EFTA Document EFTA01436030

Collateral Yield Enhancement Strategy (CYES) FIRM OVERVIEW I $12 billion AUM investment manager founded in April 2008. I Vetted and approved by numerous investment consulting firms, independent RIA platforms, and large broker-dealers. I Experienced team of 15 investment professionals with deep trading, portfolio management, marketing, operational and technology backgrounds. I Demonstrated success through the global financial crisis and other significant market events. I Robust infrastructure that efficiently integrates proprietary systems and processes with third-party custodians. I Full service solutions delivered with an emphasis on education, transparency and access. HARVEST OVERLAYS Overlay Cash Fixed Income Equities CONSISTENT RETURNS Deliver steady cash flows over time, market cycles and events SIMPLE SETUP 1 No initial capital required 1 No change to existing weightings 1 No liquidation of holdings 1 Maintain flexibility to change positions Separately managed account opened at existing custodian CONSERVATIVE RISK Construct and manage to limit losses and drawdowns LIQUID & TRANSPARENT Exchange listed securities, held and viewable at existing custodian COMPLEMENT EFTA01436030 PORTFOLIO Low correlation of returns enhances portfolio OPEN COMMUNICATION Emphasis on information sharing and education with client and advisors CYES - DESCRIPTION & HISTORICAL PERFORMANCE CYES is an overlay that seeks to exploit the volatility risk premium and time decay properties of option premium by actively managing a portfolio of short-dated index option spreads on the S&P500 index (SPX). CYES sells options to generate premium while purchasing further out of the money options to contain risk. In a disciplined manner the strategy will seek to mitigate exposure to market directional or gap risk by defensively adjusting positions in response to a large move or reducing exposure ahead of specific market events. Consistent Returns I Returned +3.34% during financial crisis (Sept 08-Feb 09) I Positive returns in 7 of 9 years I -70% of months positive Best month: Best year: Date 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Jan Conservative Risk I Only one drawdown exceeding 3% in 9 years (recovered in 2 months) I Only 6 months exceeding a 1% loss; only 1 month exceeding a 2% loss +3.51% +3.62% Best trailing 12-month: +7.71% EFTA01436031 Feb -0.37% 0.47% 0.24% 0.16% -0.01% 0.06% 0.89% 0.85% Mar -1.15% -0.63% -0.62% 0.44% -0.39% 0.12% -0.23% -0.25% -0.13% 0.13% 0.30% -0.29% 1.13% 0.24% -0.17% 0.27% 0.43% -0.23% 0.00% 0.56% I Low correlation to S&P500 of 0.07 Worst month: Worst year: Worst trailing 12-month: Apr May 0.96% 0.30% 0.14% 0.30% 0.18% 0.15% 0.27% 0.22% 0.29% 0.42% 0.26% 0.24% 0.26% 0.33% 0.12% -0.98% 0.46% EFTA01436032 0.15% 0.76% 0.92% Jun 0.09% 0.18% 0.08% 0.20% 0.14% 0.14% Jul 0.14% -0.11% -0.30% 0.26% -0.07% 10% 20% 30% 40% 50% 60% -2.83% -0.68% -1.99% Aug 0.21% 0.41% -1.12% 0.02% -0.02% -0.13% 0.29% 0.33% -0.12% -0.18% -0.67% -0.36% -0.67% 0.64% -0.05% -0.40% -1.26% 1.75% -1.90% 0.06% -0.05% 0.59% 0.42% 0% Monthly Return Distribution (April 2008 — current) —85% of months between -0.5% and +1.0% TAX ADVANTAGED 60% long term/40% EFTA01436033 short term capital gains (IRC Section 1256) CENTRALLY CLEARED All positions centrally cleared and guaranteed by the 0CC Sep 0.06% 0.25% 0.67% 0.27% 0.30% 0.00% 0.88% 0.08% 0.30% Oct Nov -0.33% -0.31% 0.24% -0.35% -0.59% -0.12% 0.27% -1.46% 0.18% 0.39% -0.97% -2.83% • Composite returns are calculated using the notional value of each client's account and generated net of actual transactional costs and fees, per the terms of the client agreement. • Composite returns are constructed in compliance with the CFA Institute's Global Investment Performance Standards (GIPS) — www.cfapubs.org/doi/pdf/- 10.2469/ccb.v2010.n5.1 **Past performance is not an indicator of future results. Please see disclaimers on the following pages** Dec 0.01% -0.04% -0.13% 0.38% 0.05% 0.11% 0.35% 0.46% 0.36% 0.54% 1.65% 0.26% -0.66% 0.10% EFTA01436034 0.06% 0.98% 0.36% 0.67% 3.51% Year -1.19% 0.71% 0.64% 1.54% -0.68% -0.61% 2.31% 0.59% 1.95% 3.62% 3.06% Std. Dev. 2.90% 0.92% 0.97% 1.58% 1.14% 1.17% 0.55% 2.64% 2.22% 2.86% 6.00% Harvest Volatility Management, LLC 420 Lexington Avenue; Suite 2620 New York, NY 10170 EFTA01436035 IMPACT OF CYES OVERLAY SIZING ON BALANCED PORTFOLIO* I Client's preference determines overlay size I Enhanced cash flow and risk adjusted returns 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 6.0 8.0 2008 2009 2010 2011 2012 DEFINITIONS AUM — Reflects the total firm notional and capital under management as of the report date. Drawdown — Any losing period during an investment record. It is defined as the percent retrenchment from a performance peak to a performance valley. Largest Drawdown — The largest percentage losing period from peak to trough that has occurred during the period of investment record. Drawdown Period — The length of time it takes the largest drawdown to occur. Drawdown Recovery — The subsequent time period required to recover the largest