EFTA01387172

From: Andrew King Sent: 2/7/2018 11:55:49 AM To: Stewart Oldfield CC: Martin Zeman ; Vahe Stepanian Subject RE: DB - Harvest Collateral Yield Enhancement Strategy Great news — thanks Stew. I've confirmed with Ziggy and Margarita that KCP brokerage accounts can be used as collateral. We're pulling together updated materials and will send to him shortly. From: Stewart Oldfield Sent: Wednesday, Februar 07, 2018 11:22 AM To: Andrew King Cc: Martin Zeman . :>; Vahe Stepanian •S> Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Andrew, Just spoke to Paul. He's ready to focus on this. Please send him the latest book and any updated performance. Once he reads it, he will want a call with Rick or Allan. Only complexity here is that KCP trades all of his brokerage. So, the SMA will need to be set up alongside that account. Hoping we can all work together to get this done. Thanks From: Andrew King Sent: Tuesday, October 17, 2017 12:25 PM To: Paul Barrett. Cc: Stewart Oldfield Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Paul, You're right that the returns have been around 70bps since Dec 2013. However, it's important to note that this is an overlay strategy, and doesn't require additional capital outlay. Due to this, all returns are incremental to the return that you would also earn on your collateral. Additionally, the strategy has a 25% margin requirement. Depending on the margin release available on the underlying collateral, you're able to increase your exposure to the strategy up to —4x on a given amount of collateral. Of course, this would increase the potential return and risk, but would also maintain the favorable Sharpe ratio and low correlation to equities. As an example, on a given amount of collateral, 3x exposure would result in 210bps of incremental return over the past four years. I'd also highlight that this incremental return would not be earned by applying leverage to the risks already in most portfolios (equity beta, credit, and duration). Due to the low correlation of the strategy to equities, for most investors the addition of the overlay has a diversification benefit to the overall portfolio, improving the risk adjusted return. Please let me know if you'd like to discuss further. From: Paul Barrett (mann. Sent: Monday, October 16, 2017 9:55 PM CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089339 CONFIDENTIAL SDNY_GM_00235523 EFTA01387172