EFTA01385974.pdf

27 March 2015 US Fixed Income Weekly [Tote&excess return forecasts in HY. IG. leveraged loans HY IG Syr Trsy 10yrTrsy Loans 2yr Trsy Spreads/Yields Spreads/Yields Current 476 129 147 201 Current 515 55 Target 510 130 195 250 Target 500 155 Change 34 1 48 49 Predicted Change -15 100 Rate Duration 1.0 Duration 4,6 6.5 4.8 8.5 Spread Duration 2.7 Change in Yield 82 49 48 49 Avg Par Coupon 440 Change in Price -377 -319 -230 -417 Libor/Tsy Change 100 Current Yield 737 421 Total Change in Yield 85 Current Price 100.4 103.2 Repricings -50 Default Rate 3.5 0.0 Capital Gain -110 Recovery 40 Credit Loss -211 0 Current Yield 440 Default Rate 3.5 Price Return -5.9 -2.9 Price 99.9 Total Return 13 1.3 Credit Loss 87 Excess Return 2.3 2.7 Total Return 2.4 Scittor Nara ,* BSA Deutsche Bank Securities Inc. Page 61 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087442 CONFIDENTIAL SDNY_GM_00233626 EFTA01385974