EFTA01385975.pdf

Closed Trade Recommendations Trade Detail Rationale Risks Opened Envy Mond Exit P/L Being long 2019 BEs versus 2016 BEs 2019 breakevens drop inflation Long 2019 TIPS breakevens versus has positive carry. rind is less +22 bp +4,014k more than 2016 11/26/14 +41 bp 2/25/15 2016 TIPS breakevens correlated with energy prices than 1w breakevens BEs Bond TIPS look cheap one relative Inflation expectations 12/9/14 1.97% -1,171k Inflation Long 30yr TIPS breakevens 10/17/14 2.08°/0 value basis decline Inflation Long 6yr TIPS 6yr TIPS look cheap Inflation declines further 9/12/2014 -6 bp 10/28/14 -11bP +81k inflation Long 10yr TIPS breakevens vs 5yr and 10yr breakevens look cheap ahead of 10yr breakevens +6 bp -120k 5/16/14 +6 bp 9/25/14 30yr TIPS breakevens supply underperform inflati on Long 30yr TIPS breakevens vs 10yr 10yr breakevens +8 bp 7/23/14 +12 bp +171k 10s-30s breakeven curve is too flat 6/12/14 TIPS breakevens outperform We favor short-dated TIPS for near- Decline in energy prices 9/16/14 +182 bp 4,240k Infladon Long 6yr TIPS breakevens term catty. We like the cheap and 6/12/14 +200bp or inflation expectations liquid 0.1259 of 4/2019. Inflation Long 2y2y inflation swap 2y2y inflation looks attractive on Forward inflation falls 10/3/14 2.1% 12/9/14 2.0% 409k Swaps historical basis I heapsraen agg:r5 twyr 454trarirrieyflaentiosnis Inflation Sell the 5yr5yr inflation swaps 5yr5yr inflation swaps 11/7/14 2.58% wide. Selling the 5yr5yr inflation rise 12/18/14 2.43% +1,381k Swaps swaps looks attractive. Treasury Long 5s vs 2s and I Os 5s appear attractive 6s cheapen further 915/2014 +41 bp 10/28/14 +34bp +418k RV Treasury Sell classic bond futures CTD (6.126 Classic bond futures close to 1.5 Continuing standard deviations rich versus l0s outperformance of classic 10/7/13 +13bp 8/12/14 .7 bp -404k RV Aug29s) against Aug22s and Aug42s and 30s bond futures Treasury Take profits on the 20262029 bonds. 2026-2029 bonds have outperformed 2026-2029 bonds 9/17/13 +11 by 8/12/14 +7 by -228k RV (Li) recently and look rich to l0s and 30s continue to cheapen Treasury Long I Os vs 5s and 30s l0s look cheap on the curve lOs continue to cheapen 9/12/13 +26 by 7/7/14 +14 by +364k RV Conditional bull steepeners: Sell $32.8mn 3M1OY ATMF receivers vs. Front-end gets re-priced in a delayed Curve bull flattens; Option buy $100mn 3M3Y ATMF receivers at 9/26/14 -I bp 12/30/14 0 bp +19k Fed hike unlimited downside net takeout lc Rally below the Buy IX2 3M3Y ATMF/13.5bp receiver 'Dui SOMMOOS We9 Otpilino() Short-term risk off and short covering breakevens; unlimited 9/26/14 0 bp 12/30/14 0 bp +28k ° Ptim spreads for zero net cost downside Stave Dace& art CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087443 CONFIDENTIAL SDNY_GM_00233627 EFTA01385975