EFTA01462209

Sample $400mm Broadly Syndicated CLO - Summary Capital Structure Class of Notes Rating (S8P1Moody's) Size(f) WAL Size (%) (my') Coupon Yield Class A Notes (AAA)/(Aaa) [249,000,0001 (60.0$ [6.3] L + (1.50)% L+ [1.581% Class B Notes IAAIL [55,000,0001 [1.3.3)% (7.4] I. + [2.001% I. + [2.20]% Class C Notes [A]/- [28,000,000] [6.7]% (7.5] L + [2.801% L + [3.101% Class D Notes (BBB(/- [20,750,000] [5.01% (8.1] 1 + [3.501% L + (4.15]% Class E Notes 1661/- [18,250,0001 [4.4]96 [8.61 L + (4.851% L + [6.25)% Class F Notes [8]/- [6,400,000] [1.51% (8.9] L + (5.551% L + (7.251% Equity NR (36,460,000] [9.11% N/A N/A N/A TOTAL [413,860,000] (100.0]% L + [2.011% L+ [2.251% Initial Portfolio Assumptions Target.) Test Transaction Assumptions(?) 111 Lien Senior Seared Loans (%) [88.51% MM. (90.0%) Expected Closing 01.2014 Lien / Senior Unsecured Loans 0.51% Non-Call Period(?) (2 11 years Max. (10.0%) Senior Secured / Unsecured Bonds WA Reinvestment PeriodINIt (4 1) years WAL [5.91 years [8.0] years Legal Final Matunty2) (12.1] years WARF [2650] (2700] Expected Ramp-Up Period?) (3) months Diversity [651 160] Payment Frequency [Quarterly] WeigNed Average Spread 13.951`FP (3901% Senior/Junior/Incentive Management Fees per amum [0.20% / 0.25% /20969 Portfolio Price (1004]% Deutsche Bank Corporate Banking & Securities (1) WAL calculated based on a 20% CPR. 0% CADR and run to maturity with reinvestments into 5.5-yr bullet maturity assets (2) From the. Closing Date (3) Repayments and sale proceeds from credit risk assets may be reinvested after the end of the Reinvestment Period, subject to certain conditions (4) Targeted levels aro the expected Effective Date levels only and no representation is made that these targeted levels will equal the actual characterithcs on the Effectiie Date (5) Excludes LIBOR Floors (6) 20% of cashlbns over 12% IRR hurdle CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) 26 DB-SDNY-0 124645 CONFIDENTIAL SDNY_GM_00270829 EFTA01462209