EFTA Document EFTA01373771

US Municipals Are an Appealing and Unique Asset Class Historical Outperformance in Rising Rate Environment Taxable vs. Tax-exempt Yields Higher Rates Cause Spread Widening111 Historically, as rates increase, the value of the tax-exemption to investors increases, bringing more buyers into the tax-exempt market This increased demand for tax-exempt bonds as rates rise tends to drive spreads between taxable and tax-exempt rates higher as rates increase This means that municipal bonds often outperform other taxable fixed income investments in a sell-off • Regression on positive monthly change in 30y UST rates since 1995 shows that 30yr MMD historically tends to move at about 67.5% of 30yr UST yield movements Positive MoM Change in 30y UST vs. MMDP) MoM change in 30y MMD 0.8% 0.6% 0.4% • 0.2% O 0.0% 0. -0.2% -0.4% • Regression: AMMD = 67.5% • AUST et O O 1:1 movement O O Historical O Regression OO 0.2% 0.4% 0.6% O MoM change in 30y UST I 30y UST — MMD Spread 0.5% 0.0% /3 -0.5% -1.0% -1.5% -2.0% etle. de. o 2.0% 3.0% 4.0% 50% 6.0% 70% 8.0% 30y UST Yields Historical Statistics using UST Sell-off Months(2) Months of UST Sell-off Used 108 Total Months 260 30v UST Average 0.184% Standard Deviation 0.124% 95% Highest 0.373% 5% Lowest 0.017% 30v MMD Average 0.109% Standard Deviation 0.144% 95% Highest 0.390% 5% Lowest -0.047% Deutsche Bank (1) MMD data from TM3, UST data from Bloomberg,. chart uses data front 1/3/1995 to 8/30/2016: past performance, simulated or actual, is not a reliable incicator of 7 Muse results (2) Date uses only positive month to month movements in 30y UST yields calculated on the first business day of each month from 1/3/1995 to 8/30/2016: does not include crisis data from 6/1/2008 to 6r1/2009 Confidential CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0068127 CONFIDENTIAL SDNY_GM_00214311 EFTA01373771