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sd-10-EFTA01361989Dept. of JusticeOther

EFTA Document EFTA01361989

Investors who wish to articulate a view on a decreasing global central bank liquidity can do so by buying 6 month 5sl0s curve floors. The 5sl0s is a proxy for the SySy, which, as seen above, can be regarded as a proxy to liquidity. SySy USD rates and spread between 10 and Sy swaps (5s104 Last Price ill.1SF6055,BLC Curncy (R1) 2.9506 USSW510 imcy (R2) 63.4375 1 010 2011 2012 2013 2014 2015 IsSFS055 Canty (USD FORWARD SWAP SYKSY) Daily 11SEP2010-10SEP2015 Copyright. 2015 .2 .:c tt ,e

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sd-10-EFTA01361989
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Summary

Investors who wish to articulate a view on a decreasing global central bank liquidity can do so by buying 6 month 5sl0s curve floors. The 5sl0s is a proxy for the SySy, which, as seen above, can be regarded as a proxy to liquidity. SySy USD rates and spread between 10 and Sy swaps (5s104 Last Price ill.1SF6055,BLC Curncy (R1) 2.9506 USSW510 imcy (R2) 63.4375 1 010 2011 2012 2013 2014 2015 IsSFS055 Canty (USD FORWARD SWAP SYKSY) Daily 11SEP2010-10SEP2015 Copyright. 2015 .2 .:c tt ,e

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Investors who wish to articulate a view on a decreasing global central bank liquidity can do so by buying 6 month 5sl0s curve floors. The 5sl0s is a proxy for the SySy, which, as seen above, can be regarded as a proxy to liquidity. SySy USD rates and spread between 10 and Sy swaps (5s104 Last Price ill.1SF6055,BLC Curncy (R1) 2.9506 USSW510 imcy (R2) 63.4375 1 010 2011 2012 2013 2014 2015 IsSFS055 Canty (USD FORWARD SWAP SYKSY) Daily 11SEP2010-10SEP2015 Copyright. 2015 .2 .:c tt ,e-c rinarKt i-5- 4 E. 5.5000 5.0000 4.5000 4.0000 3.5000 2.9506 63.4375 The Ssl0s also comes down (curve flattens) during hikes. Therefore this trade could benefit in the event of either a Fed hike, or the event of no hike and a decrease in central bank liquidity 10.000 8.000 6.000 4.000 2.000 18 2/4/94 Hike 6/3/99 Hike 6;10/04 Hike Indicative Transaction Terms: Investor buys: Ssl0s USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike — terminal 5sl0s spread,0) Ref. 5s10s Forward: 55 bps 2010-2014 20 5 Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel 1.20 1.00 0.80 0.40 0.20 0.00 -0.20 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051285 CONFIDENTIAL SDNY_GM_00197469 EFTA01361989

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