27 March 2015
27 March 2015
US Fixed Income Weekly
Top 15 USD Han
Rirl, -- At !Air PAttestA14 Mm r. Itt 1404/An 744h Kit
E 11 3911Y2Y 66 231 03 26 1 .29 1 02 07 11 42
2 3911Y3Y .08 398 00 18 1 -19 1 02 05 09 39
1 3 8%11Y2Y -0.5 208 00 IA 1 -28 1 03 08 11 45
4 31M1Y5Y -10.8 524 472 20 -17 -0.1 04 08 42
1 3 OM 1Y3Y -08 327 -03 12 .20 1 0 1 05 09 4 0
• 3M1Y7Y -182 576 .03 21 -18 ' -02 02 06 43
1 7 311 1Y10Y .246 619 -04 21 .19 .03 01 04 42
€ • 1M 2Y3Y
lY 1Y2Y -72 177 .4 19 -19 , .03 03
06 08 30
Y -08 158 -04 9 -17102 10 46
10 lY 201125Y .20 5.0 .04 57 1 -15 1 47 .05 .02 0.4
111 391201125Y -17 42 -04 50 1.25 I-07 -04 .01 17
12 89120Y25Y -20 49 -04 56 1 .16 1 -07 .05 -01 07
13
Sr 38110Y12Y
1Y15Y25Y .2 .2 5.0 44 62 48 1 48 .08 Al 19
.58 118 .05 57 -161.07 -00 .02 04
15 1Y 23130Y 18 7.5 45 53 1 -113 1 47 -05 .02 03
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Top IS EUR Flatteners
OS 4 1y Cony Imp WI $9444 Pnrcveltno Mm 3•98 Mod1111 nth Ma
1 Be 23Y 313 81 05 65 -17 -03 02 07 24
1Y 2Y3Y 31 71 04 70 .12 .03 02 05 15
3 311211Y 42 98 04 82 I -20 -03 02 07 37
4 MA 2Y SY 77 195 04 86 1 .1 8 -04 01 06 30
5 OM MY 70 187 04 87 1 .15 .03 01 05 18
6 1Y MY 56 174 03 68 1 -11 -04 01 04 13
7 3M 3Y5Y 35 114 03 68 I .13 -04 00 04 1.4
8 0 \I TYSY 32 112 03 68 1 .12 , -03 00 04 12
0 3M2Y7Y 85 301 03 46 { -18 .1 44 01 05 29
10 CM 2Y7Y 7 7 295 03 46 -141.04 0 1 04 16
II 311 WV 121 51.1 02 56 -26 1 -05 02 07 39
12 1Y 3115Y 25 11.1 02 71 -101-04 00 03 10
13 131 1Y7Y 129 57.7 02 57 .26 1 .05 01 08 40
14 1Y 2Y7Y 58 298 02 88 (4» 1 44 0.1 03 11
15 813Y7Y 43 221 02 87 i -14 -04 00 03 14
De..tscAt Bant
Top 1:5
Rank
1
2 Trade
IT 2Y3Y lyCany
20 Imp Voi
50 Rollo
OA F4AtetAl Mm 2IRn
42 .1 4 1 01 MMwi, r5tn
05 06 Max
10
1Y 2Y5Y 46 123 04 41 .16 1 01 OS 06 12
3 %I 3Y51 30 84 Q4 41 .15 I Q1 04 06 18
4 8M 2351 49 138 04 36 .18 1 01 05 07 16
5 113Y5Y 28 83 03 41 .1 4 1 00 04 _ 06 1 2
8 3143YSY 31 9.5 03 38 1 .15 1 00 04 06 30
7 1Y TOY 61 197 03 39 .16 1 01 04 06 11
8 6M2111* 19 6.0 Q3 32 -17 1 02 OS 07 17
9 GRIMY 64 216 09 34 1 18 1 0 1 04 06 15
10 6411Y5Y 59 202 03 27 -20103 06 07 19
11 IY1Y5Y 61 212 09 25 1 -18 1 03 05 07 14
12
: ti 147/5Y
8111Y1Y 46
111-166
17203
03 32
26 -ILI 01
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0.5 X07 24
18
1 34 lY 2Y-10Y 73 269 03 47 -16 1 00 03 OS 10
01113Y7Y 45 167 03 38 -17 1 00 04 ; 06 16
Sant Oesse ant Top 15 USD Steepeners
r24 1 Mn 213: res4r,-..... 44
1 31.425Y30Y 23 1.0 86 -32 02 05 06 45
2 1242Y20Y 494 605 08 79 -20 00 03 07 18
6812Y17I 533 854 08 78 49 00 03 0.7 18
EIM2Y15Y 457 563 08 81 .21 .0.1 02 07 17
Iffir::917 25Y 51.4 838 08 79 -1.9 00 03 0.7 19
4 1Y2Y5Y 245 306 0.8 81 .15 -05 -01 06 13
7 11062Y10Y 388 486 08 85 .24 -02 01 06 15
8 8M 2Y12Y 411 524 08 81 -2.3 -02 01 07 1.8
9 5M2Y7Y 31.3 395 06 88 .2.8 -04 00 05 1.5
10 1Y 1Y10Y 474 50.9 08 88 -1.9 -03 00 05 14
11 lY 1Y7Y 40.1 509 0.6 87 -22 -05 -02 04 14
12 1Y WY 332 423 08 78 -1.3 -03 01 07 13
13 lY 3Y5Y 145 185 as 79 -09 -0.3 01 07 14
ti 3M12Y15Y 43 5.5 08 65 12 02 05 09 19
18 1Y 2Y20Y 506 881 08 70 49 00 04 0.9 1.5
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Top 15 EUR Steepeners
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tar Ditrri
32 imp Vo
136 atto
02 PoromMie
15 Min
00 250
03 kteckaD
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arliEGIE INEENNEEENCIERIMMICCIIIEEINCINIIIIIII
rrni Miff 32 149 02 21 -02 02 05 08 11
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DD, A 1Y TYSON' 90 434 02 25 -02 02 05 07 10
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Top lc.) JP') StCernrief: ,;
Rank Trait
guilir4R
IMEM 1 imu ly Carly
23
23 Imp Da
112
120 P io
02
02 Percent
1
4 Mtn
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.13 25th Mellon
05 07
05 07 nth
09
09 Max
16
18
E1 '41 21 119 02 6 38 04 07 09 24
TRIM1.3 232 0.1 0 -03 03 07 Lam
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54 948 01 Mi:IM 45 01 03 08 17
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a 1CIIICIIIICINCEIW
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MENIMIENICIalICEILINICEICUIECII 258 00 4 •12 03 06 08 27
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ars 129.7
Nan 0.0
KIEMMEMICEIKENEEINEI 2 -09 01 03 0.8 24
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11172“ PAW. A 31 1102 00 1 -24 00 01 07 21
Sorter Ostereeelent
Carry is calculated for non 3 months and shown in annualized form.
Volatility is calculated as lm realized for CAD end extracted from sweptions prices for other currencies
Percentile statistics are calculated from a 70 year history.
1 'us,: 11 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116658
CONFIDENTIAL SDNY_GM_00262842
EFTA01457211