C 16 C

Rates RV Analytics
Rates Strategy | Asia Ex-Japan

Contributing Strategists
Vivek Rajpal (+91 22 4037 4438)
George Goncalves (+1 212 667 2254)
Helin Gai (+1 212 298 4226)
October 9, 2012
INR Rates RV Analytics

The Daily INR Swap Relative Value Report
Onshore OIS
1
INR (Onshore OIS) Swap Monitor
INR (Onshore OIS) Conventional Spread & Butterfly Report
INR (Onshore OIS) PCA-Weighted Spread & Butterfly Report
NDOIS
14
INR (NDOIS) Swap Monitor
14
INR (NDOIS) Conventional Spread & Butterfly Report
17
INR (NDOIS) PCA-Weighted Spread & Butterfly Report
22
Nomura Financial Advisory and Securities (India) Private LTD
See Disclosure Appendix A1 for the Analyst Certification and Other Important Disclosures
Trade Date: 10/09/2012
Swap Rates & 1d Changes

3m
6m
7.85 (-1)
7.78 (0)
3m
7.56 (0)
6m
1y
3m Carry & Rolldown

3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
Spot
(29.1)
(29.3)
(17.0)
(11.6)
(7.6)
(5.6)
(4.1)
(3.7)
(3.0)
7.40 (-2) 7.34 (-3) 7.01 (-3) 6.91 (-3) 6.91 (-3) 6.93 (-3) 6.97 (-3) 6.99 (-3) 7.02 (-3)
3m
(37.8)
(25.3)
(15.9)
(10.2)
(7.1)
(5.2)
(4.0)
(3.7)
(3.0)
7.11 (-3) 7.12 (-4) 7.14 (-4) 6.88 (-3) 6.84 (-3) 6.86 (-3) 6.90 (-3) 6.94 (-3) 6.97 (-3) 7.00 (-3)
6m
(27.7)
(19.3)
(12.3)
(7.0)
(4.8)
(3.2)
(2.4)
(2.4)
(2.0)
6.90 (-4) 6.92 (-3) 6.97 (-3) 6.77 (-2) 6.80 (-3) 6.84 (-3) 6.90 (-3) 6.94 (-3) 6.96 (-3) 6.99 (-3)
1y
(10.0)
(8.1)
(4.6)
(1.7)
(0.6)
0.3
0.1
(0.0)
(0.1)
2y
6.65 (-2) 6.68 (-2) 6.80 (-2) 6.77 (-4) 6.83 (-3) 6.91 (-3) 6.96 (-3) 6.99 (-3) 7.00 (-3) 7.02 (-3)
2y
(5.6)
(0.9)
1.7
2.1
2.8
2.1
1.6
1.3
0.9
3y
6.74 (-4) 6.82 (-5) 6.98 (-5) 6.92 (-4) 6.99 (-4) 7.04 (-3) 7.06 (-3) 7.07 (-3) 7.07 (-3) 7.07 (-3)
3y
6.2
4.8
4.0
4.3
3.1
2.3
1.9
1.6
1.2
5y
7.03 (-3) 7.12 (-3) 7.29 (-3) 7.19 (-3) 7.17 (-3) 7.16 (-3) 7.15 (-3) 7.14 (-3) 7.13 (-3) 7.11 (-3)
5y
5.7
5.0
2.0
1.0
0.6
0.4
0.3
0.2
0.2
Spot
1y
2y
3y
4y
5y
6y
7y
10y
7.59 (-3) 7.16 (-2) 7.02 (-2) 6.98 (-3) 6.98 (-3) 7.01 (-3) 7.03 (-3) 7.05 (-3)
3m Z-Scores
Annualized Vol-Adjusted Carry & Rolldown
3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
Spot
(1.1)
(0.6)
(1.6)
(1.2)
(1.2)
(1.2)
(1.1)
(1.1)
(1.1)
(1.1)
Spot
(2.4)
(2.2)
(1.1)
(0.7)
(0.5)
(0.4)
(0.3)
(0.2)
(0.2)
3m
(0.3)
(1.9)
(1.5)
(1.2)
(1.2)
(1.2)
(1.1)
(1.1)
(1.1)
(1.1)
3m
(2.6)
(1.5)
(0.9)
(0.6)
(0.4)
(0.3)
(0.2)
(0.2)
(0.2)
6m
(2.7)
(2.2)
(1.6)
(1.3)
(1.2)
(1.2)
(1.1)
(1.1)
(1.1)
(1.1)
6m
(1.9)
(1.1)
(0.7)
(0.4)
(0.3)
(0.2)
(0.1)
(0.1)
(0.1)
1y
(0.9)
(0.8)
(0.8)
(0.9)
(1.0)
(1.0)
(1.0)
(1.0)
(1.0)
(1.0)
1y
(0.5)
(0.4)
(0.2)
(0.1)
(0.0)
0.0
0.0
(0.0)
(0.0)
2y
(1.0)
(0.9)
(0.9)
(1.1)
(1.0)
(1.0)
(1.0)
(1.0)
(1.1)
(1.1)
2y
(0.3)
(0.0)
0.1
0.1
0.2
0.1
0.1
0.1
0.1
3y
(1.1)
(1.2)
(1.2)
(1.0)
(1.0)
(1.1)
(1.1)
(1.1)
(1.1)
(1.1)
3y
0.3
0.2
0.2
0.3
0.2
0.1
0.1
0.1
0.1
5y
(1.0)
(1.0)
(1.0)
(1.1)
(1.1)
(1.1)
(1.1)
(1.1)
(1.1)
(1.1)
5y
0.3
0.3
0.1
0.1
0.0
0.0
0.0
0.0
0.0
INR Spot & Forward Curves
Realized & Implied Paths for 1y, 2y & 5y Rates
8.00
11.00
7.80
10.00
9.00
7.60
8.00
7.40
7.00
7.20
6.00
7.00
5.00
4.00
6.80
3.00
6.60
0y
1y
2y
Spot
Source: Nomura
3y
4y
3m Forward
5y
6y
6m Forward
7y
8y
9y
1y Forward
10y
1y
2y
5y
Curve Slopes & 1d Changes

1/2
1/3
3m Carry & Rolldown

1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
Spot
-42.5 (0) -57.5 (0) -61.0 (0) -18.5 (0) -13.5 (0) -11.5 (-1) -3.5 (0)
1.5 (0)
3.5 (-1)
7.0 (0)
Spot
12.3
17.7
23.7
11.4
13.3
14.0
6.0
7.9
8.6
2.6
3m
-33.1 (0) -42.4 (0) -40.9 (0)
-7.8 (0)
-1.4 (0)
1.4 (0)
1.5 (0)
7.9 (0)
10.7 (0)
9.2 (0)
3m
9.4
15.1
20.1
10.7
12.1
12.9
5.0
6.4
7.2
2.2
6m
-26.1 (1) -30.1 (1) -24.8 (1)
1.3 (0)
8.6 (0)
11.7 (0)
5.3 (0)
12.6 (0)
15.7 (0)
10.4 (0)
6m
7.0
12.3
16.2
9.1
9.9
10.3
3.8
4.6
5.0
1.2
1y
-19.7 (0) -17.0 (-1) -7.3 (0)
12.4 (-1) 19.3 (-1) 22.3 (-1)
9.7 (0)
16.5 (0)
19.5 (0)
9.8 (0)
1y
3.5
6.4
8.4
4.9
4.6
4.4
2.0
1.7
1.5
(0.5)
2y
-2.9 (-1)
3.7 (-1)
16.5 (-1)
19.3 (0)
23.2 (0)
24.9 (0)
12.7 (0)
16.7 (0)
18.4 (0)
5.6 (0)
2y
2.6
3.1
3.0
0.4
(0.4)
(0.8)
(0.0)
(0.8)
(1.2)
(1.2)
3y
-6.0 (1)
1.7 (1)
8.4 (2)
14.4 (1)
15.3 (1)
15.0 (1)
6.8 (0)
7.7 (0)
7.4 (0)
0.6 (0)
3y
(0.8)
(0.5)
(2.5)
(1.6)
(2.3)
(2.8)
(1.9)
(2.6)
(3.1)
(1.2)
5y
-10.2 (0) -11.7 (0) -14.3 (0)
-4.1 (0)
-6.1 (0)
-8.2 (0)
-2.6 (0)
-4.6 (0)
-6.7 (0)
-4.1 (0)
5y
(3.0)
(4.1)
(4.6)
(1.6)
(1.8)
(1.9)
(0.5)
(0.8)
(0.8)
(0.3)
3m Z-Scores
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
Spot
0.5
0.2
0.3
(0.0)
0.0
0.0
0.5
0.5
0.5
0.2
Spot
2.5
2.4
3.0
2.0
2.0
2.1
1.8
1.7
1.9
0.9
3m
0.4
0.3
0.4
0.3
0.3
0.3
1.1
0.8
0.8
0.3
3m
1.7
1.9
2.4
2.0
1.9
2.0
1.5
1.4
1.6
0.8
6m
0.5
0.4
0.7
0.8
0.8
0.8
1.6
1.3
1.4
0.5
6m
1.2
1.6
1.9
1.9
1.7
1.8
1.2
1.1
1.2
0.5
1y
(0.3)
(0.4)
(0.1)
0.3
0.2
0.1
0.9
0.6
0.5
(0.2)
1y
0.5
0.8
1.0
0.9
0.7
0.7
0.6
0.4
0.4
(0.2)
2y
0.1
0.5
0.5
1.0
0.8
0.7
0.2
0.2
0.1
(0.1)
2y
0.3
0.4
0.3
0.1
(0.1)
(0.1)
(0.0)
(0.2)
(0.3)
(0.5)
3y
1.2
1.1
0.9
(0.1)
(0.2)
(0.3)
(0.4)
(0.6)
(0.7)
(0.6)
3y
(0.1)
(0.1)
(0.2)
(0.3)
(0.4)
(0.5)
(0.7)
(0.8)
(0.9)
(0.5)
5y
(0.0)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.2)
5y
(1.4)
(1.6)
(0.8)
(0.3)
(0.3)
(0.2)
(0.1)
(0.2)
(0.2)
(0.2)
Butterflies & 1d Changes

1/2/3
1/2/5
3m Carry & Rolldown

1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
Spot
-27.5 (0) -24.0 (1) -54.0 (0) -59.0 (0) -11.5 (0) -23.5 (0)
1/3/5
1/3/7
2/3/5
2/5/7
-8.5 (0)
3/5/7
-25.5 (0) -10.5 (0) -15.5 (0)
2/5/10
3/5/10
2/7/10
Spot
6.9
0.9
11.7
9.8
(0.5)
9.5
4.1
8.8
3.4
12.6
3m
-23.8 (1) -25.3 (1) -43.8 (1) -50.3 (1) -10.8 (0) -14.3 (0)
-5.0 (0)
-17.0 (0)
-7.7 (0)
-4.1 (0)
3m
3.7
(1.3)
10.2
8.7
0.7
9.2
3.5
8.5
2.8
11.4
6m
-22.1 (1) -27.4 (1) -35.4 (1) -42.6 (1)
-9.3 (0)
-6.0 (0)
-2.0 (0)
-9.1 (0)
-5.1 (0)
5.5 (0)
6m
1.7
(2.1)
8.5
7.7
1.4
8.3
3.0
7.9
2.7
9.5
1y
-22.5 (1) -32.2 (1) -26.7 (-1) -33.5 (-1) -7.0 (-1)
5.6 (-1)
2.9 (0)
2.6 (-1)
-0.1 (0)
16.3 (-1)
1y
0.6
(1.4)
4.4
4.7
0.9
5.3
2.4
5.4
2.5
4.7
2y
-9.4 (-1) -22.2 (-2) -9.0 (-1) -13.0 (-1) -6.2 (0)
15.4 (0)
8.8 (0)
13.7 (0)
7.1 (0)
21.5 (0)
2y
2.2
2.3
3.1
3.9
0.5
1.1
0.7
1.6
1.1
0.1
3y
-13.6 (1) -20.3 (1)
-5.1 (1)
-6.1 (1)
0.9 (0)
13.4 (0)
5.8 (0)
13.7 (0)
6.1 (0)
15.7 (1)
3y
(1.1)
0.8
1.4
2.1
2.2
(1.0)
(1.3)
(0.5)
(0.8)
(1.8)
5y
-8.7 (0)
-6.1 (0)
-9.1 (0)
-7.1 (0)
1.1 (0)
-2.1 (0)
-0.6 (0)
0.0 (0)
1.5 (0)
-4.0 (0)
5y
(1.9)
(1.4)
(3.5)
(3.3)
(0.5)
(1.3)
(0.3)
(1.3)
(0.2)
(1.8)
1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
Spot
0.9
0.6
0.1
0.1
(0.4)
(0.1)
0.3
(0.1)
0.3
0.1
Spot
3m
0.6
0.3
0.1
0.1
(0.5)
0.2
0.7
0.2
0.7
0.3
3m
6m
0.6
0.2
0.2
0.1
(0.7)
0.7
1.1
0.6
1.0
0.7
1y
(0.2)
(0.4)
(0.7)
(0.7)
(0.9)
0.3
1.1
0.5
1.2
2y
(0.3)
(0.4)
0.4
0.5
0.7
1.1
0.3
1.2
3y
1.1
1.0
1.2
1.3
0.8
0.0
(0.0)
5y
0.1
0.2
0.1
0.1
0.4
(0.3)
(0.3)
3m Z-Scores
Source: Nomura

