EFTA01385969.pdf

27 March 2015 US Fixed Income Weekly 15 CHF Flatteners ;Top 15 CHF Steepeners Rink Trude lyCilty imp Vol Rub Percent Min 2S1, kis 754h Msrs I ..,.2 ty r .ce), -: ..... i...t Pe/tent Mfn .13fn liedi:ai 7:91. 1 0\1273Y 40 47 09 92 a4 .02 02 OS 17 17771071 50 913 • 97 00. 04 0.6 09 16 2 3I7Y3Y 48 57 08 97 -17 -0 2 02 04 16 50: 3M7Y1Of 1 4.3 99 --05 01 04 07 16 3 319 .7,157 77 116 0.7 79 -1.1 -03 03 08 37 n" 6= 17571071 19 MEM 04 39 -01 0.2 0.8 08 1,3 4 1Y 273Y 34 62 0.5 79 l .013 -0.2 02 0.5 12 L_En=nrErrin -09 01 0.4 08 1.5 5 310 3757 28 7.0 0.4 56 1 -0.8 -0.3 02 08 23 ""1 'D 173710Y' 108 28.9 04 55 -06 OD 0.3 07 1.1 (I 8852757 44 129 09 53 1 -09 -0 3 02 08 14 zairliSSEENZIAMMICEIIIIKIMECIIII 7 342777 53 170 0.3 56 I -12 -0 4 02 05 20 .IEWE 6M5Y7Y 33 fl it. 52 MI -0 1 03 06 12 6 17215Y 17 1713 0.1 51 1 -08 -0,4 01 0.5 11 '11 6MT710I1 49 164 03 20 .10 04 08 09 14 9 0\1:ny 11 215 01 48 I .10 .04 01 05 14 MEM eMSTICTF 7.7 MallICEIIIIIIMIIII021 .02 01 06 II 10 OM 3Y5Y 04 8.9 00 47 -0.7 -0.3 02 06 15 um.-2. t 17377Y .1 56 20 9 • 59 ES 01 06 10 11 3M 27107 10 255 0,0 52 .12 .0.5 00 0.3 18 KM 3M5Y7Y 1 24 90 74 01 03 13 : 12 3M 3777 05 142 0.0 50 -10 -0.3 00 0 5 26 =1=1WISEMZEMMEEMEMICEICIMMIEEI r 19 1Y 2Y7Y -22 256 -01 44 -09 -0.5 00 04 10 lawEIZEZEMEEMICIEWEIMMICEICEICEMECISEI 1 14 1Y 375Y .17 119 -01 41 .10 .04 00 05 12 HILL E:liatEillflISLI -0 2 tin 06 II 1 15 BA127107 -37 293 -01 43 i -I.1 -0 6 00 03 1 1 iiii: fil em3Y7Y 1 29 182 02 57 -14 -0 4 0.0 05 09 Sam DICIIICAO Borst J .hoar Cleurerie Bent Top 15 SEK Flatteners Top 15 SEK Steepeners Bleak trade ty Carly 94p. 951 Percent Lim 29th M.:awn 79trt Star Rink hide IyOurry Imp 401 Rstso Pcreint min 25th Mtd,,n 7.-4n m... 1, 1 171737 1451 I ma 23 51 49 .1.1 23 47 95 ' 1111111 3M1Y5Y nea 9549 08 9 -08 23 . 51 9.1 146 2 14 37710Y 480 I 208 22 100 -38 .18 .12 -06 24 2 ...- 31.11YTY 559 3 931 4 07 8 -05 24 50 8.8 149 I 1 171757!. 