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