EPSTEIN
page 1 / 573 . OCR, unverified
Dataset10 054
--- SOURCE: IMAGES__0054__EFTA01385969.txt ---
METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385969.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
CHF Flatteners
Rink
Trude
lyCilty imp Vol Rub
Percent
Min 2S1,
kis 754h Msrs
1273Y
a4 .02
OS 17
3I7Y3Y
-17
-02
16
319 .7,157
116
0.7
-1.1
-03
37
1Y 273Y
0.5
l .013
-0.2
0.5 12
310 3757
7.0
0.4
-0.8
-0.3
23
(I
8852757
129
-09 -03
14
342777
170
0.3
I -12 -0 4
20
17215Y
1713
0.1
-08
-0,4
0.5 11
01:ny
215
I .10 .04
14
OM 3Y5Y
8.9
-0.7
-0.3
15
3M 27107
255
0,0
.12 .0 .5
0.3 18
: 12
3M 3777
142
0.0
-10 -0.3
5 26
r 19
1Y 2Y7Y
-22
256
-01
-09 -0.5
10
14
1Y 375Y
.17
119
-01
.10 .04
12
15
BA127107
-37
293
-01
i -I.1 -06
1 1
Sam DICIIICAO Borst
J
Top 15 SEK Flatteners
Bleak
trade
ty Carly 94p. 951
Percent
Lim 29th M.:awn 79trt Star
1, 1 171737
1451
I ma
.1.1
95
37710Y
480 I 208
100
-38 .18 .12
-06 24
I 1
171757!. 1855 I
938
-43 -1.3
7.8
1Y Mt
202.3
1103
-42 -1.6
68
I 5
ir 1Y10Y
215.6
1188
1.8
4.5 -1.8
6.3
i 6
5M 77107
184
128
1.4
100
-43 -1.9
-13
-16 16
' 7
3115710Y
832
812
1,4
100
.31 .21 .1.1
-0.3
1,4
8
1777107
134
I
Il 0
1.2
100
-46 -18
-12
.0.4
1.3
9
1757107 .
301
312
100
-42 -18
-10
10
ISY7Y :
37.1
425
100
-31 .18 .08
1.0
17577Y
117
I
214
-35 -15
-06
10
13M571071 342
I
44.5
100
4.0 .21
-1.1
-0.3 0.8
17371071 69.5
I 1075
-4.7
.1.8
-05
2.0
1Y 3Y7Y 1
562 1 952
oe
4.5 .1.5
-02
1.2
3757 1
394
781
-41 -1.1
1,7
9.2
Sarre °lurch. EWA
Spread of Swap Spreads Trades
Trade
2Y3Y
Current
-1.92
Curter°
-30
Prim:In:de
II
Min
4.9
-2.0
259t
ian
-1.2
791i
-0.5
2Y5Y
-1.78
-10.2
-11.7
-6.9
-3.9
0.3
2Y7Y
-2.25
-18.8
-18.5
-11.8
4.1
1.3
2Y10Y
-2.72
-14.6
-15.9
-8.1
-3.2
-OA
2Y30Y
-3.02
-39.2
41.4
-23.8
-19.4
-14.8
3Y5Y
0.14
-7.2
-8.2
-5.0
-2.6
0.8
3Y7Y
4.33
-13.8
-15.3
-10.0
-4.5
2.0
3Y10Y
-0.80
-11.6
-12.7
4.2
-1.9
0.3
3Y30Y
-1.10
38.2
-38.2
-22.3
-18.3
-13.8
5Y7Y
-048
-66
-7.7
-4.4
-2.0
0.7
57107
-0.94
4.5
-62
4.1
as
to
5130Y
-1.24
-28.0
31.0
-20.3
-16.2
-11.2
7Y10Y
-0.47
2.1
-7.5
-1.4
2.2
3.8
7Y30Y
-0.77
-22.4
-338
-18.7
-12.4
-92
10Y30Y
-0.30
-24.5
30.7
-20.2
-14.8
-12.7
Murat Dane* Bent
Page 56
;Top 15 CHF Steepeners
I ..,.2
ty r .ce),
17771071
50: 3M7Y1Of 1
4.3
-: .....
