EFTA01362009.pdf

Deutsche Bank Securities Inc. Other Current Recommendations Cont'd Trade Detail Rationale Risks Opened Entry Current P/L Buy $100mn 2Y2Y ATMF receivers vs. sell $22.7mn Trend growth and low inflation Recessionary mode with I0/3/13 -6 by -99 bp -926k ° Pticm 2TIOY ATMF receivers for the net takeout of $56K limit the rise of long rates bull flattening of forwards Payer spin& Sell $500mn 2Y2Y 92bp OTM payers Vol differential is favorable for Option vs. buy $60mn 2Y30Y 26bp OTM payers at zero net initiating a positive carry bear The curve bear flattens 1/2/14 +2 bp -0 bp -25k cost steepening trade Swaps Receive $1,023.4mm 2yly rate versus pay Positive carry look at repricing The alive beet steepens 5/20/14 +96 bp Ry $ I ,002.7mm lyly rate Fed +95 bp +2,305k Swaps Receive $1,023.4mm 2yly rate versus pay $431.2mm Further rally via Fed delay 2yly underperformance 5/20/14 -10 by -17 bp +406k Rv ly1y rate and $597mm 3y1y rate benefits 2yl y rate by rate, 10y forward is ~ape Fonvardlly: Pay fixed on $298.6 mm 10ffly versus historically rich versus 5y rate, Further lOy6y 4/29/14 +22 bp -416k Ry receive fixed on $72.9 mm 6y6y and $267.6 mm 16y6y 6y forward and 6y rate, outperformance +21 bp 16yfoward Cross Buy $10m each of SPNTAB 2.96% 3/16; SPABOL Risk-on retightening of Bank credit underperforms; +26 bp +30 by mada t covered bonds in stable rates gi.krpzope credit 7/25/13 +37 bp +26 bp -930k 2.625%5/16; DNBNOR 2.90%3/16 on ASW. (Sorid) regime Widening in a rate selloff +31 bP +31 bp c ross US-Europe spread tightener. Receive fixed in $244 mm USD 5yby rate vs. pay fixed on 5165.8mm EUR 5y5y US recovery disappoints Spread widens 1/24/14 +127 bp +136 bp -10k Market rate P/L as of 09/03/2015 prices. We starred ',eking the~Iceman:* of eee reeds reØmendaØs on June la .2070 This tab. Leave our anent open recommendation1, a bible ofo4e, clew/pautens is in the beck of this ptiteieeeen. eØ =In voil Da a regular Senn in eh* WeWdy. Perteernence tureen ere Used on reader encbol-ctry mares. end ele nor Induct. bicUollet weed. oe tratoseeen mete We consider &re relevant bencevneek for WI awes to be e awe ~on given le» lonvegect oe by ~Met neutral upsets of Thine twin Material perfeemenee is not • guarantee of Aeon paeforrnanese Sous,* Deuxee Bra CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051306 CONFIDENTIAL SDNY_GM_00197490 EFTA01362009