EFTA01097815Set 9
2015-09-0447p20,445w
hikes could begin in Q2 with
Option short end: Sell $100mn 6M3Y the breakevens, with
the short end rebounding sharply after initial 12/19/14
ATMF vs. buy $200mn 34.5bp potentially ... Further decline in
The 2yr2yr inflation appears attractive on a long-
Buy 2yr2yr forward breakevens medium-term inflation 12/19/14 1.95% 1.60% -1,367k
Swaps term history
expectations
The long ... long-term perspective, with the 30-year TIPS 12/19/14 1.92% 1.71% -3,400k
underperform.
breakevens trading below 2.00%.
Inflation Buy 5yr5yr forward breakevens The 5yr5yr forward breakevens have dropped
https://www.justice.gov/epstein/files/DataSet%209/EFTA01097815.pdf
EFTA01362023Set 10
2016-09-041p384w
September 2016
US Fixed Income Weekly
[Long forward breakevens, either outright or hedged with energy futures
2.2
2.0
1.8
1.6
1.4
—ly fwd implied BE from 7/15/16 to 7/15/17 ... Marren haw. &Pam' Dnescno Sam
A simpler version of the implied front end forward breakevens is to be long
front end breakevens outright. They have lagged oil prices. A regression ... five-year TIPS breakevens against oil prices on past six months' data suggests
breakevens are too low by 15bp to 20bp, given the current oil prices. Similarly,
5s/l0s breakeven curve
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362023.pdf
EFTA01411427Set 10
2015-05-31202p28,772w
collapse
peak rate) within producer cash flows. This falls to $60/bbl breakeven when
EFTA01411429
spending 120% of cash flow. In other words, we will need a higher price than
where ... /bbl oil isn't going to suffice
Despite arguments about asset breakevens in the onshore at prices as low as
$40/bbl, the number that matters for the resumption of drilling/completion ... estimated demand for US
onshore crude by late 2016). This falls to $60/bbl breakeven when spending
120% of cash flow. In other words, we will need a materially higher price
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01411427.pdf
EFTA01362007Set 10
2014-12-191p351w
Further decline in
The 2yr2yr inflation appears attractive on a long-
Buy 2yr2yr forward breakevens medium-term inflation 12/19/14 1.95% 1.60% -1,167k
Swaps term history
expectations
The long ... long-term perspective, with the 30-year TIPS 12119/14 1.92% 1.71% -3,400k
underperfonn.
breakevens trading below 2.00%.
Infladon Buy 5yr5yr forward breakevens The 5yr5yr forward breakevens have dropped ... spreads beyond the
dollar, and oil just $10 away from matching the breakeven point as well
US Credit US High Yield: Sell covered most severe percentage drop in oil prices
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362007.pdf
EFTA01385323Set 10
2017-12-041p674w
million hydraulic hp begins to be
• Falling US tight oil breakevens have not ruined delivered over the course of the first quarter. This
OPEC's game plan ... Arabia's difficulty in Deepwater reserves still contribute the most
further lowering its fiscal breakeven (USD 77/bbl, reserves by resource theme, and we see USD
down from USD 107/bbl ... defined by marginal
WTI averaging USD 45/bbl, and +1.113kb/d tight full-cycle project breakevens.
oil at USD 65/bbl.
In the next sections we describe (i) the reasons
• Tight
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385323.pdf
EFTA01434582Set 10
2018-07-173p616w
high short interest, so the squeeze potential offers
asymmetric risk to the upside
o Breakeven is 8.5 % away; implied move is 5.6% but it has historically
EFTA01434582
moved —12%, with ... Replacing stocks protects 4.8% down, more than the implied move (3.2%)
o Breakeven is 7% away, but with the elevated short interest squeeze
potential can take the stock through breakeven ... last earnings season
ALXN - Buy Aug 140 calls for $4.20 (ref. 135.60, 41d)
o Breakeven is 6.5% away; implied move is 6.84%
o Using Aug vol trading lower than
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434582.pdf
EFTA01385319Set 10
2018-01-031p955w
falling HY index (50 bps wider), a far cry from the >1,000 bps
breakeven levels of major prospective projects (non- gap in early 2016. Meanwhile, oil markets ... With the oil market settling at the "new normal" range,
breakeven Brent oil price (10% discounted) of major the exit of weak players from the market and major ... focus
That has worked out with the inventory levels at a on the breakeven oil price needed to keep FCF neutral
modest deficit (121 Bcf or 3% lower than
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385319.pdf
high short interest, so the squeeze potential offers asymmetric risk to the upside
o Breakeven is 8.5 % away; implied move is 5.6% but it has historically moved - 12%, with most ... Replacing stocks protects 4.8% down, more than the implied move (3.2%)
o Breakeven is 7% away, but with the elevated short interest squeeze potential can take the stock through
breakeven ... earnings season
• ADM - Buy Aug 140 calls for $4,20 (ref. 135.60, 41d)
o Breakeven is 6.5% away; implied move is 6.84%
o Using Aug vol trading lower than
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387062.pdf
EFTA00633441Set 9
2014-01-286p1,262w
expiry, 6.2 / 6.7 strike USDCNH call spread. Premium (offer) -0.43% of USD notional. Spot breakeven 6.226
2) Buy a ly expiry, 6.3 / 6.8 strike USDCNH call spread. Premium (offer ... notional. Spot breakeven 6.318
USD
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
345 Park Avenue - 26th Floor
New York ... expiry, 6.2 / 6.7 strike USDCNH call spread. Premium (offer) -0.43% of USD
notional. Spot breakeven 6.226
2) Buy a 1y expiry, 6.3 / 6.8 strike USDCNH call spread. Premium (offer
https://www.justice.gov/epstein/files/DataSet%209/EFTA00633441.pdf