1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
1.2
0.1
1.5
1.1
(0.1)
1.5
0.9
1.4
0.8
1.8
0.7
(0.2)
1.2
1.0
0.2
1.6
0.8
1.4
0.6
1.7
6m
0.3
(0.3)
1.1
1.0
0.4
1.6
0.7
1.5
0.6
1.5
0.3
1y
0.1
(0.2)
0.6
0.6
0.2
1.0
0.7
1.0
0.7
0.7
0.3
0.9
2y
0.2
0.2
0.3
0.4
0.1
0.2
0.1
0.3
0.2
0.0
0.1
0.1
(0.2)
3y
(0.1)
0.1
0.1
0.2
1.4
(0.1)
(0.4)
(0.1)
(0.2)
(0.3)
(0.3)
(0.3)
(0.3)
5y
(0.5)
(0.2)
(1.3)
(0.9)
(0.5)
(0.2)
(0.1)
(0.3)
(0.1)
(0.3)
2
Spot Curve 3m Range
Realized & Implied Paths for 2s5s
2s5s vs 2s
200.0
200.0
150.0
150.0
100.0
100.0
7.30
50.0
50.0
7.10
0.0
8.10
7.90
7.70
7.50
0.0
6.90
(50.0)
(50.0)
6.70
(100.0)
6.50
3m
6m
1y
2y
3y
5th %tile
75th %tile
Spot
4y
5y
6y
7y
8y
25th %tile
95th %tile
3m Forward
9y
(100.0)
10y
Median
max
6m Forward
2s5s
1y CMS 3m Range
2011
Implied Path
4
2010
5
Past 6m
6
6m Forward
8.10
1y Forward
2y Forward
10
Current
1s2s vs 1s
100
100.0
7.90
80
50.0
7.70
60
40
7.50
0.0
20
7.30
0
(50.0)
7.10
(20)
(40)
6.90
(100.0)
(60)
6.70
(80)
(150.0)
6.50
Spot
1y
2y
3y
4y
5y
6y
7y
5th %tile
25th %tile
Median
95th %tile
max
CMS
Source: Nomura
8y
9y
(100)
10y
10
11
75th %tile
1s2s
Implied Path
2011
2010
Past 6m
6m Forward
1y Forward
2y Forward
Current
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
Total Return Analysis

Abs
%tile
Half
Sprd4
-68.0
1s2s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
36.5
Spot
(100)
100
(57)
29
(42.5)
0.0
(0.0)
(2.6)
(25.4)
(43.3)
28.8
(0.6)
39.3
17.1
96.0
(20.1)
(0.6)
10.6
1.7
12.3
3m
(100)
100
(57)
29
(33.1)
0.5
(0.8)
(2.7)
(14.7)
(30.4)
24.0
(0.8)
29.0
18.4
92.2
(9.1)
(0.3)
0.0
9.4
9.4
6m
(100)
100
(57)
30
(26.1)
0.9
(1.3)
(0.2)
(8.6)
(20.9)
20.3
(0.9)
14.9
17.5
80.7
(0.4)
(0.0)
0.0
7.0
7.0
1y
(100)
100
(57)
30
(19.7)
0.2
(3.1)
1.7
(4.2)
(10.7)
17.5
(0.9)
19.8
15.5
50.7
9.9
0.6
0.0
3.5
3.5
-83.0
1s3s
57.9
Spot
(100)
100
(57)
20
(57.5)
0.0
(2.5)
(3.0)
(26.4)
(63.5)
43.1
(0.7)
36.3
31.1
125.5
(38.0)
(0.7)
13.5
4.2
17.7
3m
(100)
100
(57)
20
(42.4)
0.4
(2.9)
(2.5)
(12.6)
(42.7)
36.4
(0.8)
23.6
29.8
114.4
(24.9)
(0.5)
0.0
15.1
15.1
6m
(100)
100
(57)
21
(30.1)
0.7
(2.7)
0.2
(4.7)
(24.8)
30.9
(0.8)
17.4
25.4
86.9
(8.5)
(0.2)
0.0
12.3
12.3
1y
(100)
100
(57)
21
(17.0)
(0.5)
(3.3)
1.6
0.5
(9.1)
24.3
(0.7)
23.8
17.5
53.9
6.6
0.3
0.0
6.4
6.4
-106.5
1s5s
88.1
Spot
(100)
100
(57)
13
(61.0)
(0.5)
(3.0)
(2.5)
(21.8)
(76.2)
58.9
(0.7)
36.1
39.2
132.1
(53.2)
(0.8)
17.0
6.7
23.7
3m
(100)
100
(57)
13
(40.9)
0.1
(3.0)
(1.3)
(5.1)
(47.6)
49.6
(0.7)
27.8
35.8
118.8
(39.8)
(0.7)
0.0
20.1
20.1
6m
(100)
100
(57)
13
(24.8)
0.6
(2.4)
2.2
4.1
(23.6)
40.9
(0.7)
26.0
28.9
91.7
(18.0)
(0.4)
0.0
16.2
16.2
1y
(100)
100
(57)
13
(7.3)
(0.4)
(2.9)
3.9
9.7
(1.6)
28.3
(0.6)
33.5
17.0
55.1
2.3
0.1
0.0
8.4
8.4
-22.0
2s3s
26.0
Spot
(100)
100
(29)
20
(15.0)
(0.0)
(2.5)
(0.5)
(1.0)
(11.7)
14.9
(0.9)
15.9
14.0
97.6
(2.8)
(0.1)
2.9
2.6
5.4
3m
(100)
100
(29)
20
(9.3)
(0.1)
(2.0)
0.1
2.2
(5.8)
12.7
(0.9)
14.7
11.5
84.8
(3.9)
(0.3)
0.0
5.7
5.7
6m
(100)
100
(30)
21
(4.0)
(0.3)
(1.3)
0.4
3.8
(1.0)
10.7
(0.7)
23.2
7.8
62.0
(2.6)
(0.2)
0.0
5.3
5.3
1y
(100)
100
(30)
21
2.7
(0.7)
(0.2)
(0.1)
4.7
3.2
8.2
(0.2)
44.5
1.9
28.6
(0.7)
(0.1)
0.0
2.9
2.9
-41.0
2s5s
62.0
Spot
(100)
100
(29)
13
(18.5)
(0.5)
(3.0)
0.1
3.6
(20.8)
30.7
(0.7)
30.2
22.1
108.0
(16.8)
(0.5)
6.4
5.0
11.4
3m
(100)
100
(29)
13
(7.8)
(0.4)
(2.2)
1.4
9.6
(7.6)
26.0
(0.7)
29.4
17.4
91.5
(13.4)
(0.5)
0.0
10.7
10.7
6m
(100)
100
(30)
13
1.3
(0.4)
(1.1)
2.4
12.7
2.1
21.0
(0.5)
40.7
11.4
70.9
(9.1)
(0.4)
0.0
9.1
9.1
1y
(100)
100
(30)
13
12.4
(0.6)
0.2
2.2
13.9
10.9
12.6
(0.1)
53.6
1.5
38.1
(4.5)
(0.4)
0.0
4.9
4.9
-42.0
2s7s
74.0
Spot
(100)
100
(29)
10
(13.5)
(0.5)
(3.0)
0.6
8.3
(16.8)
32.8
(0.7)
34.1
21.8
104.7
(22.3)
(0.6)
8.2
5.1
13.3
3m
(100)
100
(29)
10
(1.4)
(0.4)
(2.1)
1.8
14.7
(1.1)
26.6
(0.6)
36.1
16.1
80.9
(15.0)
(0.5)
0.0
12.1
12.1
6m
(100)
100
(30)
10
8.6
(0.3)
(0.9)
3.0
17.9
8.9
20.9
(0.4)
45.7
9.3
58.7
(9.2)
(0.5)
0.0
9.9
9.9
1y
(100)
100
(30)
10
19.3
(0.6)
0.4
2.3
18.0
15.7
12.3
0.1
57.4
1.3
29.7
5.6
0.6
0.0
4.6
4.6
-46.0
2s10s
87.0
Spot
(100)
100
(29)
(11.5)
(0.5)
(3.0)
0.1
10.3
(13.3)
34.9
(0.6)
36.7
21.8
87.2
(16.9)
(0.5)
9.4
4.6
14.0
3m
(100)
100
(29)
1.4
(0.4)
(2.0)
1.4
16.9
2.2
28.0
(0.6)
38.3
15.6
67.2
(11.8)
(0.5)
0.0
12.9
12.9
6m
(100)
100
(30)
11.7
(0.2)
(0.8)
2.6
20.0
11.7
21.7
(0.4)
47.9
8.3
48.7
(7.6)
(0.4)
0.0
10.3
10.3
1y
(100)
100
(30)
22.3
(0.6)
0.5
1.9
19.4
17.3
12.7
0.2
60.4
2.8
24.9
6.3
0.8
0.0
4.4
4.4
78.3
(6.7)
(0.4)
3.5
2.4
6.0
-26.5
3s5s
Spot
(100)
Source: Nomura
100
(20)
13
(3.5)
(0.5)
(0.5)
0.5
4.6
(4.6)
16.4
(0.5)
43.5
8.1
36.5
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model

Abs
Half
Exp.
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
3m
(100)
100
(20)
13
1.5
(0.4)
(0.1)
1.2
7.4
0.6
13.8
(0.4)
47.3
6.0
72.2
(5.4)
6m
(100)
100
(21)
13
5.3
(0.1)
0.2
2.0
8.9
4.8
10.6
(0.3)
53.6
3.6
56.5
(3.3)
1y
(100)
100
(21)
13
9.7
0.1
0.4
2.3
9.2
8.7
4.7
0.1
61.2
0.5
17.0
Structure
-27.0
3s7s
Life5
Box Plot
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
(0.4)
0.0
5.0
5.0
(0.3)
0.0
3.8
3.8
1.6
0.6
0.0
2.0
2.0
53.0
Spot
(100)
100
(20)
10
1.5
(0.5)
(0.5)
1.0
9.3
(0.5)
18.7
(0.4)
43.9
7.8
75.0
(11.0)
(0.6)
5.3
2.5
7.9
3m
(100)
100
(20)
10
7.9
(0.3)
(0.1)
1.7
12.6
6.4
14.7
(0.3)
48.9
4.6
60.6
(7.7)
(0.6)
0.0
6.4
6.4
6m
(100)
100
(21)
10
12.6
0.0
0.4
2.6
14.0
11.0
10.7
(0.1)
56.6
1.4
41.2
(4.6)
(0.5)
0.0
4.6
4.6
1y
(100)
100
(21)
10
16.5
0.2
0.6
2.4
13.3
12.9
5.3
0.6
81.3
3.2
12.6
3.9
1.5
0.0
1.7
1.7
-30.0
3s10s
66.0
Spot
(100)
100
(20)
3.5
(0.5)
(0.5)
0.5
11.3
1.4
21.0
(0.4)
44.5
7.8
61.0
(8.7)
(0.5)
6.5
2.1
8.6
3m
(100)
100
(20)
10.7
(0.3)
(0.0)
1.3
14.8
8.8
16.3
(0.3)
50.8
4.1
47.3
(6.6)
(0.5)
0.0
7.2
7.2
6m
(100)
100
(21)
15.7
0.0
0.5
2.2
16.2
13.2
11.9
(0.0)
57.4
0.5
31.5
(4.5)
(0.5)
0.0
5.0
5.0
1y
(100)
100
(21)
19.5
0.2
0.8
2.0
14.8
14.3
6.5
0.7
81.7
4.7
12.3
5.3
1.7
0.0
1.5
1.5
-3.1
5s7s
17.5
Spot
(100)
100
(13)
10
5.0
(0.0)
(0.0)
0.5
4.7
4.6
2.9
0.1
49.1
0.3
7.6
0.7
0.6
1.8
0.1
1.9
3m
(100)
100
(13)
10
6.5
0.0
0.1
0.5
5.1
5.0
2.5
0.5
70.7
1.3
7.4
1.7
1.8
0.0
1.5
1.5
6m
(100)
100
(13)
10
7.3
0.1
0.2
0.5
5.2
5.1
2.6
0.8
77.3
2.1
9.1
2.3
2.0
0.0
0.8
0.8
1y
(100)
100
(13)
10
6.8
0.1
0.2
0.1
4.1
4.1
3.0
0.9
86.0
2.8
18.9
2.6
1.3
0.0
(0.4)
(0.4)
Spot
(100)
100
(13)
7.0
(0.0)
(0.0)
(0.0)
6.7
6.0
5.5
0.1
48.7
0.3
12.9
1.4
0.5
3.0
(0.3)
2.6
3m
(100)
100
(13)
9.2
0.1
0.1
0.0
7.4
6.9
4.6
0.4
69.3
1.8
11.1
2.6
1.3
0.0
2.2
2.2
6m
(100)
100
(13)
10.4
0.1
0.3
0.2
7.3
7.1
4.3
0.7
76.5
3.1
11.2
3.5
1.7
0.0
1.2
1.2
1y
(100)
100
(13)
9.8
0.1
0.3
(0.2)
5.5
5.5
4.7
0.9
83.3
4.3
17.3
4.0
1.4
0.0
(0.5)
(0.5)
Spot
(50)
(50)
(28)
29
(10)
(13.8)
0.0
1.2
(1.1)
(12.2)
(13.6)
7.8
(0.2)
46.7
1.5
34.7
(2.2)
(0.3)
3.9
(0.4)
3.4
3m
(50)
(50)
(29)
29
(10)
(11.9)
0.3
0.6
(1.4)
(8.4)
(9.7)
6.2
(0.6)
35.9
3.5
32.2
1.6
0.3
0.0
1.9
1.9
6m
(50)
(50)
(28)
30
(10)
(11.0)
0.6
(0.0)
(0.3)
(6.2)
(7.5)
5.1
(0.9)
16.6
4.8
34.9
3.9
0.9
0.0
0.9
0.9
1y
(50)
(50)
(28)
30
(10)
(11.2)
0.5
(1.4)
0.9
(4.4)
(5.5)
6.2
(1.1)
15.3
6.8
26.6
6.6
1.4
0.0
0.3
0.3
-5.5
5s10s
-28.3
1s2s3s
-23.8
1s2s5s
30.5
8.2
6.2
Spot
(50)
(50)
(28)
29
(6)
(12.0)
0.3
1.5
(1.3)
(14.5)
(14.3)
4.5
0.6
76.1
2.5
9.7
2.6
1.3
2.1
(1.7)
0.4
3m
(50)
(50)
(29)
29
(6)
(12.6)
0.4
0.7
(2.0)
(12.1)
(12.1)
3.4
(0.1)
51.6
0.5
7.1
0.6
0.5
0.0
(0.6)
(0.6)
6m
(50)
(50)
(28)
30
(7)
(13.7)
0.7
(0.1)
(1.3)
(10.6)
(10.6)
3.2
(1.0)
16.3
3.1
9.2
3.4
2.4
0.0
(1.1)
(1.1)
1y
(50)
(50)
(28)
30
(7)
(16.1)
0.4
(1.7)
(0.2)
(9.0)
(9.6)
5.7
(1.2)
12.1
7.0
22.1
7.5
1.8
0.0
(0.7)
(0.7)
-39.2
1s3s5s
17.9
Spot
(50)
(50)
(28)
20
(6)
(27.0)
0.2
(1.0)
(1.8)
(15.5)
(22.4)
14.1
(0.8)
27.0
11.5
77.3
(2.8)
(0.2)
5.0
0.9
5.9
3m
(50)
(50)
(29)
20
(6)
(21.9)
0.4
(1.4)
(1.9)
(10.0)
(16.3)
11.9
(1.0)
13.1
11.9
73.6
0.1
0.0
0.0
5.1
5.1
6m
(50)
(50)
(28)
21
(7)
(17.7)
0.4
(1.5)
(0.9)
(6.8)
(11.6)
10.7
(1.0)
13.5
10.9
59.7
2.9
0.3
0.0
4.2
4.2
Source: Nomura
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
(50)
(50)
(28)
21
(7)
(13.3)
(0.3)
(1.9)
(0.3)
(4.4)
(7.6)
10.3
(0.9)
15.7
9.0
Structure
1y

