27 March 2015
US Fixed Income Weekly
3M carry across different expiries (ATMF receivers) Breakdown of 3M carry for 6M expiries premium)
8
—le— ly —6-2Y 80% ova
60% = Theta
—o— Total
40%
20%
0%
-20%
.40%
6m1y 6n2y 6n6y 6nVy 6ralOy 6m15y 6M20y 6rn30y
Tenor
Sono &umbrae* Iowa AMMO, Swat
IUS surprise index: 10V Treasury yield Trade weighted dollar surprise index
1:r
Yo
OS
97
so 10
IS
70 '0
40 so
.sumrist
SO so
9.9409r1rusurylls
00 / S
3/1 • 1 • SO
110,14 WT libt.04 Mact? YAM litor-0) il•••16 atoll
• Win tibutt ifel4 Writ 14.4414 Ilo• 144. .? Kir C. Mot • W.1 W.11 •••• Li r4.1. My 14 .4..
SOW* DROCheliali San 0•109/*-
'Combined put/call ratio in Treasury futures
2.25
2.00
1.75
1.50
1.25
1.00
0.75
0.50 •
0.25
2/1/07 2/1/09 2/1/11 2/1/13 2/1/15
Son Omar tont owan &ow
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087439
CONFIDENTIAL SDNY_GM_00233823
EFTA01385971