https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362042.pdf
4 September 2015
US Fixed Income Weekly
3M ca ry across different expiries (ATMF receivers) !Breakdown of 3M carry for €41 expiries (°o premium)
8
—•—ern —111-1y —a-2y 80% Vol
6 Curve
60% =--- Theta
4 —o— Total
40%
2
20%
CO
0%
-20%
.6 -- -40%
6m1y arr2y 6rroy 6m7y 6m10y 6m15y 641120y 6w:30y
Tenor
SixneDatitheart San Donn* eat
US surprise Index: WY Treasury yield ,Trade weighted dollar in prise index
110 5.5 110 100
ice 5 95
100
90 4.5 90
90
as
80 CO
• 3.5
70 70 75
60 60 70
—surprise r • 65
50 50
•••• •••suresnse 60
40 1.5 40 —Deutsche Bank USD
—10yr Treasury Rate nark weighted index f
30 55
1 30 50
Aut•04 AutOG Aut-08 kir10 Aut12 Purl.
Aug45 Aug-04 AupOtt Aug-10 Aug-32 Jut-14
San Deunalwaint Sow* Orvesen• en
'Combined put/call ratio in Treasury futures
2.25
1ratio Average
2.00
1.75
130
1.25
1.00
0.75 •
030
0.25
9/1/07 9/1/09 9/1/11 9/1/13 9/1/15
Sane Dembels Sr* int Chit ata'
Page 38 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051339
CONFIDENTIAL SDNY_GM_00197523
EFTA01362042
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Add API Key in Settings4 September 2015
US Fixed Income Weekly
3M ca ry across different expiries (ATMF receivers) !Breakdown of 3M carry for €41 expiries (°o premium)
8
—•—ern —111-1y —a-2y 80% Vol
6 Curve
60% =--- Theta
4 —o— Total
40%
2
20%
CO
0%
-20%
.6 -- -40%
6m1y arr2y 6rroy 6m7y 6m10y 6m15y 641120y 6w:30y
Tenor
SixneDatitheart San Donn* eat
US surprise Index: WY Treasury yield ,Trade weighted dollar in prise index
110 5.5 110 100
ice 5 95
100
90 4.5 90
90
as
80 CO
• 3.5
70 70 75
60 60 70
—surprise r • 65
50 50
•••• •••suresnse 60
40 1.5 40 —Deutsche Bank USD
—10yr Treasury Rate nark weighted index f
30 55
1 30 50
Aut•04 AutOG Aut-08 kir10 Aut12 Purl.
Aug45 Aug-04 AupOtt Aug-10 Aug-32 Jut-14
San Deunalwaint Sow* Orvesen• en
'Combined put/call ratio in Treasury futures
2.25
1ratio Average
2.00
1.75
130
1.25
1.00
0.75 •
030
0.25
9/1/07 9/1/09 9/1/11 9/1/13 9/1/15
Sane Dembels Sr* int Chit ata'
Page 38 Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051339
CONFIDENTIAL SDNY_GM_00197523
EFTA01362042