<table><tr><th>From:</th><th>jeffrey E. &lt;jeevacation@gmail.com&gt;</th></tr><tr><td>Sent:</td><td>Tuesday, January 6, 2015 2:18 AM</td></tr><tr><td>To:</td><td>Daniel Sabba</td></tr><tr><td>Subject:</td><td>Re: Fw: Fwd:(BFW) CLO: Market on Stronger Footing in 2015 as Questions Linge</td></tr></table>

looking froward to the back test of propsoed trades

On Mon, Jan 5,=2015 at 10:07 PM, Daniel Sabba <c :.wrot=:

Classification: Public

Collateralized loan obligation trading commentary.

----- Original Message -----
From: "Daniel Sabba (DEUTSCHE BANK SECURI)"
Sent: 01/06/2015 02:02 AM GMT
To: undisclosed-recipients:
Subject: Fwd:(BFW) CLO: Market on Stronger Footing in 2015 as Questions Lin=e

--- Original Sender: RICHARD RIZZO, DEUTSCHE BANK SECURI

----- Original Message -----
From: RICHARD RIZZO (DEUTSCHE BANK SECURI)
At: Jan 5 2015 12:20:42

(BFW) CLO: Market on Stronger Footing in 2015 as Questions Linger - see attached

From my viewpoint - still unclear picture of direction of CLO spreads=and issuance

Positives for CLO market

- 0.1 historically brings out buyers while new issue takes time to get going=- this has been historically been good for existing CLO spreads.

	- Risk retention is now on table and visible - may have effect of reducing =upply now, also good for spreads.

- Lower long US rates and increasing likelihood of Fed hikes in short term =ates should help CLO debt in relative attractiveness vs loans and CMBS and=other debt products

- Volcker compliance extensions for banks on AAA CLOs mean not likely=to see massive AM CLOs for sale in 2015.

- With loan spread easing and 2.0 AAA/AA CLOs not widening much (some not=C2 at all) in Q4, the new issue 'arb' appears to be alive. =A0 This can be viewed as postive or negative for CLO spreads though.=br> Negatives

- Volcker is not solved/extened for dealer market making. Dealers may=or may not be able to bid/offer CLOs that are not compliant after July 201= - ie AAA and equity tranches in deals with bonds are most problemat=c.

- Macro and geopolitical pressures are numerous with the most direct impact=on ClOs loans being oil related issuer stress and highly negative retail l=an outflows.

- We may get large new issue supply this January vs other years as many dea=s originally for Nov/Dec 2014 were pushed to 2015 during Q4 turbulen=e

This has been prepared solely for informational purposes. It is not an offe=, recommendation or solicitation to buy or sell, nor is it an official con=irmation of terms. It is based on information generally available to the p=blic from sources believed to be reliable. No representation is made that =t is accurate or complete or that any returns indicated will be achieved. =hanges to assumptions may have a material impact on any returns detailed. =ast performance is not indicative of future returns. Price and availabilit= are subject to change without notice. Additional information is available=upon request.

CLO: Market on Stronger Footing in 2015 as Questions Linger 2015-01-05 15:16:23.880 GMT

## By Christopher DeReza

(Bloomberg) -- CLO market set to start 2015 on notably<=r> stronger ground than last year, when activity paused amid

uncertainty over Volcker rule, which was finalized in Dec. 2013.

• Only $2.5b priced in January 2014

• Effort of getting new deals Volcker compliant "didn =99t turn out to be as much of a hurdle as people thought," Kev=n Egan, a senior PM at Invesco, said during phone interview

• Egan also said:

	• There's clarity on what managers have to retain (gi=en final retention rule published in Federal Register Dec= 24); there's ambiguity on what form assets wil= take, as "a lot of vehicles and structures are being

	• Managers may try to print deals before rule takes effect

remainder of stack unaffected

	• Oil prices overall won't have "tremendous=E2 impact; 1 or 2 companies on investors' radar for bankrup=cy

	• While leverage has risen, 1Q through 3Q levels "are=br>

• While leverage has risen, 10 through 3Q levels "are pretty much flat" after 4 yrs of steady increases<=li></ul>

pretty much flat" after 4 yrs of steady increa=es

• Month-by-month issuance, according to data compiled by BofAML analysts Chris Flanagan, Ryan Asato, Collin Chan, as of Dec.

19

• Month, BSL, Middle-Market, Total

• Jan., $2.55b, $0, $2.55b

• Feb., $7.686b, $731m, $8.417b

• March, $11.41b, $309m, $11.719b

• April, $10.823b, $1.682b, $12.505b

• May, $10.912b, $403m, $11.315b

## By Christopher DeReza (cont.)

	' June, $12.524b, $559m, $13.083b

	' July, $13.994b, $0, $13.994

	' Aug., $10.949b, $358m, $11.307

	• Sept., $7.006b, $713m, $7.719m

	' Oct., $10.048b, $1.078b, $11.126b

	* Nov., $10.525b, $761m, $11.286

	• Dec., $8.301b, $407m, $8.708m

	- Dec., $8.301b, $407m, $8.708m</li></ul>

	• 2014 BSL, middle-market issuance, as of Dec. 19, totals $123.729b; compares with $81.94b in 2013

' 2014 BSL, middle-market issuance, as of Dec. 19, totals $123.729b; compares with $81.94b in 2013</li>qui>=

• While issuance in 2015 is expected to be lower, forecasts of $70b to $110b are still described as strong

For Related News and Information: First Word scrolling panel: FIRST<GO> First Word newswire: NH BFW<GO>

To contact the reporter on this story: Christopher DeReza in New York at +1.212.617-0863 or cderezal@bloomberg.net <mailto:cderezal@bloomberg.net> To contact the editors responsible for this story:

Greg Chang at +1-4=5-617-7076 <tel:%2B1-415-617-7076> or gchang1@bloomberg.net <mailto:gchang1@bloomberg.net>

This communication may contain confidential and/or privileged information.ar> If you are not the intended recipient (or have received this communication<=r> in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of thear> 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.

## please =ote

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## please =ote (cont.)

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