EFTA Document EFTA01457218

Clo&A 'Flack Recomrnendatiorts Cont'd Tral S I)staN Redonda Risks O Cloyed Exit P/L Option Buy 31,000mm 6m single reset cap CMS10-CMS5 strike 89bp for 9.75c Carry pays for option, repriced on Cu rve fed suggests 5y outperfonnance flattening, max loss premium 6/20/14 +9 bp 11/20/14 0 bp -976k Option Sell $100mn 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 bp 12/30/14 0 bp +1,029k Option zBeuryo 2nye lt 0oy,s2r 5/116 payer ladder at Positive carry bearish rates Higher gamma; rates rally 4/5/13 0 bp 10/9/14 +92 bp +901k OpkIon and sell Srin13m 1t1m10y ATMF14).6138.glearp payer. (Kocic) Fed tapers in 2013 Curve steepens and rates rise 6/16/13 +147 bp 10/9/14 +127 bp +639k Option Buy $207mm 3m5y receiver ATMF - 25 bp, sell 207mm 3m5y receiver ATMF - 60 by at 16.76 bp premium High payout ratio for exposure to delayed Fed Market sell off. max loss net premium 5/20/14 +17 by 8/19/14 +0 by -339k Option ba Sell $100mn 1Y2Y ATMF receivers vs. at zero net cost 5s lead the way in a rally as rate hikes are taken out Bull steepening in 2s/5s 10/3/13 0 bp 10/3/14 0 bp +7k Opt " Buy 5880mn lY 6s/305 ATMF curve 0caTP1:1"pe.yseerisi at Si net znero 1 (Wt. I I bP (Kocic) The risk of weak data and/or more aggressive forward gstueieditnnceerbe:ileme:loawdownsof growth puts an upper limit on the 1GY sector Short term flattening sell off 9/13/13 0 bp 3/14/14 +229 bp +2441k ni "IPS n•t Receive $208.2mm 6m6y rate versus pay 5292.9mm 10y6y rate 15y par rate nth, 6mby exposed t car o repricing ry Fed with positive Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k Cron Medal Receive 158m ly5y EUR and pay 773m 1y1y EU. (Sparks) ECB cuts the depo rate further Forward curve steepens 5/16/13 +84 bp 5/16/14 +55 bp +2,963 Cross market Receive 3y1yJPY and pay ly1 y JPY (Sparks) Recent sell-off in Japan US rate outperforms 6/16/13 +44 by 4/22/14 +8 by +4,676k Sant DeursaM Sent Palcnnino• main as let one's r ohlry nada al eon ina•Se Stile fords innesolba cat I* =SS the mina bindinter* Acv OWSMO MVO POMO% gInon Vw Nveregatce peen* mate Mal MPS 17/ aim rates MalrepItIOWNIXO 4140 Pealone• lot tine pertarrence • CONFIDENTIAL — PURSUANT TO FED. R CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0116667 SDNY_GM_00262851 EFTA01457218