913
i...t
Pe/tent
•
Mfn
00.
--05
.13fn
liedi:ai
0.6
7:91.
n" 6= 17571071 19 MEM
-01 0.2
0.8
1,3
L_En=nrErrin
-09 01
0.4
1.5
""1 'D 173710Y' 108
28.9
-06
OD
0.3
1.1
zairliSSEENZIAMMICEIIIIKIMECIIII
.IEWE 6M5Y7Y
fl
it.
MI
-0 1
'11 6MT710I1
164
.10 04
8
1 4
MEM eMSTICTF
7.7
MallICEIIIIIIMIIII021
.02
II
um. t-2. 17377Y 1.
9
0
KM 3M5Y7Y 1
0
•
ES
13
=1=1WISEMZEMMEEMEMICEICIMMIEEI
lawEIZEZEMEEMICIEWEIMMICEICEICEMECISEI
HILL
E:liatEillflISLI
iiii: fil em3Y7Y 1
182
-14
-0 2 tin
II
-0 4
0.0
0 9
.hoar Cleurerie Bent
Top 15 SEK Steepeners
Rink hide IyOurry Imp 401 Rstso
Pcreint
min 25th Mtd,,n 7.-4n m...
' 1111111
3M1Y5Y
nea
9549
-08 23 . 51
9.1 146
31.11YTY
559 3
931 4
7
-05 24
8.8 149
...-
3M 17107
8422
9251
-03 20
150
3M1'M
75213
11057
-15 21
211
814 1737
2483
5553
.10
. —
—
151.11757
2306
4634
-05
1.7
89
5M 177Y
214.9
4835
0.4
-05 11
1.7
88
em 17107
1985
4887
-O4
1.9
83
3M3Y5Y
-274
2425
-01
-26 -06 . 02
32
mover
.177
1527
-01
-29
-0 7
28
6853777
-335
1841
-02
-24 -04
35
310377Y
-04.5
2825
-0.2
-21 -0.4
1.7
&A 37107
.518
194.9
-0.3
-1.9
-0.2
1.9 39
3937107 -1108
300.3
-04
.1.5
-0.1
2.0 34
881577Y
.1513
331
-0.5
-10 00
1.7
.9.,:e Oats:ma8r:
fatties as of Mar
Tenor
Repo
15.00
Spot Swap Spread
23.5
1M Fwd. Swap Spread
26.2
16.00
20.5
21.3
7.50
13.3
14.2
9.50
6.7
7.2
2.50
8.8
8.8
11.50
-15.7
-16.0
sets Deasy dint
I
Deutsche Bank Securities Inc.
CONFIDENTIAL
- PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087437
CONFIDENTIAL
SDNY_GM_00233821
EFTA01385969
--- SOURCE: IMAGES__0054__EFTA01385970.txt ---
METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385970.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
DGX and DVX across different market regimes
220
200
180
160
140
120
100
01 02 03 04 05 06 07 08 09 10 11 12 13 14
Sane Deunene ant
... ''' cia
....x...
rlphq
3- T1---TTr
• 1 1
-wX
. _
t
-t-
.... _
•
....
• •
•
i -
- .
I
I
I
--(---4- '
-
•_.•
-
til
I
ft
I
I
.I
160
140
120
Saco twestioeilent
Ratios of 2Y to 10Y tenors (quartiles, 5-year history)
1.4
2Y Tenors/1(N Tenors
• Mean • Last
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
1.8
1.6
1.2
0.8
0.8
30Y Tenors/10Y Tenors
Winn 0 Last
1m
3m
6m
lY
2Y
5Y
7Y