Clo&A 'Flack Recomrnendatiorts Cont'd
Tral I)staN Redonda Risks O S Cloyed Exit P/L
Carry pays for option, repriced
Buy 31,000mm 6m single reset cap Cu
on rve flattening, max loss
Option fed suggests 5y 6/20/14 +9 bp 11/20/14 0 bp -976k
CMS10-CMS5 strike 89bp for 9.75c premium
outperfonnance
Sell $100mn 3M5Y straddles vs. buy
Option $100mn 3M5Y 22bp OTM payers for No big changes in vol near term Rates rally 9/19/14 -100 bp 12/30/14 0 bp +1,029k
net takeout of 100c.
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
Option
OpkIon and sell Srin13m 1t1m10y ATMF14).6138.glearp Fed tapers in 2013 Curve steepens and rates 6/16/13 +147 bp 10/9/14 +127 bp +639k
payer. (Kocic) rise
Option Buy $207mm 3m5y receiver ATMF - 25
High payout ratio for exposure Market sell off. max loss net 8/19/14 +0 by
bp, sell 207mm 3m5y receiver ATMF - 5/20/14 +17 by -339k
to delayed Fed premium
60 by at 16.76 bp premium
Sell $100mn 1Y2Y ATMF receivers vs.
5s lead the way in a rally as rate
Option ba Bull steepening in 2s/5s 10/3/13 0 bp 10/3/14 0 bp +7k
hikes are taken out
at zero net cost
The risk of weak data and/or
Buy 5880mn lY 6s/305 ATMF curve more aggressive forward
Opt " Short term flattening sell off 9/13/13 0 bp 3/14/14 +229 bp +2441k
c0aTP1:1"pe.yseerisi at
Si net znero 1(Wt. I I bP gstueieditnnceerbe:ileme:loawdownsof
(Kocic) growth puts an upper limit on
the 1GY sector
ni Receive $208.2mm 6m6y rate versus 15y par rate nth, 6mby exposed
"IPS n•t pay 5292.9mm 10y6y rate to ry
repricing Fed with positive Curve flattenening 5/20/14 +219 bp 11/19/14 +320 bp -7,274k
car
Cron Receive 158m ly5y EUR and pay 773m ECB cuts the depo rate further Forward curve steepens 5/16/13 +84 bp 5/16/14 +55 bp
1y1y EU. (Sparks) +2,963
Medal
Cross Receive 3y1yJPY and pay ly1y JPY Recent sell-off in Japan US rate outperforms 6/16/13 +44 by 4/22/14 +8 by
market (Sparks) +4,676k
Sant DeursaM Sent
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Pealone•lot tine pertarrence •
CONFIDENTIAL — PURSUANT TO FED. R CRIM. P. 6(e) DB-SDNY-0116667
CONFIDENTIAL SDNY_GM_00262851
EFTA01457218