EFTA01387173

To: Andrew King < Cc: Stewart Oldfield < Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Hi Andrew I reviewed the returns over the past 4 years and they are not that exciting. It has averaged around 70bps return over that time period. I like the concept but not sure the strategy generates enough returns. Happy to discuss more if you think I missed something. Paul Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11* Floor, New York, NY 10019 (o) (c) ai ALPHA GROUP CAP I TAL From: Andrew King [math() Sent: Friday, October 13, 2017 5:03 PM To: Paul Barrett < Cc: Stewart Oldfield < Subject: DB - Harvest Collateral Yield Enhancement Strategy Paul, I'm an Investment Specialist on Stew Oldfield's team at DB. During your last meeting with Stew, you had discussed a managed option strategy on our platform: the Harvest Collateral Yield Enhancement Strategy (CYES). As a follow-up, I thought I would send more information for your review. As background, CYES is an overlay that seeks to exploit the volatility risk premium and time decay properties of options by actively managing a portfolio of short-dated index option spreads on the S&P 500 index. The strategy sells options to generate premium while purchasing further out of the money options to contain risk. In a disciplined manner, the strategy seeks to mitigate exposure to market directional risk by defensively adjusting positions in response to a large move or reducing exposure ahead of specific market events. The strategy enables an investor to add an incremental return stream to their existing portfolio, and the potential diversification benefit provided by the strategy's historically low correlation to equities. It requires no capital outlay and instead uses an investor's existing portfolio as collateral. The strategy is implemented through a separately managed account (SMA) with complete transparency and daily liquidity. Harvest is an established leader in managed option strategies. It was founded in April 2008 and has over $10BN in AUM. The strategy is managed by an experienced team of 15 investment professionals that have deep trading and portfolio management backgrounds and have demonstrated success through the global financial crisis and other market events. If you have any questions or would like to discuss further, please just let me know. There are risks associated with investing in this strategy, please see slide 20 of the attached presentation for a summary of risks. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089340 CONFIDENTIAL SDNY_GM_00235524 EFTA01387173