EFTA Document EFTA01385614

From: Andrew King Sent: 10/10/2017 5:13:18 PM To: Stewart Oldfield CC: Cynthia Rodriguez Subject: RE: Harvest Collateral Yield Enhancement Strategy Thanks — I can't seem to find him. Cynthia, would you mind adding me to the relationship team? From: Stewart Oldfield Sent: Tuesday, October 10, 2017 5:09 PM To: Andrew King < Subject: RE: Harvest Collateral Yield Enhancement Strategy Yes. We would trade for Southern Financial in all likelihood though. I can share more details whenever you like From: Andrew King Sent: Tuesday, October 10, 2017 5:06 PM To: Stewart Oldfield < Subject: RE: Harvest Collateral Yield Enhancement Strategy Is he in dbForce? From: Stewart Oldfield Sent: Tuesday, October 10, 2017 4:47 PM To: Andrew King < Subject: RE: Harvest Collateral Yield Enhancement Strategy Please send to Paul Barrett Thanks From: Andrew King Sent: Tuesday, October 10, 2017 4:44 PM To: Cc: Stewart Oldfield < Subject: Harvest Collateral Yield Enhancement Strategy Steve, During your last meeting with Stew, you had discussed a managed option strategy that we were in the process of on- boarding to our platform: the Harvest Collateral Yield Enhancement Strategy (CYES). The strategy has now been launched, and 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0086915 CONFIDENTIAL SDNY_GM_00233099 EFTA01385614