EFTA01362039

4 September 2015 US Fixed Income Weekly Top 15 CAD Flattener% • 1 alkallm -a L% 1Y1Y2Y CO 170 08 79 -47 .01 04 07 35 Zg 37.12Y3Y 64 106 08 91 .23 .0 .3 02 0 5 15 O:31 1Y1YST 274 451 06 87 .2 4 .02 01 04 17 gai. k1-- 1Y1Y3Y 195 331 06 79 .34 .01 02 05 25 13141Y3Y 121 209 043 59 48 42 04 11 6.7 1Y 1Y7Y 274 477 06 _ 89 . .22 .02 01 . 04 15 111t &A 1Y7Y 224 425 OS 70 41 .0 .3 02 06 35 T 6611Y5Y 211 406 05 136 -51 .03 03 0 7 43 1Y 3Y5Y 7.9 155 05 97 .21 .0 .3 .01 02 15 glag 6M2Y3Y SO 158 QS 81 .2.5 .03 01 04 13 It. 3412Y/Y 190 189 05 00 -28 .03 01 03 14 t 61AZYTY 183 383 05 91 .25 -03 00 03 11 Ilm- 3912Y5Y 172 381 05 89 .26 -0.3 Q1 03 13 4 tYIY10Y 246 526 05 91 -19 -0 2 01 03. 11 6412Y5Y 17.0 364 05 91 .25 -0.3 00 03 12 Sane. NMI ISE Top 15 AUD Flattener% 311k 1 rid 1 I 3/A MY 419 7 I 457 rn 09 P.:m.461 6D Min 214b .14 .06 litdun 00 711/1 51n. 06 18 2 3M2Y5Y 068 841 08 90 .1 .2 .02 03 06 14 3 31.11Y5Y 938 1318 07 78 .1,3 431 05 07 14 4 6M2Y3Y 264 378 07 77 .1 .0 09 05 07 15 5 3/41•Ms 937 1473 06 77 -12 -01 04 06 13 6 3M ZYTY 037 109.0 06 92 -0.9 -0 2 02 04 1.0 7 3/A 2Y3Y 219 440 06 76 -0.9 02 04 06 1.3 8 6312Y5Y 434 797 05 92 -10 .01 03 04 09 9 iy IY3Y 373 713 05 82 -09'01 03 0 5 1 0 10 6M1Y5Y 833 1223 QS 78 -1.1 -01 04 05 1.0 11 3M •IY3Y 51.9 101 4 05 82 .1 .0 01 04 06 15 12 1Y MY 21.7 427 05 61 -0 9 0 2 04 06 11 13 3M3Y7Y 388 769 05 93 -08 . -0 4 00 0 3 . 1 0 14 ' 6M1Y3Y 083 928 05 73 4.0 01 04 0.5 1,2 IS 3M 1Y10Y 836 170 9 05 74 -11 .01 03 05 11 ‘,Lte. • fl at. an Irg 5 GBP Flattener:, Rink i° do 1y C.irry 1 3/A1YZY I 32 r-np Vol 184 R.,lio 02 Pctc61,114' 11.1 2515. 1.164P:o 04 1616 Mix 09 98 21 -0]: 02 2 MA 1YZY le 180 01 26 -09 01 03 05 14 3 1 3M1Y3Y 20 330 01 19 .08 :01 04 0.7 40 4 1 6M1Y3Y -02 273 00 23 -11 00 03 05 34 5 : 1Y 1Y2Y -04 147 00 30 .1.2' .01 02 04 25 0 i 37.12Y3Y -12 157 -01 51 -5.2 -05 -01 04 20 7 i 3M1Y5Y -54 502 -01 23 4.1 .01 03 00 34 8 1 1Y1Y3Y -18 225 -0 2 33 .1.2 .0.3 01 0.4 20 9 : 6M2Y3Y .21 124 -0 2 40 .39 : -0.5 -02 05 15 10 I WA 1Y5Y -85 422 -0 2 20 -1.3.-0.3 01 05 29 11 : 3/A1YTI .125 575 -0.2 23 .1.31-02 02 0.5 . 