EFTA Document EFTA01385918

S Other Current Recommendations Cont'd Trade Detail Rationale Risks Opened Entry Current RIL Option Buy $100mn 2Y2Y ATMF receivers vs. sell $22.7mn 2Y10Y ATMF receivers for the net takeout of $55K Trend growth and low inflation limit the rise of long rates Recessionary mode with bull flattening of forwards 10/3/13 -6 bp -160 bp -1,630k °OW/ Payer spreads: Sell $600mn 2Y2Y 92Y213 3p irff?25bp TM pliOTM e yers vse.yebre uyar0m t zerennet Cost Vpeolei deiee ffeea renrry tiabl eisafraavtoereapte enifaogr tinraitde iating a The curve bear flattens 1/2/14 +2 bp -10 by -127k °Ow 'Mid-curve pryer Sell 5700mn 1Y 5Y5Y ATMF mid-curve payers vs. buy $200mn 1Y2Y ATMF payers for the net takeout of 28c 5Y5Y has .a limited upside while 1Y2Y could see significant repriang due to adjustments of monetary policy The curve bear steepens 3/14/14 -184 0.06 +184k Swaps Rv Receive $1,023.4mm 2y1y rate versus pay $1,002.7mm lyly rate Positive carry look at repricing Fed The curve bear steepens 5/20/14 +95 bp +78 bp +1,701k swaps Rv Receive $1,023.4mm 2y1y rate mm y1y rate and Mt t7ims g i 3y1y $43 rli1ie 1 Further rally via Fed delay benefits 2y1y rate 2yly underperformance 6/20/14 -10 bp -11 bp -179k Swaps Rv $115.711 isznefireT:"Reycefixiveedfioxned on $64.85 mm 1VS0ye Slope of 10s30s too flat given level of l0y Rate Curve flattens 3/28/14 +46 bp +34 bp -2,789k SwapsTI Forward fly: Pay fixed on $298.6 mm m lOir 4/(try s:nsd r$ere 6 fmamedioa y72.9 6y rate. l0y forward is historically rich •rigrjtoisw5ayrcriate, 5y forward and 5y rate, Further 10y5y outperformance 4/29/14 +22 bp +10 bp -781k Cross Market Buy $10m each of SPNTAB 2.96% 3/16: SPABOL 2.626% 6/16; DNBNOR 2.90%3/16 on ASW. fSorid) Risk-on retightening of covered bonds in stable rates regime Bank aeitht underperforms; Eurozone credit crunch; Widening in a rate selloff 7/26/13 +25 by +37 bp +31 bp +9 bp +II by +11 bp -587k Cross Marker US-Europe spread iltpboner Receive fixed in 5244 mm USD 5y5y rate vs. pay fixed on €165.8mm EUR 6y5y rate "S recovery disappoints — Spread widens 1/24/14 +127 by +178 by -15k 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 closed positions 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. end ao 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 0 ntma Cedes tiestcricel podchmance K nor • guarantee d hen oentemenos Soceoe Diana* ant CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0087386 SDNY_GM_00233570 EFTA01385918