EFTA01458543

1 Seven Signs co [Figure 25: The Seven Signs: cross asset class market signals co re F 'The Seven Signs' Cross Asset Oats Martel Signah Current Level Change vs 2 In Ago 4 Week Avg. Change vs 4 Wks Apo Level lye Ago Syr Avg. 20yr Avg. PCTL Risk Aver. Risk Aversion tel to Hist. Ret to Hist. Level Incremental Risk Aversion Strategic Safety Sale Criteda Interest Rates and Inflation High FIN Caution lOrt Treasury yield 2.04% *LI% 2.16% 0.01% 2.49% 2.35% 4.21% 3% 97% High Down Caution 2. 4% 10yr TIPS yield 0.61% 402% 0.64% 0.08% 0.5236 0.21% 1.77% 11% 89% High Down Caution 0.5%. 2% 10yr Treasury -LIPS Weal 1.43% 409% 1.52% -0.07% 1.97% 2.14% 2.44% 2% 2% Low Up Yes bet. 1 . 3% Syr Treasurnield 1.36% 409% 1.48% -0.04% 376% 1.32% 3.60% 4% 96% High Up Caution 1.5%. 3% 30yr Treasury yield 2.85% -0.09% 2.95% 0.10% 3.20% 3.35% 4.81% 2% 98% High Down Yes 2.5% - 4.5% red fund Rate 2015 End (Eutwes1 0.20% 0.00% 0.25% -0.05% 0.77% 0.25% 2.70% High Up Yes below 2.5% Fed fund Rate 2016 End (Nuns) 0.66% -0.05% 0.76% *16% 1.13% 0.26% 2.70% High Yes below 2.5% Duration Normal rot Neutral US TreasuryVied (wet POPP (1°-20 1.41% -0.04% 1.46% -0.01% 1.92% 1.94% 1.24% 66% 35% Normal Up Yes above 100bps US Treasury yield curve *ape (10-Syrl 0.68% -0.02% 0.68% 0.05% 0.73% 1.04% 0.61% 79% 21% Normal Down Caution above &kips Credit New Up Neutral Corporate IC Credit spreads (bps) 'manual 160.4 1.0 153.0 1.6 121.9 184.6 175.0 65% 65% Normal Up Yes below 203 Industrial 184.4 12.6 173.2 2.7 116.8 140.9 156.0 79% 79% High Up Yes below 200 IlnanOal spreads Over Ificlustrial -24.0 -4.2 -20.2 -1.1 5.1 43.7 19.1 31% 31% Normal Down Yes be/Ow 50 Corporate MY credit spreads (bps) 670.0 47.1 610.2 15.7 962.1 526.4 609.5 69% 69% Nonni Up No below 600 TED spreads (bps) 34.5 2.5 32.1 5.1 220 25.5 43.7 55% 55% Plocm.l Up Ye" belOW S0 Muni spreads bps) 4132 37 34.4 01 21.6 23 80% 80% High VP No below 25 Sovereign spreads (bps) Germany 10-3 -1543 -73.2 -46.1 5% 5% Low Down Yes below 0 bps France .105.3 122 -110.7 2.9 -120.6 -13.5 -23.5 10% 10% Low UP Yes below 100 bps naly .31A 93 .62 -IS.? :74.1 69.9 26% 26% Low Down Yes below 100 bps Spun -1: 8 .3 7 -13 0 -01 -3S 3 :as 3 57.0 36% 36% Normal Down Yes below 100 bps Crerwy Newmal FM Nasal US Del 'ar i8clox 92.10 1.5% 91.66 03% 81.09 76.95 86.53 67% 67% Normal Down USO/EUR 1.1177 -0.1% 1.1234 0.4% 1.2631 1.3012 1.2203 28% 72% High Clown Caution 51.20 - 51.40 IPY/USD 11938 *3% 120.11 109.65 95.05 108.08 79% 21% Low Up CHOUSO 0.9733 47% 0.9730 0.6% 0.9551 0.9151 1.2367 23% 77% High Down USD/Cra,d Deal SI 469.9 -1.4% 473.0 0.0% 509.9 618.7 348.9 70% 70% High UP Commodities Normal 00 Not Safe CRB 403.13 46% 405.66 -0.6% 473.42 482.61 346.53 64% 36% Normal Up Brent Oa 48..37 1.3% 48.39 0.5% 94.67 98.14 56.26 48% 52% Normal Down NO 570 - 5100 Wu 0c 4509 24% 45.47 6.3% 91.16 87.21 54.41 47% 53% Normal Down No 520 - 5100 Natural gas 2.52 2.64 -4.1% 4.12 3.57 4.48 21% 79% Nigh LIP Neutral Cooper 5176.5 2.1% 5228.0 2.2% 67200 7478.2 4518.8 57% 43% Normal Down No Uncertainty Nom) Up Net See N% 114 ImpliedYU 21.7 2.7 20.8 3.3 13.6 15.0 18.6 74% 74% Nigh Up No belOw 18 IPA Realized 1/44 22.4 -3.2 25.3 12.3 9.4 13.7 16.9 82% 82% Illgh Up No below 18 1M Vol Premium (Implied -Realised) 47 5.9 -7.5 -A0 4.2 1.3 1.6 22% 22% Low Down Yes below 3 Correlation (SSP 500) 1M ImPlIed Correlation 50.2 2.8 514 8.0 40.3 40.6 37.0 85% La Nib Up No below 40 1M Realized Correlation 64.1 -6.2 71.0 35.4 331 37.0 32.2 96% 96% High UP No below 40 1M Correl Premium (Implied. Realized) 9.0 -27.4 6.5 3.6 2.7 4% 4% Low Down Yes below 10 LT14 PE / 3m Avg. VIX IMO emotion) 0.83 -0.04 0.91 427 121 0.95 0.98 31% 69% High Up Yes 0.8 . 1.2 Offered Nulty Risk Premium Normal Up AlettbIll LISA P( 16.1 d.0% 16.3 -4.0% 17.0 15.2 18.5 46% 54% Normal Up Neutral below 18 PE on 2015E EPS 16.0 Normal VP Neutral below 17 PE on normai zed 2015( (PS 15.6 Normal Up Neutral bekra 17 Insetted real return offered by S&P 50O 6.2% 1.0% 6.1% 4.2% 5.9% 6.7% 6.5% 53% 53% Normal Up Neutral above 5.5% I rnPaed ERP offered by SSP 500 5.04 1.4% 5.5% 3.1% 5.4% 6.2% 3.6% 83% 83% Normal UP Yes abOve 4% Sourer Mg tr000rowg Anei Li 49/Erg Drusset• flew Noroarcernagara • eon s ewn a Med ens cam WS staisaddo apron* Oaf 61/01•1440,01911/alkpOl/MMemy. MONNVON•MINWOOOM 1/40 for tense Ram • 41440c4 Wan LT WEord Imobod EM. 20. Imo, brie row • • O CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0118506 SDNY_GM_00264690 EFTA01458543