EFTA01362041.pdf
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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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EFTA01362041
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