (10 CPR): 235bps WAL range: next payment date-4.75y (10CPR) WAL (40 CPR): 3.25y WAL (25 CPR): 3.94y WAL (10 CPR): 4.75y I have also attached the indentures and offering memorandums for these deals. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. mobile CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055853 CONFIDENTIAL SDNY_GM_00202037 EFTA01365183