27 March 2015
27 March 2015
US Fixed Income Weekly
SY swap spread seasonals (Change since Jan-1)
8
-4 .....~2005-2014 1%7-2014 awe 2015
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Sent Dann an
IS&P Index seasonals (Change since Dec-31)
8%
6%
4%
2%
0%
-2%
.4% 000.002005-2014 1997-2010 •.2015
Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
kin* Data* lent
SY10Y Implied vol seasonals (Change since Dec-31)
---1997 2014 2015
-2
-6
J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Secon Dane beast 2Y swap spread seasonals (Change since Jan-1)
8
6
4
2
0
-2
-4
-6
J n Feb Mar Apr May Jun Jul Aug Sep Oct NOV Dec -rm.-2005-2014 —1997-M4as2015
San andat
31)/110Y Implied vol seasonals (Change since Dec-31)
26
20
16
10
6
0
•5
-10
-15
-20 —. 2005-2014 .••••••••••.1997 2014
Jul Aug Sep Oct Nov Dec J n Feb Mar Apr May Jun
Srea Dandaieet 2015
Page 52 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087433 CONFIDENTIAL SDNY_GM_00233617
EFTA01385965