EFTA Document EFTA01377069

CIO Insights - August 2016 Asset Class Forecasts 17 Fixed Income U.S. UST 2yr UST 10yr UST 30yr Municipals US IG Corp US HY" Securitized / MBS Europe Schatz 2yr Bund 10yr Bund 30yr Gilt 10yr EUR IG Corp EUR HY" Securitized / Covered Italy 10yr* Spain 10yr* Asia Pacific JGB 2yr JGB 10yr Asia Credit Global EM Sovereign EM Credit Market Index End-June 2017F US 2y yield US 10y yield US 30y yield I0Y AANUST ratio BarCap US Credit Barclays US HY MTGENFCL vs. 7y UST GER 2y yield GER 10y yield GER 30y yield UK 10y yield iBoxx Eur Corp all ML EUR Non-Fin HY Constr. Index iBoxx Covered GTITL10Y GTSEP10Y JPN 2y yield JPN 10y yield JACI Index EMBIG Div CEMBI 1.00% 1.70% 2.35% 93% 125bp 620bp 100bp -0.50% 0.25% 0.75% 1.00% 120bp 500bp 10bp 110bp 120bp -0.30% -0.10% 290bp 400bp 385 bp F = Forecasts. Please see risk warnings for more information. Forecasts are based on assumptions, estimates, opinions and hypothetical models or analysis which may prove to be incorrect. No assurance can be given that any forecast or target will be achieved. Past performance is not indicative of future returns. Spread over German bunds. • • US HY default rate assumptions: 5%; 30% recovery; EUR HY default rate assumptions: 2.5%; 30% recovery. Source: Deutsche Bank Wealth Management. As of August 1. 2016. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073610 CONFIDENTIAL SONY GM_00219794 EFTA01377069