EFTA01385927

27 March 2015 US Fixed Income Weekly [fop 20 bond funds vs. DB benchmark: I/1/15 - I/31/15 jTop 20 bond funds vs. DB benchmark: 2/1/15 - 316115 3.00 - 250 2.00 M 1.00 a 030 .1 0.00 I 450 4.03 fi r DD 1/1 /2015 [01/31/2013 .11H ev tt 44 o di n no. * In *hi Pg YY Performance ranking, sorted by returns Same It awn Iferace1Pent Oa/NM dent [US bond fund excess returns and contributing factors 10 Percent OA 0.6 0.4 0.2 0.0 10.2) 10.4) 10.6) 10.1) ILO) fan-IS ©Credo 0OuraDon ---cumulative excess return Feb 15 San absiertsig arrav [PAM Owns Bath Mar-IS 050 0.01 • X 1.1 450: 1.1 g -1.00 -1501 .2.00 3/1/2015 to 3/6/2015 II I I dd. Pd w1 de N VI I, 40 P^ y 2 re en •IPN kb A tl P o Performance ranking. sorted by returns Son Scang Anirgli LP es I OiOnhe Sent 10y Treasury yields and 1(3 option-adjusted spreads 140 1311 136 134 132 130 126 116 114 122 120 km 15 OAS yin Ionian) —Ionian irk NM gal Feb 15 Sotto. fillavntap Franc* [PM Prune Sn While the broad strategy for generating alpha has been for some time to overweight credit and underweight duration, money managers ere showing signs of dialing back their overreliance on corporate debt and they seemed to have tiptoed back into Treasuries. The beta of daily excess returns from our credit index (80/20 IG/HY mix) regressed on bond fund excess returns has dropped to the lowest level of this year, and it's materially lower than the peak reading back in early 2014. The beta of daily Treasury total returns regressed on fund excess returns has decisively climbed higher over the last six months, now reaching the least negative level in more than a year. Credit and Treasury betas on the first component of bond funds excess return 01 —Credit tote 06 0.4 0.2 04 0.1 0.4 dan.14 lan.IS fan.13 [miaow beta Mar IS Top 20 bond funds vs. DES benchmark: YTD 2015 20 15 1 19 0 S 00 0.5 40 L 2.40 • 2-30 2.20 2.10 2.00 1.90 1.80 1.20 /60 Mimed on 3/74/13PtIcas " " " • ""I''' ^ "" • 2 C:12 71.2 2 :".. 2 31 2 Performance wenn sorted by return Sox* fliteentsrp Rene [Per belle Bank i Sourer Illosytteep Area tPN CartaChe SIM Page 14 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087395 CONFIDENTIAL SDNY_GM_00233579 EFTA01385927