4 September 2015
4 September 2015
US Fixed Income Weekly
3M ca ry across different expiries (ATMF receivers)
8
—•—ern —111-1y —a-2y
6
4
2
CO
.6 --Tenor
SixneDatithe art
US surprise Index: WY Treasury yield
110
ice
90
80
70
60
50
40 •••••••suresnse
—10yr Treasury Rate
30
Aut•04 AutOG Aut-08 kir10 Aut12 Purl.
San Deunalwaint !Breakdown of 3M carry for €41 expiries (°o premium)
80%
60%
40%
20%
0%
-20%
-40%
6m1y arr2y 6rroy 6m7y 6m10y 6m15y 641120y 6w:30y
San Donn* eat
,Trade weighted dollar in prise index
5.5 110
5 100
4.5 90
CO
• 3.5
1.5
1
'Combined put/call ratio in Treasury futures
2.25
2.00 1 ratio Average
1.75
130
1.25
1.00
0.75 •
030
0.25
9/1/07
Sane Dembels Sr* int Chit ata'9/1/09 9/1/11 9/1/13 9/1/15 Vol
Curve
=--- Theta
—o— Total
100
95
90
as
70 75
60 70
—surprise r • 65
50
60
40 —Deutsche Bank USD
nark weighted index 55f
30 50
Aug45 Aug-04 AupOtt Aug-10 Aug-32 Jut-14
Sow* Orvesen• en
Page 38 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051339
CONFIDENTIAL SDNY_GM_00197523
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