41% 41% Normal Down Yes be1ow40 1M Celle' Premium (Implied - Realized) 8.2 -02 9.1 17.9 15.9 3.9 2.8 73% 73% Nigh Up Yes below 10 LTM PE / 3rn Avg. VI% 'mkt emotionl 1.30 0.02 1.24 0.13 1.21 0.90 0.98 88% 12% Low Down No OA - 1.2 telexed Emery- RoR Premium low Down Cau

premium: PE is now close to long-term historical average but ERP is still 200bps higher than its average of 390bps. 10 15 20 25 30 35 0 5 LTM PE (lhs) Source: S&P, FRB, Deutsche Bank Implied ERP (rhs) Avg PE = 15.9 Overstated EPS from inflation distortions 0% 2% 4% 6% 8% 10% 12% A

(Implied - Realized) EFTA01476452 Correlation (S&P 500) 1M Implied Correlation 1M Realized Correlation 1M Correl Premium (Implied - Realized) LTM PE / 3m Avg. VIX (mkt emotion) Offered Equity Risk Premium LTM PE PE on 2015E EPS PE on normalized 2015E EPS Implied real return offered by S&P 500