27 March 2015
US Fixed Income Weekly
[Tote&excess return forecasts in HY. IG. 'everac.r.
HY IC Syr irsy 10yr Yrsy Loans 2yr Trsy
Spreads/Yields Spreads/Yields
Current 476 129 147 201 Current 515 55
Target 510 130 195 250 Target 500 155
Change 34 1 48 49 Predicted Change -15 100
Rate Duration 1.0
Duration 4,6 6.5 4.8 8.5 Spread Duration 2.7
Change in Yield 82 49 48 49 Avg Par Coupon 440
Change in Price -377 -319 -230 -417
Libor/Tsy Change 100
Current Yield 737 421 Total Change in Yield 85
Current Price 100.4 103.2 Repricings -50
Default Rate 3.5 0.0 Capital Gain -110
Recovery 40
Credit Loss -211 0 Current Yield 440
Default Rate 3.5
Price Return -5.9 -2.9 Price 99.9
Total Return 13 1.3 Credit Loss 87
Excess Return 2.3 2.7
Total Return 2.4
Sows a.arn as*
Deutsche Bank Securities Inc. l'e(ic (31
CONFIDENTIAL — PURSUANT TO FED. R CRIM. P. 6(e) DB-SDNY-0116665
CONFIDENTIAL SDNY_GM_00262849
EFTA01457217