EFTA01458280.pdf

I September 2015 Corporate Credit: Back to school - The edge of normality [Figure 35: USD AA (left), Single-A (middle) and BBB (right) Percentile Histories 100% ..........1 5yr —5-10er >10yr 100% —1 5yr ----5-10yr >10yr 100% 1 —1 Syr — 5-10Yr >10yr 80% T 90% 80% 20% 60% 60% 40% 40% 40% 20% 20% 20% 0% 0% 0% Jen 14 May 14 Sop 14 Jen 15 May 15 Jan 14 May14 Sop 14 Jen 15 May 15 Jan 14 May 14 Sop 14 Jan 15 May 15 Same Dwane IWO So this analysis generally backs up what we saw when looking at the curves there has been weakness in the long-end with USD BBBs the worst impacted part of the analysed credit market. The edge of normality - Widest (facile only in a crisis As a final point its also worth highlighting the fact that we only tend to get into the widest decile during a significant crisis around the peak of the default cycle and therefore the relative spread differential between the all-time tights and the 90th percentile is generally much lower than the differential between the 90th percentile and the all-time wides. This point is shown in Figure 36- Figure 38. In fact it's only in the EUR market where this isn't true of the long- end. So with most of the EUR long-end buckets and all of the USD long-end buckets in the widest quartile and the widest decile generally only occurring during the peak of the default cycle we'd argue that long-end spreads in EUR and USD are around the wides of normal (non-crisis) times. [Figure 36: EUR IC, Percentiles - Spread Range vs. 90%- 100% Spread Range AA et49 1.7v. 7•5y: 7.1ervir •;!;'.yr :-N? ',iv, , , Cyt 3-5v, >Icy, 5-7v! 7-, Current 54 72 90 92 III 72 88 112 126 133 113 140 176 190 237 86 107 132 135 154 TKInt 13 11 20 11 32 17 17 31 38 38 34 47 59 59 99 22 31 48 40 37 Meow 48 SS 77 71 90 73 99 115 107 111 158 161 156 196 183 90 110 123 117 113 11'r4* 370 363 336 373 354 678 604 616 680 337 740 CO 757 810 503 380 409 441 393 314 90th Percentile 150 158 162 176 168 238 224 248 268 211 392 368 368 374 345 181 186 193 189 196 01490% Spread Range 137 147 142 165 138 221 207 217 231 173 358 320 309 315 246 159 153 144 149 159 90/9100% Screed Range 220 205 224 197 188 369 390 368 391 127 348 270 389 436 158 199 223 248 204 118 Sago*. DAMN BIAt [Figure 37: GBP IG Percentiles - U%-90% Spread Range vs. 90%-100% Spread Range AA l.50 540yr >10yf 1-S< Current 99 108 122 135 143 174 205 228 222 149 176 182 71/11 37 50 60 50 60 74 76 SG 112 47 90 75 Meehan 76 109 118 117 149 153 196 233 199 119 156 169 Wale 494 779 366 985 1014 637 1604 1040 754 401 523 829 90th Percentile 130 264 206 381 367 245 594 498 316 210 281 351 0%-90% Spread Renee 193 214 145 331 307 171 519 399 204 163 181 275 90%-100% SP9141,140114 265 515 1130 1304 648 291 1010 544 438 190 262 478 Sane Dana* eat Page 20 Deutsche Bank AG/London CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0118121 CONFIDENTIAL SDNY_GM_00264305 EFTA01458280