Abs
Half
-9.9
2s3s5s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
42.7
6.0
0.6
0.0
2.2
2.2
7.3
Spot
(50)
(50)
(14)
20
(6)
(5.7)
0.2
(1.0)
(0.5)
(2.8)
(2.7)
3.1
(0.9)
17.8
3.0
14.8
3.1
1.8
(0.3)
0.1
(0.3)
3m
(50)
(50)
(15)
20
(6)
(5.4)
0.2
(1.0)
(0.5)
(2.6)
(2.6)
2.5
(1.1)
11.7
2.7
15.4
2.6
1.8
0.0
0.4
0.4
6m
(50)
(50)
(15)
21
(7)
(4.7)
(0.1)
(0.8)
(0.8)
(2.5)
(2.5)
1.6
(1.3)
8.7
2.1
7.5
2.0
3.2
0.0
0.7
0.7
1y
(50)
(50)
(15)
21
(7)
(3.5)
(0.4)
(0.3)
(1.2)
(2.3)
(2.3)
2.3
(0.5)
24.4
1.2
6.6
1.1
1.3
0.0
0.4
0.4
-20.0
2s5s7s
28.0
Spot
(50)
(50)
(14)
13
(5)
(11.7)
(0.2)
(1.5)
(0.2)
(0.6)
(10.1)
14.4
(0.8)
23.8
11.2
89.2
(2.2)
(0.1)
2.3
2.4
4.7
3m
(50)
(50)
(15)
13
(5)
(7.2)
(0.2)
(1.1)
0.4
2.2
(5.6)
12.9
(0.7)
22.6
9.4
85.7
(3.1)
(0.2)
0.0
4.6
4.6
6m
(50)
(50)
(15)
13
(5)
(3.0)
(0.2)
(0.6)
1.0
3.8
(1.5)
10.8
(0.6)
34.1
6.7
70.6
(2.6)
(0.2)
0.0
4.2
4.2
1y
(50)
(50)
(15)
13
(5)
2.8
(0.4)
0.0
1.0
4.9
3.1
6.8
(0.3)
50.4
2.1
43.9
(1.5)
(0.3)
0.0
2.6
2.6
-18.8
2s5s10s
27.0
Spot
(50)
(50)
(14)
13
(4)
(12.7)
(0.2)
(1.5)
0.0
(1.5)
(9.9)
13.5
(0.8)
22.2
11.2
90.5
(1.4)
(0.1)
1.7
2.7
4.4
3m
(50)
(50)
(15)
13
(4)
(8.5)
(0.2)
(1.1)
0.7
1.1
(6.1)
12.4
(0.8)
20.6
9.6
91.0
(2.6)
(0.2)
0.0
4.2
4.2
6m
(50)
(50)
(15)
13
(4)
(4.5)
(0.2)
(0.7)
1.1
2.7
(2.2)
10.6
(0.7)
26.8
7.2
74.3
(2.1)
(0.2)
0.0
4.0
4.0
1y
(50)
(50)
(15)
13
(4)
1.3
(0.4)
(0.1)
1.2
4.2
2.5
7.1
(0.4)
46.3
2.9
44.6
(1.0)
(0.1)
0.0
2.7
2.7
Notes
1. Butterflies are 50/50-weighted and curves are 1-to-1.
2. Notional amount for the belly of a butterfly trade (left leg of a curve trade) is fixed at USD 100,000
3. Model average is the long-term equilibrium level as implied by Nomura's Statistical Mean-Reversion Model
4. Spread is the absolute difference between current level and life-time average
5. Half-life is the number of days for the time series to mean-revert toward long-term average by 50%, as computed by the Statistical Mean-Reversion Model
6. Expected return includes mean reversion toward life-time average, RD&C, and transaction cost; the trade horizon is assumed to be two times the half-life or the maturity of the shortest leg, whichever occurs first
7. Information ratio is annualized expected return divided by annualized historical volatility
8. Carry and rolldown assume receiving the belly
9. Box plots show current value (red diamond), min, max, average, and the 25th & 75th percentiles
current
min
25th
percentile
Source: Nomura
max
avg
75th percentile
INR (Onshore OIS) Conventional Spread Report
Best Information Ratio - 6m Forward 5s7s (100/-100)

15
Highest Z-Score - 1y Forward 5s7s (100/-100)

10
13
23
18
13
11
9
8
4
7
2
(3)
(8)
(13)
(2)
(1)
(4)
Spot 1s2s (100/-100)
(18)
(23)
Spot 1s3s (100/-100)
22
53
17
33
(3)
13
(8)
(18)
(7)
(28)
(23)
(38)
(43)
(27)
(47)
(48)
(67)
(63)
(58)
(68)
(107)
Spot 2s5s (100/-100)

59
39
13
8
(87)
(83)
Spot 2s3s (100/-100)
18
Spot 1s5s (100/-100)

73
37
12
23
Lowest Z-Score - Spot 2s3s (100/-100)
19
Spot 3s5s (100/-100)

33
23
13
3
(3)
3
(2)
(8)
(13)
(7)
(22)
(17)
(18)
(23)
(42)
(27)
Source: Nomura
7
INR (Onshore OIS) Conventional Butterfly Report
Best Information Ratio - Spot 2s3s5s (50/50)
Highest Z-Score - Spot 1s2s5s (50/50)
6.8
Lowest Z-Score - Spot 2s3s5s (50/50)

7
(4.3)
4.8
2.8
3
(9.3)
0.8
(1.3)
(1)
(14.3)
(3.3)
(3)
(5.3)
(5)
(19.3)
(7.3)
(7)
(9.3)
(24.3)
Spot 1s2s3s (50/50)
(9)
Spot 1s2s5s (50/50)
Spot 1s3s5s (50/50)

5
(4)
(4)
(5)
(9)
(9)
(10)
(15)
(14)
(14)
(20)
(19)
(25)
(19)
(30)
(24)
(35)
(29)
(24)
Spot 2s3s5s (50/50)
(40)
Spot 2s5s7s (50/50)
Spot 2s5s10s (50/50)
25
26
20
21
15
16
10
11
(1)
(3)
(5)
(1)
(6)
(4)
(11)
(9)
(7)
(16)
(14)
(9)
(21)
(19)
Source: Nomura
8
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore

Abs
%tile
Half
Sprd4
54.1
1s2s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
281.4
Spot
100
(72)
57
(21)
246.5
(0.7)
(1.4)
(2.7)
236.3
253.5
32.2
0.3
43.9
10.2
70.9
(28.2)
(1.0)
(14.2)
(2.9)
(17.1)
3m
100
(69)
57
(20)
248.3
(1.3)
(1.1)
(3.5)
239.6
250.7
26.1
0.3
39.9
8.7
52.6
(15.2)
(0.7)
0.0
(14.3)
(14.3)
6m
100
(75)
57
(22)
195.6
(1.7)
(0.5)
(5.1)
188.0
195.4
20.7
0.4
45.5
7.5
42.9
(6.0)
(0.4)
0.0
(10.0)
(10.0)
1y
100
(88)
57
(27)
100.6
(0.5)
2.0
(4.2)
91.5
96.2
17.0
0.5
62.6
9.1
38.5
4.2
0.3
0.0
(4.0)
(4.0)
80.3
1s3s
357.6
Spot
100
(63)
57
(13)
314.7
(0.9)
(0.3)
(4.0)
297.7
323.2
42.3
0.4
47.7
17.1
77.8
(37.0)
(1.0)
(17.1)
(4.9)
(22.0)
3m
100
(61)
57
(12)
311.9
(1.5)
(0.3)
(5.3)
298.8
314.5
34.3
0.4
42.7
13.0
56.3
(20.9)
(0.8)
0.0
(19.1)
(19.1)
6m
100
(68)
57
(14)
252.3
(1.7)
(0.2)
(7.1)
242.7
252.8
28.0
0.3
45.3
9.6
44.2
(10.7)
(0.5)
0.0
(14.6)
(14.6)
1y
100
(83)
57
(17)
135.6
(0.0)
1.7
(5.3)
127.9
134.1
22.4
0.3
57.6
7.7
38.2
(0.3)
(0.0)
0.0
(6.7)
(6.7)
76.6
1s5s
408.4
Spot
100
(59)
57
(7)
348.3
(0.7)
(0.3)
(5.1)
328.2
360.7
51.7
0.4
43.9
20.1
81.1
(46.7)
(1.1)
(19.6)
(6.4)
(26.0)
3m
100
(55)
57
(7)
350.1
(1.5)
(0.7)
(7.1)
336.2
355.8
41.5
0.3
38.3
13.9
58.8
(27.7)
(0.8)
0.0
(22.4)
(22.4)
6m
100
(62)
57
(8)
285.6
(1.8)
(0.9)
(9.5)
276.4
289.0
34.0
0.3
41.1
9.3
46.4
(16.1)
(0.6)
0.0
(17.4)
(17.4)
1y
100
(81)
57
(11)
137.3
(0.2)
1.2
(7.4)
130.8
138.0
25.5
0.3
51.6
6.6
39.4
(3.8)
(0.2)
0.0
(8.4)
(8.4)
25.3
2s3s
110.0
Spot
100
(89)
29
(18)
95.4
(0.3)
1.6
(1.7)
85.8
93.8
14.7
0.7
71.3
9.6
66.7
(4.6)
(0.3)
(4.0)
(2.8)
(6.8)
3m
100
(88)
29
(18)
91.7
(0.3)
1.1
(2.5)
85.4
90.3
12.1
0.5
57.6
6.3
49.5
(4.6)
(0.5)
0.0
(6.9)
(6.9)
6m
100
(90)
30
(18)
75.2
(0.1)
0.4
(2.6)
72.4
75.3
9.9
0.3
45.1
2.8
37.1
(4.3)
(0.6)
0.0
(6.0)
(6.0)
1y
100
(94)
30
(20)
39.8
0.5
(0.4)
(1.2)
41.3
42.3
7.5
(0.2)
38.1
1.6
22.2
3.7
0.8
0.0
(3.0)
(3.0)
16.2
2s5s
183.2
Spot
100
(82)
29
(10)
142.3
(0.0)
1.6
(3.4)
128.4
144.8
27.8
0.5
50.8
13.9
74.1
(15.3)
(0.6)
(7.5)
(4.9)
(12.4)
3m
100
(80)
29
(10)
147.0
(0.2)
0.5
(5.1)
139.4
149.0
22.6
0.3
39.7
7.6
54.2
(12.5)
(0.7)
0.0
(11.7)
(11.7)
6m
100
(82)
30
(11)
119.5
(0.2)
(0.4)
(5.8)
117.2
123.0
18.0
0.1
35.7
2.3
42.2
(10.6)
(0.8)
0.0
(9.7)
(9.7)
1y
100
(92)
30
(12)
41.7
0.4
(0.9)
(3.6)
44.6
46.6
11.5
(0.2)
35.9
2.9
29.8
7.5
0.9
0.0
(4.9)
(4.9)
-27.9
2s7s
165.9
Spot
100
(83)
29
(8)
130.6
0.0
1.7
(3.6)
116.5
134.2
29.8
0.5
50.0
14.1
76.1
(19.5)
(0.7)
(9.0)
(5.0)
(13.9)
3m
100
(82)
29
(8)
124.8
(0.2)
0.6
(5.1)
117.2
127.2
23.6
0.3
40.9
7.6
54.3
(14.3)
(0.7)
0.0
(12.8)
(12.8)
6m
100
(86)
30
(9)
90.8
(0.2)
(0.3)
(5.6)
88.6
94.4
18.7
0.1
36.9
2.2
41.4
(11.2)
(0.8)
0.0
(10.3)
(10.3)
1y
100
(97)
30
(10)
3.2
0.5
(0.7)
(2.9)
6.2
8.2
12.0
(0.3)
37.1
3.0
28.0
7.0
0.8
0.0
(4.6)
(4.6)
-55.3
2s10s
158.4
Spot
100
(85)
29
(6)
118.7
0.0
1.8
(2.9)
103.9
121.9
31.9
0.5
50.2
14.8
69.2
(16.9)
(0.6)
(9.9)
(4.6)
(14.5)
3m
100
(84)
29
(6)
112.4
(0.1)
0.7
(4.4)
104.5
114.8
25.2
0.3
41.3
7.9
50.2
(13.3)
(0.7)
0.0
(13.4)
(13.4)
6m
100
(88)
30
(7)
75.6
(0.2)
(0.2)
(5.0)
73.4
79.5
19.8
0.1
37.5
2.2
38.3
(10.5)
(0.7)
0.0
(10.6)
(10.6)
1y
100
(100)
30
(8)
(20.2)
0.6
(0.6)
(2.0)
(17.3)
(15.2)
12.7
(0.2)
38.7
3.0
24.8
6.4
0.8
0.0
(4.4)
(4.4)
61.7
(7.6)
(0.6)
(4.0)
(2.4)
(6.4)
-14.6
3s5s
Spot
100
Source: Nomura
(93)
20
(12)
52.9
0.3
(0.1)
(1.8)
48.1
55.3
15.3
0.3
40.9
4.8
83.4
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
1d
1w
1m
Avg
Avg3
St
Dev
62.7
0.1
(0.6)
(3.0)
61.3
65.7
49.4
(0.2)
(0.9)
(3.6)
50.0
52.5
2.1
(0.2)
(0.6)
(2.6)
3.5
3.9
Curr
3m
100
(91)
20
(12)
6m
100
(92)
21
(12)
1y
100
(98)
21
(13)

