EFTA Document EFTA01362009

Deutsche Bank Securities Inc. Other Current Recommendations Cont'd Trade Detail Rationale Risks Opened Entry Current P/L ° Pticm Buy $100mn 2Y2Y ATMF receivers vs. sell $22.7mn 2TIOY ATMF receivers for the net takeout of $56K Trend growth and low inflation limit the rise of long rates Recessionary mode with bull flattening of forwards I0/3/13 -6 by -99 bp -926k Option Payer spin& Sell $500mn 2Y2Y 92bp OTM payers vs. buy $60mn 2Y30Y 26bp OTM payers at zero net cost Vol differential is favorable for initiating a positive carry bear steepening trade The curve bear flattens 1/2/14 +2 bp -0 bp -25k Swaps Ry Receive $1,023.4mm 2yly rate versus pay $ I ,002.7mm lyly rate Positive carry look at repricing Fed The alive beet steepens 5/20/14 +96 bp +95 bp +2,305k Swaps Rv Receive $1,023.4mm 2yly rate versus pay $431.2mm ly1 y rate and $597mm 3y1 y rate Further rally via Fed delay benefits 2yl y rate 2yly underperformance 5/20/14 -10 by -17 bp +406k ~ape Ry Fonvardlly: Pay fixed on $298.6 mm 10ffly versus receive fixed on $72.9 mm 6y6y and $267.6 mm 16y6y by rate, 10y forward is historically rich versus 5y rate, 6y forward and 6y rate, 16yfoward Further lOy6y outperformance 4/29/14 +22 bp +21 bp -416k Cross mada t Buy $10m each of SPNTAB 2.96% 3/16; SPABOL 2.625%5/16; DNBNOR 2.90%3/16 on ASW. (Sorid) Risk-on retightening of covered bonds in stable rates regime Bank credit underperforms; gi.krpzope credit sell Widening in a rate off 7/25/13 +26 bp +37 bp +31 bP +30 by +26 bp +31 bp -930k cross Market US-Europe spread tightener. Receive fixed in $244 mm USD 5yby rate vs. pay fixed on 5165.8mm EUR 5y5y rate US recovery disappoints Spread widens 1/24/14 +127 bp +136 bp -10k P/L as of 09/03/2015 prices. We starred ',eking the ~Iceman:* of eee reeds reØmendaØs on June la .2070 This tab. Leave our anent open recommendation 1, a bible of o4e, clew/ pautens is in the beck of this ptiteieeeen. eØ =In voil Da a regular Senn in eh* WeWdy. Perteernence tureen ere Used on reader encbol-ctry mares. end ele nor Induct. bicUollet weed. oe tratoseeen mete We consider &re relevant bencevneek for WI awes to be e awe ~on given le» lonvegect oe by ~Met neutral upsets of Thine twin Material perfeemenee is not • guarantee of Aeon paeforrnanese Sous,* Deuxee Bra CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051306 SDNY_GM_00 197490 EFTA01362009