EFTA01385940.pdf

27 March 2015 US Fixed Income Weekly Relative value in callable ager 'Swap ion vol. 3m z-score richicheap aver, 2143M 2NCEM 2NC1Y 3NC3M 3NC6M 3NC2Y SNC3M 5NC6M SNC 1Y Tenor Coupon 0.85 0.81 0.76 1.30 1.25 1.18 1.91 1.86 1.77 13 Last 17.9 14.0 9.1 283 23.4 16.5 314 25.6 162 1M 032 3.: 2 3 1m avg 22.7 18.6 13.3 34.3 28.7 21.9 334 28.1 24.3 3M 0.i3 I/4444 416 423 0.15 02B i, 1m1-soon 3m avg (17) 22.3 416) 18.0 (14) 13.0 117) 33.8 (1.6) 28.3 41.61a 21.8 332 "la " i s " : 28.9 25.8 € IL. CM 004 437 426 402 004 IV .042 413 022 034 049 046 092 057 1.11 2 3m1-score (LS) 414) (13) (14) (1.4) I 1.51III: 04 (0.6) (0.6) 2Y 019 0.03 022 049 071 101 1.19 3Y 4,79 4011 421 052 087 119 130 2NC3M 2NC6M INCIY .3NC3M 3NC6M 3NCIY SNC3M SNC6M SNClY 4Y 002 0.17 057 080 097 1/3 Ire Last 2.9 1.0 0.0 10.7 6.3 2.4 24.3 17.1 10.3 ! 1m avg 2.8 08 0.0 80 5.7 2.1 200 149 13.7 SY 4.40 038 077 098 1.16 134 € 3 1m [-score 0.3 0.6 ao IIIIIMI 1.4 1.2 0.4 (0.31 2 3m avg 2.8 08 0.0 8.9 5.6 2.1 70.4 15.8 14.8 amt-scorn CO 0.3 00 alfi 0.9 OS 06 0.8 (0.31 Sean* Dounthe Bra Sang DetAlchor Sn Agency trading volume reported by TRACE is down 18% compared to the same period last year. Through 3/26, 5294bn agency debt had traded, which includes $88bn FHLBs, $77bn FNMAs and $78bn FNMAs. March failed to see a pickup in volume as seen in the past two years. Agency trading volume by year Agency trading volume by month 3,000 250 . 2011 (32013 •2014 02015 —2012 1 200 —2013 1.500 2014 1,00 •s0. / 150 0..• 2 Loco 500 3 0 Mn Feb Mar Apr May Mn Jul Aug Sep Oct Nov Dec Jan Feb Mar Ap May Jun Jul Aug Sep Oct Nov Dec Sara HAM TRACEandOsess.• 8S* Sewer AMA TR4CE•n0 Oscan Set Mothlos in *WO 3/2. 1 Deutsche Bank Securities Inc. Page 21 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087408 CONFIDENTIAL SDNY_GM_00233592 EFTA01385940