drawdown. Internal Revenue Code (IRC) Section 1256 Contract — A regulated futures contract, foreign currency contract, non-equity option e.g. cash-settled S&P500 Index options (SPX), dealer equity option or dealer securities futures contract. Each contract held by a taxpayer at the end of the tax year is treated as if it was sold for is fair market value, and gains or losses are treated as either short-term or long-term capital gains. Correlation - Measure of the strength and direction of the linear relationship between two variables or data sets over a period of time. Correlation can vary between +1 to -1. Values close to +1 indicate a high degree of relationship, values close to -1 indicate a high degree of negative relationship, and values close to 0 indicate very little relationship overall. Annualized Standard Deviation — Annualized measure of dispersal or EFTA01436036 uncertainty of investment returns. Often used as a measure of investment risk. Specifically, it measures the degree of variation of monthly returns around the mean return for a given year. The higher the volatility of the investment returns, the higher the standard deviation. Annualized Return — The calculated average yearly increase (or decrease) in the value of an investment, including the effects of compounding over a period other than a year. Annualized return indicates how an investment has performed and allows it to be compared to other investments. Information Ratio — Annualized Return divided by Annualized Standard Deviation (with overlays using 0% benchmark). Option Spreads — Selling a call (put) spread consists of selling a call (put) option and buying an equal number of call (put) options with a higher (lower) strike price and the same (or longer) expiration. OCC — The Options Clearing Corporation. Organization that operates under jurisdiction of SEC as the issuer and guarantor for listed options contracts. DISCLAIMERS Trading commissions associated with multi-leg strategies are generally higher than those for single-leg strategies. The information contained herein, including any attachments, is provided by Harvest Volatility Management, LLC ("Harvest or HVM") on a confidential basis to the intended recipient solely for informational purposes. Any dissemination, re-distribution or other use of this message by any recipient is unauthorized. There are substantial risks to investing in this strategy, which should be considered speculative and may only be appropriate for part of an investor's portfolio. The information in this document has been obtained from sources believed to be reliable, but Harvest does not represent that it is accurate or complete. Under no circumstances should the information contained herein be used or considered as an offer to sell, or a solicitation of an offer to purchase, any security or investment service, and it is not intended to provide investment advice. Such an offer may only be made to qualified investors by means of delivery of a confidential private placement memorandum or other similar materials that contain a description of material terms relating to such investment. The information presented herein is presented in summary form and is, therefore, subject to qualification, change and further explanation. It is intended for information purposes only and should be used by sophisticated investors who are knowledgeable of the risks involved. More complete information about Harvest's products and services is contained in Part II of Harvest's Form ADV, which is available on request, and from Harvest representatives. Harvest does not give financial, tax or legal advice, and nothing contained herein should be construed as such advice. Investment Risks: Investing in the Fund or Account is speculative and involves varying degrees of risk, including substantial degrees of risk in some cases. The Fund or Account may be leveraged and may engage in other speculative investment practices that may increase the risk of investment loss. EFTA01436037 Past results of the Fund or Account investment manager is not necessarily indicative of future performance of the Fund or Account, and the Fund or Account's performance may be volatile. The use of a single advisor could mean lack of diversification and, consequently, higher risk. The Fund or Account may have varying liquidity provisions and limitations. There is no secondary market for investors' interests in the Fund or Account and none is expected to develop. Options strategies are not suitable for all investors I Past results are not indicative of future performance Before implementing the strategy, client must review the Options Clearing Corporation (OCC) publication, linked here: http://www.optionsclearing.com/about/publications/character-risks.jsp $30mm Overlay $20mm Overlay $10mm Overlay Portfolio * Balanced Portfolio assumes equal allocations (1/3 each) on 04/01/08 to: Cash = Citigroup 3m Treasury-bill; Bonds = Barclays Municipal Bond Index; Equities = S&P500 Total Return Index. 2013 2014 2015 —All overlay returns net of fees and expenses- 2016 2017 2018 $ Millions EFTA01436038