Abs
Half
Exp.
ZScore
%tile
Sprd4
12.3
0.1
34.3
1.4
49.2
(7.1)
9.3
(0.1)
31.8
0.6
38.1
5.5
4.6
(0.3)
32.4
1.4
15.5
-61.7
3s7s
Life5
Box Plot
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
(0.7)
0.0
(5.4)
(5.4)
0.8
0.0
(4.1)
(4.1)
2.4
0.9
0.0
(2.0)
(2.0)
67.3
Spot
100
(94)
20
(9)
39.7
0.3
0.0
(2.1)
34.6
42.9
17.7
0.3
44.1
5.1
63.9
(11.2)
(0.7)
(5.6)
(2.5)
(8.1)
3m
100
(93)
20
(9)
37.6
0.1
(0.5)
(2.9)
36.1
40.9
13.7
0.1
37.5
1.5
49.3
(8.9)
(0.8)
0.0
(6.7)
(6.7)
6m
100
(96)
21
(10)
17.3
(0.1)
(0.8)
(3.4)
18.0
20.6
10.2
(0.1)
34.3
0.7
35.7
6.0
0.8
0.0
(4.7)
(4.7)
1y
100
(103)
21
(11)
(39.0)
(0.1)
(0.3)
(1.8)
(37.5)
(37.0)
5.3
(0.3)
42.1
1.5
12.4
2.2
0.8
0.0
(1.7)
(1.7)
-91.0
3s10s
58.9
Spot
100
(96)
20
(7)
26.3
0.4
0.2
(1.3)
20.5
29.4
20.3
0.3
45.1
5.8
56.0
(9.5)
(0.6)
(6.6)
(2.1)
(8.7)
3m
100
(95)
20
(7)
23.5
0.2
(0.4)
(2.2)
21.6
26.8
15.6
0.1
40.3
1.8
42.4
(7.9)
(0.7)
0.0
(7.3)
(7.3)
6m
100
(98)
21
(8)
0.4
(0.1)
(0.7)
(2.7)
1.1
3.8
11.6
(0.1)
36.5
0.6
30.0
5.4
0.7
0.0
(5.1)
(5.1)
1y
100
(106)
21
(8)
(64.0)
0.0
(0.2)
(0.8)
(62.5)
(62.0)
6.2
(0.2)
46.9
1.5
10.6
2.0
0.7
0.0
(1.5)
(1.5)
-47.9
5s7s
Spot
100
(101)
13
(10)
(14.2)
0.0
0.1
(0.3)
(14.6)
(14.4)
3.0
3m
100
(103)
13
(10)
(27.7)
0.1
0.2
0.1
(27.8)
(27.7)
6m
100
(104)
13
(10)
(34.8)
0.0
0.1
0.2
(34.7)
(34.6)
1y
100
(105)
13
(11)
(41.8)
0.1
0.2
0.8
(41.7)
(41.6)
-8.2
0.1
57.8
0.3
8.3
(0.1)
(0.1)
(1.7)
(0.1)
(1.9)
2.4
0.0
56.2
0.1
6.5
(0.2)
(0.2)
0.0
(1.4)
(1.4)
2.1
(0.1)
50.8
0.1
5.6
0.3
0.4
0.0
(0.7)
(0.7)
1.9
(0.1)
53.2
0.1
6.7
0.1
0.1
0.0
0.4
0.4
-77.7
5s10s
-17.2
Spot
100
(103)
13
(8)
(28.7)
0.1
0.2
0.6
(29.8)
(29.1)
5.9
0.2
59.0
1.1
14.3
(0.0)
(0.0)
(2.8)
0.3
(2.5)
3m
100
(105)
13
(8)
(43.2)
0.1
0.3
0.9
(43.7)
(43.2)
4.6
0.1
61.4
0.4
10.9
(0.2)
(0.1)
0.0
(2.1)
(2.1)
6m
100
(106)
13
(8)
(53.2)
0.1
0.2
1.0
(53.1)
(52.8)
3.9
(0.0)
51.0
0.1
8.2
0.3
0.2
0.0
(1.1)
(1.1)
1y
100
(108)
13
(9)
(67.2)
0.2
0.4
1.8
(67.1)
(67.0)
3.2
(0.0)
56.4
0.1
6.4
0.0
0.0
0.0
0.5
0.5
-25.7
1s2s3s
13.8
Spot
(34)
(67)
(19)
29
(13)
(11.4)
0.0
1.7
(0.4)
(15.3)
(15.2)
3.4
1.1
89.8
3.8
10.5
4.1
2.5
1.8
(1.1)
0.7
3m
(35)
(67)
(20)
29
(13)
(16.9)
0.2
1.2
(0.7)
(18.7)
(18.7)
2.3
0.8
75.5
1.8
6.7
1.7
2.0
0.0
(0.3)
(0.3)
6m
(35)
(66)
(20)
30
(13)
(13.9)
0.5
0.5
(0.1)
(13.3)
(13.3)
1.6
(0.4)
39.1
0.6
5.2
0.7
1.4
0.0
(0.9)
(0.9)
1y
(31)
(68)
(18)
30
(14)
(2.4)
0.6
(0.9)
0.4
1.5
1.4
3.8
(1.0)
14.5
4.0
12.9
4.3
2.2
0.0
(0.9)
(0.9)
-57.5
1s2s5s
7.0
Spot
(53)
(51)
(30)
29
(6)
(43.7)
0.4
1.7
(0.6)
(46.9)
(46.8)
4.2
0.7
79.5
3.1
8.5
3.5
2.0
2.9
(1.5)
1.5
3m
(54)
(50)
(31)
29
(6)
(42.9)
0.6
0.9
(1.3)
(42.9)
(42.9)
3.0
0.0
55.6
0.0
5.4
0.1
0.1
0.0
0.4
0.4
6m
(53)
(50)
(30)
30
(7)
(31.2)
0.7
0.0
(0.8)
(28.6)
(28.7)
3.1
(0.8)
21.8
2.6
8.5
2.7
2.0
0.0
(0.5)
(0.5)
1y
(42)
(58)
(24)
30
(8)
(15.8)
0.5
(1.4)
(0.5)
(10.2)
(10.3)
5.0
(1.1)
11.7
5.6
18.2
6.4
2.0
0.0
(1.4)
(1.4)
-56.2
1s3s5s
-8.8
Spot
(29)
(76)
(16)
20
(10)
(48.2)
0.5
0.0
(0.4)
(47.1)
(47.2)
3.6
(0.3)
42.3
1.1
10.2
0.7
0.4
1.7
(0.5)
1.2
3m
(29)
(75)
(17)
20
(10)
(38.9)
0.5
(0.4)
(0.9)
(36.3)
(36.4)
3.1
(0.8)
21.8
2.6
9.9
2.3
1.6
0.0
1.1
1.1
6m
(27)
(76)
(15)
21
(10)
(26.3)
0.3
(0.7)
(1.1)
(23.3)
(23.4)
2.8
(1.1)
13.9
3.0
9.8
2.9
2.2
0.0
0.5
0.5
Source: Nomura
10
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
1y

Abs
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
(16)
(85)
(9)
21
(12)
(19.6)
(0.1)
(0.8)
(1.4)
(17.2)
(17.2)
2.3
(1.0)
13.1
2.4
Half
-28.4
2s3s5s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
6.0
2.6
3.0
0.0
(0.7)
(0.7)
-3.2
Spot
(54)
(48)
(16)
20
(6)
(24.4)
0.3
(0.9)
(0.0)
(21.7)
(21.7)
2.9
(0.9)
17.0
2.8
13.6
2.6
1.6
0.1
0.3
0.4
3m
(54)
(48)
(16)
20
(6)
(16.0)
0.2
(0.9)
(0.2)
(13.3)
(13.4)
2.4
(1.1)
14.1
2.6
14.3
2.3
1.7
0.0
0.8
0.8
6m
(50)
(51)
(15)
21
(7)
(10.7)
(0.1)
(0.7)
(0.7)
(8.9)
(9.0)
1.6
(1.1)
13.1
1.7
7.0
1.5
2.5
0.0
0.8
0.8
1y
(38)
(64)
(11)
21
(9)
(13.7)
(0.3)
(0.2)
(1.2)
(13.4)
(13.3)
1.3
(0.2)
36.5
0.3
2.2
0.3
1.3
0.0
(0.2)
(0.2)
Spot
(8)
(94)
(2)
13
(9)
(25.0)
0.0
(0.0)
0.0
(24.1)
(24.1)
1.7
(0.5)
36.7
0.8
3.1
0.9
2.1
(1.0)
0.3
(0.7)
3m
(5)
(99)
(2)
13
(10)
(34.5)
0.1
0.1
0.4
(34.2)
(34.2)
2.0
(0.2)
49.1
0.3
4.9
0.4
0.7
0.0
(0.7)
(0.7)
6m
(3)
(101)
(1)
13
(10)
(38.0)
0.0
0.1
0.4
(37.8)
(37.7)
1.9
(0.1)
49.1
0.2
5.0
0.3
0.4
0.0
(0.4)
(0.4)
1y
(105)
13
(11)
(41.8)
0.1
0.2
0.8
(41.6)
(41.6)
1.9
(0.1)
53.2
0.1
6.7
0.1
0.1
0.0
0.3
0.3
-48.0
2s5s7s
-76.3
2s5s10s
-20.4
-38.8
Spot
(16)
(90)
(4)
13
(7)
(47.2)
0.1
(0.0)
1.0
(46.0)
(45.9)
3.0
(0.4)
42.1
1.2
5.4
1.2
1.3
(1.3)
1.0
(0.3)
3m
(12)
(95)
(4)
13
(7)
(57.1)
0.1
0.2
1.4
(56.6)
(56.5)
3.2
(0.2)
50.8
0.5
7.1
0.6
0.5
0.0
(0.4)
(0.4)
6m
(9)
(98)
(3)
13
(8)
(60.3)
0.1
0.2
1.5
(60.0)
(59.9)
3.1
(0.1)
53.4
0.3
6.5
0.3
0.3
0.0
(0.1)
(0.1)
1y
(2)
(106)
(1)
13
(8)
(66.7)
0.2
0.4
1.8
(66.7)
(66.6)
3.0
(0.0)
57.0
0.0
6.2
(0.1)
(0.1)
0.0
0.6
0.6
Notes
1. Principal Component Analysis (PCA) is performed using rolling 2-year INR rates; risk weights are determined so that the trades are level/slope neutral
current
min
25th
percentile
Source: Nomura
max
avg
75th percentile
11
INR (Onshore OIS) PCA-Weighted Spread Report
Best Information Ratio - 1y Forward 3s5s (-100/98)
Highest Z-Score - Spot 2s3s (-100/89)

102
10
10
92
Lowest Z-Score - 1y Forward 3s5s (-100/98)
(0)
82
(0)
(5)
72
(5)
(10)
62
(10)
(15)
52
(15)
Spot 1s2s (-100/72)
Spot 1s3s (-100/63)
281
Spot 1s5s (-100/59)

390
340
370
261
320
350
241
300
330
221
280
310
290
260
201
270
240
250
181
161
220
230
200
210
Spot 2s3s (-100/89)

102
92
Spot 2s5s (-100/82)

167
Fitted Residual - Factor 1

60.0
120.0
40.0
100.0
147
16.9
20.0
127
80.0
62
87
52
67
-6.4
107
-5.7
0.0
72
-5.5
-0.3
9.4
82
60.0
(20.0)
40.0
(40.0)
20.0
0.0
(60.0)
1y
2y
3y
5y
7y
10y
Source: Nomura
12
INR (Onshore OIS) PCA-Weighted Butterfly Report
(6.6)
(6.6)
(8.6)
(8.6)
(10.6)
(10.6)
(12.6)
(12.6)
(14.6)
(14.6)
(19)
(16.6)
(16.6)
(21)
(18.6)
(18.6)
(23)
(20.6)
(20.6)
(25)
(22.6)
(22.6)
(27)
(24.6)
(24.6)
(29)
Spot 1s2s3s (34/67)
(13)
(15)
(17)
Spot 1s2s5s (53/51)

