EFTA01362036.pdf

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