EFTA01198025.pdf

Underlier Underlier Notional or 1/6/2015 Indicative Accrued Interest # Email Date Trade Description Underlier Strike Expiry level at Level as of % Change Premium Paid P/L USD P/L Quantity Underlier Mid / Net Carry Inception 01.06.2015 1 10/14/2014 USD Curve Steepener - CMS curve cap CMS Ss10s $ 10,000,000.00 54.50 10/14/15 71 43.75 -38.38% $15,000.00 $3,000.00 n/a ($12,000.00) ($12,000.00) 2 10/24/2014 EURUSD Digital Put -10x Payout EURUSD $ 10,000,000.00 1.20 02/01/15 1.2655 1.189 -6.05% $1,000,000.00 $5,600,000.00 n/a $4,600,000.00 $4,600,000.00 3 10/24/2014 ly AAPLTRS @ lml+ 75bps AAPL $ 10,000,000.00 n/a 11/11/15 105.22 106.26 0.99% n/a $98,840.52 ($18,287.12) $80,553.40 $80,553.40 4 11/3/2014 AAPL EUR Fixed Income - 8yr bonds AAPL 1 11/10/22 Corp € 10,000,000.00 n/a 11/10/22 100 101.92 1.92% n/a € 10,192,000.00 € 16,164.38 € 208,164.38 $247,507.45 5 11/3/2014 AAPL EUR Fixed Income - 12yr bonds AA PL 1 5/8 11/10/26 Corp € 10,000,000.00 n/a 11/10/26 100 103.316 3.32% n/a € 10,331,600.00 € 26,267.12 € 357,867.12 $425,504.01 6 11/13/2014 5y EUR Premium Neutral Risk Reversal EURUSD € 10,000,000.00 1.2450 /1.46 11/13/15 1.2477 1.189 -4.70% € 0.00 € 280,000.00 n/a € 280,000.00 $332,920.00 • 7 11/13/2014 Short EUR 5y Forward EURUSD € 10,000,000.00 n/a 11/13/15 1.2477 1.189 -4.70% n/a €477,000.00 n/a € 477,000.00 $567,153.00 8 11/13/2014 ly EURUSD Puts EURUSD € 10,000,000.00 1.2450 11/13/15 1.2477 1.189 -4.70% € 290,000.00 €550,000.00 n/a € 260,000.00 $309,140.00 9 11/17/2014 Short Crude Vol. Index Swap DBCMWSV2 $ 10,000,000.00 n/a 11/17/15 276.6033 253.6431 -8.30% n/a $9,169,923.14 n/a ($830,076.86) ($830,076.86) 10 11/18/2014 AAPL Monday Outperformance vs. SPY n/a $ 10,000,000.00 n/a n/a 100 96.10 -3.90% n/a ($389,960.25) n/a ($389,960.25) ($389,960.25) 11 11/18/2014 3y SPX Call Option SPX Index $ 10,000,000.00 2,248.40 11/18/19 2044 2002.61 -2.02% $716,000.00 $716,000.00 n/a $0.00 $0.00 12 11/18/2014 3y SPX Call Option SPX Index $ 10,000,000.00 2,452.80 11/18/19 2044 2002.61 -2.02% $402,000.00 $407,000.00 n/a $5,000.00 $5,000.00 13 11/21/2014 Long Dated Knock-In Call on WTI ($55 KI) CL1 Comdty $ 10,000,000.00 100 11/14/18 76.00 47.93 -36.93% $147,368.42 $789,894.74 n/a $642,526.32 $642,526.32 14 12/12/2014 CLO Mezzanine CLRLK 2006-1A C $ 10,000,000.00 n/a n/a 96 95 -1.04% n/a $9,500,000.00 $13,199.66 ($90,967.01) ($90,967.01) 15 12/12/2014 CLO Mezzanine INGIM 2011-1A D $ 10,000,000.00 n/a n/a 100 99.75 -0.25% n/a $9,975,000.00 $36,921.90 $11,921.90 $11,921.90 16 1/5/2015 Bullish USDBRL Risk Reversal USDBRL $ 10,000,000.00 2.70 / 3.10 07/03/15 2.706 2.7008 -0.19% $0.00 $4,000.00 n/a $4,000.00 $4,000.00 'Pricing os of 1/6/2015 Total $5,903,221.94 EFTA01198025