EFTA01362046.pdf

2014 Outlook Closed Trades Trade Detail Rationale Risks Opened Entry Closed Exit P/L ly 3810s conditional bearish flattener The curve should bear flatten for zero premium: Buy ly3y + 25 bp as soon the Fed tapers and Curve steepens as rates rise 12/6/13 +212.5 bp 12/19/14 +17 bp Ok payer, sell DV01 weighted 1y10y front end sells off +41.5 bp payer for zero premium. o ption Receiver spreads: Buy $100mm 2y2y Macro data disappoints, curve Rates rise as recovery 12/6/13 +28 bp 12/19/14 +29 bp +19k ATMF/25 bp receiver spreads at 28 bpbull flattens strengthens Contingent payers: Buy ly30y ATMF Rate hikes unbundled from Option payers subject to 6s< ATMF+50 bp at taper, long end sells off while Curve flattens 12/6/13 12/19/14 259 bp. a 67% discount to vanilla 6y remains anchored Curve flattens beyond the Dual digital option on 5s and 10s: Buy Either of the two conditions current forwards; adding a 6m dual digital that pays out if 5s > . is not true at expiration; additional leverage by shorting 12/6/13 12/19/14 2%&10s< 3.50%. offer 17%46:1 maximum loss is premium the correlation between 5y and leverage) outlay 10y rates Contingent curve cap: Buy 6M 5s10s Opti on ATMF curve caps subject to l0s < Front-end of the curve remains Curve flattens 12/6/13 12/19/14 3.50%, 5.25c offer, a 40% discount to anchored, limited sell off in l0s vanilla at 9c o ption Curve caps: Buy ly single reset, ATMF Economic recovery disappoints Curve flattens 12/6/13 +21.5 bp 12/19/14 0 bp -197k 5s30s curve cap at 21.5 bp and curve remains steep Forward despots: Receive fixed on Slope of 10830s too flat given Swope B({y $115.7 1 mm y30y ly10, pay fared on level of 10y Rate Curve flattens 3/28/14 +45 bp 3/27/15 +33 bp -3,109k 554.85 mm 15y par rate rich, 6m5y Receive $208.2mm 6m5y rate versus exposed Swap. RV m• pay $292.9mm 10y5y rate to repricing Fed with Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k Positive carry Curve slope is near its historic SWape RV Receive 3y1y/2y1y rate spread at 108 levels; curve is likely to flatten Curve steepens 12/6/13 +108 bp 12/19/14 +80bp +222k bp in both sell-off or rally HV spreads should widen upon US Credit Underweight high-yield into Taper Tapers gets delayed 12/6/13 12/19/14 the onset of the taper Snow asaheaat Massa numbersreamI corroder entIvicesv ?NS *V anal Ara tabs craft nroman cats la win* la fawn antra,* a at nac roar amDoan awn Inapga 9n iThiraawanaiwat ofam On laorrat anterooms is not• ranee a rat • PecIaw• Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051343 CONFIDENTIAL SDNY_GM_00197527 EFTA01362046