EFTA01385970

27 March 2015 US Fixed Income Weekly DGX and DVX across different market regimes 220 200 180 160 140 120 100 80 60 40 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 Sane Deunene ant ... ''' cia rlphq 1 3- T1---TTr • 1 1 -wX 1 t -t- • • i - 1 I [repeated 3 times] - - til I ft I I .I 15 160 140 120 40 Saco twestioeilent Ratios of 2Y to 10Y tenors (quartiles, 5-year history) 1.4 2Y Tenors/1(N Tenors • Mean • Last 0.4 0.2 1m San band* 84•nk 3rn 6m 1y 2y 5y 7y 10y Ratios of 30Y to I 0Y tenors (quartiles, 5-year history) 2.4 22 2 1.8 1.6 14 1.2 1 0.8 0.8 30Y Tenors/10Y Tenors Winn 0 Last 1m 3m 6m lY 2Y 5Y 7Y 101 Swot Dandy. and Deutsche Bank Securities Inc. S Term structure of 2Y vol s 26-Ma r-15 — lin • 26.1vb r-13 26- Pvta r-10 1 El Term structure of 10Y vol 125 115 105 95 ye. ••• 41. 85 75 65 55 0 San* Dandy. &rest s 26-Mar-15 n 26-Mar-13 26-Ma r-1 0 5 10 15 20 Term structure of 30Y vol 100 r. 0 5 10 15 70 60 ScA,:o Artniche &DM s 26-Ma r-15 •• A 26-Ma r-13 26-Mar-10 ▪ nIK 20 Page 67 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0087438 SDNY_GM_00233822 EFTA01385970