EFTA01385940

27 March 2015 US Fixed Income Weekly Relative value in callable ager aver, Coupon 2143M 0.85 2NCEM 0.81 2NC1Y 0.76 3NC3M 1.30 3NC6M 1.25 3NC2Y 1.18 SNC3M 1.91 5NC6M 1.86 SNC 1Y 1.77 13 Last 17.9 14.0 9.1 283 23.4 16.5 314 25.6 162 3.: 2 3 1m avg 22.7 18.6 13.3 34.3 28.7 21.9 334 28.1 24.3 i 1m1-soon (17) 416) (14) 117) (1.6) 41.61a "la " i s " : , 3m avg 22.3 18.0 13.0 33.8 28.3 21.8 332 28.9 25.8 2 3m1-score (LS) 414) (13) (14) (1.4) I 1.51 III: 04 (0.6) (0.6) 2NC3M 2NC6M INCIY .3NC3M 3NC6M 3NCIY SNC3M SNC6M SNClY Last 2.9 1.0 0.0 10.7 6.3 2.4 24.3 17.1 10.3 ! 1m avg 2.8 08 0.0 80 5.7 2.1 200 149 13.7 € 3 1m [-score 0.3 0.6 ao IIIIIMI 1.4 1.2 0.4 (0.31 3m avg 2.8 08 0.0 8.9 5.6 2.1 70.4 15.8 14.8 2 amt-scorn CO 0.3 00 alfi 0.9 OS 06 0.8 (0.31 Sean* Dounthe Bra Agency trading volume reported by TRACE is down 18% compared to the same period last year. Through 3/26, 5294bn agency debt had traded, which includes $88bn FHLBs, $77bn FNMAs and $78bn FNMAs. March failed to see a pickup in volume as seen in the past two years. Agency trading volume by year 3,000 1.500 2 Loco 3 500 0 2011 1 —2012 —2013 2014 Mn Feb Mar Apr May Mn Jul Aug Sep Oct Nov Dec Sara HAM TRACE and Osess.• 8S* 1 'Swap ion vol. 3m z-score richicheap Tenor 1M 032 3M 0.i3 I/4444 416 423 0.15 02B € CM 004 437 426 402 004 046 057 IL. IV .042 413 022 034 049 092 1.11 2Y 019 0.03 022 049 071 101 1.19 3Y 4,79 4011 421 052 087 119 130 4Y 002 0.17 057 080 097 1/3 Ire SY 4.40 038 077 098 1.16 134 Sang DetAlchor Sn Agency trading volume by month 250 . (32013 •2014 02015 200 / 150 1,00 • 0 ..• s0 . Jan Feb Mar Ap May Jun Jul Aug Sep Oct Nov Dec Sewer AMA TR4CE•n0 Oscan Set Moth los in *WO 3/2. Deutsche Bank Securities Inc. Page 21 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087408 CONFIDENTIAL SDNY_GM_00233592 EFTA01385940