EFTA Document EFTA01387377

9 January 2018 FX Blueprint Figure I: For the dollar it is 2004-06 all over again Dollar index in different G10 rate environments red = USD a top-4 high-yielder r 160 150 2005-06 even Moog 140 dollar dropped in 130 Fed hiked 120 110 160 150 140 130 120 110 100 90 80 70 94 92 00 08 17 76 li Sway Mare &S. Enneg Awn UP [Figure 2: US assets are already extremely expensive record high valuation in 4%k E expenses %%"•*: US assets 100% 2% I IY 80% 0% 60% -2% 40% -4% 100 -696 i Lk A - 20% 90 -8% chimp 0% 80 62 66 70 74 79 82 86 90 94 98 02 06 10 14 70 bask balance (Ills) —combined valuation• of US bonds and equities Men Pawn Clark Blanbin *win LL onroppreana. an of S&P500AI milord ACM nom pendant Figure 3: Rising deficits historically S bearish I Figure 4: Dollar has already priced in Fed tightening path 2% 0% -2% —US twin deficits as pa GDP (Ihs) i leo 30% Cumulative move In trade-weighted FX on central —US$ Trade Weighted Index lagged ?yrs F 25% bank announcement days . , . I. 160 USD moves on 20% IO l- 140 15% Romani eSetleCeS3 NIC lissom", 'Cullen & Il. 120 10% 5% t'00 0% IA Aii i a. Ili ifs' 8° -5% Siert of unconventional . EUR moves on projected US -10% f 60 policy F:GP thr,etirvis. tax plan i •15% Dia03 specohev 08 09 10 11 12 13 14 15 16 17 impact I. 40 74 76 79 82 86 87 90 93 96 98 01 00 07 09 12 15 16 20 23 Sans Oran* Sint Sonny LLIt Mn Ono M wnolSalenanonwocoun elle I Sown dawn Mt. akianben Finn LLP [-Figure 5: r• suggesting more EURUSD upside I Figure 6! Big European overweight in unhedged S bonds 1 0.5 0 -0.5 -1.5 -2 -2.5 .3 EMI/SD (the) 1.8 1.6 1.4 1.2 0.8 0.6 0.4 20 European-based ETFs , is AuM bn Is 14 12 f-donominated 10 sovereign bonds B 6 4 2 S.-denominated bonds 0.2 0 80 84 88 92 96 00 04 08 12 16 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Jan-17 bond yield turns negative San Coarsen Bs* anon Woo 0 a+ Nobem anon MUMS vat. Deutsche Bank AG/London It.,ECB cuts to negative San Donn@ ark INoceneg Mtn W. Fn.no On Man W arra pones: USD Donn nun US sonny; ocean end CM j Page 5 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0089879 SDNY_GM_00236063 EFTA01387377