1855 I 938 20 51 -43 -1.3 18 41 7.8 3 3M 17107 8422 9251 07 6 -03 20 50 90 150 4 1Y Mt 202.3 1103 11 54 -42 -1.6 15 36 68 4 3M1'M 75213 11057 07 13 -15 21 . — 57 99 211 — I 5 ir 1Y10Y 215.6 1188 1.8 58 4.5 -1.8 12 32 6.3 5 814 1737 2483 5553 08 8 .10 14 22 39 81 i 6 5M 77107 184 128 1.4 100 -4 3 -1.9 -13 -16 16 6 151.11757 2306 4634 05 11 -05 11 1.7 32 89 ' 7 3115710Y 832 812 1,4 100 .31 .21 .1.1 -0.3 1,4 7 5M 177Y 214.9 4835 0.4 9 -05 11 1.7 32 88 1 8 1777107 134 I Il 0 1.2 100 -46 -18 -1 2 .0.4 1.3 8 em 17107 1985 4887 04 7 -O4 12 1.9 32 83 1 9 1757107 . 301 312 10 100 -42 -18 -10 00 10 9 3M3Y5Y -274 2425 -01 42 -26 -0 6 . 02 12 32 10 3\ISY7Y : 37.1 425 09 100 -31 .18 .08 00 1.0 10 mover .177 1527 -01 44 -29 -0 7 02 13 28 11 17577Y 117 I 214 08 90 -35 -15 -0 6 03 10 11 6853777 -335 1841 -02 35 -24 -04 05 18 35 12 13M571071 342 I 44.5 08 100 4.0 .21 -1.1 -0.3 0.8 12 310377Y -04.5 2825 -0.2 31 -21 -0.4 06 1.7 35 13 17371071 69.5 I 1075 08 08 -4.7 .1.8 -05 09 2.0 13 &A 37107 .518 194.9 -0.3 24 -1.9 -0.2 08 1.9 39 14 1Y 3Y7Y 1 562 1 952 oe 00 4.5 .1.5 -02 1.2 25 14 3937107 -1108 300.3 -04 22 .1.5 -0.1 08 2.0 34 15 17 3757 1 394 781 05 54 -41 -1.1 02 1,7 9.2 15 881577Y .1513 331 -0.5 8 -10 00 08 1.7 99 Sarre °lurch. EWA .9.,:e Oats:ma8r: Spread of Swap Spreads Trades fatties as of Mar Current Curter° Trade Prim:In:de Min 259t ian 791i Tenor Repo Spot Swap Spread 1M Fwd. Swap Spread 2Y3Y -1.92 -30 II 4.9 -2.0 -1.2 -0.5 2 15.00 23.5 26.2 2Y5Y -1.78 -10.2 3 -11.7 -6.9 -3.9 0.3 3 16.00 20.5 21.3 2Y7Y -2.25 -18.8 4 -18.5 -11.8 4.1 1.3 5 7.50 13.3 14.2 2Y10Y -2.72 -14.6 2 -15.9 -8.1 -3.2 -OA 2Y30Y -3.02 -39.2 1 41.4 -23.8 -19.4 -14.8 7 9.50 6.7 7.2 3Y5Y 0.14 -7.2 4 -8.2 -5.0 -2.6 0.8 10 2.50 8.8 8.8 3Y7Y 4.33 -13.8 3 -15.3 -10.0 -4.5 2.0 3Y10Y -0.80 -11.6 2 -12.7 4.2 -1.9 0.3 30 11.50 -15.7 -16.0 3Y30Y -1.10 38.2 1 -38.2 -22.3 -18.3 -13.8 5Y7Y -048 -66 8 -7.7 -4.4 -2.0 0.7 sets Deasy dint I 57107 -0.94 4.5 4 -62 4.1 as to 5130Y -1.24 -28.0 3 31.0 -20.3 -16.2 -11.2 7Y10Y -0.47 2.1 49 -7.5 -1.4 2.2 3.8 7Y30Y -0.77 -22.4 16 -338 -18.7 -12.4 -92 10Y30Y -0.30 -24.5 6 30.7 -20.2 -14.8 -12.7 Murat Dane* Bent Page 56 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087437 CONFIDENTIAL SDNY_GM_00233821 EFTA01385969