EFTA01385917.pdf

-o 'Other Current Recommendations a Trade Detail Rationale Risks Opened Entry Current PR. Treasury Sell the rich classic bond futures versus Sell rich bond futures against Classic bond futures bonds off-the-run bonds in the 2026 to 2028 11/26/14 +21 by +12 by 4337k RV chess off-the-run richen sector Treasury Short ultra long futures vs 30s Ultra long futures are rich Ultra continue to richen 6112/14 +12 bp +6 by +480k RV Inflation Short 1/2026 breakevens vs 6w +0 bp les look rich; sell the rich 1/20268 10s richen further 1/23/15 +15 bp +228k and 30yr breakevens Inflation Long 30yr TIPS breakevens 10s-30s breakeven alive appears too flat Long term inflation +6 bp 11/26/14 +16 bp 489k versus 10yr TIPS breakevens on a long term basis expectations decline Inflation Long 1/2029 breakevens vs 10w 10w TIPS to 1/2029 breakeven curve is too 1/2029 breakeven 10/3/14 +2 by -2 bp +206k breakevens flat cheapen further The long end inflation market looks Long term inflation 1.91% Inflation long 30yr TIPS breakevens undervalued; 30yr TIPS breakevens 1.91 near 1 O 2 / 14 % -862k expectations decline multi-year lows We like being long 2yr2yr or 2yr3yr Inflation forward breakevens to take advantage of Medium term inflation long 2yr2yr inflation swaps 12/1 14 1.77% 2.04% +2A67k Swaps cheap 5s, while avoiding negative carry in expectations decline front end TIPS Reform bill stalls in Buy long-dated GSE debt: Legislative momentum of Johnson-Crapo Congress or language +40 bp Agencies Buy 6100mm FNMA 6.625 on GSE reform is credit bullish for long- 3/14/14 +48 by +2,0301c on government 11/30s vs. T 6.326 2/31s dated GSE debt. guarantee modified. Receive $100m 3y3y SIFMA Further ratio curve Muni Attractive roll down profile 4/25/13 78.2% 77.8% +690k ratio at 78.2%. (Sorid) steepening Rally below the I X2 IY 5Y5Y ATMF/41 receiver Long-end rallies on premature or fast rate Option breakevens; unlimited 9/26/14 04 -87.8s -1.004k spreads oneness hikes (policy mistake) _ downside Buy $100mn 6M 2yly 25bp OTM MC payers vs. Sell 100mn ° PtiCHI Curve flattens on a hawkish FOMC Curve bear steepens 9/12/14 04 -0.64 -6k lY 4Y1Y 45bp OTM MC Payers at zero net cost Sell $100mn 6M5Y ATMF vs. Rates sell off half-way Option buy S200mn 6M5Y 30bp OTM Skew trades rich in a sell-off and stay there till the 9/12/14 0 bp 0.0 bp -2k payers at zero net cost expiry Buy Slbn 6M 58/10s ATMF/15 Deutsche Bank Securities Inc Curve flattens beyond curve cap spread vs. sell SIbn Curve steepens as the market converges the floor strike; 9/5/14 CiPtim 6M 5s/l0s 6bp OTM curve floor to Fed unlimited downside at zero net cost Seuret Ostiab• an CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087385 CONFIDENTIAL SDNY_GM_00233569 EFTA01385917