EFTA Document EFTA01457214

27 March 2015 US Fixed Income Weekly DGX and DVX across different market regimes 220 200 180 160 140 120 100 80 60 40 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 Sane Deunene ant ... ''' cia 1- 1- T -t 1 - r - r • 1 1 1 t -ti - 1 1 I l i -t---4- ' - - til i ft i I 15 160 140 120 40 Saco twestioeilent Ratios of 2Y to 10Y tenors (quartiles, 5-year history) 1.4 2Y Tenors/1(N Tenors • Mean • Last 111 • 11 0.8 T 0.4 0.2 1m San band* 84•nk 3rn 6m 1y 2y 5y 7y 10y Ratios of 30Y to I 0Y tenors (quartiles, 5-year history) 2.4 30Y 7*nm/10Y Tenors Winn 0 Last 22 2 1.8 1.6 14 1.2 1 S 0.8 0.8 1m 3m Swot Dandy. and 6m Deutsche Bank Securities Inc. lY 2Y SY 7Y 101 Term structure of 2Y vol s 26-Ma r-15 - •• • 26.1vb r-13 - 26- Nta r-10 1 El Term structure of 10Y vol 125 115 105 95 ••• 41. 85 75 65 55 5 10 15 0 San* Dandy. &rest s 26-Mar-15 n 26-Mar-13 26-Ma r-1 0 20 Term structure of 30Y vol 100 r. 0 5 10 15 70 60 ScA,:o Artniche &DM s 26-Ma r-15 •• a 26-Ma r-13 26-Mar-10 48K 20 CONFIDENTIAL - PURSUANT TO FED. R CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0116661 PROT1 PROT0