EFTA01385976.pdf

Cloa,:d 'Flack Recomrnendatiorts Cont'd a Trade DeteN Rationale Risks P/L Opened Entry Closed Exit Carry pays for option, repriced Buy $1,00Ornm 6m single reset cap on Curve flattening, max loss 5/20/14 +9 bp 11/20/14 0 bp -876k ° Pdca CMS10•CMS5 strike 89bp for 9.75c fed suggests 5y premium outperlomiance Sell $100mn 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 12/30/14 0 by +1,028k net takeout of 100c. Bellryo 2nye lecy,s2r an 16 payer ladder at z P posstenica ngrry bearish rates Higher gamma; rates rally 4/5/13 0 bp 10/9/14 +92 bp +991k Opdon t. itio if Option Buy S342m1lirn3y AlMF+2bbp payer and sell $113m 18m10y ATMF467.6bp Fed tapers in 2013 Curve steepens and rates rise 6/16/13 +147 bp 10/9/14 +127 bp +639k payer. (Kock) Option Buy $207mm 3m5y receiver ATMF - 25 High payout ratio for exposure Market sell off. max loss net 8/19/14 +0 by bp, sell 207mm 3m5y receiver ATMF - 6/20/14 +17 by -339k to delayed Fed premium 60 by at 16.76 bp premium Sell $100mn 1Y2Y ATMF receivers vs. 5s lead the way in a rally as rate Opdort ba Bull steepening in 2s/5s 10/3/13 0 bp 10/3/14 0 bp +7k hikes are taken out at zero net cost The risk of weak data and/or Buy 5880mn lY 58/30s ATMF curve more aggressive forward Opt " Short term flattening sell off 9/13/13 0 bp 3/14/14 +229 bp +2441k O caTZlnpa.yseerisi Si at net znero 1Wt. I I bP gstueieditnnceerbe:ileme:loawdownsof (Kocic) growth puts an upper limit on the 10Y sector ni Receive $208.2mm 6m6y rate versus 15y par rateFed crnby exposed nch,with Swaps n•p pay 6292.9mm 10y6y rate ca to repricing positive Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k Cross Receive 158m ly5y EUR and pay 773m ECB cuts the depo rate further Forward curve steepens 5/16/13 +84 bp 5/16/14 +55 bp market 1y1y EU. (Sparks) +2,963 Cron Receive 3y1yJPY and pay ly1y JPY Recent sell-off in Japan US rate outperforms 5/16/13 +44 by 4/22/14 +8 by "ism (Sparks) +4,676k Sane DeutsaMira Rot:mono* main ay lett one's infokfry nada al eon inachStile wrap* or inrarcebn cat I* 0a OMmina bindinter* ant 0WSM0 MVOP0MO% gIninVwNveregatce gentea MONMall.IPISC/aig•VOSS MactIcepwrowne•n pent oftine pertarrence • CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087444 CONFIDENTIAL SDNY_GM_00233628 EFTA01385976