EFTA Document EFTA01362036

4 September 2015 US Fixed Income Weekly 51/ swap spread seasonals (Change since Jan-1) B 6 2 0 -2 -4 1997 2014 .5~ 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Seen Dane* ant S&P Index seasonals (Change since Dec-31) 6% 6% 4% 2% 0% -2% -4% -6% -8% -10% 2005-2014 1997 2014 016 J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec San Oran* On 5Y10Y Implied vol seasonals (Change since Dec-31) 7 a 3 1 -1 -3 -5 -7 J n Feb Mar Aix May Jun .......2005-2014 -1997 2014 2015 Jul Aug Sep Oct Nov Dec Swat Deem an 2Y swap spread seasonals (Change since Jan-11 2005-2014 —1997 2014 _2015 0 2 -10 -12 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ~ea ~in Brt I3MIOY Implied vol seasonals (Change since Dec-31) 25 —2005-2014 —19972014 2015 20 15 10 5 0 -5 -10 -15 -20 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Sara@ dumb an Page 32 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051333 CONFIDENTIAL SDNY_GM_00197517 EFTA01362036