EFTA Document EFTA01362006

201 h Outlook ReCeinrnendatiOnS Trade Detail Rationale Risks Opened Entry Current Pit Buy 1x1, lyly receiver spreads with strikes ATMF and ATMS The post-Fed sell-off has left the spot/forward spread near multi-year post-crisis highs. Maximum total loss is the premium outlay 12/19/14 29c Swaps RV Pay 3yI y versus 2y1y 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 bp option Sell 1X2 payer spreads at the short end: Sell $100mn 6M3Y ATMF vs. buy $200mn 34.5bp OTM payers at zero net cost The repricing of Fed hikes could begin in 02 with the short 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 175K 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. 12/1 9/14 Quiet flatteners: sell $1bn 6M 5s/10s 9.5bp OTM curve cap vs. buySlbrt 6M 5≤/10s atmf/9.5 curve floor spread at zero cost Potential for considerable bear flattening should the market reprice the Fed hikes. Curve steepens. 12/19/14 OPT Quiet bulls: Sell $100mn IYIOY 50bp OTM payers vs. buy $100mn IYIOY 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 option Buy $100mn 1Y30Y receivers, struck at spot, at 1270c BulVflatteners at the back end. Loss equal to the options premium 12/19/14 option 6M dual digital: 2s> F+10bp & I Os < V-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 star. Osavelv Berri Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051303 SDNY_GM_00197487 EFTA01362006