EFTA01385968

27 March 2015 US Fixed Income Weekly Top 15 CAD Flatteners 25th 1446:as 75Th I6,x h rn--1', 11rjcrY Mae. V,ol R4₹ o >Pectrt, 1m I"1 1Y 112Y 17.1 27.7 06 70 -4.7 -0 1 09 07 95 2 - 171Y3Y 213 301 00 78 -3.4 -02 02 05 2.5 -3 - 17 1Y5Y 268 530 05 82 .24 .02 01 04 1.7 4 6611Y3Y 184 337 06 03 .88 -03 03 1.1 6.7 171YTY 288 582 0.5 85 -22 -0.3 01 03 1.5 0 E 10.11Y2Y 98 21.8 Q4 49 .126 -02 OS 1.0 90 7 6141757 23.9 636 04 56 -51 -0.4 02 07 4.3 6611Y7Y 286 598 04 1313 .41 -04 02 08 95 19 3M MY 77 174 04 72 -23 -0.4 01 05 15 IC: 1Y 1Y10Y 274 656 04 87 - .1.9 0.3 0.0 02 1 1 Ai (9'12Y3Y 72 178 04 75 -26 -0.4 01 04 13 674 1TIOY 26.2 70.3 04 613 -31 -0.4 01 05 27 :i 6M2Y7Y 168 478 04 54 -25 -0.3 00 0.2 1.1 ge4E 6111213Y 142 41.1 03 80 -25 -0.3 00 0.3 1.2 AST 3817137 140 41.8 03 76 -28 -0.3 0.1 0.3 1.3 Sane tlea Ant Top IS AUD Flatteners Wank Tract. ly Carry My. Vol Rmio f1/44, 4irt Mn r"lt: p4,act 7:ih Ma< 1 3/02Y5Y SS 9 797 07 BO -1.2 -0.4 03 05 14 2 3M lYSY 782 1188 07 71 -1.9 -0.2 05 07 41 3 ISM 2Y3Y 228 372 06 68 -10 02 05 07 1.5 4 3M in'Y 77.2 144 7 05 67 .1,2 -0.2 04 ma 1.3 3812Y7Y 578 1097 05 90 -09 -03 01 04 10 6 331173Y 41.5 851 05 61 .10 01 04 08 1.5 7 3M2Y3Y 22.2 49.3 05 67 .09 01 03 05 1.3 I (111175Y 51.0 1158 0.4 a -1.1 -0.1 03 05 1.0 0 1Y 1Y3Y 28.4 685 04 71 -09 00 03 05 1.0 10 341315Y 396 861 04 74 .1 ,4 .07 -0.1 05 1.8 11 31.11Y10Y 700 167.4 04 66 -11 -0 2 03 05 1.1 12 1EM MY 38.2 884 04 SO -1.1 -0 2 02 04 09 13 C41173Y 37.6 929 04 58 -1.0 00 0.4 OS 1.2 14 1Y 2Y3Y 178 447 04 50 43 01 04 08 1.1 ,.IS 31.12Y107 50.6 1964 04 88 -07 -0.3 01 03 09 Smite dash* eel ' Top 15 GBP Flatteners __LJE=INIENE:ENZINflEllaltEMMEEI CIMINO 01112Y 90 i...-.c Po- cr. . EIMEM 242 04 0) l,.1 EIBEEIMMIXIEICI 49 i'iv• 0.1 Mann 03 MO 06 Ma 34 13M1137 7.0 3Se 02 39 -1.1 00 03 0.0 34 Wil IN. taf OREM MB On EIMEMEI3111 O 314175Y i IOU W3IllIllEall EMI EIll RBI 11:31 Eli Ea 6m I'M', .01 ICIIIIIIIIIICIIIIIIIEMICEI KLEE KM ME= ISEIEBEEN km CLINEEI OM III3112132ZINEEM 9 3M2Y3 .08 154 00 49 -52 -05 00 05 20 In IV Ins, .1 .4 WENIESII I© I® laitiMEEIECI KM WM KEEN CB MI= Ell LEMUR EIZI 111 Oa 37.1 Mg, -49 MIEN CM 33 ISICIEEIEENCEIEEI In mum .00 ETEMICIMIrMISEI COMM MITI 14 ClICESEMMEEENICIIMEMIEEIEDEENCEMEI 71,17a -1.6 111 -01 133 -23 -04 -03 00 02 Saw* Drash• Oink Top 15 CAD Stee >eller') Raul Trrtt 11' 'V R3ae.:Ll R14b ps.cof1ilto Min Mth 