EFTA01387883

From: Stewart Oldfield Sent: 1/29/2018 5:39:59 PM To: Paul Barrett CC: Andrew King BCC: Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Paul, Given the recent uptick in vol, does it make sense to discuss this in any more detail? Hope all is well. Thanks From: Paul Barrett Sent: Tuesday, October 17, 2017 11:23 PM To: Andrew King < Cc: Stewart Oldfield Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Let's chat tomorrow Paul Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor, New York, NY 10019 o) (c) a ALPHA GROUP CAP ITAL From: Andrew King [mailto Sent: Tuesday, October 17, 2017 12:25 PM To: Paul Barrett IMIIMINIMa 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. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091082 CONFIDENTIAL SDNY_GM_00237266 EFTA01387883