EFTA Document EFTA01362045

Deutsche Bank Securities Ini. Closed Trade Recommendations Trade Detail Rationale Risks Opened Entry Closed bdt P/L Inflation Underweight 30yr TIPS 30yr tends to cheapen ahead of supply 30yr outperforms 6/5/16 +11 bp 6/17115 +12 by -60k Inflation Short 1/2026 breakevens vs Syr and 3thp breakevens lOs look rich: sell the rich 1/2026s lOs richen further 1/23/15 +15 bp 6/I 1/15 +5 by +306k .._ 162K Inflation Long 30yr TIPS breakevens versus 10yr TIPS breakevens 10s-30s breakeven curve appears too flat on a long term basis Long term inflation expectations decline 11/26/14 +16 bp 6/5/16 6.54 bp Inflation Long 2019 TIPS breakevens versus 2016 TIPS breakevens Being long 2019 BEs versus 2016 BEs has positive carry, and is less correlated with energy prices than 1 yr BEs 2019 breakevens drop more than 2016 breakevens 11/26/14 +41 bp 2/25/16 +22 bp +4,014k Inflation Long 30yr TIPS breakevens 10/17/14 Bond TIPS look cheap on a relative value basis Inflation expectations decline 2.08% 12/9/14 1.97% -1,171k Inflation Buy 2023 TIPS vs. 7/2019 and 1/2025 TIPS on ASW The intermediate sector in inflation markets is cheap relative to the wings Further cheapening of the belly in inflation markets relative to the wings 12/6/13 +38 bp 12/19/14 +8 bp +2,263k Inflation Swaps Long 2y2y inflation swap 2y2y inflation looks attractive on historical basis Forward inflation falls 10/3/14 2.1% 12/9/14 2.0% -309k inflation Swaps Sell the 5yr5yr inflation swaps The spread between 6yr5yr inflation swaps and 5yr5yr TIPS breakevens is wide. Selling the 5yr5yr inflation swaps looks attractive. 5yr5yr inflation swaps rise 11/7/14 2.58% 12/18/14 2.43% +1,361k Option Buy Si 00mn 6M 2yly 25bp OTM MC payers vs. Sell 100mn 1Y 4Y1Y 45bp OTM MC payers at zero net cost Curve flattens on a hawkish FOMC Curve bear steepens 9/12/14 Ott 3/11/16 -0.74 -32k Option Sell $100mn 6M5Y ATMF vs. buy $200mn 6M5Y 30bp OTM payers at zero net cost Skew trades rich in a sell-off Rates sell off half-way and stay there till the expiry 9/12/14 0 bp 3/11/16 0.0 bp -2k o pdon Mid-curva payer Sell $100mn 1Y 22YggniAnTkAr I mit crs7Fvepapyaeyri:rirovrst.h be u y net takeout of 28c 5Y5Y has a limited upside while 1Y2Y could see significant repricing due to adjustments of monetary policy The curve bear steepens 3/14/14 -184 3/13/15 0.04 +184k Conditional bull steepeners: Sell $32.8mn 3M10Y ATMF receivers vs. buy $100mn 3M3Y ATMF receivers at net takeout lc Front-end gets re-priced in a delayed Fed hike Curve bull flattens; unlimited downside 9/26/14 -1 bp 12/30/14 0 bp +18k option Buy spre1X2ads f3M3Y or zeroAne TMtF/11.5bp receiver Short-term risk off and short covering Rally below th breakevens;unlimited e downside 9/26/14 0 bp 12/30/14 0 bp +29k °Ok option, Buy $1,000mm 6m single reset cap on CMS10-CMS5 strike 891)9for 9.76c Carry pays for repriced fed suggests 6y outperformance Curve flattening, max loss premium 5/2W14 +9 by 11/2W14 0 bp -876k Option Sell $1COmn 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 12/3W14 0 by +1,028k 5O n Decant* Sn CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051342 SDNY_GM_00197526 EFTA01362045