EFTA01378305

INTERNAL USE ONLY DO NOT DISTRIBUTE IN PART OR IN WHOLE Security Index (cont'd) Structured Credit Region Last Update Added Removed Investment Theme Industry Is 1444 U.S. 10/26/2015 5/1/2014 CMBS: Extension Protected Duper Tranches Cornmercia MRS #N/A U.S. 9/28/2015 5/1/2014 GSE Mortgage Credit Risk Transfer Deals Collateral CM0 uN/A U.S. 10/1/2015 5/1/2014 Collateralized Loan Obligations (CLOs): Senior Classes Other ABS tiN/A U.S. 9/24/2015 6/1/2014 Ford Credit Auto Owner Trust Series 2014-REV1 Other ABS PN/A U.S. 9/24/2015 W28/2014 Applebees/IHOP Funding LLC Series 2014-1 Class A2 Other ABS tIN/A Municipal Credit Region Last Update Added Removed Identifier Issuer Industry Security Description Is 1444 U.S. 10/31/2015 5/1/2014 04780MTX7 ATLANTA GA ARPT REVENUE Airport ATL ARPT REV-C-A MT N U.S. 10/31/2015 5/1/2014 130630P63 CAUFORNIA ST General Obligation CAUFORNIA ST N U.S. 10/31/2015 7/30/2015 5946128R3 MCHIGAN ST General Obligation MCHIGAN ST-A N U.S. 12/1/2014 10/31/2015 64972GBX1 NEW YORK CITY NY MUNI WTR FINA Water NY CITY WTR FIN-DD N U.S. 10/31/2015 5/1/2014 64971WEM8 NEW YORK CITY NY TRANSITIONAL General NYC TRANS FIN AlfTH-D1 N U.S. 10/31/201S 5/1/2014 704879281 PEARLAND TX INDEP SCH DIST School District PEARLAND ISD-REF N U.S. 10/31/2015 5/1/2014 88283UF4 TEXAS ST TRANSPRTN COMMISSION Transportation TX TRANSPTRN-A-REF N Euroland Rates > Covered Bonds Region Last Update Added Removed Identifier Security Name Industry Security Description Is 1444 See attached slide Note: Removed names will stop being shown after 3 months Deutsche Asset & Westth Management 4 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0075474 SDNY_GM_00221658 EFTA01378305