(37)
(33)
(7)
Spot 1s3s5s (29/76)
(9)
(38)
(11)
(42)
(13)
(43)
(15)
(47)
(17)
(48)
(19)
(21)
(52)
(53)
(23)
(25)
(58)
Spot 2s3s5s (54/48)
(57)
Spot 2s5s7s (8/94)
Fitted Residual - Factors 1 & 2

10.0
(13)
(21)
(15)
(17)
4.0
(25)
0.4
0.1
(2.0)
-1.7
(29)
(27)
-0.8
0.0
(27)
(25)
(29)
2.0
-0.5
(21)
(23)
6.0
2.5
(19)
(23)
8.0
(4.0)
(6.0)
(31)
(8.0)
(10.0)
1y
2y
3y
5y
7y
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
10y
Source: Nomura
13
Swap Rates & 1d Changes

3m
6m
3m Carry & Rolldown

1y
2y
3y
4y
5y
6y
7y
10y
3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
Spot
7.88 (-2) 7.77 (-2) 7.60 (-2) 7.17 (-2) 7.06 (-2) 7.04 (-2) 7.02 (-2) 7.05 (-2) 7.09 (-2) 7.15 (-2)
Spot
(36.1)
(31.0)
(16.8)
(10.4)
(7.0)
(5.4)
(3.6)
(2.9)
(2.4)
3m
7.51 (-1) 7.41 (-2) 7.33 (-2) 7.02 (-2) 6.96 (-2) 6.97 (-2) 6.98 (-2) 7.02 (-2) 7.06 (-2) 7.13 (-2)
3m
(35.9)
(26.6)
(14.9)
(9.2)
(6.9)
(4.7)
(3.4)
(2.9)
(2.4)
6m
7.18 (-3) 7.14 (-2) 7.14 (-2) 6.92 (-2) 6.91 (-2) 6.92 (-2) 6.95 (-2) 7.01 (-2) 7.05 (-2) 7.11 (-2)
6m
(26.7)
(18.5)
(10.0)
(5.4)
(4.3)
(2.3)
(1.5)
(1.3)
(1.2)
1y
6.87 (-2) 6.90 (-2) 6.97 (-2) 6.84 (-2) 6.88 (-2) 6.90 (-2) 6.96 (-2) 7.02 (-2) 7.06 (-2) 7.12 (-2)
1y
(9.4)
(6.4)
(2.4)
(0.7)
(0.1)
1.0
1.1
0.9
0.4
2y
6.75 (-2) 6.80 (-2) 6.94 (-2) 6.89 (-2) 6.92 (-2) 6.99 (-2) 7.05 (-2) 7.10 (-2) 7.13 (-2) 7.15 (-2)
2y
(0.5)
1.7
2.3
2.1
3.0
2.7
2.4
2.0
1.1
3y
6.87 (-2) 6.95 (-2) 7.09 (-2) 6.97 (-2) 7.05 (-2) 7.12 (-2) 7.16 (-2) 7.19 (-2) 7.20 (-2) 7.19 (-2)
3y
5.4
3.1
2.4
3.5
3.1
2.5
2.1
1.6
0.9
5y
7.09 (-2) 7.18 (-2) 7.36 (-2) 7.28 (-2) 7.30 (-2) 7.31 (-2) 7.31 (-2) 7.30 (-2) 7.28 (-2) 7.24 (-2)
5y
8.2
6.1
3.8
2.7
1.9
1.3
0.8
0.6
0.4
3m Z-Scores
3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
3m
6m
1y
2y
3y
4y
5y
6y
7y
10y
Spot
(0.7)
(0.8)
(1.4)
(1.2)
(1.2)
(1.3)
(1.4)
(1.4)
(1.4)
(1.3)
Spot
(2.6)
(2.1)
(1.1)
(0.6)
(0.4)
(0.3)
(0.2)
(0.2)
(0.1)
3m
(0.9)
(1.5)
(1.5)
(1.2)
(1.2)
(1.4)
(1.4)
(1.4)
(1.4)
(1.3)
3m
(2.1)
(1.6)
(0.9)
(0.5)
(0.4)
(0.3)
(0.2)
(0.2)
(0.1)
6m
(1.8)
(1.7)
(1.4)
(1.2)
(1.3)
(1.4)
(1.4)
(1.4)
(1.3)
(1.3)
6m
(1.5)
(1.1)
(0.6)
(0.3)
(0.2)
(0.1)
(0.1)
(0.1)
(0.1)
1y
(1.2)
(1.0)
(0.9)
(1.0)
(1.2)
(1.3)
(1.3)
(1.3)
(1.2)
(1.2)
1y
(0.5)
(0.3)
(0.1)
(0.0)
(0.0)
0.0
0.1
0.0
0.0
2y
(1.0)
(0.9)
(0.9)
(1.2)
(1.3)
(1.3)
(1.3)
(1.3)
(1.3)
(1.2)
2y
(0.0)
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
3y
(1.3)
(1.3)
(1.4)
(1.5)
(1.5)
(1.4)
(1.3)
(1.3)
(1.3)
(1.3)
3y
0.2
0.1
0.1
0.2
0.1
0.1
0.1
0.1
0.0
5y
(1.4)
(1.3)
(1.2)
(1.2)
(1.2)
(1.2)
(1.2)
(1.2)
(1.2)
(1.2)
5y
0.3
0.2
0.2
0.1
0.1
0.1
0.0
0.0
0.0
INR Spot & Forward Curves
Realized & Implied Paths for 1y, 2y & 5y Rates
8.00
11.00
7.80
10.00
9.00
7.60
8.00
7.40
7.00
7.20
6.00
7.00
5.00
4.00
6.80
3.00
6.60
0y
1y
2y
Spot
Source: Nomura
3y
4y
3m Forward
5y
6y
6m Forward
7y
8y
9y
1y Forward
10y
1y
2y
5y
14
Curve Slopes & 1d Changes

1/2
1/3
3m Carry & Rolldown

1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
Spot
-43.0 (0) -54.0 (0) -57.0 (0) -14.0 (0)
-7.5 (0)
-1.5 (0)
-3.0 (0)
3.5 (0)
9.5 (0)
12.5 (0)
Spot
14.2
20.6
25.7
11.5
13.9
14.4
5.0
7.5
8.0
3.0
3m
-31.2 (0) -36.6 (0) -35.1 (0)
-3.9 (0)
4.4 (0)
11.0 (0)
1.4 (0)
9.8 (0)
16.3 (0)
14.8 (0)
3m
11.8
17.4
21.9
10.1
11.9
12.5
4.4
6.3
6.8
2.3
6m
-22.8 (0) -23.5 (0) -19.0 (0)
3.8 (0)
13.2 (0)
19.8 (0)
4.5 (0)
13.9 (0)
20.4 (0)
15.9 (0)
6m
8.4
13.1
16.2
7.7
8.7
8.8
3.1
4.1
4.2
1.1
1y
-13.5 (0)
-9.3 (0)
-1.0 (0)
12.4 (0)
22.1 (0)
27.8 (0)
8.2 (0)
17.9 (0)
23.6 (0)
15.3 (0)
1y
4.0
5.7
7.4
3.4
3.4
2.8
1.6
1.6
1.0
(0.6)
2y
-4.4 (0)
-1.6 (0)
11.8 (0)
16.2 (0)
23.5 (0)
26.0 (0)
13.4 (0)
20.8 (0)
23.2 (0)
9.8 (0)
2y
0.6
0.4
1.0
0.4
(0.3)
(1.2)
0.6
(0.1)
(1.0)
(1.6)
3y
-11.6 (0)
-3.6 (0)
7.1 (0)
18.8 (0)
22.7 (0)
21.9 (0)
10.7 (0)
14.7 (0)
13.9 (0)
3.1 (0)
3y
(0.7)
0.4
(0.5)
0.2
(0.7)
(1.5)
(0.9)
(1.9)
(2.6)
(1.6)
5y
-7.7 (0)
-5.5 (0)
-4.8 (0)
2.8 (0)
-0.1 (0)
-4.1 (0)
0.7 (0)
-2.3 (0)
-6.2 (0)
-6.9 (0)
5y
(2.2)
(3.4)
(4.8)
(2.5)
(3.3)
(3.4)
(1.4)
(2.1)
(2.3)
(0.9)
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
1/2
1/3
1/5
2/5
2/7
2/10
3/5
3/7
3/10
5/10
Spot
0.2
0.1
(0.0)
(0.1)
(0.1)
(0.1)
(0.4)
(0.2)
(0.2)
0.2
Spot
2.7
2.5
2.7
1.9
1.9
2.0
1.0
1.2
1.2
0.7
3m
0.4
0.3
0.2
(0.0)
0.1
0.1
(0.3)
(0.1)
(0.0)
0.4
3m
2.2
2.1
2.5
1.7
1.7
1.8
0.9
1.0
1.1
0.6
6m
0.5
0.4
0.3
(0.0)
0.1
0.2
(0.3)
0.0
0.1
0.5
6m
1.4
1.7
2.0
1.3
1.3
1.3
0.7
0.7
0.7
0.3
1y
0.1
0.0
(0.1)
(0.3)
(0.2)
(0.2)
(0.4)
(0.1)
(0.1)
0.3
1y
0.6
0.8
0.9
0.4
0.4
0.3
0.3
0.2
0.2
(0.1)
2y
(0.1)
(0.3)
(0.2)
(0.2)
(0.1)
(0.0)
0.3
0.3
0.3
0.2
2y
0.1
0.0
0.1
0.1
(0.0)
(0.1)
0.1
(0.0)
(0.2)
(0.3)
3y
(0.1)
0.0
0.2
0.5
0.5
0.5
0.6
0.5
0.5
0.3
3y
(0.1)
0.0
(0.0)
0.0
(0.1)
(0.2)
(0.2)
(0.3)
(0.3)
(0.3)
5y
0.7
0.6
0.4
0.0
0.0
0.0
(0.1)
(0.0)
0.0
0.1
5y
(0.2)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.3)
(0.2)
(0.1)
3m Z-Scores
Butterflies & 1d Changes

1/2/3
1/2/5
3m Carry & Rolldown

2/3/5
2/5/7
3/5/7
1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
Spot
-32.0 (0) -29.0 (0) -51.0 (0) -57.5 (0)
1/3/5
1/3/7
-8.0 (0)
-20.5 (0)
-9.5 (0)
-26.5 (0) -15.5 (0) -13.5 (0)
2/5/10
3/5/10
2/7/10
Spot
7.8
2.8
15.6
13.2
1.4
9.0
2.6
8.5
2.0
13.3
3m
-25.9 (0) -27.4 (0) -38.0 (0) -46.3 (0)
-6.8 (0)
-12.2 (0)
-6.9 (0)
-18.7 (0) -13.4 (0)
-2.1 (0)
3m
6.1
1.6
13.0
11.2
1.2
8.3
2.6
7.8
2.1
11.4
6m
-22.1 (0) -26.6 (0) -28.0 (0) -37.4 (0)
-5.2 (0)
-5.5 (0)
-4.8 (0)
-12.1 (0) -11.4 (0)
6.6 (0)
6m
3.8
0.7
10.0
9.0
1.5
6.7
2.1
6.7
2.0
8.7
1y
-17.7 (0) -25.9 (0) -17.5 (0) -27.1 (0)
-4.0 (0)
2.8 (0)
-1.4 (0)
-2.9 (0)
-7.1 (0)
16.4 (0)
1y
2.2
0.6
4.1
4.1
0.1
3.4
1.6
4.0
2.2
3.9
2y
-7.2 (0)
-20.6 (0) -15.1 (0) -22.4 (0) -10.7 (0)
8.9 (0)
6.1 (0)
6.5 (0)
3.7 (0)
21.1 (0)
2y
0.8
0.2
(0.3)
0.5
(0.9)
1.2
1.4
2.1
2.3
0.6
3y
-19.7 (0) -30.4 (0) -14.3 (0) -18.3 (0)
-2.7 (0)
14.8 (0)
6.8 (0)
15.7 (0)
7.6 (0)
23.6 (0)
3y
(1.8)
(0.9)
1.3
2.2
2.1
1.1
(0.0)
1.8
0.7
(0.0)
5y
-9.8 (0)
5y
(1.1)
0.3
(2.0)
(1.3)
0.2
(1.8)
(0.6)
(1.6)
(0.5)
(3.1)
-10.5 (0)
-6.2 (0)
-3.2 (0)
1.5 (0)
5.8 (0)
3.7 (0)
9.8 (0)
7.6 (0)
3.8 (0)
1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
Spot
0.1
0.3
0.3
0.2
0.4
(0.2)
(0.5)
(0.2)
(0.5)
(0.1)
3m
0.4
0.4
0.5
0.4
0.5
(0.1)
(0.5)
(0.2)
(0.6)
0.0
6m
0.5
0.5
0.5
0.4
0.5
(0.1)
(0.6)
(0.2)
(0.6)
1y
0.3
0.4
0.1
0.1
0.1
(0.4)
(0.6)
(0.4)
2y
0.1
(0.0)
(0.4)
(0.5)
(0.8)
(0.3)
0.2
3y
(0.4)
(0.6)
(0.2)
(0.3)
(0.3)
0.5
5y
0.7
0.6
0.7
0.7
0.5
(0.0)
3m Z-Scores
Source: Nomura

