EFTA Document EFTA01362951

G HARVEST Collateral Yield Enhancement Strategy (CYES) FIRM OVERVIEW b $12 billion AUM investment manager founded in April 2008. Vetted and approved by numerous investment consulting firms, ddr7n-ident klA a atforms, and large broker-dealers. Experienced team of 15 investment professionals with deep trading, portfolio management, marketing, operational and technology backgrounds. CONSISTENT RETURNS Delver steady cash flows over ume. market cycles and event, I NO Initial capital required ty No change to existing weightings  No liquidation of holdings  Maintain flexibility to change positions Separately managed account opened at misting custodian b Demonstratedsuccessthroughtheglobal financial crisis and other significant market events. ▪ Robust Infrastructure that efficiently integrates proprietary systems and processes with third-party custodians. • Full service solutions delivered with an emphasis on education, transparency and access. CONSERVATIVE RISK Construct and manage to limit losses and drantlonns LIQUID & TRANSPARENT Exchange kited securities, held and viewable at existing custodian COMPLEMENT PORTFOLIO Low coriebtkm of returns enhances pen folio OPEN COMMUNICATION Emphasis on inforrnation sharing and education with client and advisors TAX ADVANTAGED 60% long term/40% short term capital gains (MC Section 1256) CENTRALLY CLEARED All positions centrally cleared and guaranteed by the OCC 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 %PSC° 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 Conservative Risk Returned +3.30% during financial Largest drawdown since Inception crisis (Sept 08-f eb 09) 3.8% (recovered In 2 months) Positive returns In 8 of 10 years Only 6 months exceeding a 1% loss; only 1 month exceeding a 2%, loss -70% of months positive Best month: Best year: Best trailing 12-month: nese 2131E :017 2016 2417. 102a 201; eau 2011 POO 200) KW: +3.51% +3.62% +7.71% Low correlation to 58PS% of 0.08 Worst month: Worst year: Worst trailing 12-month: -2.83% -0.68% -1.99% tot 405 sox 204 on 06 Monthly Return Distribution (April 2M —current) ^85% of months between -0.5% and +1.0% / .91 49 $ .9 .9 7 oip ie / ;ite die e. a•f0 -0.63% -0-02% 026% 0.0514 .ol . C tt Nes .1.1.0% MO ;he. 2193% -0.37% 024% 030% 020% 009% 0.14% 0.22% 0.06% .032% -032% 0.01% 0.72% 092% U7% 0.17% 0.14% 026% -0.11% -0.30% 0.01% 0.25% 0.28% -001% -0.13% 0.64% 0.97% 024% 0.27% 030% 033% 0.18% 026% .112% 0.67% i -035% .019% -012•% 0.38% 026% 154% 1St% -023% 0.43% 0.18% 0.12% 008% -0.07% 0.02% 0.27% 0.05% -0.66% -0.64% 1.14% 0.16% -013% 0.15% -098% 020% -0.02% -0.13% 0.30% 0.11% 0.10% -0.61% 1.17% -001% 000% 027% 011436 0.14% 029% 0.33% 000% 027% 0,35% 0.06% 231% 0.55% 0.06% . 4213% 022% 0.15% 024% 460% 4.26% NM •1A6% 0.46% , 059% 2.64% 4.12% 4.13% -0.67% -036% -005% 0.03% 0.11% 0.36% 0 16% 2.95% 222% -047% OM% Ili 0A0% -ISM& 030% 033% 034% _ 047% 3.62% 236% 0.42% -005% 006% 042% -0 97% 705SWErnalL 351%,i 106% 600% • Canerissmeson ete cessAtiel ant the noinaolenearessh• ratot^ or • ' • COretatettshoontotorettedocomr ante wihtheCla imt t.seht.o, n.,. “Past perfoonsnre Is not an Indicator of foto re results. Okato w clfselahnera on the fob:twins payee • ta t2i ethypte Morse, 'yak 2420 tar ,arl...ts2:0 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0052710 SDNY_GM_00198894 EFTA01362951