29 12 : 33A 2YSY 46 355 42 47 4.7 -0.6 4.2 0.3 18 13 ly 25Y30Y -12 47 -03 25 4.0 -0.3 -0.2 00 I 02 14 01.14-ae•MY -1.2 43 -0.3 17 4.6 1 -0.3 -02 00 1 02 15 lY 2Y3Y -32 118 -03 C .29 I -06 -0.2 04 11 %mere omega, trint Top 15 CAD Steepeners It I tyamny Mad Vot RC* Ykrommo Mm OM M se SA 1Y2Y 231 104 22 I 91 .128 45 -05 35 185 10120Y 126 128 1.0 I 81 .21 03 0.8 09 23 10Y20Y 127 13.1 1.0 I CO -10 03 0.6 09 17 gagaM10Y2'5Y 15.1 I 159 1.0 I 84 .17 03 0.6 109 21 10Y15Y 76 82 0,9 88 -37 0.2 0.5 108 31 10Y25Y 150 182 09 1 84 .08 0.3 06 108 15 1 1'110Yr/ 135 151 09 I 110 .05 01 08 I 08 15 10115Y 77 a6 0.9 89 .19 03 0.5 I. 0 7 18 6517320Y 147 167 09 ,I I 80 45 0.2 05 108 1.6 gig IY 1041SY 84 97 0.9 I 90 •1.0 03 OS 107 13 Sett IY7Y20Y 164 190 09 I 81 -0 2 02 05 108 17 AL CINCYZY 16.9 201 0.8 I 79 -04 0.2 0.5 108 1.5 Mr EM10Y30Y 185 200 08 I 88 .0 .7 0.3 05 I 07 1.2 C11101'30Y 166 201 08 I 85 .13 0.3 05 I 0 7 23 IT 10YZY 158 193 08 I DI .04 0.3 06 108 13 Awn Drum% • Bent -- ;Top 15 AIM ii..r.., Trio., Steepeners b :,..,r, I-6 V". Rahn Pcrcust /4:r 2516 14z0s.in Thttt NAIA illbriEMIMMErlarMICEICEIKINEEI1321 ilrEIEZETIMIENIIMMEMICHIWZIIIIIICEMEICEI 1111M 6M 77107 56 280 0.2 75 .02 0.1 0.1 I 02 0.7 iiiiM IY SY10Y Km 546 Inn at 01 0.2 I 02 05 liill.2MEZINIMINECEMCENZERnEllECIKTECI31351 [[3.š S'10Y 8.8 621 0.1 55 -0 2 01 01 02 05 iiirg 1 Y SOY 45 38.1 0.1 37 .01 0.1 0.1 02 04 luera 34 SY7Y 31 warm on=Erin nom in Ili! ' ,2- CE7Zil EMU:EN Can Ell OM mm CEI IN:,,2 1Y3Y10Y 84 104.2 01 11 -01 01 02 03 04 Lig I Y 3YTY 1.1 ETEKEN=MEEIECIEMEEICEI IrUllE21 .3 4 WEREINOIEEICCIEMEEIEEI liral:=INDENCIMMINSIMEEICCIEXECIIIII IlMnEiLlita 453 ICIIIIESEWMIEEIC3 0.0 I 02 0 nirf 54.13Y7Y .139 827 42 8 .04 .01 01 I 0 3 08 Sturm Deasintlant !Top 15 GBP Steepeners ink ' Biel C617Y20Y 147 r .IL Plecortik• 158 09 I 82 Men .04 76th 01 516:1gin Y66, 0.6 109 14,sy 32 III 2E1 MINIS, 112 110 0 9 I 82 -04 0.2 0.5 I09 Irnilinall 33 -' a15Y20Y 21 9 235 IICCIMICSIEZI 0.1 iiirEEZMICMCNEEIIIIMMEEICIEME:r1 EEI 17g s 5815YISY 185 21.0 0.9 I 76 gm 0.3 108 ED IIII,'.1 am 5y3oy 250 288 0 9 1 82 04 08 32 RI= - 'EciaimarMalannelICEICIMEIEEI Wird taatrailIZMEIEMEEROZZIEXIKIMMIEEI I.- =1:73MIESENII/ElnIEIIII/EINEDECII III, .!El 6M3Y30Y 333 396 0 8 71 -05 01 03 I 09 3.6 I r/ENNEIMEINnE31:11n103E161 Ill;:vii - `eikfraulEIMMIIEREEMOICIEWIEENICIEUI 148 tee ni es Hifi oe Toe te reaT,WW, 56 7 0 MUM GO 0.7 09 2.0 laz7L.11:agrAMILEMEEENCEEMMIEZIEEIEENEEIE:1 source Omacin tent Cerryis calculated lo. next 3 months end storm h ahem:tatted fan,. Volatility is calculated as In; roam/ lot CAD and extracted from swaptions prices for other commies Percentile statistics are calculated from a 10 mar history. Deutsche Bank Securities Inc. Page 35 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051336 CONFIDENTIAL SDNY_GM_00197520 EFTA01362039