EFTA01377069.pdf

CIO Insights - August 2016 Asset Class Forecasts 17 Fixed Income Market Index End-June 2017F U.S. UST 2yr US 2y yield 1.00% UST 10yr US 10y yield 1.70% UST 30yr US 30y yield 2.35% Municipals I0Y AANUST ratio 93% US IG Corp BarCap US Credit 125bp US HY" Barclays US HY 620bp Securitized / MBS MTGENFCL vs. 7y UST 100bp Europe Schatz 2yr GER 2y yield -0.50% Bund 10yr GER 10y yield 0.25% Bund 30yr GER 30y yield 0.75% Gilt 10yr UK 10y yield 1.00% EUR IG Corp iBoxx Eur Corp all 120bp ML EUR Non-Fin HY EUR HY" Constr. Index 500bp Securitized / Covered iBoxx Covered 10bp Italy 10yr* GTITL10Y 110bp Spain 10yr* GTSEP10Y 120bp Asia Pacific JGB 2yr JPN 2y yield -0.30% JGB 10yr JPN 10y yield -0.10% Asia Credit JACI Index 290bp Global EM Sovereign EMBIG Div 400bp EM Credit CEMBI 385 bp F = Forecasts. Please see risk warnings for more information. Forecasts are based on assumptions, estimates, opinions and hypothetical models or analysis which may prove to be incorrect. No assurance can be given that any forecast or target will be achieved. Past performance is not indicative of future returns. Spread over German bunds. • • US HY default rate assumptions: 5%; 30% recovery; EUR HY default rate assumptions: 2.5%; 30% recovery. Source: Deutsche Bank Wealth Management. As of August 1. 2016. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073610 CONFIDENTIAL SONY GM_00219794 EFTA01377069