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sd-10-EFTA01362042Dept. of Justice

EFTA Document EFTA01362042

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4 September 2015 US Fixed Income Weekly 3M ca ry across different expiries (ATMF receivers) 8 -•-ern -111-1y -a-2y 6 4 2 CO .6 -- Tenor SixneDatithe art US surprise Index: WY Treasury yield 110 ice 90 80 70 60 50 40 •••• •••suresnse -10yr Treasury Rate 30 Aut•04 AutOG Aut-08 kir10 Aut12 Purl. San Deunalwaint !Breakdown of 3M carry for €41 expiries (°o premium) 80% 60% 40% 20% 0% -20% -40% 6m1y arr2y 6rroy 6m7y 6m10y 6m15y 641120y 6w:30y San Donn* eat ,Tra

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Dept. of Justice
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sd-10-EFTA01362042
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