EFTA Document EFTA01362008

0 a Deutsche Bank Securities Inc. Other Current Recommendations Trade Detail Rationale Risks Opened Entry Current P/L Treasury RV Short 10s versus 5s and 30s IDs look rich on the curve against 6s and 30s 10s richen further 6/8/15 +9 bp +8 bp 4k Tay RV Sell rich bond futures against cheap off-the-run bonds Sell the rich classic bond futures versus off-the-run bonds in the 2026 to 2028 sector Classic bond futures richen 11/26/14 +21 by +20 by -106k Inflation 10e/30s breakeven curve steepener Long end TIPS offer good value 30y r underperforms relative to 10yr 6/26/2015 0.13% 0.30% +1,042k Inflation Long front end TIPS breakevens Front end TIPS look cheap to our inflation forecast Energy prices drop 4/10/2016 1.23% -1.45% -1,663k Inflation Real yield curve steepeners, either 10s-30s or 5s-30s. Possibly delayed first Fed rate hike is likely to help intermediate sector outperform in real yields, steepening the real yield curve. Long end outperforms 1/20/2015 5s/[email protected]% 108/[email protected]% 5s/30sO0.97% 10s/[email protected]% +3,464a Inflation 10yr TIPS breakevens Long 10yr inflation swaps versus The spread between 10yr inflation swaps and TIPS breakevens is too tight TIPS outperform inflation swaps 1/20/2015 +21 bp +17 bp -249k Inflation Long 1/2029 breakevens vs 10yr breakevens 10yr TIPS to 1/2029 breakeven curve is too flat 1/2029 breakeven cheapen further 10/3/14 +2 bp +6 bp +502k Inflation Long 30yr TIPS breakevens The long end inflation market looks undervalued; 30yr TIPS breakevens near multi-year lows Long term inflation expectations decline 12/12/14 1.91% 1.71% -2,107k inflation Swaps decline Long lyrlyr inflation swaps We like lyrlyr forward inflation swaps. Front end breakevens look attractive. Inflation expectations 3/3/15 1.84% 1.22% 462k Inflation sw Long 2yr2yr inflation swaps We like being long 2yr2yr or 2yr3yr forward breakevens to take advantage of cheap 5s, while avoiding negative carry in front end TIPS Medium term inflation expectations decline 12/12/14 1.77% 1.68% -96Mc Armin Buy long-dated GSE debt: Buy S100mm FNMA 6.625 I1/30s vs. T 5.325 2/31s Legislative momentum of Johnson- Crapo on GSE reform is credit bullish for long-dated GSE debt. Reform bill stalls in Congress or language on government guarantee modified. 3/14/14 +48 by +62 by 4163k MINII Receive $100m 3y3y SIFMA ratio at 78.2%. (Sorid) Attractive roll down profile Further ratio curve steepening 4/25/13 78.2% 72.0% +941k Option 1X2 IY 6Y5Y ATMF/41 receiver spreads costless Long-end rallies on premature or fast rate hikes (policy mistake) Rally below the breakevens; unlimited downside 9/26/14 Os -18.4; 411k Sooty Dana* Sint CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051305 SDNY_GM_00 197489 EFTA01362008