EFTA01385296.pdf

3 January 2018 HY Corporate Credit HY Multi Sector,Media, Cable & Satellite Relative Index Performance Year-to-date the DB HY Chemicals Index and the DB HY Index returned 10.07% and 7.09%, respectively. That follows modest underperformance by the DB HY Chemicals Index in 2014 and 2015 and strong outperformance in 2016. Current YTW for the Chemicals Index is 5.36% versus 5.75% for the broad HY Index. The current -39 bps differential is 70 bps tight to the average over the past five years and 22 bps tight to the average of the past ten years. Over the past ten years, the differential has generally fallen within -100-+104) bps. The differential has tightened since reaching its widest point two years ago when the Chemicals sector repriced when Olin priced its new issuance. This tightening has been led by the outperformance by names including CF Industries, Chemours, Hexion, TPC Group and Tronox (See Figure 18: Chemicals Relative Value - Returns), as the overall market entered a risk-on period. As seen in Figures 2 & 3, the Chemicals sector has tended to correlate closely with movements in the broader Index. 'Figure 1: Index Returns 2013 2014 2015 2016 YTD DB HY Chemicals Index 9.01% 125% -5.64% 2283% 10.07% DB HY Index 720% 2.52% 4.83% 1657% 7.09% DB HY BB Index 4.84% 5.37% -1.49% 11.96% 7.34% DB HY B Index 7.94% 1.12% -5.64% 15.94% 5.84% DB HY CCC Index 13.26% -2.45% •13.79% 28.61% 9.50% DowJones Industrial Index 26.50% 7.52% -2.23% 13.42% 24.74% SW 500 Index 29.60% 11 39% -0.73% 9.51% 19.52% Source Deuteeho Sint eltemborp hen* LP 1*•• &more •FPIPOINPral /OF itrinteMQ figure 2: YTW HY Chemicals vs HY Index (Last 10 Years) 'Figure 3: YTW HY Chemicals vs, HY Index (Last 5 Years) 20.00% I E12.00% 111.00% 16.00% 14.00% 12.00% 10.00% .- 400% 6.00% • 4.00% ••, 4 • % % AS / / / / / / / / —HY Index 14Y Chernc4la Index —HY Index ----HY themcals Index Scam Detfechegent Source Orasthe Sw* Deutsche Bank Securities Inc. Page 21 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0086580 CONFIDENTIAL SDNY_GM_00232764 EFTA01385296