EFTA01459082.pdf

C tr1 0 EPS outlook, Performance & What to buy now rn .0 c Z 0 < 2 3 Figure 63: The Seven Signs (cross et cites. 'it signals) suggest CirlifiGUS; ral Glance on (evince r Current Change es Change vs Level PCTL Rlsk Aver. Rack Aversion Incremental Strategic Safe ID n) O "7h• Seven Signs" Cross Asset Class Market Signals Level 1 1itti Ago 4 Wtiti Avg. 4 Vas Ago lyr Ago Syr Avg. 20yr Avg. Rel to Dist. Re to Hitt. Level Risk Avenlon Safety C.Meeti Interest Rates and Inflation Nth Doyen Caution myr Tretiunt OS 2.25% -0.06% 2.22% aim 2.36% 2.35% 4.18% 4% 96% High Down Yes 2 - 4% 10yr TIPS yteld 0.65% 410% 067% 0.11% 0.52% 0.21% 1.75% 12% 88% Nigh Down Caution 0.5%-2% 10y7 Treasury -TIPS spread 1.60% 0.04% 1.55% 0.06% 124% 2.14% 2.43% 3% 3% Low Down his bei.1- 3% Syr Treasury yield 1.67% -0.04% 1.60% 024% 1.64% 1.32% 3.57% 8% 92% Nth Down Caution 15%- 3% tlyr Treasury tint 341% 408% 3.00% 012% 3.08% 3.34% 4.79% 4% 96% Nigh Down Yes 2.5% - 4.5% fed(und Rate 2015 End (foxtrot 0.21% 0.00% 0.20% 0.01% 0.53% 0.25% 2.66% Nigh Down Ms below 2.5% fed fund gate 2016 End (Futures) 0.76% -006% 0.76% 0.14% 1.47% 0.25% 2.66% _ Nish Dawn Yes below 25% Owaton TrAnna Up Neutral US Treasury yield tirve slope (10-1n) 1.40% .006% 1.43% 0.00% 1.84% 1.93% 1.25% 64% 36% Normal Up Yes above 103bps US T uryyield cum. slope (10-5 ) 039% .0.02% 0.67% .007% 0.72% 1.03% 0.61% 75% 25% Normal UP Caution above 60bps Credo Normal 6osm Hafts) Corporate SG credit spreads (bps) financial 138.7 47 142.1 -13.5 130.3 182.7 174.8 51% 51% Normal Down Yes below 200 Industrial 169.2 1.7 169.0 -10.6 135.3 1412 156.1 71% 71% KO Down Yes below 200 Financial spreads over Industrial -30.5 -27.0 -3.0 -5.0 40.9 18.7 23% 23% Low Down Yes below 50 Corporate Kr credit Wreath (bps) 637.2 15.8 611.9 -45.1 488.7 527.7 609.7 63% 63% Normal Down No below 60) TED spreads (bps) 252 2.6 27.5 -5.1 23.1 25.6 43.6 40% 40% Normal Down Yes below 50 Mum spreads MOs) 19.78 1.0 ne -13.9 15.5 22.1 2.5 63% 63% Normal Down Yes below 25 Sovereign spreads MO/ Germany -1762 -4.8 -165.6 -1Z8 4511 -75.4 47.4 0% 0% Low Down Yes below 0 bps frame -1442 -4.8 -131.9 -21i -116.4 -16.0 -25.3 1% 1% low Down YeS below 100 bps had .75.1 -5.0 .43.1 45,0 .3.0 171.5 65.4 10% 10% Low Down Yn below 100 bps Spain -4.2 -46.9 44.8 -23.2 182.3 53.2 21% 21% Low Down Yes below 100 bps Currency Nigh UP Neutral USDollar index 94.10 00% 92.59 2.0% 82.80 77.27 8657 71% 71% Nth Up USO/EUR 1.0734 -O. 7% 1.0852 .3.8% 1.2554 1.2934 1.2193 23% 77% Nth Up Caubon 51.20 . 5100 1PY/USO 122.87 02% 122.09 1.8% 117.97 96.12 108.22 823% 12% Low Down CNF/USD 1.01/8 1.3% 0.9985 3.4% 0.9570 0.9254 1.2356 27% 73% Nigh Down USO/Geld (real Si 4493 -1.5% 469.4 -3.2% 501.2 616.7 350.3 69% 69% Normal Down Comrno&bes Nonnal Up Not Safe CRB 382.59 -0.3% 389.50 -2.5% 451.97 481.12 347.21 62% 38% Normal UP Brent Oil 44.18 0.3% 46.88 -5.0% 78.10 98.48 56.79 45% 55% Normal Up No 570-5100 100 01 40.54 -2.9% 43.87 -5.5% 74.58 87.45 5429 43% 57% Normal Up No 570 - 51C0 Natural gas 2.28 0.7% 2.27 -85% 4.37 3.56 4.49 13% 87% !1•941 Up Neutral Copper 46513 -3.8% 0987.4 -3.9% 6755.0 7427.5 4535.7 54% 46% Normal UP No Dnceriatety Normal Down Sale VW 1M implied Vol 14.2 -1.2 13.4 -3.7 11.2 14.9 18.6 33% 33% Normal Down Yes below 18 1M Realized Vol 14.3 1.5 13.3 -5.5 9.9 138 16.9 4" 48% NOrmal Down Yes below 18 1M Vol Premium (Implied - Realized) -01 -2.8 01 7.7 1.3 1.2 1.6 26% 26% Low Up Yes below 3 Carnation (S&P 500) 1M implied Correlation 35.4 -3.8 31.3 -79 33.9 401 36.9 51% 51% NOrrival Down Yes below 40 1M itealizedcorrelabon 27.3 4.4 25.2 -2%3 241 37.0 32.4 44% 44% Normal Down Yes below 40 Deutsche Bank Securities Inc 110 Conti Premium [Implied - Realized) 8.1 -82 6.1 27.4 98 3.1 2.6 73% 73% High Up Yes below 10 LTIA PE /3m Avg. VI% (mln emotion) 0.85 OM 0.85 0.01 1.17 0.95 098 33% 67% Menial Down Ye% 0.8 - 1.2 Offered EMMY &in 7,NPHoll Normal Down Neutral lTM PC 17.5 iiii 17.4 4.7% 17.5 15.2 18.5 63% 37% Normal Down Neutral below 18 PE on 1015E EPS 17.5 Morm.il Down Neutral below 17 PE on normalized 2015E (PS 17.1 Normal Down Neutral below 17 Implied real return offend by S&P 500 5.7% -1.7% 5.7% -43% 53% 6.7% 65% 35% 35% Normal Down Neutral above 5.5% Implied EAP offered by S&P 500 5.1% 0.1% 5.1% -6.9% 5.2% 6.2% 3.6% 75% 75% Normal Down Yes above 4% Ø FRA 8~; Anne LP. MY« Dandr• Sint • wrennet ~fen es 0~ onlb aenre hew ~en ~a* of et lentrene~hi lonnemher~ alas ateenenten Men WOkw Kew. Asa MPS" Citescrt LIMPEend 6,,pi• CM 20.•ten fa Mena CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0119303 CONFIDENTIAL SDNY_GM_00265487 EFTA01459082