EFTA01385977.pdf

-o 2014 Outlook Closed Trades Trade Detail Rationale Risks Opened Entry Clewed Exit Pt Treasury 10s have underperformed on +5 bp Further sell-off in Treasuries RV Buy toy Treasuries vs 68 end 30s the curve since May, and ' 1V6/13 +17 by 6/26/14 (Closed on +1,123k led by a steeper 5s/10s curve appear cheap on fly 6/26) 1y 3s lOs conditional bearish flattener The curve should bear flatten as Option for zero premium: Buy ly3y + 25 by soon the Fed tapers and front Curve steepens as rates rise 12/6/13 +212.5 bp 12/19/14 +17 bp Ok payer, sell DVOI weighted lylOy +41.6 end sells off bp payer for zero premium. Curve slope is near its historic Swept 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 flP in both sell-off or rally Curve flattens beyond the Dual digital option on 58 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% & Ws< 3.50%, offer 17% (6:1 maximum loss is premium the correlation between 5y and leverage) outlay lOy rates Contingent curve cap Buy 6M 5s10s ATMF curve caps subject to 10s < 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 10s vanilla at Elc Option Receiver spreads: 0 Buy 6100mm 2y2y Macro data disappoints, curve Rates rise as recovery 12/6/13 +28 by 12/19/14 +29 by +19k ATMF/25 bp receiver spreads at 28 bp bull flattens strengthens Contingent payors0 Buy 1y30y ATMF Rate hikes unbundled from Option payers subject to 5s< ATMF+50 bp at taper, long end sells off while Curve flattens 12/6/13 12/19/14 259 bp, a 57% discount to vanilla 5y remains anchored opllOn Curve caps: Buy ly single reset, ATMF Economic recovery disappoints Curve flattens 12/6/13 +21.5 by 12/19/14 0 bp -197k 5s30s curve cap at 21.5 bp and curve remains steep Long-end US real rates vs long-dated Long dated real rates in the US +60 bp Further sell-off in long dated Inflation Europe real rates: Buy 2041 US TIPS vs appear cheap to those in 12/6/13 +40 bp 9/26/14 (Closed on +3,382k US rates relative to Europe sell 2040 OATei Europe, especially France 9/25) The intermediate sector in Further cheapening of the mo on Buy 2023 TIPS vs. 7/2019 and 1/2025 inflation markets is cheap belly in inflation markets 12/6/13 +38 bp 12/19/14 +8 bp +2,26a TIPS on ASW relative to the wings relative to the wings US Credk Underweight high-yield into Taper HY spreads should widen upon Tapers gets delayed 12/6/13 12/19/14 the onset of the taper Assoc itsc* ova Atabernorico anw,sw based co now erstotay "aft fl donor kinlia intffe spreads of riartioatet c W. caviar DMMose betineerwk ke our mores rob. . zero posbort rent)* Mew*aof own* inarkeneuralowas Orlin* wean Hifirnalpeetionvon• s ?me • Yen • cd tuftecovikernane• • Deutsche Bank Securities Inc CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087445 CONFIDENTIAL SDNY_GM_00233629 EFTA01385977