EFTA01385918.pdf

S Other Current Recommendations Cont'd Trade Detail Rationale Risks Opened Entry Current RIL Buy $100mn 2Y2Y ATMF receivers Recessionary mode with Trend growth and low inflation limit the rise Option vs. sell $22.7mn 2Y10Y ATMF bull flattening of 10/3/13 -6 bp -160 bp -1,630k of long rates receivers for the net takeout of $55K forwards Payer spreads: Sell $600mn 2Y2Y 3p TM yers e vs e.yeuyar0m bre zerennet V pe oei l deiee ffeea renrry tiab l iesafraavtoereapte enifaogr itn raitde iating a The curve bear flattens 1/2/14 +2 bp -10 by -127k °OW/ 9 2Y213irff?25bppliOTM t Cost 'Mid-curve pryer Sell 5700mn 1Y 5Y5Y ATMF mid-curve payers vs. buy 5Y5Y has.a limited upside while 1Y2Y could °Ow $200mn 1Y2Y ATMF payers for the see significant repriang due to adjustments The curve bear steepens 3/14/14 -184 0.06 +184k net takeout of 28c of monetary policy Swaps Receive $1,023.4mm 2y1y rate Positive carry look at repricing Fed The curve bear steepens 5/20/14 +95 bp +78 bp +1,701k Rv versus pay $1,002.7mm lyly rate swaps Receive $1,023.4mm 2y1y rate mm y1y rate and Further rally via Fed delay benefits 2y1y rate 2yly underperformance 6/20/14 -10 bp -11 bp -179k Rv Mt7itm s g i3y1y $43rli1ie 1 Swaps $115.711isznefireT:"Reyce fixiveedfioxned onSlope of 10s30s too flat given level of l0y Rate Curve flattens 3/28/14 +46 bp +34 bp -2,789k Rv $64.85 mm 1VS0ye Forward fly: Pay fixed on $298.6 mm 6y rate. l0y forward is historically rich Further 10y5y SwapsTI m lOir 4/(try s:nsd r $ere 6 fm amedioa y72.9 •rigrjtoisw5ayrcriate, 5y forward and 5y rate, outperformance 4/29/14 +22 bp +10 bp -781k Buy $10m each of SPNTAB 2.96% Bank aeitht +25 by +9 bp Cross 3/16: SPABOL 2.626% 6/16; DNBNOR Risk-on retightening of covered bonds in stable rates regime underperforms; Eurozone credit crunch; Widening 7/26/13 +37 bp +II -587k Market 2.90%3/16 on ASW. fSorid) in a rate selloff +31 bp +11 by bp US-Europe spread iltpboner Receive Cross fixed in 5244 mm USD 5y5y rate vs. "S recovery disappoints Marker pay fixed on €165.8mm EUR 6y5y — Spread widens 1/24/14 +127 by +178 by -15k rate Pit as of 03/26/2015 prices. W• started tracking the performance plow twee recommendations on lurw M 2070 Thu Wahl shows our anent own tecommencleeons, a bele dour closedpositions is in the tad of ties oulatiostew Hoof tables net bee wiser feature tn the Weekhe Pederson°.numbess are hosed o, was end-of-We marks. endao not mckde bid/Met wreath a Densecton costs. We consVel the hereon( benChntettk AX ant bed.* robes zero paeltlett Oven the ievelegettCeanellthY MS/ AV: /Vara/ Matti 0ntma Cedes tiestcricel podchmance K nor • guarantee d hen oentemenos Soceoe Diana* ant CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087386 CONFIDENTIAL SDNY_GM_00233570 EFTA01385918