EFTA01362040.pdf

4 September 2015 US Fixed Income Weekly Iteners a,* Tr.K19 1ycarry .ip '...c.. Reio PArramd MM 25191694654 - 1619i a RBnk Trn•n 1y Gny rn•9t pi Ratio f4ost MM 2644 Mudin 7.6t', f~a - - 3,4 sty 70 li 0 08 77 -07 -03 03 06 23 1 361nitre 47 91 05 02 04 0.7 16 2 3M VS' as 193 05 83 .1.1 42 04 06 37 2 6M7Y10Y 49 '0 57 -10 04 08 0.9 1.4 3 64431151 6.7 134 I 05 69 47 .03 0.2 06 15 3 117110.1 53 94 06 38 00 05 07 09 16 4 644 2f5Y 100 21.7 I 05 82 -09 .03 03 06 1.4 4 3415110( 50 96 0.5 55 -11 01 04 08 1.5 5 3M 217Y 95 3.13 04 59 12 .03 0.3 05 20 5 6143,10Y 61 119 OA 48 437 0.2 05 0.8 1.4 6 3M 3Y7Y 67 180 04 63 .10 .03 01 05 26 6 115Y101 76 213 04 32 411 03 06 08 1.3 7 OA 2Y3Y 3.2 9.3 03 65 .14 -0.1 03 05 1.7 7 1Y 5YTY 23 173 0.1 33 -0 6 01 04 06 10 8 IY2113Y 08 26.0 03 65 48 -0A 02 05 1.1 0 61M51f7Y 12 102 0.1 41 -10 41 03 06 1.2 9 314 213Y 26 al 03 58 47 0.1 G2 05 1.8 9 1131101 21 30.1 01 35 -OA 00 03 07 1.1 10 61.42YTY 88 202 03 67 10 0.4 02 as 1.4 10 3145171 03 89 00 37 -1.8 -02 01 03 13 II 1131131 5.5 the 03 01 -10 44 00 04 1.2 11 6413Y101 -0.7 248 00 36 -10 -02 02 06 1.1 12 1Y 213Y 33 11.7 03 53 -08 -02 02 05 1.2 12 1Y 2Y101 -12 387 00 32 -0.7 -02 01 06 10 13 OA 3171 56 21.4 03 63 49 45 00 04 1.4 13 3M3Y101 -20 192 0.1 36 1.8 42 01 06 1.1 14 1121W 05 339 02 57 -09 -0.5 00 04 1.0 6132Y101 -3.9 321 -01 41 -11 -03 00 06 1.1 15 MA2/101 48 270 02 60 .12 45 00 03 18 1Y SY7Y -32 24.7 -0.1 37 -10 43 or 06 1.0 Sam Dattela• Dant sear areathaure Top 15 SE K Flattener s Top 15 SEE. Sheeponers Pcrtant Mtn 25t0 ,44.6,4n 75th ?d,a ! a.',I5Y7Y 1;'; 4 . '1,4 t 6 99 -31 .1.5 -05 01 80 - ' . ,`!*".”' =ft' .:, 14:114 :. :, ') C, ! 22 39 411 - iy TY101 371 104 36 I 99 -46 -1.6 -09 .02 40 2 6)/ 1Val' 4321 1480 3 03 5 -0 5 1.1 1.7 32 09 3 1Y 5Y10Y 751 288 26 99 4.1 -1.6 46 02 29 3 6M1Y7Y 3539 14468 02 6 0.5 1.1 1.7 02 86 4 if 1Y10Y 417.9 1726 24 58 45 -1.2 1.8 18 70 4 OA 1Y10Y me 14835 02 5 44 1.1 1.9 32 03 S 345Y101. 2768 1308 21 103 -33 -18 -08 -02 22 3IA 1Y3Y 12668 114390 01 1 -00 21 67 99 21.1 6 111/7Y 3608 181.5 21 50 -42 10 21 39 88 6 31.11Y5Y 1170 8 116875 01 1 -05 23 51 91 140 7 111517Y 380 103 20 99 -33 -1.2 49 06 22 7 31.41Y7Y 10484 117059 01 I 43.4 24 50 81 149 8 lY 31.10Y 10115 924 1.8 97 -4.7 -14 01 1.1 22 8 1M 1Y10Y 893 0 118183 01 1 -0.3 20 50 90 ISO 0 VelYSY 3426 190.0 1.7 41 -43 413 24 42 7.6 9 31.13Y5Y .960 248 5 4A 33 .2.0 40 41 00 32 10 1Y3Y7Y 132.4 630 1.0 82 -43 -1.1 04 1.4 25 10 . OM 3Y5Y -56.2 141.8 4.4 38 -29 47 41 09 26 11 1Y3Y5Y 944 648 1.6 66 40 46 06 17 32 II 6M3Y7Y -101.4 171.4 .06 24 -2.4 -06 00 13 32 12 6M5Y7Y 462 34.1 14 013 -27 -15 -05 02 16 12 61.13Y1CIY -1(05 244.0 .07 17 -1.9 46 04 16 34 13 31A TY101 1545 1124 1.4 90 48 -16 -11 -05 34 13 , 3M3Y7Y -218.4 2889 .08 18 -2.1 -00 00 1.4 35 14 0.1may 111.3 104.8 t1 96 43 1.7 49 432 25 14 i 66477101 43.1 732 .09 8 .3.8 05 1.1 16 36 15 3,4 31101 3728 3793 1.0 06 -34 -1.7 -04 04 15 15 111131 .2434 261.7 .09 03 -0.5 -47 -23 08 40 WC< trlMt. sane Ofereeer dirt Spread of Swap Spreads Trades ,, af, of S2:pt ;mho! 2.rd 2015 Curtest Curtenl Tenor ' 0e SOS 0 0 0 . Trade Carry Level PtItentat. Mtn 25th Median 75th • ' • . 2Y3Y 59 49 -2.5 -1.8 -1.0 2 15.00 13.5 13.8 2Y5Y -0.14 4.4 70 -13.4 42 46 -3.6 3 16.00 11.9 13.3 2Y 7Y -0.51 -11.0 52 -22.1 -16.0 -11.4 -5.5 5 7.50 9.1 93 2Y10Y -0.23 42 47 -22.1 -12.7 -7.5 -2.8 2T30Y -0.60 -37.3 25 -53.9 37.0 -22.1 -14.8 7 9.50 2.5 2 3 3Y5Y -1.17 -2.8 69 -11.2 4.8 4.6 -2.2 10 2.50 5.3 54 3Y7Y -1.54 -9.4 49 -198 -133 -9.2 -42 3Y10Y -1.26 -66 44 -19.9 -10.3 48 -1.6 30 11.50 -23.8 -241 3Y30Y -1.CG -35.7 23 408 33.8 -20.3 -13.8 Seine 040teche 5Y7Y 437 -88 25 -10.1 4.6 -4.2 -1.8 5Y10Y 4.09 3.8 24 -102 4.7 -1.6 0.6 5Y30Y -0.47 32.9 11 42.3 -27.2 -183 -11.2 7Y10Y 0.28 2.8 52 3.1 1.1 2.7 3.9 7Y30Y -0.09 -26.3 10 -330 -19.9 -12.4 -92 10Y30Y -0.37 -29.1 10 -..% 1 -23.4 -14.8 -12.7 Sane Onset Bert 1 Page 36 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051337 CONFIDENTIAL SDNY_GM_00197521 EFTA01362040