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page 2 / 573 . OCR, unverified
101
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Term structure of 2Y vol
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Page 67
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL
DB-SDNY-0087438
SDNY_GM_00233822
EFTA01385970
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METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385971.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
3M carry across different expiries (ATMF receivers)
—le— ly —6-2Y
Tenor
Sono &umbrae*
IUS surprise index: 10V Treasury yield
OS
so
IS
.sumrist
SO
9.9409r1rusurylls
/
3/1 •
110,14 WT
libt.04 Mact? YAM
•
litor-0) il•••16 atoll Win tibutt ifel4 Writ
SOW* DROCheliali
'Combined put/call ratio in Treasury futures
2.25
2.00
1.75
1.50
1.25
1.00
0.75
0.50
•
0.25
2/1/07
2/1/09
2/1/11
2/1/13
Son Omar tont ow an &ow
2/1/15
Breakdown of 3M carry for 6M expiries
premium)
80%
60%
40%
20%
0%
-20%
.40%
6m1y 6n2y 6n6y 6nVy 6ralOy 6m15y 6M20y 6rn30y
Iowa AMMO, Swat
Trade weighted dollar surprise index
1:r
Yo
'0
so
so
S
ova
=
Theta
—o— Total
•
SO
14.4414 Ilo•
144. .? Kir C. Mot •
W.1 W.11 •••• Li r4.1. My 14 .4..
San 0•109/*-
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087439
CONFIDENTIAL
SDNY_GM_00233823
EFTA01385971
--- SOURCE: IMAGES__0054__EFTA01385972.txt ---
METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385972.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
HS Treasury Coupon Auction Calendar
TidadCoupon/Mettelty
Date
Tep/New Issue
Size
IUS Economics & Events Calendar
Event
DB Forecast
Mon. Mar 301015
Personal Income
Income
+0.4%
Consume.
+0.2%
COW PCE
+0.1%
Pending Home Sake Index
+1.0%
Fed Vice Chair Fisher
gives keynote address at Atlanta FRB conference
Tue. Mee 31 2015
Chicago PMi
Consumer Confidence
Wed, Apr 01 2015
ADP Employment Report
ISM Index
Construction Spending
Unit motor vehicle sales
Cars
Trucks
Total
Thu, Apr 02 2015
International Trade Balance
Factory Orders
Yr Note Announcement
Yr Note announcement
Yr Bond Announcement
Fed Chair Yellen
Employment
Fit Apr 03 2016
60.0
95.0
+215k
62.7
+0.7
6.6M
11.2M
16.6.4
441.08
+0.0%
S24B
$218
5138
gives opening rernalks al Fed conference on
economic mobility
Payrolls
+225k
Private
+215k
UnRate
6.5%
lirN Erngs
+0.2
Workwk
34.6hrs
Deutsche Bank Securities Inc.
Page 69
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087440
CONFIDENTIAL
SDNY_GM_00233824
EFTA01385972
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METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385973.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
(European Economics & Events Calendar
Data
Economic Roles
Mar 30 Spain: CPI EU Harmonized YoY
Portugal: Industrial Production YoY
Germany: CPI YoY
France: PPI YoY
Italy: Business Confidence
Eurozone: Consumer Confidence
Mar 31
Political Events
Bond Rodamption/Supply
Italy to Sell Up to EUR2 Bin 1.06% 2019 Bonds
Italy to Sell Up to EUR2.5 Bin 1.5% 2025 Bonds
Italy to Sell Up to EUR3 Bin 2022 Bonds
Spain: Retail Sake YoY
Germany: Unemployment Rate
Italy: CPI EU Harmonized YoY
Greece: Retail Sales YoY
Eurozone: CPI Estimate YoY
Apr 01
Spain: Markit Spain Manufacturing PMI
Germany: MarkitiBME Germany Manufacturing PMI
France: Markit France Manufactunng PMI
Ireland: Unemployment Rate
Italy: Market/ADAC' Italy Manufacturing PMI
Greece: Markit Greece Manufacturing PMI
Eurozone: Markit Eurozone Manufacturing PMI
Apr 02
France to Sell Bonds
Apr 03
Ireland: Investec Composite PMI Ireland
Germany to Sell EUR4 Bln 0% 2020 Bonds
IDE00011417111
Page 60
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087441
CONFIDENTIAL
SDNY_GM_00233625
EFTA01385973
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METADATA_SOURCE: IMAGES0054
METADATA_FILENAME: EFTA01385974.pdf
----------------------------------------
March 2015
US Fixed Income Weekly
[Tote&excess return forecasts in HY. IG. leveraged loans
HY
IG
Syr Trsy
10yrTrsy
Loans
2yr Trsy
Spreads/Yields
Spreads/Yields
Current
476
129
147
201
Current
515
Target
510
130
195
250
Target
500
155
Change
Predicted Change
-15
100
Rate Duration
1.0
Duration
4,6
6.5
4.8
8.5
Spread Duration
2.7
Change in Yield
Avg Par Coupon
440
Change in Price
-377
-319
-230
-417
Libor/Tsy Change
100
Current Yield
737
421
Total Change in Yield
Current Price
100.4
103.2
Repricings
-50
Default Rate
3.5
0.0
Capital Gain
-110
Recovery
Credit Loss
-211