Sample BSL CLO — Equity Return Profile
20% —0—Equity Returns Under 6 Year Call Scenario
15%
10%
gr 5%
0%
0% 1% 2% 3% 4% 6%
-5%
Per Annum Default Rate
-10%
Equity Returns Constant Annual Default Rate
Call Year 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00%
Call at 4.0 114.51% (12.11% (9.1196 [5.71% [2.01% (-2.11% [-6.71%
Call at 5.0 116.01% [13.81% [11.01% [7.61% [3.7J% (-0.91% (-6.21%
Call at 6.0 116.81% (14.6)% [12.0]% (8.51% [4.3J% [-0.81% [-6.91%
Call at 7.0 (16.51% (14.31% [11.71% [8.11% 13.3]% [-2.61% (-10.1]%
Run till Maturity 115.31% (13.21% [10.4)% (6.51% 10.61% [-7.11% (-18.0]%
See Appendix for Modeling Assumptions
Deutsche Bank (1) Past performance is not indicative of future results. DB is not making any representation as to the profitability of any financial insliument or economic measure. Assumptions.
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