EFTA01385915

-o 12015 Outlook Recommendations ry Deutsche Bank Securities Inc Trade Detail Rationale Risks Opened Entry Current P/L OPdon Sell FVH6 puts versus buy like structured swaption for zero premium Overly aggressive Fed could produce a "tightening tantrum" which is negative for risk asset valuations, likely producing hedging flows in swap spreads that push spreads wider. Spreads tighten in a sell-off beyond the strikes 12/19/14 FVH6 +10.bp Swaption +9bp o ptkin Buy lxl, tyly receiver spreads with strikes ATMF and ATMS spread The post-Fed sell-off has left the spot/forward p near multiyearost- crisis highs. Maximum total loss is the premium outlay 12/19/14 29c Swaps RV Pay 3yly versus 2y1 y This curve segment might be expected to steepen if, for example, higher inflation produces greater pricing power, or if the long-absent cyclical increase in productivity finally materializes. Curve flattens 12/19/14 40 1X2 receiver spreads: Buy $100mn 3M10Y ATMF vs sell $200mn 3M10Y 19bp OTM receivers at zero net cost This a positive carry trade that captures the central path for the 10Y sector during Ql. Vulnerable to rally below the breakevens with potentially unlimited downside. 12/19/14 Sell 1X2 payer spreads at the short end: Sell $100mn 6M3Y ATMF vs. buy $200mn34.6bp OTM payers at zero net cost The repricing of Fed hikes could begin in short 02 with the end rebounding sharply after initial rally. Vulnerable to rally below the breakevens, with potentially unlimited downside. 12/19/14 Option Sell $100mn 6M10Y straddles vs. buy $300mn 6M3Y straddles for a net premium of 176K With expectations of Fed hikes, volatility should move to the front end of the curve, while the back end movements remains Unilateral spike in backend vol. 12/19/14 option Quiet flatteners: sell $1bn 6M 68/10s 9.6bp OTM curve cap vs. buy$1bn 6M 66/10s atmf/9.6 curve floor spread at zero cost Potential for considerable beer flattening should the market reprice the Fed hikes. Curve steepens. 12/19/14 option Quiet bulls: Sell $100mn 1Y10Y 60bp OTM payers vs. buy $100mn 1Y10Y ATMF/33 receiver spreads costless This captures the risk of bullish flattening of the curve where growth is unable to take off either due to fundamental weakness or in response to a policy mistake of premature hikes. Sell-off beyond 3.10%. 12/19/14 Buy $100mn 1Y30Y receivers, struck at spot, at 1270c BulVflatteners at the back end. Loss equal to the options premium 12/19/14 Ol 6M dual digital: 2s> FmlObp & 10s < F-10bp offer 11.5% This is a leveraged expression of a policy- mistake trade where premature hikes cause a rally at the back end. Loss equal to the options premium 12/19/14 OptiOn Equity/rates hybrids: Buy 19-Jan- 2015 SPX 100/90 put spreads subject to 54 > Fwc1+25bp, offer Given the impressive run equities have had on the back of both normalization of the markets as well as the accommodation. Fed exit is likely to be disruptive for their short-term performance. Limited downside with maximum loss equal to the options premium. 12/19/14 Sen. AntscAt Bent CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0087383 SDNY_GM_00233567 EFTA01385915