1/2/3
1/2/5
1/3/5
1/3/7
2/3/5
2/5/7
3/5/7
2/5/10
3/5/10
2/7/10
Spot
1.4
0.4
1.6
1.2
0.2
1.3
0.5
1.1
0.3
1.7
3m
1.3
0.2
1.3
1.0
0.2
1.3
0.5
1.1
0.3
1.4
0.1
6m
0.6
0.1
1.0
0.8
0.3
1.1
0.5
0.9
0.3
1.1
(0.6)
(0.2)
1y
0.2
0.1
0.4
0.4
0.0
0.4
0.3
0.4
0.3
0.4
(0.3)
0.1
(0.1)
2y
0.1
0.0
(0.0)
0.0
(0.1)
0.1
0.2
0.2
0.3
0.1
0.6
0.4
0.3
0.4
3y
(0.2)
(0.1)
0.1
0.2
0.3
0.1
(0.0)
0.2
0.1
(0.0)
(0.2)
(0.1)
(0.1)
0.0
5y
(0.1)
0.0
(0.2)
(0.2)
0.1
(0.2)
(0.1)
(0.2)
(0.1)
(0.3)
15
Spot Curve 3m Range
8.30
2s5s vs 2s
200.0
200.0
150.0
150.0
8.10
7.90
100.0
7.70
100.0
7.50
50.0
7.30
50.0
0.0
7.10
0.0
6.90
(50.0)
6.70
(50.0)
6.50
3m
6m
1y
2y
3y
5th %tile
75th %tile
Spot
4y
5y
6y
7y
8y
25th %tile
95th %tile
3m Forward
9y
(100.0)
10y
Median
max
6m Forward
2s5s
1y CMS 3m Range
2011
Implied Path
4
2010
5
Past 6m
6
6m Forward
8.10
1y Forward
2y Forward
10
Current
1s2s vs 1s
100
150.0
7.90
80
100.0
60
7.70
7.50
50.0
7.30
0.0
40
20
7.10
0
(20)
(50.0)
(40)
6.90
(60)
(100.0)
6.70
(80)
(150.0)
6.50
Spot
1y
2y
3y
4y
5y
6y
7y
5th %tile
25th %tile
Median
95th %tile
max
CMS
Source: Nomura
8y
9y
(100)
10y
10
11
75th %tile
1s2s
Implied Path
2011
2010
Past 6m
6m Forward
1y Forward
2y Forward
Current
16
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore

Abs
%tile
Half
Sprd4
-60.0
1s2s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
20.7
Spot
(100)
100
(56)
28
(43.0)
0.0
(1.0)
(3.0)
(24.1)
(43.0)
24.8
(0.8)
34.1
18.9
115.8
(33.3)
(1.0)
11.2
3.1
14.2
3m
(100)
100
(56)
29
(31.2)
(0.0)
(0.9)
(0.6)
(13.4)
(23.2)
18.8
(0.9)
17.8
17.8
73.1
(9.4)
(0.4)
0.0
11.8
11.8
6m
(100)
100
(55)
29
(22.8)
0.1
(1.3)
0.4
(7.0)
(13.1)
14.2
(1.1)
9.9
15.8
54.1
1.3
0.1
0.0
8.4
8.4
1y
(100)
100
(54)
29
(13.5)
0.1
(2.1)
1.1
(2.7)
(3.9)
8.8
(1.2)
9.9
10.8
14.4
9.0
1.9
0.0
4.0
4.0
-71.0
1s3s
44.1
Spot
(100)
100
(56)
19
(54.0)
(0.0)
(3.0)
(4.0)
(20.5)
(56.9)
37.0
(0.9)
20.0
33.5
137.3
(47.1)
(1.0)
14.6
6.1
20.6
3m
(100)
100
(56)
19
(36.6)
(0.1)
(2.7)
(0.2)
(6.6)
(26.5)
28.6
(1.1)
11.3
30.0
91.8
(20.6)
(0.6)
0.0
17.4
17.4
6m
(100)
100
(55)
20
(23.5)
0.2
(2.8)
1.9
1.5
(10.4)
22.0
(1.1)
9.1
25.0
66.2
(2.4)
(0.1)
0.0
13.1
13.1
1y
(100)
100
(54)
20
(9.3)
0.1
(2.9)
3.2
6.0
3.2
13.5
(1.1)
11.7
15.3
23.3
11.1
1.2
0.0
5.7
5.7
-78.3
1s5s
82.9
Spot
(100)
100
(56)
12
(57.0)
0.0
(4.0)
(3.0)
(9.5)
(61.8)
50.7
(0.9)
16.3
47.5
138.4
(52.8)
(0.8)
18.1
7.5
25.7
3m
(100)
100
(56)
12
(35.1)
(0.0)
(3.2)
1.2
6.4
(23.9)
39.9
(1.0)
11.7
41.6
98.2
(26.5)
(0.5)
0.0
21.9
21.9
6m
(100)
100
(55)
12
(19.0)
0.2
(2.8)
3.2
15.3
(3.8)
31.2
(1.1)
9.1
34.3
75.1
(4.2)
(0.1)
0.0
16.2
16.2
1y
(100)
100
(54)
13
(1.0)
0.1
(2.3)
3.7
19.3
14.0
18.5
(1.1)
13.9
20.3
32.7
12.7
0.9
0.0
7.4
7.4
-17.0
2s3s
32.1
Spot
(100)
100
(28)
19
(11.0)
(0.0)
(2.0)
(1.0)
3.6
(4.1)
12.7
(1.2)
8.1
14.6
75.5
(0.8)
(0.1)
3.4
3.0
6.4
3m
(100)
100
(29)
19
(5.3)
(0.1)
(1.8)
0.4
6.8
1.4
10.1
(1.2)
7.5
12.2
65.2
0.5
0.0
0.0
5.7
5.7
6m
(100)
100
(29)
20
(0.7)
0.1
(1.5)
1.5
8.5
5.6
8.0
(1.1)
7.7
9.2
42.2
3.0
0.4
0.0
4.6
4.6
1y
(100)
100
(29)
20
4.2
(0.0)
(0.8)
2.1
8.7
8.4
5.5
(0.8)
20.2
4.5
8.6
4.1
1.8
0.0
1.7
1.7
-25.0
2s5s
67.0
Spot
(100)
100
(28)
12
(14.0)
(0.0)
(3.0)
(0.0)
14.6
(7.5)
26.8
(1.1)
8.9
28.6
102.5
(8.6)
(0.3)
7.0
4.5
11.5
3m
(100)
100
(29)
12
(3.9)
(0.0)
(2.3)
1.8
19.8
6.7
21.7
(1.1)
8.9
23.7
74.7
(0.2)
(0.0)
0.0
10.1
10.1
6m
(100)
100
(29)
12
3.8
0.1
(1.5)
2.8
22.3
15.0
17.4
(1.1)
10.3
18.5
51.3
6.0
0.4
0.0
7.7
7.7
1y
(100)
100
(29)
13
12.4
0.0
(0.2)
2.6
22.0
20.6
10.8
(0.9)
21.8
9.5
17.3
7.7
1.2
0.0
3.4
3.4
-27.0
2s7s
82.1
Spot
(100)
100
(28)
(7.5)
(0.0)
(3.0)
(0.0)
24.4
3.6
29.3
(1.1)
9.9
31.9
87.5
(6.6)
(0.2)
8.8
5.1
13.9
3m
(100)
100
(29)
4.4
(0.0)
(2.2)
2.0
30.2
18.4
23.4
(1.1)
9.3
25.7
62.2
2.2
0.1
0.0
11.9
11.9
6m
(100)
100
(29)
13.2
0.2
(1.3)
3.1
32.6
26.2
18.6
(1.0)
15.5
19.4
43.3
7.5
0.4
0.0
8.7
8.7
1y
(100)
100
(29)
22.1
0.1
0.0
2.8
31.1
29.8
11.7
(0.8)
26.0
9.0
16.8
7.2
1.1
0.0
3.4
3.4
-28.0
2s10s
94.1
Spot
(100)
100
(28)
(1.5)
(0.0)
(3.0)
(0.0)
32.4
10.8
31.5
(1.1)
11.1
33.9
84.8
(4.8)
(0.1)
10.1
4.4
14.4
3m
(100)
100
(29)
11.0
(0.0)
(2.1)
2.2
37.9
25.8
24.9
(1.1)
12.5
27.0
60.7
3.0
0.1
0.0
12.5
12.5
6m
(100)
100
(29)
19.8
0.1
(1.2)
3.3
39.7
33.1
19.7
(1.0)
19.8
19.9
42.4
8.2
0.5
0.0
8.8
8.8
1y
(100)
100
(29)
27.8
0.0
0.2
2.9
36.1
34.9
12.1
(0.7)
25.8
8.3
16.7
6.9
1.0
0.0
2.8
2.8
54.4
5.4
0.4
3.6
1.5
5.0
-15.0
3s5s
Spot
(100)
Source: Nomura
100
(19)
12
(3.0)
0.0
(1.0)
1.0
11.0
4.8
14.4
(1.0)
9.7
14.0
49.0
17
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure

Abs
Half
Exp.
Avg3
St
Dev
ZScore
%tile
Sprd4
13.0
9.1
11.9
(1.0)
12.3
11.6
41.3
5.8
13.8
11.6
9.7
(1.0)
15.7
9.3
29.6
6.4
13.2
12.8
5.9
(0.9)
23.0
5.0
10.7
Curr
1d
1w
1m
Avg
3m
(100)
100
(19)
12
1.4
0.0
(0.5)
1.4
6m
(100)
100
(20)
12
4.5
0.0
(0.0)
1.3
1y
(100)
100
(20)
13
8.2
0.0
0.6
0.5
-17.0
3s7s
Life5
Box Plot
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
0.5
0.0
4.4
4.4
0.9
0.0
3.1
3.1
4.5
1.6
0.0
1.6
1.6
61.0
Spot
(100)
100
(19)
3.5
0.0
(1.0)
1.0
20.8
14.4
17.2
(1.0)
14.1
17.3
46.8
6.3
0.4
5.4
2.1
7.5
3m
(100)
100
(19)
9.8
0.0
(0.4)
1.6
23.3
19.7
13.8
(1.0)
19.2
13.6
34.5
6.8
0.6
0.0
6.3
6.3
6m
(100)
100
(20)
13.9
0.1
0.2
1.6
24.1
22.0
11.2
(0.9)
24.6
10.2
25.4
7.0
0.9
0.0
4.1
4.1
1y
(100)
100
(20)
17.9
0.1
0.8
0.7
22.3
21.9
7.3
(0.6)
27.0
4.5
12.3
3.8
1.0
0.0
1.6
1.6
-18.0
3s10s
72.0
Spot
(100)
100
(19)
9.5
0.0
(1.0)
1.0
28.8
21.4
19.5
(1.0)
14.9
19.3
47.9
7.2
0.4
6.6
1.4
8.0
3m
(100)
100
(19)
16.3
0.0
(0.3)
1.8
31.1
26.9
15.6
(0.9)
21.2
14.8
35.3
7.3
0.6
0.0
6.8
6.8
6m
(100)
100
(20)
20.4
0.1
0.3
1.8
31.2
28.9
12.5
(0.9)
24.2
10.7
25.7
7.4
0.8
0.0
4.2
4.2
1y
(100)
100
(20)
23.6
0.0
1.0
0.8
27.4
26.9
8.2
(0.5)
29.0
3.8
12.6
3.4
0.8
0.0
1.0
1.0
-2.0
5s7s
22.0
Spot
(100)
100
(12)
6.5
0.0
0.0
0.0
9.8
9.5
3.9
(0.8)
25.6
3.3
13.5
2.2
1.1
1.8
0.6
2.4
3m
(100)
100
(12)
8.3
0.0
0.1
0.2
10.3
10.2
3.5
(0.6)
32.4
2.0
12.1
1.3
0.7
0.0
1.8
1.8
6m
(100)
100
(12)
9.3
0.0
0.2
0.3
10.3
10.2
3.4
(0.3)
38.9
0.9
11.9
0.6
0.3
0.0
1.0
1.0
1y
(100)
100
(13)
9.6
0.0
0.2
0.2
9.1
9.2
3.2
0.2
61.4
0.5
11.2
0.5
0.3
0.0
(0.0)
(0.0)
Spot
(100)
100
(12)
12.5
0.0
0.0
0.0
17.8
17.0
6.4
(0.8)
23.4
5.3
19.9
3.4
0.8
3.1
(0.1)
3.0
3m
(100)
100
(12)
14.8
0.0
0.2
0.4
18.1
17.7
5.5
(0.6)
29.4
3.2
16.3
2.1
0.6
0.0
2.3
2.3
6m
(100)
100
(12)
15.9
0.0
0.3
0.5
17.4
17.2
5.0
(0.3)
35.9
1.5
14.3
1.0
0.4
0.0
1.1
1.1
1y
(100)
100
(13)
15.3
0.0
0.4
0.3
14.1
14.2
4.6
0.3
63.0
1.2
11.8
1.0
0.4
0.0
(0.6)
(0.6)
Spot
(50)
(50)
(28)
28
(10)
(16.0)
0.0
0.5
(1.0)
(13.9)
(15.0)
6.7
(0.3)
46.5
2.1
36.9
(2.4)
(0.4)
3.9
0.0
3.9
3m
(50)
(50)
(28)
29
(10)
(13.0)
0.0
0.5
(0.5)
(10.1)
(10.8)
4.9
(0.6)
36.1
2.8
24.3
0.5
0.1
0.0
3.0
3.0
6m
(50)
(50)
(28)
29
(10)
(11.1)
0.0
0.1
(0.6)
(7.8)
(8.1)
3.5
(0.9)
18.8
3.3
15.2
2.4
1.2
0.0
1.9
1.9
1y
(50)
(50)
(27)
29
(10)
(8.8)
0.1
(0.6)
(0.5)
(5.7)
(5.8)
2.9
(1.1)
13.3
3.1
3.3
3.0
4.3
0.0
1.1
1.1
-3.0
5s10s
-30.0
1s2s3s
-32.0
1s2s5s
34.9
4.0
-1.4
Spot
(50)
(50)
(28)
28
(6)
(14.5)
0.0
1.0
(1.5)
(19.4)
(19.0)
4.6
1.1
82.7
4.9
14.3
5.5
2.2
2.1
(0.7)
1.4
3m
(50)
(50)
(28)
29
(6)
(13.7)
0.0
0.7
(1.2)
(16.6)
(16.4)
3.7
0.8
80.1
2.9
9.0
3.2
2.0
0.0
0.8
0.8
6m
(50)
(50)
(28)
29
(6)
(13.3)
(0.0)
0.1
(1.2)
(14.7)
(14.6)
3.2
0.4
68.1
1.3
6.5
1.4
1.3
0.0
0.4
0.4
1y
(50)
(50)
(27)
29
(6)
(12.9)
0.0
(0.9)
(0.7)
(12.3)
(12.3)
3.4
(0.2)
43.5
0.6
3.3
0.6
0.7
0.0
0.3
0.3
-35.5
1s3s5s
8.9
Spot
(50)
(50)
(28)
19
(6)
(25.5)
(0.0)
(1.0)
(2.5)
(15.8)
(20.7)
12.0
(0.8)
28.4
9.7
64.4
(6.1)
(0.5)
5.5
2.3
7.8
3m
(50)
(50)
(28)
19
(6)
(19.0)
(0.0)
(1.1)
(0.8)
(9.8)
(12.2)
9.0
(1.0)
16.3
9.2
38.2
1.4
0.2
0.0
6.5
6.5
6m
(50)
(50)
(28)
20
(6)
(14.0)
0.1
(1.4)
0.3
(6.2)
(7.4)
6.7
(1.2)
10.1
7.9
22.7
4.3
0.9
0.0
5.0
5.0
Source: Nomura
18
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
(50)
(50)
(27)
20
(6)
(8.7)
0.0
(1.8)
1.4
(3.6)
(3.9)
4.7
(1.1)
13.7
5.1
Structure
1y

