EPSTEIN
page 10 / 469 . OCR, unverified
possible that European credit can continue to outperform. We would be mildly
bullish European credit and would be more aggressive if we saw some
stabilization in the US credit market.
VilitlatierP1
Credit spreads globally are all wider than their 50th percentile observation
through history with most rating bands having been tighter 60-80% of the time.
Figure 5: Spread percentile rank - Current vs. YE 2013 and 2014
Wi
USD Fin San 7rs) 1
deSpread
CUR Non.Fin NYB Mrs)
GBP Fin Son 1172•4)
CUR NornFin KY GEC Ilans)
FUR Erna Sin II lver)
USD Fin Sub U Ina)
CUR Fin Sab U 2r.)
/19519vreed
GBP Fin Sub 0 21,n10
USO Non.Fin A1, 21410
.nannnerani_
.._,
GBP Noo.Fin BBB 0 7yrs)
—i
EUR Ncn.F,n 1390 06710
EUR Non.FIn HY BB II 3rts)
GBP Non.F m A ll 7rs)
,.....1....., ....1, -
,
USD Corp HY BEI 0 Oars)
USD NonSin AA 0 7yrin
a•nn
I
i
GBP Non-Fin M II 7VIS)
USD Non.Fin BBB Ohre)
CUR Non-Fri A II 7r
USD Corp KT B I16yre) yam/awe
EUR Non-Fin A4 lyre)
USD Corp 14YCGC Inkke) ) 44a
,
0%
10%
20%
30%
40%
50%
00%
70%
80%
90%
100%
•Cuttani Rank
•flena 131 Dec 20141
= Rank 131 Dec 20131
Sane Dana* NA Romeo% MS Grap
The only caveat to this analysis is that the widest 10-15% of observations
usually sees credit spreads gap wider as a recession hits. We are very close to
the edge of pricing in a mild recession in global credit spreads. If we avoid it in
2016, spreads look very attractive but given that we're probably late cycle in
the US there are risks at this stage to trying to eke out carry for another 12
months. On balance we're mildly bullish European credit due to being less late
cycle than the US and due to valuations.
Jim Reid, (44) 20 754 72943
Nick Burns, (441 20 754 71970
Page 52
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CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e)
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CONFIDENTIAL
SDNY_GM_00265343
EFTA01458984
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METADATA_SOURCE: IMAGES0084
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Deutsche Bank AG/London
Figure 8: S&P 500 ii.thitied
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2O15/16 PE
secret and industly EPS emitnate,$)
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David Bianco.(!)
Ju Wang, PI
Mimic NO (1)
o F
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r
O
IT
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