514164..n 1511 Max 3M 1Y2Y i 200 159 1.5 88 -128 1 5 -05 0 a 18 5 11.10(20Y. 109 17.2 06 54 -0 5 03 06 08 15 10Y21:01 101 17.7 06 41 -21 03 08 I 10 1 23 15Y20Y 44 78 oe 54 -0 5 03 OS 08 41 ,1Y10Y15Y 6.8 11.7 0.8 OD -1.0 03 0.5 07 1.3 10Y20Y 103 157 08 40 -1.0 03 06 09 17 1715YWY 4.41 to 05 55 I 00 103 05 0.7 1.4 1Y MOY 120 27.1 05 50 -02 02 05 08 1.7 1Y 10175Y 128 242 05 46 -04 03 oe 08 1.3 10Y25Y 120 24.4 05 40 : .1 7 03 06 0-8 21 M10Y1 S7 123 05 44 I 47 02 05 08 11 9! Rat M ions 121 259 OS 37 1 -0.8403 06 0.8 1.5 in lY 7Y25Y 13.7 298 05 45 -0.2 103 05 0.8 1.4 1Y 10Y3OVJ 139 31.2 04 0 10..3 03 05 0.7 11 =Inn 04 15 0.6 03 0.5 0.7 31 Sams. Onsin [repeated 4 times] - [repeated 4 times] - Top I5 AUD Steepeners Ranh Ti la* ly Carry In-0. wri Rao, p.rc4Rt Mal 2611 MeaPart 754t, Ma< 1 1Y 7Y10Y 38 8517Y10Y: 47 215 998 02 0 2 56 11 58 -01 01 • -02 • 01 02 03 01 I 02 06 07 2 3 1Y51.10Y 55 55.3 01 33 .01 101 01 02 05 4 = 3MTY107 7.2 829 01 38 -0.4 00 01 02 07 6 3M 5Y10Y 82 071 01 39 -03 00 01 02 Q7 It= 17 5Y7Y 27 371 01 13 1 -01 1 01 02 02 04 r 8145710Y 63 98 .7 01 24 I -02 01 01 02 05 a, 1Y 3Y10Y 49 108 00 8 -01 01 02 03 06 I 9- 3M5Y7Y 10 96.2 00 29 -0.3 00 01 02 06 T... 8M 5Y7Y 1 16 793 00 I 14 41 01 01 1 0 2 1 04 I -1Y 3Y7Y 1 1.1 874 00 8 -Cl 01 02 03 08 1Y 3Y5Y 1 .16 874 3Y107 I -71 543 126.0 00 .0 1 11 11 . .02 01 .03 01 02 02 04 03 08 05 ' 14 1Y 2Y10Y1 .130 1323 -01 9 -03 00 01 02 07 IS 6M3Y7Y I .119 101.8 .01 12 -0 a 00 02 04 ( 06 San* Do Is I s Sink !Top 15 GBP Steepeners lrlarEM 01137157 PoremItle Min 2124, 0.4<aisn l'An Mar Erin EEO METZWIMEEM 62 45 00 1Y3Y20Y ILIMMIWINEZENCEE 63 -0.5 00 noC0MICEN 62 0..6.00 ICEMECIIIII EIMISCEMICESM0ICENCICIFEI Laar..21/CEMIIENKIE 62 -05 1 00 CEMECIIII 1511701flIWINETNI CEIIIMMEE1111 17377Y 135 26 I 06 41 02 07 Eig MEEMEDMETWEMICCIETICENIMIIII L...stakaltla 334 CISIMIEDICLICEMI3IFEI ICENCEME111 ei -05 00 ICENIIMEill KLEMM= -05 00 01 Uri 21.5 38.5 06 63 0.8 -08 , 00 210 47.1 0.5 85 -0.6 00 60 -04 00 02 03 0.9 09 20 1Y6Y10Y 182 Saret Oats.* ant Carry is calculated for next 3 months and shown in annualiTed form. Volatility is calculated as lm realized for C4D and extracted from swaptions prices for other currencies. Percentile statistics ate calculated front a 10 year history Deutsche Bank Securities Inc. Page 55 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087436 CONFIDENTIAL PROT1 PROT0