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DOEBE1.319854601 EFTA01404517 Indicative Transaction Terms: Investor buys: 5slOs USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5slOs spread,- 0) Ref. 5slOs Forward: 55 bps Source for gra
0mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5slOs spread,- 0) Ref. 5slOs Forward: 55 bps Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email All trade execution
[email protected] Indicative Transaction Terms: Investor buys: 5slOs USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5slOs spread,- 0) Ref. 5slOs Forward: 55 bps EFTA01405182
bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5slOs spread,- 0) Ref. 5slOs Forward: 55 bps EFTA01405182 Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email All trade execution
Indicative Transaction Terms: Investor buys: 5s10s USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5s10s spread,0) Ref. 5s10s Forward: 55 bps Source for graph
100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5s10s spread,0) Ref. 5s10s Forward: 55 bps Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. All trade execution information contained
Hike 6/3/99 Hike 6;10/04 Hike Indicative Transaction Terms: Investor buys: Ssl0s USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5sl0s spread,0) Ref. 5s10s Forward: 55 bps 2010-2014 20 5
bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5sl0s spread,0) Ref. 5s10s Forward: 55 bps 2010-2014 20 5 Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel 1.20 1.00 0.80 0.40 0.20 0.00 -0.20 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-005128
Entities connected to both Notional and DB Markets Research US Fixed Income Weekly

Jeffrey Epstein
PERSON
Paul Morris
PERSONVahe Stepanian
PERSON
Richard Kahn
PERSONDeutsche Bank Securities Inc.
ORGANIZATION
Bloomberg L.P.
ORGANIZATION
Martha Stewart
PERSON
Ariane de Rothschild
PERSON
Stewart Oldfield
PERSONTodd Stevens
PERSON5y5y USD
LOCATION