EFTA01385965.pdf

27 March 2015 US Fixed Income Weekly SY swap spread seasonals (Change since Jan-1) 2Y swap spread seasonals (Change since Jan-1) 8 .....~2005-2014 1%7-2014 awe 2015 -rm.-2005-2014 —1997-M4as2015 8 6 4 2 0 -2 -4 -4 -6 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J n Feb Mar Apr May Jun Jul Aug Sep Oct NOV Dec Sent Dannan San andat IS&P Index seasonals (Change since Dec-31) 31)/110Y Implied vol seasonals (Change since Dec-31) 000.002005-2014 1997-2010 • .2015 —. 2005-2014 .••••••••••.1997 2014 2015 8% 26 20 6% 16 4% 10 6 2% 0 0% •5 -10 -2% -15 .4% -20 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec kin* Data*lent Srea Dandaieet SY10Y Implied vol seasonals (Change since Dec-31) ---1997 2014 2015 -2 -6 J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Secon Danebeast Page 52 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087433 CONFIDENTIAL SDNY_GM_00233617 EFTA01385965