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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 2014-1Class 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) DB-SDNY-0075474
CONFIDENTIAL SDNY_GM_00221658
EFTA01378305