EFTA01385970.pdf

27 March 2015 US Fixed Income Weekly DGX and DVX across different market regimes Term structure of 2Y vol 220 ... ''' cia ....x... 3- T1---TTr 160 s 26-Ma r-15 — lin • 26.1vb r-13 200 -wX rlphq 1 • 1 1 140 26- Pvta r-10 180 t -t- 160 ._ .... _ .... 120 140 1 • •• • i 120 - - 100 . •_.• 1 I I I 80 --(---4- ' - - lti 60 I ft I I I. 40 40 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 Sane Deunene ant Saco twestioeilent 1 l Ratios of 2Y to 10Y tenors (quartiles, 5-year history) ETerm structure of 10Y vol 125 s 26-Mar-15 1.4 2Y Tenors/1(N Tenors • Mean • Last n 26-Mar-13 115 26-Ma r-10 105 95 ye. ••• 41. 85 75 0.4 65 0.2 55 1m 3rn 6m 1y 2y 5y 7y 10y 5 0 10 15 20 San band* 84•nk San* Dandy. &rest Ratios of 30Y to I 0Y tenors (quartiles, 5-year history) Term structure of 30Y vol 100 s 26-Ma r-15 2.4 30Y Tenors/10Y Tenors Winn 0Last •• A 26-Ma r-13 r. 22 26-Mar-10 2 ▪ nIK 1.8 1.6 14 70 1.2 1 60 0.8 S 0.8 1m 3m 6m lY 2Y 5Y 7Y 101 0 5 10 15 20 Swot Dandy. and ScA,:o Artniche &DM Deutsche Bank Securities Inc. Page 67 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087438 CONFIDENTIAL SDNY_GM_00233822 EFTA01385970