EFTA Document EFTA01362044

4 September 2016 US Fixed Income Weekly European Economics & Events Calendar Data Economic ftelsastis Political Event' Bond Redemption/Supply Sep 07 Germany. Industntd Production SA YoY Sep OB Eurozone: GOP SA YoY Germany: Schacublo Presents 2016 Federal Drall Budget in Parliament Germany to Sell EUR I Bln 0.5% IA 2030 Bonds (DE0001030550) Sep 09 Greece: CPI EU Harmonized YoY Germany: Merkel Delivers Remarks in Parliament Keyed to 2016 Budget Germany to Sell EUR4 Bln 1.0% 2025 Bonds (DE000110231321 Itaty to Sell Bonds Sep 10 Spain: Industrial Output NSA YoY Portugal: CPI EU Harmonized YoY France: Industrial Production YoY Ireland: CPI EU Harmonized YoY Ireland to Sad Bonds Sep II Spain: CPI EU Harmonized YoY Germany: CPI EU Harmonized YoY Italy: Industrial Production YoY [Total/excess return forecasts in HY. IG, leveraged loans HY IG Syr Trsy 10yr Trsy Loans 2yr Trsy Spreads/Yields Spreads/Yields Current 561 163 149 218 Current 540 57 Target 650 170 160 225 Target 575 75 Change 89 7 11 7 Predicted Change 35 a N( en..! ,i V n In apt, = 1 I Rate Duration 1.0 Duration 4.6 6.5 4.8 8.5 Spread Duration 2.7 Change in Yield 100 17 il 7 Avg Par Coupon 440 Change in Price -462 -107 -53 -60 Libor/Tsy Change 18 Current Yield 701 409 Total Change in Yield 53 Current Price 95.8 104.3 Repricings -50 Default Rate 3.5 0.0 Capital Gain -163 Recovery 40 Credit Loss -204 0 Current Yield 440 Default Rate 3.5 Price Return -&9 -1.0 Price 99.9 Total Return 0.1 3.1 Credit Loss 87 Excess Return -09 1.9 Total Return IS Sara Da, Ant Page 40 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051341 CONFIDENTIAL SDNY_GM_00197525 EFTA01362044