EFTA01362008.pdf

Other Current Recommendations 0 a Trade Detail Rationale Risks Opened Entry Current P/L Treasury IDs look rich on the curve against 6s Short 10s versus 5s and 30s 10s richen further 6/8/15 +9 bp +8 bp 4k RV and 30s Sell the rich classic bond futures Tay Sell rich bond futures against cheap Classic bond futures in the 2026 11/26/14 +21 by +20 by -106k RV off-the-run bonds versus off-the-run bonds richen to 2028 sector 30yr underperforms Inflation 10e/30s breakeven curve steepener Long end TIPS offer good value 6/26/2015 0.13% 0.30% +1,042k relative to 10yr Front end TIPS look cheap to our Inflation Long front end TIPS breakevens Energy prices drop 4/10/2016 1.23% -1.45% -1,663k inflation forecast Possibly delayed first Fed rate hike is Inflation Real yield curve steepeners, either likely to help intermediate sector 5s/[email protected]% 5s/30sO0.97% Long end outperforms 1/20/2015 108/[email protected]% 10s/[email protected]% +3,464a 10s-30s or 5s-30s. outperform in real yields, steepening the real yield curve. The spread between 10yr inflation Inflation Long 10yr inflation swaps versus TIPS outperform swaps and TIPS breakevens is too 1/20/2015 +21 bp +17 bp -249k 10yr TIPS breakevens inflation swaps tight Inflation Long 1/2029 breakevens vs 10yr 10yr TIPS to 1/2029 breakeven curve 1/2029 breakeven 10/3/14 +2 bp +6 bp +502k breakevens is too flat cheapen further The long end inflation market looks Inflation Long term inflation Long 30yr TIPS breakevens undervalued; 30yr TIPS breakevens 12/12/14 1.91% 1.71% -2,107k expectations decline near multi-year lows inflation We like lyrlyr forward inflation Inflation expectations Long lyrlyr inflation swaps swaps. Front end breakevens look 3/3/15 1.84% 1.22% 462k Swaps decline attractive. We like being long 2yr2yr or 2yr3yr Inflation forward breakevens to take advantage Medium term inflation sw Long 2yr2yr inflation swaps 12/12/14 1.77% 1.68% -96Mc of cheap 5s, while avoiding negative expectations decline carry in front end TIPS Reform bill stalls in Buy long-dated GSE debt: Legislative momentum of Johnson- Congress or language Armin Buy S100mm FNMA 6.625 I1/30s Crapo on GSE reform is credit bullish 3/14/14 +48 by +62 by 4163k on government vs. T 5.325 2/31s for long-dated GSE debt. guarantee modified. Receive $100m 3y3y SIFMA ratio at profile Further ratio MINII Attractive roll down curve 4/25/13 78.2% 72.0% +941k 78.2%. (Sorid) steepening Rally below the Deutsche Bank Securities Inc. 1X2 IY 6Y5Y ATMF/41 receiver Long-end rallies on premature or fast Option breakevens; unlimited 9/26/14 Os -18.4; 411k spreads costless rate hikes (policy mistake) downside Sooty Dana* Sint CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051305 CONFIDENTIAL SDNY_GM_00197489 EFTA01362008