EFTA01387741

From: Andrew King Sent: 2/22/2018 4:15:22 PM To: Vahe Stepanian Stewart Oldfield CC: Martin Zeman Subject RE: DB - Harvest Collateral Yield Enhancement Strategy II] Vahe — we're tracking down some commentary on how the strategy did the past few weeks with elevated vol. before following up with Paul. I'll keep you updated. From: Vahe Stepanian Sent: Thursday, February 22, 2018 4:09 PM To: Stewart Oldfield •i >; Andrew King a Cc: Martin Zeman • > Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy (I) Classification: For internal use only Stew/Andrew — was there any follow up on this? Best, Vahe From: Stewart Oldfield Sent: Wednesday, February 07, 2018 11:22 AM To: Andrew King Cc: Martin Zeman c:INIMMIIIIF Vahe Stepanian 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 Ma Cc: Stewart Oldfield Subject: RE: DB - Har,o,...larKement 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0090858 CONFIDENTIAL SDNY_GM_00237042 EFTA01387741