From: Paul Morris
Sent: 9/10/2015 3:56:04 PM
To: Daniel Sabba
CC: Stewart Oldfield
Subject: RE: hi jeffrey - a trade to play on global central bank liquidity... ICI
Classification: Confidential
Daniel, not sure I follow this
Paul Morris
Managing Director
Deutsche Bank Private Batik
Office
Cell
From: Daniel Sabba
Sent: Thursday, September 10, 2015 3:05 PM
To: 'Jeffrey E.'
Cc: Paul Morris; Todd Stevens; Stewart Oldfield; Vahe Stepanian; Ariane Dwyer; 'Richard Kahn'
Subject: hi Jeffrey - a trade to play on global central bank liquidity... [C]
Classification: Confidential
Regardless of FOMC hiking next week, we have already observed a decrease in global central bank liquidity. We have
noticed this is very correlated to USD Sy swap rates Sy forward and, consequently, to the shape of the yield curve. Given
central banks play a major role in overall market liquidity, investors should consider the effects that Fed tightening and
China's FX unwind will have on liquidity levels. For the last decade liquidity has been has been positive for real rates and
the curve; however, as liquidity decreases this is likely to have negative implications for risk assets. See below and
attached.
Fed + FX reserves YoY change and 5v5v rates
30 7.0
25 6.0
20
5.0
15
4.0
10
3.0
5
2.0
0
-5 Fed plus fx reserves yoy —5y5y - its 1.0
-10 0.0
2000 2002 2004 2006 2008 2010 2012 201.4
World Equities YoY and central bank reserves
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0050439
CONFIDENTIAL SDNY_GM_00196623
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