EFTA01367806

Deutsche Bank Securities Inc. Seven Signs Seven Signs: 3 Red (not safe/caution), 2 Yellow (neutral), 2 Green (safe). Key risks to stocks are a further slide in oil prices or Euro (EPS risk). Figure 32: The Seven Signs: asset class Mdfi, et sit-pals "The Seven Signs' Cross Asset Class Market Signab Current Level Chong. vs I Wk Apo 4 Week Avg. theme vs 4 Wks Ago level lyr Ago Syr An. 20w Avg. Pal Risk Aver. Rhk Aversion Ito Nit Rei to Nit Level Incremental Risk Amnion Strategk Safety Safe Cited' Interest Rates and Inflation Nigh Down Ceutban wyr Treasury weld 2.19% 404% 2.15% 0.24% 2.53% 2.42% 4.29% 4% 96% High Down Caution 2 - 4% lOyr TIPS Held 032% -0.04% 0.26% 0.18% 0.33% 0.27% 1.82% 7% 93% Nigh Down Caution 0.5% - 2% 10cr Treasury - TIPS spread 147% 0.00% 1.90% 0.06% 2.20% 2.15% 2.46% 7% 7% Low Down Yes bet. 1 - 3% Syr Treasury yield 1.51% 0.01% 1.50% 0.15% 1.52% 1.34% 3.68% 5% 95% Nigh Down Caution 1.5% - 3% 30yr Treasury yield 199% 406% 2.90% 0.35% 3.41% 3.44% 4.88% 3% 97% Nigh Down Caution 2.5% - 4.5% Fed f und Rate 2015 End (futWeS1 0.33% Q02% 0.33% -0.03% 0.58% 0.25% 2.80% High Up Yes below 2.5% fed fund Rate 2016 End (Futures) 1.05% aye' 1.07% 004% 1.58% 0.25% 2.80% High Down Yes below 2.5% Duratgn Normal Dorm Neutral US Treasury weld curve sicoe 110-2yr) 1.62% 407% 1.57% 0.19% 2.19% 2.00% 1.22% 73% 27% Normal Down Yes above 103bos US Treasury yield curve skoel10-5y0 0.68% 405% 0.65% 009% 1.01% 1.08% 0.60% 79% 21% Normal Down Caution above 600ps Credit Nome Hat Safe Corporate 16 credit spreads (bps) Financial 126.1 0.9 125.5 115.2 191.8 175.7 45% 45% Norma Down Yes below 200 Industrial 134.1 2.7 131.3 -2.9 107.5 140.6 156.0 46% 46% Norma Down Yes bNow 2C0 financial spreads over Inclounal 4.0 -as -6.8 0.3 7.7 51.2 19.8 44% 44% Norma Up Yes below 50 Corporate NV credit spreads (bps) 479.1 -14 4864 -29.0 395.7 533.5 610.8 36% 36% Norma Dawn Yes below 603 TED spreads (bps) 27.2 0.6 27.0 1-3 19.7 25.5 43.8 41% 41% Norma Up Yes below 50 Mum spreads Paps) 42.32 69 39.5 -11.5 -0.6 18.6 1.8 81% 81% Nigh Down No below 25 Sovereignspreads (bps) Germany -155.2 -2.3 -165.2 10.6 -110.9 -64.5 .42.4 2% 2% Low UP Yes below 0 bps Frame -127.0 -09 -137.2 10.9 -69.0 -19.5 2% 2% Low UP Yes below 100 bps Italy 2.6 -46.1 12.3 668 184.5 80.4 24% 2a% Low Up Yes below 100 bps Spain -42.7 -12 -49.9 12.8 47.9 197.6 65.9 25% 25% Low Up Yes below 100 bos Cwrency Normel Down Neutral US Oollar index 87.58 -1.1% 89.12 -2.5% 76.50 75.79 86.35 62% 62% Normal Down USD/EUR 1.1112 -2.6% 1.1185 3.9% 1.3687 1.3133 1.2229 27% 73% Nigh Down Caution 51.20 - 51.40 IPY/USEI 121.04 1.6% 119.75 0.1% 101.37 92.46 107.50 85% 15% Low Down Up CHF/USD 0.9368 2.7% 0.9321 -13% 0.8932 0.9325 1.2406 15% 85% High U50/Gdd (real SI 509.7 -1.7% 507.8 0.0% 545.3 635.3 344.5 75% 75% High Up Canmodities Normal Down Not Safe fee 426.02 -1.0% 424.71 2.4% 499.05 484.65 344.20 73% 27% Low Down Brent Oil 66.54 .ars 66.02 17.6% 110.55 100.72 5541 62% 38% Normal Down Canton 570 . 5100 WTI Oil 60.72 I.4% 59.18 12.3% 104.07 90.02 54.05 57% 43% Normal Down No 570 - 5103 Natural gas 2.95 2.81 7.8% 4.47 3.71 4.47 28% 72% High Down Natural Copper 6249.0 .1.5% 6293 4 4.1% 6845.0 7598.3 4471.1 62% 38% Normal Down No Uncertainty Low Fin Safe V1X 1M Imcdved Yol 103 44 114 .0.8 10.2 15.6 147 6% 6% Low Down Yes below 18 1M Realized Vol 10.0 10.0 8.6 14.2 16.8 23% 23% Low Down Yes below 113 1M Vol Premium (Implied - Realized) 0.3 0.9 1.5 1.8 1.6 14 1.7 29% 29% Low UP Yes beiow 3 Correlation (S&P 500) 1M Imcdied Correlation 34.0 -17 33.7 5.0 35.5 41.9 36.9 46% 46% Normal Up Yes be1ow40 1M Reeked Correlation 258 45 24.7 -12.9 19.6 38.0 31.6 41% 41% Normal Down Yes be1ow40 1M Celle' Premium (Implied - Realized) 8.2 -02 9.1 17.9 15.9 3.9 2.8 73% 73% Nigh Up Yes below 10 LTM PE / 3rn Avg. VI% 'mkt emotionl 1.30 0.02 1.24 0.13 1.21 0.90 0.98 88% 12% Low Down No OA - 1.2 telexed Emery- RoR Premium low Down Caution (TM PE 18.1 0.5% 17.9 1.1% 17.0 15.2 18.5 71% 29% Low Down Caution below 18 PE on 2015E EPS 18.1 Low Down Caution below 17 PE on normalized 2015E EPS 174 Low Down Caution below 17 Implied real return offered by S&P 500 5.5% -0.5% 5.6% -1.1% 5.9% 6.7% 6.5% 26% 26% Low Down Caution above 5.5% Implied CRP offered by S&P 500 5.2% 03% 5.3% 43% 5.6% 6.2% 3.6% 77% 77% Low Down Yes above 4% Sun eta, gnaw. nonceLP. .14121. Centre Pont • crows not swoon44~ colts aerore **I 4gerson4 so pews% oar OM obsoneoces nes ocno.sorm Story Moro* aSoononrs *0i INPOIce frame Arm a Men Wien LTh. ffonaint040 MP. 20w Nam Pot OM en CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0059419 SDNY_GM_00205603 EFTA01367806