EFTA Document 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