EFTA01362045.pdf

Deutsche Bank Securities Ini. Closed Trade Recommendations Trade Detail Rationale Risks Opened Entry Closed bdt P/L Inflation Underweight 30yr TIPS 30yr tends to cheapen ahead of 6/5/16 +11 bp +12 by -60k 30yr outperforms 6/17115 supply Inflation Short 1/2026 breakevens vs Syr and 6/I 1/15 +5 by +306k lOs look rich: sell the rich 1/2026s lOs richen further 1/23/15 +15 bp 3thp breakevens .._ Inflation Long 30yr TIPS breakevens versus 10s-30s breakeven curve appears too Long term inflation 6/5/16 6.54 bp 11/26/14 +16 bp 162K 10yr TIPS breakevens flat on a long term basis expectations decline Being long 2019 BEs versus 2016 BEs 2019 breakevens drop Inflation Long 2019 TIPS breakevens versus has positive carry, and is less 2/25/16 +22 bp +4,014k more than 2016 11/26/14 +41 bp 2016 TIPS breakevens correlated with energy prices than 1yr breakevens BEs Inflation Long 30yr TIPS breakevens Bond TIPS look cheap on a relative Inflation expectations 2.08% 12/9/14 1.97% -1,171k 10/17/14 value basis decline Further cheapening of the Inflation Buy 2023 TIPS vs. 7/2019 and 1/2025 The intermediate sector in inflation belly in inflation markets 12/6/13 +38 bp 12/19/14 +8 bp +2,263k TIPS on ASW markets is cheap relative to the wings relative to the wings Inflation Long 2y2y inflation swap 2y2y inflation looks attractive on Forward inflation falls 10/3/14 2.1% 12/9/14 historical basis 2.0% -309k Swaps The spread between 6yr5yr inflation inflation Sell the 5yr5yr inflation swaps swaps and 5yr5yr TIPS breakevens is 5yr5yr inflation swaps 11/7/14 2.58% 12/18/14 2.43% rise +1,361k Swaps wide. Selling the 5yr5yr inflation swaps looks attractive. Buy Si 00mn 6M 2yly 25bp OTM MC Option payers vs. Sell 100mn 1Y 4Y1Y 45bp Curve flattens on a hawkish FOMC Curve bear steepens 9/12/14 Ott 3/11/16 -0.74 -32k OTM MC payers at zero net cost Sell $100mn 6M5Y ATMF vs. buy Rates sell off half-way Option $200mn 6M5Y 30bp OTM payers at Skew trades rich in a sell-off and stay there till the 9/12/14 0 bp 3/11/16 0.0 bp -2k zero net cost expiry Mid-curva payer Sell $100mn 1Y 5Y5Y has a limited upside while 1Y2Y o pdon 22YggniAnTkAr papyaeyri:rirovrst.hb euy could see significant repricing due to The curve bear steepens 3/14/14 -184 3/13/15 0.04 +184k I mit crs7Fve adjustments of monetary policy net takeout of 28c Conditional bull steepeners: Sell $32.8mn 3M10Y ATMF receivers vs. Front-end gets re-priced in a delayed Curve bull flattens; 0 bp 9/26/14 -1 bp 12/30/14 +18k buy $100mn 3M3Y ATMF receivers at Fed hike unlimited downside net takeout lc Rally below th option Buy f3M3Y or zeroAne TMt F/11.5bp receiver Short-term risk off and short covering breakevens;unlimited e 9/26/14 0 bp 12/30/14 0 bp +29k spre1X2ads downside Buy $1,000mm 6m single reset cap on Carry pays for option, repriced fed Curve flattening, max 11/2W14 0 bp 5/2W14 +9 by -876k °Ok CMS10-CMS5 strike 891)9for 9.76c suggests 6y outperformance loss premium Sell $1COmn 3M5Y straddles vs. buy Option $100mn 3M5Y 22bp OTM payers for No big changes in vol near term Rates rally 9/19/14 -100 by 12/3W14 0 by +1,028k net takeout of 100c. 5O n Decant* Sn CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051342 CONFIDENTIAL SDNY_GM_00197526 EFTA01362045