EFTA01385976

a if Cloa,:d 'Flack Recomrnendatiorts Cont'd Trade DeteN Rationale Risks Opened Entry Closed Exit P/L ° Pdca Buy $1,00Ornm 6m single reset cap on CMS10•CMS5 strike 89bp for 9.75c Carry pays for option, repriced fed suggests 5y outperlomiance Curve flattening, max loss premium 5/20/14 +9 bp 11/20/14 0 bp -876k Option Sell $100mn 3M5Y straddles vs. buy $100mn 3M5Y 22bp OTM payers for net takeout of 100c. No big changes in vol near term Rates rally 9/19/14 -100 by 12/30/14 0 by +1,028k Opdon zBellryo 2nyelecy,s2r an 16 payer ladder at t. itio Ppoosstenica ngrry bearish rates Higher gamma; rates rally 4/5/13 0 bp 10/9/14 +92 bp +991k Option Bu y S342m1lirn3y AlMF+2bbp payer and sell $113m 18m10y ATMF467.6bp payer. (Kock) Fed tapers in 2013 Curve steepens and rates se ri 6/16/13 +147 bp 10/9/14 +127 bp +639k Option Buy $207mm 3m5y receiver ATMF - 25 bp, sell 207mm 3m5y receiver ATMF - 60 by at 16.76 bp premium High payout ratio for exposure to delayed Fed Market sell off. max loss net premium 6/20/14 +17 by 8/19/14 +0 by -339k Opdort Sell $100mn 1Y2Y ATMF receivers vs. ba at zero net cost 5s lead the way in a rally as rate hikes are taken out Bull steepening in 2s/5s 10/3/13 0 bp 10/3/14 0 bp +7k Opt " Buy 5880mn lY 58/30s ATMF curve OcaTZlnpa.yseerisi at Si net znero 1Wt. I I bP (Kocic) The risk of weak data and/or more aggressive forward gstueieditnnceerbe:ileme:loawdownsof growth puts an upper limit on the 10Y sector Short term flattening sell off 9/13/13 0 bp 3/14/14 +229 bp +2441k ni Swaps p n• Receive $208.2mm 6m6y rate versus pay 6292.9mm 10y6y rate 15y par rate nch, crnby exposed to ca repricing Fed with positive Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k Cross market Receive 158m ly5y EUR and pay 773m 1 y1y EU. (Sparks) ECB cuts the depo rate further Forward curve steepens 5/16/13 +84 bp 5/16/14 +55 bp +2,963 Cron "ism Receive 3y1yJPY and pay ly1 y JPY (Sparks) Recent sell-off in Japan US rate outperforms 5/16/13 +44 by 4/22/14 +8 by +4,676k Sane Deutsa Mira Rot:mono* main ay lett one's infokfry nada al eon inach Stile wrap* or inrarcebn cat I* 0a OM mina bindinter* ant 0WSM0 MVO P0MO% gIninVwNveregatce gentea MON Mall.IPISC/aig• VOSS MactIce pwrowne• n pent of tine pertarrence • CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0087444 SDNY_GM_00233628 EFTA01385976