EFTA01362020Set 10
2015-09-041p542w
flattening
pressure on the curve, which we discussed earlier in this note.
fernI y-2y2y as a leveraged proxy for 2s5s spot Flattening carry is 31% better ... y-2y2y than in 2s5s
200 1 125
—Ctody-2y2y (IeIt axis) r•••••• 24.54 wet 08( 1144,1)
Beta-
180 r 115
Level Dv01 3M carry adjusted Improve
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362020.pdf