EFTA01459755

Deutsche Bank Securities Inc. -v N EPS outlook, Performance & What to buy now Figure 48: The Seven Signs (cross asset class marker signalsj suggest Cautious Nleutral stance on eguites "IS Seven Spa' Cross Asset Class Mahal Signals Current Level Ow", vs 2 Wk Ago 4 Weer Avg. Change vs 4 Wks Ago Level lyr Ago Syr Avg. 20yr Avg. Pat Rlsk Aver. Rbk Aversion Rel to Hiss. MI to Mu. level Incremental Mk Aversion Strategic Safety Safe Otterla Interest Rates and Inflation Nth Up Neutral l0yr TreaSurr Yield 184% -014% 2.01% -022% 1.72% 2.30% 4.15% 1% 99% High Up Caution 2 - 4% 10yr TIPS Held oAss 409% 0.62% 4.10% 0.12% 0.20% 1.73% 8% 92% High Up Cowen 0.5%-2% 10yr Treasury • TM %mad 1.36% 405% 1.39% 412% 1.60% 2.10% 2.42% 1% 1% low Up Yes Ott. 1 - 3% Syr Treasury yield 1.23% 427% 1.43% 427% 1.24% 1.32% 3.53% 3% 97% High Up Yes 1.5% - 3% 309 Treasury yierd 2.68% 421% 2.80% 426% 2.29% 3.26% 4.75% 1% 99% High Up Yes 2.5%-4.5% Fed fund Rate 2015 End (Fumes) 0.24% 0.00% 0.23% 0.02% 0.42% 0.26% 2.61% High Down Yes below 25% Fed fund Rate 2016 End (Futures{ 0.50% 409% 0.62% 422% 1.14% 0.26% 2.61% Nigh _ UP Yes below 2.5% 'Duration Norma lip Neutral US Treasury yield curve slope (10-2,4 1.16% .004% 1.19% 403% 1.26% 1.86% 1.25% 57% 43% Normal Up Yes above 105bps UST try yield curve slope 110-5 { 0.58% 401% 036% 0.02% 0.48% 0.98% 0.62% 75% 25% Normal Down Caution above 60bps Creel Normal Up Neutral Corporate tG credit spreads (bps{ financial 174.9 8.8 159.7 14.4 141.1 180.4 174.5 70% 70% High Up Yes below 200 Industrial 22L0 45 207.3 24.8 154.9 144.2 156.5 91% 91% High Up No below 200 financial spreads over Industrial -46.1 4.3 -47.6 -10.4 -138 36.3 18.0 13% 13% Low Down Yes below 50 Corporate HY credit wreath (bPs) 797.3 169 777.5 77.4 556.1 535.5 611.1 82% 82% Nigh Up No below KO TED spreads MPH 30.3 -5.9 39.2 8.2 23.9 26.4 43.4 48% 48% Normal Up Yes below 50 Mum spreads lbPsl 36.3 5.9 28.1 9.4 52.6 24.0 2.7 77% 77% WM Up No below 25 Sovereign spreads (bps) Germany -157$ 07 -157.5 60 -136.9 -82.0 -49.6 3% 3% low Up YeS below 0 bps France -124.5 LI -123.4 62 -115.2 -23.0 -27.7 4% 4% Low Up Yes below 100 bps Italy -46.6 04 -53.7 8.9 -13.2 161.5 59.7 22% 22% Low UP Yes below 100 bps Spain -35.9 -4.7 -36.7 16.1 -21.0 170.0 48.7 28% 28% Low UP Yes below 100 bps twrincy Nth Up Neutral USErWar index 95.59 02% 95.25 2.2% 68.8.8 78.34 86_68 74% 74% High Up USO/EUR 1.1209 2.5% 1.0908 00% 1.1287 1.2831 1.2176 30% 71% High Down Coupon 51.20 . 51.40 MY/LISO 116.78 -1.7% 118.24 -2.9% 117.54 97.61 108_39 65% 36% Normal UP CHF/USD 0.9913 -2.0% 1.0083 1.5% 0.9050 0.9171 1.2340 25% 75% High Down USO/Mid Real SI 471.1 1.6% 462.4 2.2% 544.2 608.3 352.5 72% 72% High Up Cemrnodibes Nome) Up Not Safe CM 386.71 1.3% 379.07 06% 422.96 474.51 14806 63% 37% Normal Down Brent Oil 34.46 1.7% 31.67 -14.7% 48.47 95.15 56.75 42% 58% Normal Up No 570 - 5100 vin oil 31.72 -4.5% 31.13 -144% 44.45 84.30 5423 37% 63% Normal UP No 570 . 5100 Natural gas 1.97 -9.6% 2.18 6.4% 2.87 3.45 4.48 4% 96% High Down Neutral Copper 4691.8 3.3% 4474.7 -3.6% 5519.5 7206.3 4550.0 54% 47% Normal Caution bncenarrity Normal Caution VIX 114 Implied Vol 19.5 43 20.7 4.5 15.2 15.0 18.6 63% 63% Normal UP No bekrw 18 llsl Realized Vol 23.2 2.5 20.3 3.3 16.8 14.1 17.0 84% 84% High Up No below 18 1M Vol Premium (Implied • Realized) -3.7 -2.7 0.4 1.2 1.0 1.6 9% 9% low Up Yes Wow 3 Correlation (S&P 500) 11A Implied Correlation 42.4 03 43.6 1.7 43.3 40.1 37.0 69% 69% Normal Up No below 40 1PA Realized Correlation 44.9 -0.1 51.5 2.8 39.2 37.7 32.7 81% 81% High UP No below 40 114 Correl Premium (Implied- Reakired) -2-5 0.5 -AO -1.1 4.1 2.4 2.5 28% 28% Low Down Yes below 10 I.TM PE / 3m Avg. VI% (mkt emotion) 0.81 -001 0.87 411 1.04 0.96 0.97 28% 72% High Up Owen 0.8 • 1.2 WNW MAW Mk Premium Normal Up Neutral (TM PC 16.1 1.2% 16.0 -6.6% 17.1 15.2 183 45% 55% Normal Up Yes below 18 PE on 2016E EPS 16.2 Normal UP Yes below 17 PE on normalized 2016E EPS 15.3 Normal UP Yes below 17 Implied real return offered by SAP 500 6.2% -1.2% 6.3% 7.1% 5.8% 6.7% 63% 54% 54% Normal Up Neutral above 5.5% Implied 6RPoffered by SAP SOD 5.7% 0.3% S.6% 10.1% 5.7% 6.2% 3.6% 84% 84% Normal Up Yes above 4% mat km arcombny onne 641424 ("now an • spursnu ownsons tendon es ant /owl amnions • Nerves c este* ois rs etienpr Ste., lbtw r5 etom nab laws Ass a fl ea Wyk, WIPE ens mad ER,. 20,4 say lb- ow rut CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 120421 SDNY_GM_00266605 EFTA01459755