Abs
Half
-17.0
2s3s5s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
7.7
4.7
2.5
0.0
2.1
2.1
3.6
Spot
(50)
(50)
(14)
19
(6)
(4.0)
(0.0)
(0.5)
(1.0)
(3.7)
(3.7)
2.3
(0.1)
43.3
0.3
4.3
0.2
0.3
(0.1)
0.8
0.7
3m
(50)
(50)
(14)
19
(6)
(3.4)
(0.0)
(0.7)
(0.5)
(3.1)
(3.1)
2.0
(0.2)
45.9
0.3
4.3
0.2
0.4
0.0
0.6
0.6
6m
(50)
(50)
(14)
20
(6)
(2.6)
0.0
(0.7)
0.1
(2.7)
(2.6)
1.6
0.0
52.6
0.0
3.1
0.1
0.3
0.0
0.8
0.8
1y
(50)
(50)
(14)
20
(6)
(2.0)
(0.0)
(0.7)
0.8
(2.3)
(2.3)
1.7
0.1
55.4
0.2
1.7
0.2
0.8
0.0
0.1
0.1
-13.2
2s5s7s
26.5
Spot
(50)
(50)
(14)
12
(4)
(10.3)
(0.0)
(1.5)
(0.0)
2.4
(6.7)
12.3
(1.0)
10.5
12.7
94.4
(0.8)
(0.1)
2.6
1.9
4.5
3m
(50)
(50)
(14)
12
(5)
(6.1)
(0.0)
(1.2)
0.8
4.8
(1.1)
10.2
(1.1)
8.3
10.9
71.3
1.5
0.1
0.0
4.1
4.1
6m
(50)
(50)
(14)
12
(5)
(2.8)
0.0
(0.9)
1.2
6.0
2.6
8.4
(1.0)
8.3
8.8
49.1
3.5
0.4
0.0
3.4
3.4
1y
(50)
(50)
(14)
13
(5)
1.4
0.0
(0.2)
1.2
6.4
5.7
5.4
(0.9)
17.6
5.0
16.4
4.2
1.3
0.0
1.7
1.7
-17.0
2s5s10s
23.5
Spot
(50)
(50)
(14)
12
(3)
(13.3)
(0.0)
(1.5)
(0.0)
(1.6)
(8.7)
11.5
(1.0)
11.9
11.7
81.2
0.8
0.1
2.0
2.3
4.2
3m
(50)
(50)
(14)
12
(3)
(9.4)
(0.0)
(1.2)
0.7
0.9
(3.9)
9.8
(1.0)
10.9
10.2
61.8
2.7
0.3
0.0
3.9
3.9
6m
(50)
(50)
(14)
12
(3)
(6.0)
0.0
(0.9)
1.1
2.5
(0.4)
8.3
(1.0)
10.9
8.5
43.3
4.0
0.5
0.0
3.3
3.3
1y
(50)
(50)
(14)
13
(4)
(1.4)
0.0
(0.3)
1.1
3.9
3.2
5.7
(0.9)
14.5
5.4
15.6
4.4
1.4
0.0
2.0
2.0
Notes
1. Butterflies are 50/50-weighted and curves are 1-to-1.
current
min
25th
percentile
Source: Nomura
max
avg
75th percentile
19
INR (NDOIS) Conventional Spread Report
Best Information Ratio - 1y Forward 1s2s (100/-100)
Highest Z-Score - 1y Forward 5s10s (100/-100)

27
14
9
Lowest Z-Score - 1y Forward 1s2s (100/-100)

14
9
22
4
17
(1)
(6)
(1)
(6)
12
(11)
(11)
7
(16)
(16)
(21)
Spot 1s2s (100/-100)
(21)
Spot 1s3s (100/-100)
Spot 1s5s (100/-100)

81
10
29
61
(1)
41
9
(11)
21
(12)
(21)
(31)
1
(19)
(32)
(41)
(39)
(52)
(51)
(59)
(61)
(72)
Spot 2s3s (100/-100)
(79)
Spot 2s5s (100/-100)
Spot 3s5s (100/-100)
27
64
22
54
17
44
12
34
24
14
(3)
(8)
(6)
(13)
(16)
(6)
(18)
(26)
(16)
44
34
24
14
4
Source: Nomura
20
INR (NDOIS) Conventional Butterfly Report

26
(7.5)
(7.5)
(12.5)
(12.5)
(17.5)
(17.5)
(22.5)
(22.5)
21
16
11
6
1
(4)
(27.5)
(27.5)
(32.5)
(32.5)
Spot 1s2s3s (50/50)
(9)
(14)
Spot 1s2s5s (50/50)
Spot 1s3s5s (50/50)

4
(1)
(8)
(1)
(6)
(6)
(13)
(11)
(11)
(18)
(16)
(16)
(21)
(23)
(21)
(26)
(26)
(28)
(31)
(33)
Spot 2s3s5s (50/50)

2
16
11
(8)
6
1
(13)
(18)
(36)
Spot 2s5s7s (50/50)

26
21
(3)
(31)
(4)
Spot 2s5s10s (50/50)

23
18
13
8
3
(3)
(8)
(9)
(13)
(14)
(18)
Source: Nomura
21
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore

Abs
%tile
Half
Sprd4
23.3
1s2s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
214.9
Spot
100
(82)
56
(23)
173.3
(0.4)
0.3
(1.2)
159.5
176.6
26.5
0.5
54.4
13.8
85.7
(33.1)
(1.3)
(13.5)
(3.8)
(17.3)
3m
100
(78)
56
(22)
188.6
(0.4)
(0.3)
(5.1)
179.1
186.2
19.5
0.5
55.2
9.5
43.4
(11.1)
(0.7)
0.0
(15.1)
(15.1)
6m
100
(82)
55
(24)
149.0
(0.5)
0.2
(5.3)
141.6
145.6
13.9
0.5
59.0
7.4
31.5
(2.7)
(0.3)
0.0
(10.3)
(10.3)
1y
100
(94)
54
(27)
52.0
(0.2)
1.7
(2.6)
44.6
45.7
8.6
0.9
74.3
7.3
13.1
5.6
1.3
0.0
(4.1)
(4.1)
26.5
1s3s
275.9
Spot
100
(75)
56
(14)
230.4
(0.5)
1.5
(2.0)
207.5
234.0
36.4
0.6
62.0
22.9
91.6
(44.6)
(1.3)
(16.9)
(6.3)
(23.2)
3m
100
(71)
56
(14)
241.6
(0.5)
0.7
(7.2)
226.0
237.4
26.8
0.6
60.0
15.5
49.1
(15.8)
(0.7)
0.0
(20.1)
(20.1)
6m
100
(76)
55
(15)
189.7
(0.7)
1.0
(8.0)
178.1
184.9
20.0
0.6
64.4
11.7
37.4
(5.2)
(0.4)
0.0
(14.4)
(14.4)
1y
100
(92)
54
(18)
65.9
(0.3)
2.2
(5.2)
56.0
58.3
12.9
0.8
73.7
9.9
20.2
6.2
0.8
0.0
(5.8)
(5.8)
37.3
1s5s
323.5
Spot
100
(72)
56
(9)
256.6
(0.6)
2.0
(3.5)
225.2
260.1
46.3
0.7
66.2
31.5
93.5
(49.3)
(1.1)
(19.8)
(7.4)
(27.2)
3m
100
(65)
56
(8)
276.2
(0.7)
0.6
(9.4)
255.6
271.0
34.2
0.6
59.6
20.6
52.4
(18.2)
(0.6)
0.0
(23.5)
(23.5)
6m
100
(70)
55
(9)
224.9
(0.8)
0.5
(10.3)
209.7
219.3
26.2
0.6
64.4
15.1
40.8
(6.5)
(0.3)
0.0
(16.8)
(16.8)
1y
100
(88)
54
(11)
86.3
(0.4)
1.4
(6.6)
74.6
78.4
17.0
0.7
74.1
11.7
25.6
5.8
0.5
0.0
(7.2)
(7.2)
-10.3
2s3s
78.6
Spot
100
(92)
28
(18)
69.8
(0.2)
1.5
(1.0)
58.8
65.3
12.5
0.9
84.2
11.1
59.2
(2.6)
(0.2)
(4.2)
(3.1)
(7.3)
3m
100
(91)
29
(18)
68.2
(0.1)
1.2
(2.7)
60.5
64.4
9.7
0.8
78.7
7.7
44.0
(1.3)
(0.2)
0.0
(6.5)
(6.5)
6m
100
(93)
29
(18)
49.9
(0.2)
0.9
(3.3)
44.6
46.8
7.6
0.7
71.9
5.3
32.0
0.2
0.0
0.0
(5.0)
(5.0)
1y
100
(97)
29
(19)
14.7
(0.1)
0.6
(2.8)
12.0
12.3
5.3
0.5
67.1
2.7
8.2
2.3
1.1
0.0
(1.8)
(1.8)
0.2
2s5s
140.0
Spot
100
(87)
28
(11)
101.9
(0.3)
2.1
(2.9)
80.3
96.8
24.9
0.9
83.3
21.6
77.0
(8.1)
(0.3)
(7.7)
(4.4)
(12.1)
3m
100
(84)
29
(10)
112.8
(0.3)
1.2
(5.5)
98.6
106.9
19.3
0.7
72.5
14.2
49.0
(2.6)
(0.2)
0.0
(10.9)
(10.9)
6m
100
(86)
29
(11)
92.8
(0.4)
0.4
(6.2)
83.3
88.0
15.3
0.6
68.3
9.5
35.5
0.5
0.0
0.0
(8.0)
(8.0)
1y
100
(93)
29
(12)
36.4
(0.2)
(0.3)
(4.2)
31.8
32.9
9.9
0.5
65.0
4.6
14.7
3.1
0.6
0.0
(3.3)
(3.3)
-14.9
2s7s
146.8
Spot
100
(86)
28
(8)
109.1
(0.3)
2.0
(3.3)
85.8
101.5
26.8
0.9
82.7
23.4
67.6
(7.3)
(0.3)
(9.4)
(4.9)
(14.3)
3m
100
(84)
29
(8)
111.5
(0.3)
1.0
(5.9)
96.1
103.9
20.6
0.7
73.9
15.4
43.9
(1.7)
(0.1)
0.0
(12.4)
(12.4)
6m
100
(86)
29
(8)
85.2
(0.4)
0.3
(6.5)
74.9
79.4
16.4
0.6
69.5
10.3
32.4
1.2
0.1
0.0
(8.9)
(8.9)
1y
100
(94)
29
(9)
19.4
(0.2)
(0.5)
(4.2)
14.5
15.6
11.0
0.4
68.9
4.9
15.2
3.3
0.5
0.0
(3.3)
(3.3)
-27.6
2s10s
154.6
Spot
100
(84)
28
(6)
114.0
(0.3)
1.9
(3.6)
89.8
106.0
28.4
0.9
81.3
24.2
65.6
(6.6)
(0.2)
(10.5)
(4.3)
(14.8)
3m
100
(83)
29
(6)
113.2
(0.3)
0.9
(6.3)
97.4
105.5
21.7
0.7
74.3
15.8
43.3
(1.8)
(0.1)
0.0
(12.9)
(12.9)
6m
100
(86)
29
(6)
83.1
(0.4)
0.1
(6.7)
72.8
77.4
17.2
0.6
69.5
10.4
32.3
1.3
0.1
0.0
(9.0)
(9.0)
1y
100
(95)
29
(7)
8.8
(0.1)
(0.6)
(4.1)
4.0
5.1
11.6
0.4
70.3
4.8
15.6
3.4
0.5
0.0
(2.8)
(2.8)
47.4
3.6
0.3
(3.8)
(1.5)
(5.3)
-13.3
3s5s
Spot
100
Source: Nomura
(95)
19
(11)
34.9
(0.1)
0.7
(2.0)
23.5
28.9
13.8
0.8
83.8
11.4
67.5
22
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model

