EFTA Document EFTA01362039

4 September 2015 US Fixed Income Weekly Top 15 CAD Flattener% • 1 alkallm -a L% 1Y1Y2Y CO 170 08 79 -47 .01 04 07 35 Zg 37.12Y3Y 64 106 08 91 .23 .0 .3 02 0 5 15 O:31 1Y1YST 274 451 06 87 .2 4 .02 01 04 17 gai. k1-- 1Y1Y3Y 195 331 06 79 .34 .01 02 05 25 13141Y3Y 121 209 043 59 48 42 04 11 6.7 1Y 1Y7Y 274 477 06 89 .22 .02 01 04 15 111t &A 1Y7Y 224 425 OS 70 41 .0 .3 02 06 35 T 6611Y5Y 211 406 05 136 -51 .03 03 0 7 43 1Y 3Y5Y 7.9 155 05 97 .21 .0 .3 .01 02 15 glag 6M2Y3Y SO 158 QS 81 .2.5 .03 01 04 13 It. 3412Y/Y 190 189 05 00 -28 .03 01 03 14 t 61AZYTY 183 383 05 91 .25 -03 00 03 11 Ilm- 3912Y5Y 172 381 05 89 .26 -0.3 Q1 03 13 4 tYIY10Y 246 526 05 91 -19 -0 2 01 03. 11 6412Y5Y 17.0 364 05 91 .25 -0.3 00 03 12 Sane. NMI ISE Top 15 AUD Flattener% 311k 1 rid 1 I 3/A MY 419 7 I 457 rn 09 P.:m.461 6D Min 214b .14 .06 litdun 00 711/1 51n. 06 18 2 3M2Y5Y 068 841 08 90 .1 .2 .02 03 06 14 3 31.11Y5Y 938 1318 07 78 .1,3 431 05 07 14 4 6M2Y3Y 264 378 07 77 .1 .0 09 05 07 15 5 3/41•Ms 937 1473 06 77 -12 -01 04 06 13 6 3M ZYTY 037 109.0 06 92 -0.9 -0 2 02 04 1.0 7 3/A 2Y3Y 219 440 06 76 -0.9 02 04 06 1.3 8 6312Y5Y 434 797 05 92 -10 .01 03 04 09 9 iy IY3Y 373 713 05 82 -09'01 03 0 5 1 0 10 6M1Y5Y 833 1223 QS 78 -1.1 -01 04 05 1.0 11 3M •IY3Y 51.9 101 4 05 82 .1 .0 01 04 06 15 12 1Y MY 21.7 427 05 61 -0 9 0 2 04 06 11 13 3M3Y7Y 388 769 05 93 -08 . -0 4 00 0 3 . 1 0 14 ' 6M1Y3Y 083 928 05 73 4.0 01 04 0.5 1,2 IS 3M 1Y10Y 836 170 9 05 74 -11 .01 03 05 11 ',Lte. • fl at. an Irg 5 GBP Flattener:, Rink i° do 1y C.irry 1 3/A1YZY I 32 r-np Vol 184 R.,lio 02 Pctc61,114' 11.1 2515. 1.164P:o 04 1616 Mix 09 98 21 -0]: 02 2 MA 1YZY le 180 01 26 -09 01 03 05 14 3 1 3M1Y3Y 20 330 01 19 .08 :01 04 0.7 40 4 1 6M1Y3Y -02 273 00 23 -11 00 03 05 34 5 : 1Y 1Y2Y -04 147 00 30 .1.2' .01 02 04 25 0 i 37.12Y3Y -12 157 -01 51 -5.2 -05 -01 04 20 7 i 3M1Y5Y -54 502 -01 23 4.1 .01 03 00 34 8 1 1Y1Y3Y -18 225 -0 2 33 .1.2 .0.3 01 0.4 20 9 : 6M2Y3Y .21 124 -0 2 40 .39 : -0.5 -02 05 15 10 I WA 1Y5Y -85 422 -0 2 20 -1.3.-0.3 01 05 29 11 : 3/A1YTI .125 575 -0.2 23 .1.31-02 02 0.5 . 