EFTA01387381

9 January 2018 FX Blueprint [Figure 25: Swiss home bias has created a CHF 400bn Figure 26: Home bias increasingly costly as foreign stocks significantly better valued. not least due to FX 45% Adj. we rate 40% vs 15-year 36% swag. 3C% 25% 20% 15% 10% 5% JPY 0 0% • .5% 1Wt valuation (average of PPP, KEA BE00 •20% .15% .10% -6% Oil., 6% underweight in foreign portfolio assets WO CHF bri. cumulative 900 700 600 —Swiss foresee portlaio 600 400 300 CHF 3004000n 200 underweight 100 Investment -100 2000 2%.2 2004 2006 2003 2010 2012 2014 2016 save Demo* Bet :envy ArieWs Figure 27: Beyond outflows, Swiss pension managers are likely to reduce excessive hedge ratios on existing FX assets 70% aPkwegad FX aesseft 90% xvococl Fx am!, SO% -Keolp 00 40% 30% 20% 10% 0% .1114.73 06 07 as as Ig Secret Deaeso‘o an. Convornona 11 12 13 14 IS 16 Figure 29: Falling sight deposits reducing pressure on SNB to start selling off FX reserves 20 Few-yank reaing change ir. SNB sign deposits. CHF On Is 10 —RiRICHF Otis) F.) [I 'l2 C«Ci6 q,ndilr I? Sane Onus,. Set &crew' Anra C. Deutsche Bank AG/London 120 1 18 1.16 1 14 120 1.12 1 10 100 108 80 1.06 60 1 04 1.02 40 GBP • EUR (CACI EuA (sne • EUR IDAX) • • CA0 • SE< USD a CHF ONOk VD • AUD • SoworDectscra Bent Blocenhvg Minn* Left.... *Wok* Manobond Figure 28: Leveraged investors are not positioned for CHF downside 100% 50% Net leveraged positions Mogen interest) Net asset managers positions 1% open liters° —EURCHFOnveited. 094 aso 015 1.00 1.06 1.10 1.16 1.20 1.26 1.30 Oera.13 Dee-14 Deo-16 Dee-16 Dee-17 Son Daastea Bardc. aboyemp News LP Figure 30: CHF/JPY is particularly cheap not just on standard PPP but also on equity prices 180 100 x average F1.0e1 CH Ft:FY on xiltstBre PIE ratios 140 Real CHF/JPY on relative CPis 2002 2004 2006 2009 2010 2012 2014 2016 2018 Sane dead.* AM, Nora I ear g Anne LI Page 13 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089887 CONFIDENTIAL SDNY_GM_00236071 EFTA01387381