27 March 2015
US Fixed Income Weekly
2-5-10 butterfly (PCA 57.40% and 42.60% risk on the 5-10-30 butterfly (PCA 41.3814 and 58.62% risk on the
wings) wings)
40 0 —Butterfly 5-10-30
— Butterfly 2-5-10
30 4
-8
20
-12
10 -16
0 -20
-24
-10
-28
20
Ma -13 Sep
-13 Mar-14 Sep-14 Mac-I5 -32
Ma -13 Sep-13 War-14 Sep-14 Mar-15
Stan Oafoci*? Oen* Sara buttaltaant I
2-10-30 butterfly (PCA 28.20% and 71.80% risk on the
wings)
10 2i.
-10 •
\41\641\mvA
-20 •
Ma -13 Sep-13 Mar-14 Sep-14 Mar-:
Sane Oerain Or*
Deutsche Bank Securities Inc. Page 49
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