EFTA01362007.pdf

Deutsche Bank Securities Inc. 2015 Outlook Recommendations Trade Detail Rationale Risks Opened Entry Current P/L Treasury Further outperformance +5 by Sell rich bond futures against The classic bond futures look rich in the long end of the 6.25s of 5/2030 12/19/14 +21 bp (Closed on +1,248k RV cheap off-the-run bonds in the long end 2/25) Inflation Further decline in The 2yr2yr inflation appears attractive on a long- Buy 2yr2yr forward breakevens medium-term inflation 12/19/14 1.95% 1.60% -1,167k Swaps term history expectations The long end inflation market looks undervalued on Inflation markets further Inflation Buy long end inflation a long-term perspective, with the 30-year TIPS 12119/14 1.92% 1.71% -3,400k underperfonn. breakevens trading below 2.00%. Infladon Buy 5yr5yr forward breakevens The 5yr5yr forward breakevens have dropped to Decline in energy prices 1.97% 12119/14 2.18% as a hedge to high rates their multi-year lows. and a stronger dollar With the Fed moving closer to its first rate hike in a Buy 3nc1y and 5nc6m Higher implied vol low-inflation, moderate-growth environment, there Alpagefla callables vs. matched-maturity cheapens callables 12/19/14 are few themes as sure as the flattening of the bullets relative to bullets curve, likely going beyond the forwards. On the bullet agency curve, spreads are relatively tight to the level of rates volatility, and they risk Increased GSE risk in 2-year vs. 5-year agency widening 5-10bp from current levels on our model widens intermediate 12/19/14 spread curve flattener incorporating forward vole and the projected level spreads of outstanding debt. Widening of credit With CCC energy bonds trading at 60 cents on the spreads beyond the dollar, and oil just $10 away from matching the breakeven point as well US Credit US High Yield: Sell covered most severe percentage drop in oil prices over as a rally in credit 12/19/14 puts on HY CDX 1997.8, our sense is that we may be reaching the beyond the breakeven, latter stages of a pronounced move lower in a with potentially oommodities-driven decline in HY credit valuations unlimited downside in either scenario Stunt Do/torn* Sint CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051304 CONFIDENTIAL SDNY_GM_00197488 EFTA01362007