Abs
Half
Exp.
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
3m
100
(93)
19
(11)
49.0
(0.2)
(0.0)
(3.1)
41.9
44.8
10.9
0.7
69.9
7.2
31.7
2.4
6m
100
(93)
20
(11)
46.2
(0.2)
(0.5)
(3.1)
41.7
43.2
8.6
0.5
64.0
4.6
21.9
2.3
1y
100
(96)
20
(12)
22.2
(0.1)
(0.9)
(1.5)
20.3
20.7
5.3
0.4
64.2
1.9
8.6
Structure
-18.4
3s7s
Life5
Box Plot
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
0.3
0.0
(4.8)
(4.8)
0.4
0.0
(3.3)
(3.3)
1.5
0.7
0.0
(1.6)
(1.6)
74.9
Spot
100
(93)
19
(8)
42.9
(0.1)
0.5
(2.5)
29.5
34.9
16.1
0.8
77.9
13.4
40.4
3.7
0.3
(5.7)
(2.0)
(7.6)
3m
100
(92)
19
(8)
47.6
(0.2)
(0.2)
(3.6)
39.1
41.9
12.6
0.7
69.3
8.5
27.8
2.8
0.3
0.0
(6.5)
(6.5)
6m
100
(93)
20
(9)
38.0
(0.2)
(0.7)
(3.4)
32.7
34.2
10.1
0.5
66.7
5.4
20.6
2.7
0.4
0.0
(4.2)
(4.2)
1y
100
(97)
20
(9)
4.8
(0.1)
(1.1)
(1.4)
2.6
3.0
7.0
0.3
68.7
2.2
11.3
1.7
0.5
0.0
(1.6)
(1.6)
-34.2
3s10s
83.5
Spot
100
(92)
19
(6)
48.2
(0.2)
0.4
(2.9)
33.8
40.0
18.0
0.8
76.1
14.3
40.7
3.8
0.3
(6.9)
(1.4)
(8.2)
3m
100
(91)
19
(6)
49.4
(0.2)
(0.4)
(4.0)
40.5
43.7
14.0
0.6
69.5
8.9
28.4
2.7
0.3
0.0
(7.0)
(7.0)
6m
100
(92)
20
(6)
35.8
(0.2)
(0.9)
(3.7)
30.3
32.1
11.2
0.5
67.5
5.5
21.2
2.7
0.4
0.0
(4.2)
(4.2)
1y
100
(98)
20
(7)
(6.1)
(0.1)
(1.2)
(1.4)
(8.2)
(7.8)
7.9
0.3
67.3
2.1
12.1
1.7
0.4
0.0
(1.0)
(1.0)
-27.7
5s7s
Spot
100
3m
6m
1y
18.0
(98)
12
(9)
8.3
(0.0)
(0.1)
(0.5)
6.3
6.5
3.6
0.6
67.3
2.0
12.0
1.1
0.6
(1.9)
(0.6)
(2.5)
100
(99)
12
(9)
(1.6)
(0.0)
(0.2)
(0.5)
(3.0)
(2.8)
3.5
0.4
65.6
1.4
11.8
0.7
0.4
0.0
(1.8)
(1.8)
100
(100)
12
(9)
(8.8)
(0.0)
(0.2)
(0.4)
(9.7)
(9.7)
3.4
0.3
60.0
0.9
11.9
0.5
0.3
0.0
(1.0)
(1.0)
100
(101)
13
(9)
(18.3)
0.0
(0.2)
0.1
(18.6)
(18.6)
3.2
0.1
51.2
0.3
10.8
0.3
0.2
0.0
0.0
0.0
-44.3
5s10s
31.3
Spot
100
(96)
12
(7)
13.9
(0.1)
(0.3)
(0.8)
10.8
11.5
5.8
0.5
68.3
3.0
16.9
1.4
0.4
(3.2)
0.1
(3.1)
3m
100
(98)
12
(7)
0.4
(0.1)
(0.3)
(0.9)
(1.5)
(1.1)
5.3
0.4
65.6
1.9
15.3
0.7
0.2
0.0
(2.4)
(2.4)
6m
100
(99)
12
(7)
(11.2)
(0.0)
(0.3)
(0.7)
(12.2)
(12.1)
5.0
0.2
62.8
1.0
14.2
0.6
0.2
0.0
(1.1)
(1.1)
1y
100
(102)
13
(7)
(29.6)
0.0
(0.3)
0.2
(29.8)
(29.9)
4.6
0.0
47.5
0.2
11.3
0.4
0.2
0.0
0.6
0.6
-29.2
1s2s3s
-2.4
Spot
(34)
(66)
(19)
28
(13)
(9.1)
0.0
1.0
(0.3)
(12.3)
(12.2)
2.8
1.2
85.4
3.2
8.0
3.4
2.9
1.6
(0.9)
0.7
3m
(36)
(66)
(20)
29
(13)
(18.5)
0.1
1.0
(0.1)
(20.7)
(20.7)
2.0
1.1
85.6
2.2
5.7
2.3
3.3
0.0
0.7
0.7
6m
(38)
(64)
(21)
29
(13)
(22.3)
0.0
0.6
(0.3)
(23.1)
(23.1)
1.4
0.6
71.5
0.8
2.8
0.9
2.8
0.0
0.4
0.4
1y
(40)
(60)
(22)
29
(12)
(11.7)
0.1
(0.3)
(0.7)
(10.5)
(10.5)
2.3
(0.6)
27.2
1.3
2.2
1.2
2.7
0.0
0.6
0.6
-57.6
1s2s5s
-1.0
Spot
(54)
(49)
(30)
28
(6)
(35.7)
0.1
1.0
(1.0)
(40.4)
(40.3)
4.4
1.1
83.1
4.7
13.6
5.8
2.4
2.9
(0.4)
2.5
3m
(57)
(47)
(32)
29
(6)
(43.2)
0.1
0.8
(0.2)
(45.8)
(45.8)
3.1
0.8
78.9
2.6
6.3
3.1
2.8
0.0
2.4
2.4
6m
(59)
(45)
(32)
29
(6)
(39.3)
0.1
0.1
(0.1)
(39.9)
(39.9)
2.5
0.2
58.0
0.6
3.8
0.8
1.2
0.0
1.8
1.8
1y
(58)
(42)
(32)
29
(5)
(13.7)
0.1
(1.1)
(0.4)
(11.5)
(11.6)
3.2
(0.7)
23.6
2.2
3.1
2.1
2.6
0.0
0.9
0.9
-56.5
1s3s5s
5.1
Spot
(29)
(74)
(16)
19
(9)
(40.4)
0.1
0.1
(1.0)
(42.6)
(42.6)
3.5
0.6
74.5
2.2
6.8
2.8
2.2
2.0
0.7
2.7
3m
(31)
(72)
(18)
19
(9)
(37.6)
0.0
(0.2)
(0.2)
(38.3)
(38.4)
2.7
0.3
59.2
0.7
4.3
1.0
1.3
0.0
2.6
2.6
6m
(32)
(70)
(18)
20
(9)
(26.6)
0.1
(0.7)
0.3
(26.3)
(26.3)
2.4
(0.1)
44.5
0.3
3.4
0.1
0.2
0.0
2.2
2.2
Source: Nomura
23
Risk Wtg1
Notionals2
Change (bp)
2-Year
Model
Structure
1y

Abs
Curr
1d
1w
1m
Avg
Avg3
St
Dev
ZScore
%tile
Sprd4
(30)
(70)
(16)
20
(9)
(3.3)
(0.0)
(1.3)
0.5
(1.8)
(1.8)
2.5
(0.6)
25.4
1.5
Half
-32.1
2s3s5s
Life5
Box Plot
Exp.
3m RD&C
Info
Return6 Ratio7
Cry
RD
RD&C8
2.7
1.5
2.6
0.0
0.6
0.6
10.7
Spot
(55)
(48)
(15)
19
(6)
(20.8)
0.0
(0.5)
(0.5)
(20.5)
(20.5)
1.9
(0.2)
38.7
0.4
3.2
0.2
0.5
0.4
1.0
1.4
3m
(56)
(46)
(16)
19
(6)
(13.6)
(0.0)
(0.7)
(0.1)
(12.9)
(12.9)
1.7
(0.5)
30.4
0.7
3.3
0.6
1.6
0.0
1.2
1.2
6m
(55)
(45)
(16)
20
(6)
(4.9)
0.0
(0.8)
0.3
(4.3)
(4.3)
1.4
(0.5)
29.4
0.7
2.5
0.6
2.3
0.0
1.2
1.2
1y
(51)
(48)
(15)
20
(6)
3.7
(0.0)
(0.8)
0.7
4.1
4.1
1.6
(0.3)
37.9
0.4
1.6
0.4
1.5
0.0
0.1
0.1
-28.5
2s5s7s
8.5
Spot
(7)
(92)
(2)
12
(8)
0.5
(0.0)
(0.3)
(0.2)
0.1
0.2
2.8
0.1
56.8
0.4
9.2
(0.0)
(0.0)
(1.3)
(0.2)
(1.5)
3m
(6)
(94)
(2)
12
(9)
(8.8)
(0.0)
(0.2)
(0.1)
(9.2)
(9.2)
3.0
0.1
55.8
0.4
10.8
0.1
0.1
0.0
(1.0)
(1.0)
6m
(6)
(94)
(2)
12
(9)
(14.4)
(0.0)
(0.2)
0.1
(14.6)
(14.6)
3.0
0.1
50.0
0.2
11.5
0.1
0.1
0.0
(0.4)
(0.4)
1y
(9)
(93)
(3)
13
(9)
(19.9)
0.0
(0.1)
0.4
(19.8)
(19.9)
2.8
(0.0)
45.3
0.1
10.1
0.0
0.0
0.0
0.3
0.3
-41.9
2s5s10s
12.9
Spot
(13)
(86)
(4)
12
(6)
(0.4)
(0.0)
(0.5)
(0.4)
(0.4)
(0.3)
4.1
(0.0)
55.0
0.0
12.1
0.5
0.2
(1.9)
0.6
(1.2)
3m
(11)
(88)
(3)
12
(6)
(12.5)
(0.0)
(0.4)
(0.2)
(12.6)
(12.6)
4.3
0.0
50.8
0.1
13.4
(0.3)
(0.1)
0.0
(0.9)
(0.9)
6m
(11)
(90)
(3)
12
(6)
(20.1)
0.0
(0.4)
0.0
(20.0)
(20.0)
4.3
(0.0)
43.7
0.1
13.3
0.1
0.1
0.0
(0.1)
(0.1)
1y
(11)
(92)
(3)
13
(7)
(30.6)
0.0
(0.2)
0.6
(30.3)
(30.4)
4.1
(0.1)
45.1
0.3
10.5
0.0
0.0
0.0
0.9
0.9
Notes
1. Principal Component Analysis (PCA) is performed using rolling 2-year INR rates; risk weights are determined so that the trades are level/slope neutral
current
min
25th
percentile
Source: Nomura
max
avg
75th percentile
24
INR (NDOIS) PCA-Weighted Spread Report
Best Information Ratio - 1y Forward 1s2s (-100/94)

63
Highest Z-Score - Spot 2s3s (-100/92)

(20)
72
58
67
(25)
53
62
48
57
43
52
38
47
33
42
28
37
23
32
Spot 1s2s (-100/82)

192
(30)
(35)
(40)
(45)
Spot 1s3s (-100/75)

248
172
162
228
249
208
229
152
209
188
142
189
132
168
169
122
148
112
102
129
Spot 2s5s (-100/87)

118
Fitted Residual - Factor 1

60.0
120.0
40.0
100.0
108
98
42
48
37
38
32
28
0.0
(20.0)
-12.3
58
-11.1
68
47
80.0
-8.8
52
20.0
3.0
78
13.8
88
57
25.1
62
149
128
Spot 2s3s (-100/92)
67
Spot 1s5s (-100/72)
269
182
72
Lowest Z-Score - 1y Forward 5s10s (-100/102)
60.0
40.0
20.0
(40.0)
0.0
(60.0)
1y
2y
3y
5y
7y
10y
Source: Nomura
25
INR (NDOIS) PCA-Weighted Butterfly Report

(2.7)
(2.7)
(17)
(19)
(7.7)
(7.7)
(12.7)
(12.7)
(17.7)
(17.7)
(22.7)
(22.7)
(21)
(23)
(25)
(27)
(29)
(31)
Spot 1s2s3s (34/66)

(3)
(33)
Spot 1s2s5s (54/49)
Spot 1s3s5s (29/74)
(25)
(37)
(30)
(8)
(35)
(13)
(42)
(40)
(47)
(45)
(18)
(52)
(50)
(23)
(55)
Spot 2s3s5s (55/48)
Spot 2s5s7s (7/92)

9
(17)
(19)
6.0
3.3
2.0
-2.3
(6)
(31)
-0.9
0.0
(2.0)
-1.1
-0.4
1.3
(1)
(27)
(33)
10.0
4.0
(23)
(29)
Fitted Residual - Factors 1 & 2
8.0
(21)
(25)
(57)
(4.0)
(6.0)
(11)
(8.0)
(10.0)
1y
2y
3y
5y
7y
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
10y
Source: Nomura
26
Nomura | Rates RV Analytics
Disclosure Appendix A-1

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