EFTA01461216.pdf

From: Vahe Stepanian/db/dbcom To: jeevacation@gmai 1 .com, Cc: Paul Morris/db/dbcom@DBAMERICAS Date: 12/03/2013 10:20 AM Subject: GBP + AAPL (C] classification: confidential Good Morning Jeffrey, Hope you had a great holiday weekend. As you have likely seen, GBP is currently at a 2 yr. high vs. USD OA —1.64; see graph below). The most recent move up has been attributed to a rise in construction activity for a seventh month, the fastest pace since August 2007. I recall you mentioned in our meeting that your view is to sell GBP if it approaches 1.65. For what it's worth, our DB analysts have a bearish view on the pound. A recent (DB) FX note discusses reasons why it's tough to build a fundamentally bullish case for sterling with the market pricing the first BoE hikes by mid-2015 (well ahead of the ECB and even the Fed). We see potential for GBP to reverse to the mid-1.50s by year-end. With that said, we priced up a few options that I've included below - consider selling a call, buying a put or a risk reversal. Recognize that GBP vol. is currently relatively low (vs. historical levels). Spot ref = 1.6397 1) Sell European GBP Call on GBP/USD Strike: 1.67 Notional: GBP 5,988,023.95 (or —SlOmm) Expiry: Tue 03-Jun-2014 (6m) settlement: Thu 05-Jun-2014 Premium: USD -103,400 2) sell European GBP call on GBP/USD Strike: 1.70 Notional: GBP 5,882,352.94 (or —510mm) Expiry: Wed 03-Dec-2014 (12m) Settlement: Fri 05-Dec-2014 Premium: USD -123,900 3) Buy European GBP Put on GBP/USD Strike: 1.6376 (ATMF) Notional: GBP 5,988,023.95 (or -410mm) Expiry: Tue 03-Jun-2014 (6m) Settlement: Thu 05-Jun-2014 Premium: USD 219,365.27 Also worth mentioning - AAPL has run up quite a bit in the past few days (currently trading @ -S560; up from 4519.80 on 11/22). I know you're looking to sell calls, will provide levels if still interested. Recall you're long 2k AAPL @ —5529.06. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123108 CONFIDENTIAL SDNY_GM_00269292 EFTA01461216