Case File
efta-01385971DOJ Data Set 10OtherEFTA01385971
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Unknown
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DOJ Data Set 10
Reference
efta-01385971
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0
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27 March 2015
US Fixed Income Weekly
3M carry across different expiries (ATMF receivers)
8
—le— ly —6-2Y
Tenor
Sono &umbrae*
IUS surprise index: 10V Treasury yield
OS
so
IS
70
40
.sumrist
SO
9.9409r1rusurylls
00 /
3/1 •
1
110,14 WT
libt.04 Mact? YAM
•
litor-0) il•••16 atoll Win tibutt ifel4 Writ
SOW* DROCheliali
'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
Son Omar tont ow an &ow
2/1/15
Breakdown of 3M carry for 6M expiries
premium)
80%
60%
40%
20%
0%
-20%
.40%
6m1y 6n2y 6n6y 6nVy 6ralOy 6m15y 6M20y 6rn30y
Iowa AMMO, Swat
Trade weighted dollar surprise index
1:r
Yo
97
10
'0
so
so
S
ova
=
Theta
—o— Total
•
SO
14.4414 Ilo•
144. .? Kir C. Mot •
W.1 W.11 •••• Li r4.1. My 14 .4..
San 0•109/*-
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087439
CONFIDENTIAL
SDNY_GM_00233823
EFTA01385971
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