EFTA01362041.pdf

DataSet-10 1 page 263 words document
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4 September 2015 US Fixed Income Weekly DGX and DVX across different market regimes !Term structure of 2Y vol 220 ---iT 160 130 3-Sep-15 - OM 200 -5-Sep-13 DV% right) I 20 i 140 e l"14/ 4 3-Sep -10 180 110 160 --- -- 120 100 140 90 100 120 80 1 l 70 100 I T 80 I : I • I. I 60 80 . ----r --- . III I - I I I II 60 50 60 I I I I I I I I 40 • i I I . ■ 40 40 0 5 10 15 20 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 SownDonal* Mak Ratios of 2Y to 10Y tenors (quartiles, 5-year history) 'lean structure; of 10 140 S 3-Sep-15 1.4 1F.5-Sep-13 2Y Tenors/10Y Tenors • Moan 0 Last 130 3-Sep-10 12 120 1 110 100 "g ea *w est a sea' """ 0.8 90 0.8 80 0.4 70 0.2 60 1m 3m Sm ly 2Y SY 7Y lOy 5 10 15 20 San Onoat Sent 501~ oaltIChlt an ---- — Ratios of 30Y to 10? tenors (quartiles. 5-year history) !Term structure of SOY vol 130 3-Sep-15 2.4 Ia..5-Sep-13 30Y7enors/10Y Tenors Wenn °Lest 2.2 120 easeleie3-Sep-10 2 110 ..... ...... 1.8 100 1.8 90 1A 80 S 1.2 70 1 60 08 06 50 1m 3m 6m 1y 2y 5y 7y 10y sue, Dela/m.8,A Sat, O...4..5, 4, eani Deutsche Bank Securities Inc. Page 37 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051338 CONFIDENTIAL SDNY_GM_00197522 EFTA01362041
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d9f17b9104357c97e730a4cb2d93b6089f5bbf0c71b1c006029bae27e293a961
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EFTA01362041
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DataSet-10
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document
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1

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