22 May 2015 US Equity Insights Risk of a near term 5%+ dip is high We believe the probability of a 5%+ dip is high this summer and our tactical call remains Down given the S&P now at an even higher PE than a year ago, heightened uncertainty in 10yr yields, weak earnings growth and continued soft economic data. We haven't had a 5%+ dip this year. Historically 5%+ dips are common and happen at least once a year since 1960, except 1964, 1993 & 1995. It has been 916 trading days (3.6 years) since a 10% correction. Selloff triggers could be a further rise in 10yr yields especially if UE keeps falling amidst slow economic growth and Fed remains unclear on first hike timing, or a jump in the dollar upon the Fed expressing firm intentions to hike in Sept. {Figure 14: Intervals between I (r,ri+ corrections o 2000 1 a 11300 • t 1600 gs 1400 2 1200 I RI' 1000 g eoo 600.1 2 400 zoo 0 Soucy SIR Ditacnt art Sulev: 367 of Tracing Days between Two 10%. Corrections Avg 357 Since last carecnon 916 ~581$tf44agp:, %f -"; .744 14 ,14r-:19444144 Trough date of 10%. correctors [Figure ' 15: Distinct S&P 500 sell-offs, 1957-2014 From high of: 5% Dips 10% Corrections 15% Swoons 20% Bears 25%+ Crash Source S&P, Dana* Beni MI time Deutsche Bank Secutilies Inc. 3yr high lyr high 6mos high iFtgure 16! Duration and magnitude of 5-91% sell-offs Size of Sell-Off Count Avg Sell-off Avg Duration (Ms) 10%. 28 -21A% 144 9% - 10% 8 -9.5% 32 7% - 9% 13 -7.8% 37 6% - 7% 12 -6.5% 27 S% - 6% 17 -SA% 20 Source SOP Dosicne Bent Payo 7 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0059410 CONFIDENTIAL SDNY_GM_00205594 EFTA01367797