EFTA01385931

27 March 2015 US Fixed Income Weekly 2-year floating rate note (Mt Indirect bidder participation rose by more than a half to a record high of 75.5% (42.9% average). In contrast, the indirect bidder participation fell to zero for the first time in the auctions held so far. The bid-to-cover ratio of the auction rose to a six-month high of 4.34, and compares with the prior-year average of 4.15. I2-year floating rate note (ERN) auction statistics Size (Sion) Primary Derriere Direct Bidders Indirect Bidders Cover Ratio Stop-out Yield lyr Avg $ 137 52.3% 48% 429% 415 0.070 Mar-16 $13.0 24.6% 0.0% 75.6% 4.34 0.086 Feb-15 $13.0 49.9% 1.9% 48.2% 4.28 0.084 Jan-16 $15.0 46.0% 6.0% 47.1% 3.72 0.084 Dec-14 $13.0 70.1% 6.2% 24.7% 2.90 0.110 Nov-I4 $13.0 42.8% 6.4% 51.8% 4.00 0.068 Oet• 14 $AS 0 60.1% 3 3% 46.6% 3.58 0.053 Sep-14 $13.0 41.0% 4.6% 64.4% 4.46 0.041 Aug-14 513.0 50.2% 3.3% 46.6% 4.38 0.066 Jul-14 $15.0 spin% 3.3% 467% 4.09 0.070 Jun-14 $13.0 64.8% 5.1% 40.1% 4.43 0.069 May-14 $13.0 48.9% 9.4% 41.7% 4.69 0.063 Apr-14 $160 5C.7". 4$-.•P. :34.4% 4 64 0 069 awn rer evianswtmungn. Sent 2-year note Indirect bidder participation was solid for the third straight month in March; though their takedown of 45.7% was slightly lower in comparison with the five-year highs of +48% in the previous two months, but beat its prior-year average of 34.0% nonetheless. Direct bidder takedown rose past the average to 18.3% from 13.3% in February. Consequently, the combined buy-side participation of 64% was the highest since October 2012, and compares to its trailing-year average of 51.6%. The bid-to-cover ratio of the auction was in line to its average 3.4, and the auction stopped through by 0.1bp on its 1pm WI bid. I2-year note auction statistics Size Oril Primary Dealers Direct Bidders Indirect Bidders Cover Stop-out 1PM WI FibliO Yield Bid BP Tail fy'Avg $29.0 48.4% 16.7% 349% 3.40 -0.2 Mar-15 $26.0 38.0% 18.3% 45.7% 3.48 0.698 0.599 -0.1 Feb-16 $26.0 38.6% 13.3% 48.2% 3.45 0.603 0.604 -0.1 Jan-15 526.0 42.6% 8.8% 48.6% 3.74 0.640 0.641 -0.1 Dec-14 $27.0 49.8% 14.5% 35.7% 3.21 0.703 0.708 -0.5 Nov-14 $28.0 48.0% 16.2% 35.8% 3.71 0.542 0.550 -0.8 Oct-14 $29.0 47.2% 16.2% 36.7% 3.11 0.426 0.425 0.0 Sep-14 $29.0 43.0% 16.1% 40.9% 3.66 0.689 0.693 -0.4 Aug-14 $29.0 48.0% 12.1% 39.8% 3.48 0.630 0.630 0.0 Jul-14 $29.0 68.7% 14.3% 27.0% 3.22 0.644 0.642 0.2 Jun-14 $30.0 53.6% 23.3% 23.1% 3.23 0.511 0.513 -0.2 May-14 $31.0 55.9% 25.2% 18.9% 3.52 0.392 0.391 0.1 Apr-14 $32.0 57.7% 19.0% 23.4% 3.35 0.447 0.448 -0.1 saes' ta newer," Odtasi a" 1 Page 18 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087399 CONFIDENTIAL SDNY_GM_00233583 EFTA01385931