-o 12015 Outlook Recommendations ry Deutsche Bank Securities Inc Trade Detail Rationale Risks Opened Entry Current P/L OPdon Sell FVH6 puts versus buy like structured swaption for zero premium Overly aggressive Fed could produce a "tightening tantrum" which is negative for risk asset valuations, likely producing hedging flows in swap spreads that push spreads wider. Spreads tighten in a sell-off beyond the strikes 12/19/14 FVH6 +10.bp Swaption +9bp o ptkin Buy lxl, tyly receiver spreads with strikes ATMF and ATMS spread The post-Fed sell-off has left the spot/forward p near multiyearost- crisis highs. Maximum total loss is the premium outlay 12/19/14 29c Swaps RV Pay 3yly versus 2y1 y This curve segment might be expected to steepen if, for example, higher inflation produces greater pricing power, or if the long-absent cyclical increase in productivity finally materializes. Curve flattens 12/19/14 40 1X2 receiver spreads: Buy $100mn 3M10Y ATMF vs sell $200mn 3M10Y 19bp OTM receivers at zero net cost This a positive carry trade that captures the central path for the 10Y sector during Ql. Vulnerable to rally below the breakevens with potentially unlimited downside. 12/19/14 Sell 1X2 payer spreads at the short end: Sell $100mn 6M3Y ATMF vs. buy $200mn34.6bp OTM payers at zero net cost The repricing of Fed hikes could begin in short 02 with the end rebounding sharply after initial rally. Vulnerable to rally below the breakevens, with potentially unlimited downside. 12/19/14 Option Sell $100mn 6M10Y straddles vs. buy $300mn 6M3Y straddles for a net premium of 176K With expectations of Fed hikes, volatility should move to the front end of the curve, while the back end movements remains Unilateral spike in backend vol. 12/19/14 option Quiet flatteners: sell $1bn 6M 68/10s 9.6bp OTM curve cap vs. buy$1bn 6M 66/10s atmf/9.6 curve floor spread at zero cost Potential for considerable beer fl