Case File
efta-01362036DOJ Data Set 10OtherEFTA01362036
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01362036
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
4 September 2015
US Fixed Income Weekly
51/ swap spread seasonals (Change since Jan-1)
B
6
2
0
-2
-4
1997 2014 .5~ 2015
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Seen Dane* ant
S&P Index seasonals (Change since Dec-31)
6%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
-10%
2005-2014
1997 2014
016
J n Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
San Oran* On
5Y10Y Implied vol seasonals (Change since Dec-31)
7
a
3
1
-1
-3
-5
-7
J n Feb Mar Aix May Jun
.......2005-2014 -1997 2014
2015
Jul Aug Sep Oct Nov Dec
Swat Deem an
2Y swap spread seasonals (Change since Jan-11
2005-2014 —1997 2014 _2015
0
2
-10
-12
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
~ea ~in
Brt
I3MIOY Implied vol seasonals (Change since Dec-31)
25
—2005-2014 —19972014
2015
20
15
10
5
0
-5
-10
-15
-20
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Sara@ dumb an
Page 32
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0051333
CONFIDENTIAL
SDNY_GM_00197517
EFTA01362036
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