4 September 2015
4 September 2015
US Fixed Income Weekly
51/ swap spread seasonals (Change since Jan-1)
B
6
2
0
-2
-4 1997 2014 .5~ 2015
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Seen Dane* ant
S&P Index seasonals (Change since Dec-31)
6%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
-10% 2005-2014 1997 2014 016
J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
San Oran* On
5Y10Y Implied vol seasonals (Change since Dec-31)
7
a
3
1
-1
-3
-5
-7
J n Feb Mar Aix May Jun .......2005-2014 -1997 2014 2015
Jul Aug Sep Oct Nov Dec
Swat Deem an2Y swap spread seasonals (Change since Jan-11
2005-2014 —1997 2014 _2015
0
2
-10
-12
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
~ea ~in Brt
I3MIOY Implied vol seasonals (Change since Dec-31)
25 —2005-2014 —19972014 2015
20
15
10
5
0
-5
-10
-15
-20
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Sara@ dumb an
Page 32 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051333
CONFIDENTIAL SDNY_GM_00197517
EFTA01362036