EFTA Document EFTA01452405

From: Nav Gupta Sent: 2/3/2014 4:41:27 PM To: Tazia Smith I CC: Vinit Sahni ; Paul Morris Subject: Re: percentages get a read from your team [C] Am not a mtge expert but read over the weekend that GS strat prefer po's over io's. Worth checking ry with the db io trader. Mortgage Interest Only strips have become negatively convex Lower coupon IOS (synthetic 10 total return swap instruments) currently screen as having negative convexity, meaning that the downside risk from a rate ral