Deutsche Bank Securities Inc. 2015 Outlook Recommendations Trade Detail Rationale Risks Opened Entry Current P/L Treasury RV Sell rich bond futures against cheap off-the-run bonds The classic bond futures look rich in the long end Further outperformance of the 6.25s of 5/2030 in the long end 12/19/14 +21 bp +5 by (Closed on 2/25) +1,248k Inflation Swaps Buy 2yr2yr forward breakevens The 2yr2yr inflation appears attractive on a longterm history Further decline in medium-term inflation expectations 12/19/14 1.95% 1.60% -1,167k Inflation Buy long end inflation The long end inflation market looks undervalued on a long-term perspective, with the 30-year TIPS breakevens trading below 2.00%. Inflation markets further underperfonn. 12119/14 1.92% 1.71% -3,400k Infladon Buy 5yr5yr forward breakevens as a hedge to high rates The 5yr5yr forward breakevens have dropped to their multi-year lows. Decline in energy prices and a stronger dollar 12119/14 2.18% 1.97% Alpagefla Buy 3nc1y and 5nc6m implied callables vs. matched-maturity bullets With the Fed moving closer to its first rate hike in a low-inflation, moderate-growth environment, there are few themes as sure as the flattening of the curve, likely going beyond the forwards. Higher vol cheapens callables relative to bullets 12/19/14 in 2-year vs. 5-year agency spread curve flattener On the bullet agency curve, spreads are relatively tight to the level of rates volatility, and they risk widening 5-10bp from current levels on our model incorporating forward vole and the projected level of outstanding debt. Increased GSE risk widens intermediate spreads 12/19/14 US Credit US High Yield: Sell covered puts on HY CDX With CCC energy bonds trading at 60 cents on the dollar, and oil just $10 away from matching the most severe percentage drop in oil prices over 1997.8, our sense is that we may be reaching the latter stages of a pronounced move lower in a oommodities-driven decline in HY credit valuations Widening of credit spreads beyond the breakeven point as well as a rally in credit beyond the breakeven, with potentially unlimited downside in either scenario 12/19/14 Stunt Do /torn* Sint CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0051304 SDNY_GM_00197488 EFTA01362007