Fed SOMA Holdings Analytics for Treasury securities in SOMA

Deutsche Bank FED SOMA Holdings Summary 18-09-26 US Interest Rate Strategy Prices as of 17-Sep-26 Steven Zeng, ,

Last Fed Outstanding Total Fed Fed % Of Spread to 3 Months Eligible Amount Last Fed Purchase Amt. Amount Holdings Total Outst. Spline T-Stat in Next Fed Pass Cusip Coupon Maturity Purchase/Sale ($B) ($B) ($B) (%) (bps) StoS ($B) BPV 912828YG9 1.625% 30-Sep-26 20-Dec- % CCZ2 0.875% 30-Sep-26 15-Feb- % CLP4 3.500% 30-Sep- % CJC6 4.625% 15-Oct- % YQ7 1.625% 31-Oct-26 23-Jun- % CDG3 1.125% 31-Oct-26 15-Feb- % CLS8 4.125% 31-Oct- % - EY0 6.500% 15-Nov-26 4-Nov- % U24 2.000% 15-Nov-26 23-Aug- % CJK8 4.625% 15-Nov- % YU8 1.625% 30-Nov-26 19-Aug- % - CDK4 1.250% 30-Nov-26 19-Jan- % - CLY5 4.250% 30-Nov- % CJP7 4.375% 15-Dec- % - YX2 1.750% 31-Dec-26 10-Aug- % - CDQ1 1.250% 31-Dec- % CME8 4.250% 31-Dec- % CJT9 4.000% 15-Jan- % - Z78 1.500% 31-Jan-27 19-Aug- % - CMH1 4.125% 31-Jan- % - EZ7 6.625% 15-Feb-27 21-Jul- % - V98 2.250% 15-Feb-27 20-Dec- % - CKA8 4.125% 15-Feb- % - ZB9 1.125% 28-Feb-27 23-Jul- % - CEC1 1.875% 28-Feb-27 13-Nov- % - CMP3 4.125% 28-Feb- % - CKE0 4.250% 15-Mar- % - ZE3 0.625% 31-Mar-27 22-Oct- % - CEF4 2.500% 31-Mar- % - CMV0 3.875% 31-Mar- % CKJ9 4.500% 15-Apr- % - ZN3 0.500% 30-Apr-27 24-Sep- % CEN7 2.750% 30-Apr- % CMY4 3.750% 30-Apr- % X88 2.375% 15-May-27 1-Dec- % - CKR1 4.500% 15-May- % - ZS2 0.500% 31-May-27 15-Feb- % - CET4 2.625% 31-May- % - CNE7 3.875% 31-May- % - CKV2 4.625% 15-Jun- % - ZV5 0.500% 30-Jun-27 15-Feb- % CEW7 3.250% 30-Jun- % CNL1 3.750% 30-Jun- % CKZ3 4.375% 15-Jul- % CAD3 0.375% 31-Jul-27 19-May- % CFB2 2.750% 31-Jul- %

Deutsche Bank FED SOMA Holdings Summary 18-09-26 US Interest Rate Strategy Prices as of 17-Sep-26 Steven Zeng, ,

Last Fed Outstanding Total Fed Fed % Of Spread to 3 Months Eligible Amount Last Fed Purchase Amt. Amount Holdings Total Outst. Spline T-Stat in Next Fed Pass Cusip Coupon Maturity Purchase/Sale ($B) ($B) ($B) (%) (bps) StoS ($B) BPV 91282CNP2 3.875% 31-Jul- % FA1 6.375% 15-Aug-27 11-Jan- % - R0 2.250% 15-Aug-27 19-Jan- % CLG4 3.750% 15-Aug- % CAH4 0.500% 31-Aug-27 20-Dec- % CFH9 3.125% 31-Aug- % CNV9 3.625% 31-Aug- % CLL3 3.375% 15-Sep- % - CAL5 0.375% 30-Sep-27 23-Aug- % - CFM8 4.125% 30-Sep- % - CPB1 3.500% 30-Sep- % - CLQ2 3.875% 15-Oct- % - CAU5 0.500% 31-Oct-27 20-Dec- % CFU0 4.125% 31-Oct- % - CPE5 3.500% 31-Oct- % FB9 6.125% 15-Nov-27 22-Oct- % - F5 2.250% 15-Nov-27 15-Feb- % CLX7 4.125% 15-Nov- % CAY7 0.625% 30-Nov-27 19-Jan- % CFZ9 3.875% 30-Nov- % CPL9 3.375% 30-Nov- % CMB4 4.000% 15-Dec- % CBB6 0.625% 31-Dec-27 15-Feb- % CGC9 3.875% 31-Dec- % CPS4 3.375% 31-Dec- % CMF5 4.250% 15-Jan- % - CBJ9 0.750% 31-Jan-28 15-Feb- % CGH8 3.500% 31-Jan- % W8 2.750% 15-Feb-28 22-Oct- % CMN8 4.250% 15-Feb- % CBP5 1.125% 29-Feb-28 8-Mar- % CGP0 4.000% 29-Feb- % CQB0 3.375% 29-Feb- % CMS7 3.875% 15-Mar- % CBS9 1.250% 31-Mar-28 27-Aug- % CGT2 3.625% 31-Mar- % CQH7 3.875% 31-Mar- % CMW8 3.750% 15-Apr- % CBZ3 1.250% 30-Apr-28 20-Dec- % CHA2 3.500% 30-Apr- % CQL8 3.750% 30-Apr- % N7 2.875% 15-May-28 20-Dec- % CND9 3.750% 15-May- % CCE9 1.250% 31-May- % CHE4 3.625% 31-May- % CQS3 4.000% 31-May- % CNH0 3.875% 15-Jun- % CCH2 1.250% 30-Jun-28 19-Jan- % CHK0 4.000% 30-Jun- % CQY0** 4.125% 30-Jun- % 1.7 17.4 1.68 #