29 12 : 33A 2YSY 46 355 42 47 4.7 -0.6 4.2 0.3 18 13 ly 25Y30Y -12 47 -03 25 4.0 -0.3 -0.2 00 I 02 14 01.14-ae•MY -1.2 43 -0.3 17 4.6 1 -0.3 -02 00 1 02 15 lY 2Y3Y -32 118 -03 C .29 I -06 -0.2 04 11 %mere omega, trint Top 15 CAD Steepeners It I tyamny Mad Vot RC* Ykrommo Mm OM M se SA 1Y2Y 231 104 22 I 91 .128 45 -05 35 185 10120Y 126 128 1.0 I 81 .21 03 0.8 09 23 10Y20Y 127 13.1 1.0 I CO -10 03 0.6 09 17 gagaM10Y2'5Y 15.1 I 159 1.0 I 84 .17 03 0.6 109 21 10Y15Y 76 82 0,9 88 -37 0.2 0.5 108 31 10Y25Y 150 182 09 1 84 .08 0.3 06 108 15 1 1'110Yr/ 135 151 09 I 110 .05 01 08 I 08 15 10115Y 77 a6 0.9 89 .19 03 0.5 I. 0 7 18 6517320Y 147 167 09 ,I I 80 45 0.2 05 108 1.6 gig IY 1041SY 84 97 0.9 I 90 •1.0 03 OS 107 13 Sett IY7Y20Y 164 190 09 I 81 -0 2 02 05 108 17 AL CINCYZY 16.9 201 0.8 I 79 -04 0.2 0.5 108 1.5 Mr EM10Y30Y 185 200 08 I 88 .0 .7 0.3 05 I 07 1.2 C11101'30Y 166 201 08 I 85 .13 0.3 05 I 0 7 23 IT 10YZY 158 193 08 I DI .04 0.3 06 108 13 Awn Drum% • Bent ;Top 15 AIM ii..r.., Trio., Steepeners b :,..,r, I-6 V". Rahn Pcrcust /4:r 2516 14z0s.in Thttt NAIA illbriEMIMMErlarMICEICEIKINEEI1321 ilrEIEZETIMIENIIMMEMICHIWZIIIIIICEMEICEI 1111M 6M 77107 56 280 0.2 75 .02 0.1 0.1 I 02 0.7 iiiiM IY SY10Y Km 546 Inn at 01 0.2 I 02 05 liill.2MEZINIMINECEMCENZERnEllECIKTECI31351 [[3.š S'10Y 8.8 621 0.1 55 -0 2 01 01 02 05 iiirg 1 Y SOY 45 38.1 0.1 37 .01 0.1 0.1 02 04 luera 34 SY7Y 31 warm on=Erin nom in Ili! ' ,2- CE7Zil EMU:EN Can Ell OM mm CEI IN:,,2 1Y3Y10Y 84 104.2 01 11 -01 01 02 03 04 Lig I Y 3YTY 1.1 ETEKEN=MEEIECIEMEEICEI IrUllE21 .3 4 WEREINOIEEICCIEMEEIEEI liral:=INDENCIMMINSIMEEICCIEXECIIIII IlMnEiLlita 453 ICIIIIESEWMIEEIC3 0.0 I 02 0 nirf 54.13Y7Y .139 827 42 8 .04 .01 01 I 0 3 08 Sturm Deasintlant !Top 15 GBP Steepeners ink Biel C617Y20Y 147 r .IL Plecortik• 158 09 I 82 Men .04 76th 01 516:1gin Y66, 0.6 109 14,sy 32 III 2E1 MINIS, 112 110 0 9 I 82 -04 0.2 0.5 I09 Irnilinall 33 -' a15Y20Y 21 9 235 IICCIMICSIEZI 0.1 iiirEEZMICMCNEEIIIIMMEEICIEME:r1 EEI 17g s 5815YISY 185 21.0 0.9 I 76 gm 0.3 108 ED IIII,'.1 am 5y3oy 250 288 0 9 1 82 04 08 32 RI= - 'EciaimarMalannelICEICIMEIEEI Wird taatrailIZMEIEMEEROZZIEXIKIMMIEEI I.- =1:73MIESENII/ElnIEIIII/EINEDECII III, .!El 6M3Y30Y 333 396 0 8 71 -05 01 03 I 09 3.6 I r/ENNEIMEINnE31:11n103E161 Ill;:vii - `eikfraulEIMMIIEREEMOICIEWIEENICIEUI 148 tee ni es Hifi oe Toe te reaT,WW, 56 7 0 MUM GO 0.7 09 2.0 laz7L.11:agrAMILEMEEENCEEMMIEZIEEIEENEEIE:1 source Omacin tent Cerryis calculated lo. next 3 months end storm h ahem:tatted fan,. Volatility is calculated as In; roam/ lot CAD and extracted from swaptions prices for other commies Percentile statistics are calculated from a 10 mar history. Deutsche Bank Securities Inc. Page 35 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051336 CONFIDENTIAL PROT1 PROT0