EFTA Document EFTA01362042

4 September 2015 US Fixed Income Weekly 3M ca ry across different expiries (ATMF receivers) 8 —•—ern —111-1y —a-2y 6 4 2 CO .6 -- Tenor SixneDatithe art US surprise Index: WY Treasury yield 110 ice 90 80 70 60 50 40 •••• •••suresnse —10yr Treasury Rate 30 Aut•04 AutOG Aut-08 kir10 Aut12 Purl. San Deunalwaint !Breakdown of 3M carry for €41 expiries (°o premium) 80% 60% 40% 20% 0% -20% -40% 6m1y arr2y 6rroy 6m7y 6m10y 6m15y 641120y 6w:30y San Donn* eat ,Trade weighted dollar in prise index 5.5 110 5 100 4.5 90 CO • 3.5 1.5 1 'Combined put/call ratio in Treasury futures 2.25 2.00 1 ratio Average 1.75 130 1.25 1.00 0.75 • 030 0.25 9/1/07 Sane Dembels Sr* int Chit ata' 9/1/09 9/1/11 9/1/13 9/1/15 Vol Curve =--- Theta —o— Total 100 95 90 as 70 75 60 70 —surprise r • 65 50 60 40 —Deutsche Bank USD nark weighted index 55 f 30 50 Aug45 Aug-04 AupOtt Aug-10 Aug-32 Jut-14 Sow* Orvesen• en Page 38 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051339 CONFIDENTIAL SDNY_GM_00197523 EFTA01362042