EFTA Document EFTA01362046

2014 Outlook Closed Trades Trade Detail Rationale Risks Opened Entry Closed Exit P/L ly 3810s conditional bearish flattener for zero premium: Buy ly3y + 25 bp payer, sell DV01 weighted 1y10y +41.5 bp payer for zero premium. The curve should bear flatten as soon the Fed tapers and front end sells off Curve steepens as rates rise 12/6/13 +212.5 bp 12/19/14 +17 bp Ok o ption Receiver spreads: Buy $100mm 2y2y ATMF/25 bp receiver spreads at 28 bp Macro data disappoints, curve bull flattens Rates rise as recovery strengthens 12/6/13 +28 bp 12/19/14 +29 bp +19k Option Contingent payers: Buy ly30y ATMF payers subject to 6s< ATMF+50 bp at 259 bp. a 67% discount to vanilla Rate hikes unbundled from taper, long end sells off while 6y remains anchored Curve flattens 12/6/13 12/19/14 Dual digital option on 5s and 10s: Buy a 6m dual digital that pays out if 5s > 2%&10s< 3.50%. offer 17%46:1 leverage) Curve flattens beyond the current forwards; adding . additional leverage by shorting the correlation between 5y and 10y rates Either of the two conditions is not true at expiration; maximum loss is premium outlay 12/6/13 12/19/14 Option Contingent curve cap: Buy 6M 5s10s ATMF curve caps subject to l0s < 3.50%, 5.25c offer, a 40% discount to vanilla at 9c Front-end of the curve remains anchored, limited sell off in l0s Curve flattens 12/6/13 12/19/14 option Curve caps: Buy ly single reset, ATMF 5s30s curve cap at 21.5 bp Economic recovery disappoints and curve remains steep Curve flattens 12/6/13 +21.5 bp 12/19/14 0 bp -197k Swope B ({y Forward despots: Receive fixed on pay fared on $11 $11 1 mm ly10, y30y 5.7 mm 554.85 Slope of 10830s too flat given level of 10y Rate Curve flattens 3/28/14 +45 bp 3/27/15 +33 bp -3,109k Swap. RV m• Receive $208.2mm 6m5y rate versus pay $292.9mm 10y5y rate 15y par rate rich, 6m5y exposed to repricing Fed with Positive carry Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k SWape RV Receive 3y1y/2y1y rate spread at 108 bp Curve slope is near its historic levels; curve is likely to flatten in both sell-off or rally Curve steepens 12/6/13 +108 bp 12/19/14 +80bp +222k US Credit Underweight high-yield into Taper HV upon should widen spreads the onset of the taper Tapers gets delayed 12/6/13 12/19/14 Snow asaheaat Massa numbersream I corroder entIvicesv ?NS *V anal Ara tabs craft nroman cats la win* la fawn antra,* a at roar nac am Doan awn Inapga 9n iThiraawanaiwat of am On laorrat anterooms is not• ranee a rat • PecIaw• Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051343 SDNY_GM_00197527 EFTA01362046