EFTA01385927.pdf

27 March 2015 US Fixed Income Weekly [fop 20 bond funds vs. DB benchmark: I/1/15 - I/31/15 jTop 20 bond funds vs. DB benchmark: 2/1/15 - 316115 3.00 - 050 250 1 / 1 / 2015[01/31/2013 3/1/2015 to 3/6/2015 0.01 • X 1.1 DD II 2.00 450: 1.1 M 1.00 a 1. I 030 0.00 450 fi r .11H g -1.00 -1501 .2.00 II 4.03 ev tt 44 o di n no. * In *hi Pg dd. Pd w1 de N VI I, 40 P^ y 2 re en •IPN kb A tl P o Y Y Performance ranking, sorted by returns Performance ranking. sorted by returns Same It awn Iferace1Pent Oa/NM dent Son Scang Anirgli LPesI OiOnhe Sent [US bond fund excess returns and contributing factors 10y Treasury yields and 1(3 option-adjusted spreads 10 140 2.40 Percent OAS yin Ionian) —Ionianirk NM gal OA ©Credo 0OuraDon ---cumulative excess return 1311 • 2-30 0.6 136 2.20 0.4 134 2.10 0.2 132 0.0 130 2.00 10.2) 126 1.90 10.4) 116 1.80 10.6) 114 122 1.20 10.1) 120 /60 ILO) km 15 Feb 15 Mar IS fan-IS Feb 15 Mar-IS San absiertsig arrav [PAM Owns Bath Sotto. fillavntap Franc* [PM Prune Sn While the broad strategy for generating alpha has been for some time to overweight credit and underweight duration, money managers ere showing signs of dialing back their overreliance on corporate debt and they seemed to have tiptoed back into Treasuries. The beta of daily excess returns from our credit index (80/20 IG/HY mix) regressed on bond fund excess returns has dropped to the lowest level of this year, and it's materially lower than the peak reading back in early 2014. The beta of daily Treasury total returns regressed on fund excess returns has decisively climbed higher over the last six months, now reaching the least negative level in more than a year. Credit and Treasury betas on the first component of Top 20 bond funds vs. DES benchmark: YTD 2015 bond funds excess return 01 20 —Credit tote [miaow beta Mimed on 3/74/13PtIcas 15 06 19 0.4 0.2 1 0S 00 L 0.5 04 40 0.1 " " " • ""I''' ^ "" • 2 C:12 71.2 2 :".. 2 31 2 0.4 fan.13 dan.14 lan.IS Performance wenn sorted by return Sox* fliteentsrp Rene[Per belle Bank i Sourer Illosytteep Area tPN CartaChe SIM Page 14 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087395 CONFIDENTIAL SDNY_GM_00233579 EFTA01385927