EFTA01385932.pdf

27 March 2015 US Fixed Income Weekly 5-year note Combined customer participation dipped below-average to a six-month low of 60.4% from 67.6% in February. Indirect bidder participation declined to 55.7% from 60.1% in February, though still above its prior-year average 53.7%. The trend of low direct bidder takedown continued in March as the participation fell to 4.7%, the lowest in the auctions since June 2013. The auction generated a soft bid-to-cover ratio of 2.35 in comparison to its prior-year average 2.68, and ended with a tail of 1.2bp. i-5-year note auction statistics Size Primary Mod Indirect Cover -out IPM WI BP Tail Stop ($bn) Dealers Bidders Bidders Ratio Yield Bid 1yr Avg $360 336% 12.6% 537% 2.68 as Mar-16 $36.0 39.8% 4.7% 66.7% 2.36 1.387 1.376 1.2 Feb-15 $35.0 32.4% 7.5% 60.1% 2.54 1.480 1.477 0.3 Jan- I 5 $35.0 27.4% 9.6% 63.1% 2.49 1.288 1.294 -0.6 Dec-14 $35.0 33.9% 7.3% 68.7% 2.39 1.739 1.736 0.4 Nov-14 $35.0 26.1% 9.9% 66.0% 2.91 1.696 1.611 -1.6 Oct-14 $35.0 41.7% 10.6% 47.8% 2.36 1.567 1.550 1.7 Sep-14 $35.0 41.0% 8.8% 50.3% 2.56 1.800 1.792 0.8 Aug-14 $35.0 36.4% 10.8% 52.7% 2.81 1.646 1.644 0.2 Jul-14 $35.0 26.9% 25.9% 48.2% 2.81 1.720 1.729 -0.9 Jun-14 $35.0 38.2% 9.3% 62.6% 2.74 1.670 1.668 0.2 May-14 $35.0 39.1% 10.6% 60.4% 2.73 1.613 1.606 0.8 Apr-14 $35.0 36.6% 18.6% 44.9% 2.79 1.732 1.723 0.9 Swot us Pawn salDana*Ilent 7..veat iv)to The auction recorded a soft customer participation of 62.8% (vs. 64.7% average) for the second straight month. Indirect bidder takedown declined for the third consecutive month to 50.5% from 52.3% in February though was still above its prior-year average of 48.2%. Direct bidder participation increased to 12.3% from 10.5%, but remained below its average 16.5% for the seventh month in a row. The bid-to-cover ratio of the auction was also weak at 2.32, and compares with its 2.51 trailing-year average; consequently, the auction ended with a tail of 1.1bp. I7.•year note auction statistics Size Primary Direct Indirect Cover Stopout IPM WI BP Tail (Sbn) Dealers Bidders Bidders Ratio Yield Bid 1yr Avg it 29.0 38.3% 16.6% 482% 2.61 0.4 Mar-16 $29.0 37.2% 12.3% 60.6% 2.32 1.792 1.781 1.1 Feb-16 $29.0 37.1% 10.5% 52.3% 2.37 1.834 1.828 0.6 Jan-16 $29.0 29.0% 14.9% 66.1% 2.60 1.690 1.684 0.6 Dec-14 $29.0 37.6% 6.9% 66.6% 2.39 2.126 2.118 0.7 Nov-14 $29.0 37.1% 12.8% 60.0% 2.63 1.960 1.967 0.3 Oct-14 $29.0 38.0% 15.4% 46.6% 2.42 2.018 2.009 0.9 Sep-14 $29.0 41.7% 10.0% 48.3% 2.48 2.235 2.226 1.0 Aug-14 $29.0 30.7% 20.4% 48.8% 2.67 2.045 2.047 -0.2 Jul-14 $29.0 37.4% 16.2% 47.4% 2.68 2.260 2.238 1.2 Jun-14 $29.0 42.7% 16.7% 40.6% 2.44 2.162 2.139 1.3 May-14 $29.0 35.6% 24.1% 40.4% 2.60 2.010 2.008 0.2 Apr-14 $29.0 31.0% 19.1% 49.9% 2.60 2.317 2.321 -0.4 Soma' USDastryardOatialm St Deutsche Bank Securities Inc. Page 19 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087400 CONFIDENTIAL SDNY_GM_00233584 EFTA01385932