From: Daniel Sabba

From: Daniel Sabba To: [email protected] Cc: , Paul Morris Stewart Oldfield Subject: Follow-up on CLO mezzanine [C] Date: Fri, 12 Dec 2014 17:33:08 +0000 Attachments: Clear Laken Final_Offering_Circular.PDF; ING_IM_CLO_2011-1_Indenture.pdfi ING 2011-1 Offering_MemoradumJecopy).pdf; Clear_Laken 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 $8.9mm. 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. CLO 2.0 Manager. Voya Ticker: INGIM 2011-1A D Size: $3.9mm 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 2006-1A C Size: $5mm 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 EFTA01002747 I have also attached the indentures and offering memorandums for these deals. Daniel Daniel Sabba Key Client Partners This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01002748