EFTA Document EFTA01362041

4 September 2015 US Fixed Income Weekly DGX and DVX across different market regimes 220 200 180 160 140 120 100 80 60 40 - OM DV% right) ---iT I i I I 1 I I - . I [repeated 4 times] . I l : I I----r --- I [repeated 4 times] • I . III I [repeated 3 times] T • i I I . ■ 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 Sown Donal* Mak Ratios of 2Y to 10Y tenors (quartiles, 5-year history) 1.4 2Y Tenors/10Y Tenors • Moan 0 Last 160 140 120 100 80 60 40 12 1 0.8 0.8 0.4 0.2 !Term structure of 2Y vol 130 20 e l"1/4 4 110 100 90 80 70 60 50 40 0 5 10 15 'lean structure; of 10 140 130 120 110 100 90 80 70 60 "g ea *w est 3-Sep-15 -5-Sep-13 3-Sep-10 20 S 3-Sep-15 1F.5-Sep-13 3-Sep-10 a sea' """ 1m 3m Sm ly 2Y SY 7Y lOy 5 10 San Ono at Sent 501~ oaltIChlt an — Ratios of 30Y to 10? tenors (quartiles. 5-year history) !Term structure of SOY vol 15 20 2.4 30Y7enors/10Y Tenors 130 Wenn °Lest 3-Sep-15 Ia..5-Sep-13 2.2 120 easeleie3-Sep-10 2 . [repeated 5 times] . [repeated 6 times] 110 1.8 100 1.8 90 1A 80 1.2 1 S 70 60 08 50 06 1m 3m 6m 1y 2y 5y 7y 10y Sat, O...4..5, 4, eani Deutsche Bank Securities Inc. sue, Dela/m.8,A Page 37 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00197522 DB-SDNY-0051338 EFTA01362041