EFTA01387381.pdf

9 January 2018 FX Blueprint [Figure 25: Swiss home bias has created a CHF 400bn Figure 26: Home bias increasingly costly as foreign underweight in foreign portfolio assets stocks significantly better valued. not least due to FX WO CHF bri. cumulative 45% Adj. ratewe 40% vs 15-year GBP • 900 36% swag. USD 700 3C% a CHF 600 —Swiss foresee portlaio EUR (CACI O 25% NOk 600 Investment EuA (sne • 400 20% EUR IDAX) • VD 15% • 300 CHF 3004000n • CA0 AUD 200 10% underweight • 100 5% JPY • SE< 0 0% • .5% 1Wt valuation (average of PPP, KEA BE00 -100 2000 2%.2 2004 2006 2003 2010 2012 2014 2016 •20% .15% .10% -6% Oil., 6% save Demo* Bet :envy ArieWs SoworDectscra Bent Blocenhvg Minn* Left....*Wok* Manobond Figure 27: Beyond outflows, Swiss pension managers Figure 28: Leveraged investors are not positioned for are likely to reduce excessive hedge ratios on existing CHF downside FX assets 70% aPkwegad FX aesseft 100% Net leveraged positions Mogen interest) aso Net asset managers positions 1% open liters° 90% 015 xvococl Fx am!, —EURCHFOnveited. 094 50% 1.00 SO% -Keolp 00 1.06 .1114.73 40% 1.10 30% 1.16 20% 1.20 10% 1.26 0% 1.30 06 07 as as Ig 11 12 13 14 IS 16 Oera.13 Dee-14 Deo-16 Dee-16 Dee-17 Secret Deaeso‘o an. Convornona Son Daastea Bardc. aboyemp News LP Figure 29: Falling sight deposits reducing pressure on Figure 30: CHF/JPY is particularly cheap not just on SNB to start selling off FX reserves standard PPP but also on equity prices 180 20 Few-yank reaing change ir. SNB sign deposits. CHF 120 100 x average On 1 18 F1.0e1 CH Ft:FY on xiltstBre PIE ratios —RiRICHF Otis) Is 1.16 Real CHF/JPY on relative CPis 140 1 14 10 120 1.12 1 10 100 108 80 1.06 F.) [I 'l2 C«Ci6 60 1 04 q,ndilr 1.02 40 I? 2002 2004 2006 2009 2010 2012 2014 2016 2018 Sane Onus,. Set &crew' Anra C. Sane dead.*AM, NoraIearg AnneLI Deutsche Bank AG/London Page 13 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089887 CONFIDENTIAL SDNY_GM_00236071 EFTA01387381