EFTA01367796

22 May 2015 US Equity Insights Market complacency re-emerges in both cash equities and derivatives Our PENIX market emotion indicator climbed to 1.3 on S&P trailing PE of 18 and 3m avg VIX of 14. A level between 1.2.1.5 signals complacency. There was similar complacency going into summer last year, with S&P trailing PE at 17.5 and a calm market kept VIX at 10-14. The complacency persisted to July but then faded as the risk of higher yields came on falling unemployment, but yields ultimately stayed subdued preventing any major summer sell-off. Yet a selloff began in late Sept as oil prices started cracking and the dollar climbing. [Figure 12: PE/VIX: our market emotion indicator Et000041•0ci.'.. 10 JeCettied rt rtier. t0 04 D2 Mane 4eak8k ni.00444 844.48a 004.0 —.448P 500 lmlrg PE /Orly Avg 1.4% 2%0 xo Iff01) 4 V ,f\r\ 11 1000 kr 20 500 dril 0 4- 10 A § "Thi fi A R A [repeated 3 times] SIP 5COOns) SIP 000 Trading PE 01W -Cat/ AM; VIX(nn) Sans 0900 SAA Ditatteh• errs 40 [Figure 13.. S&P 500 daily VIX 28 I 26 i 24 22 1 20 18 16 1 14 12 1 et 0 3: GPI O r 1 .45( ‘511IC (11 •Pi 1 NI #41C Swear 006 Osumi* &M 28 26 24 22 20 18 16 14 12 10 Page 6 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0059409 CONFIDENTIAL SDNY_GM_00205593 EFTA01367796