Morgan Stanley Research
ORGANIZATIONDeutsche Asset Management Infrastructure Debt Presentation: RIN II Equity
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ge Spread inclusive of applicable Libor Floors. As of December 31II 2017. (3) Median Cumulative Par created of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of December 31g 2017. (4) Median Weighted Average Spread of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of December 311, 2
f December 31g 2017. (4) Median Weighted Average Spread of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of December 311, 2017. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 14 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0062692 SDNY_GM_00208876 EFTA01370094
ting Collateralized Debt Obligations Backed by Project Finance and Infrastructure Assets; August 12. 2015. (3) As of January 17Th 2018. (4) Source. Morgan Stanley Research. As of December 311, 2017. (5) Calculated as (i)Equity contributed plus the sum of (a) the market value of the Principal Collateral plus (b) Princip
fee.. Please see notes included at end of presentation for the effect of fees on performance. Past performance is not indicative of future results. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 13 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00208875 DB-SDNY-0062691 EFTA01370093
Markit as of January 17, 2018. Loans in the Target Portfolio that are not listed by Markit are assumed to have a Liquidity Score of 5. (2) Source: Morgan Stanley Research. Represents the average Liquidity Score of all BSL CLOs currently outstanding as of December 31, 2017. (3) Source: Morgan Stanley Research. Represen
31, 2017. (3) Source: Morgan Stanley Research. Represents the average Liquidity Score of all MM CLOs currently outstanding as of December 31. 2017. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 18 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0062696 CONFIDENTIAL SDNY_GM_00208880 EFTA01370096
000 0 5,000 10,000 15.000 20.000 25.000 30.000 (1) Source: Median Weighted Average Spread and Median of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of October 25th 2017. RIN is being compared to a 2015 BSL CLO because RIN's first payment period occurred at the end of 01'15. (2) RIN WAS and
such losses. Rating factor does not remove market risk and is subject to change. There is no guarantee that investment objectives will be achieved. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0063233 CONFIDENTIAL SDNY_GM_00209417 EFTA01370434
ting Collateralized Debt Obligations Backed by Project Finance and Infrastructure Assets; August 12. 2015. (3) As of January 17Th 2018. (4) Source. Morgan Stanley Research. As of December 311, 2017. (5) Calculated as (i)Equity contributed plus the sum of (a) the market value of the Principal Collateral plus (b) Princip
fee.. Please see notes included at end of presentation for the effect of fees on performance. Past performance is not indicative of future results. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 13 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00209415 DB-SDNY-0063231 EFTA01370433
ting Collateralized Debt Obligations Backed by Project Finance and Infrastructure Assets; August 12. 2015. (3) As of January 17Th 2018. (4) Source. Morgan Stanley Research. As of December 311, 2017. (5) Calculated as (i)Equity contributed plus the sum of (a) the market value of the Principal Collateral plus (b) Princip
fee.. Please see notes included at end of presentation for the effect of fees on performance. Past performance is not indicative of future results. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 13 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00213108 DB-SDNY-0066924 EFTA01372984
000 0 5,000 10,000 15.000 20.000 25.000 30.000 (1) Source: Median Weighted Average Spread and Median of outstanding 2015 vintage BSL CLOS per Morgan Stanley Research. As of October 25th 2017. RIN is being compared to a 2015 BSL CLO because RIN's first payment period occurred at the end of 01'15. (2) RIN WAS and
such losses. Rating factor does not remove market risk and is subject to change. There is no guarantee that investment objectives will be achieved. Deutsche Asset Management Infrastructure Debt Presentation: RIN II Equity March 2018 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0066926 CONFIDENTIAL SDNY_GM_00213110 EFTA01372985
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Samantha Power
PERSONDeutsche AM's
ORGANIZATION
Moody's
ORGANIZATIONMoody's Approach to Rating Collateralized Debt Obligations
ORGANIZATIONProject Finance and Infrastructure Assets
ORGANIZATIONPar Creation
ORGANIZATIONLoans to Economic Infrastructure Assets
ORGANIZATIONCurrent Weighted Average Rating Factor
ORGANIZATIONthe Principal Collateral
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Bloomberg L.P.
ORGANIZATIONBSL CLO WARP
ORGANIZATIONBSL CLO'
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