RE: DB - Harvest Collateral Yield Enhancement Strategy (Andrew King [math, October 13, 2017)

To: Andrew King < Cc: Stewart Oldfield < Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Hi Andrew I reviewed the returns over the past 4 years and they are not that exciting. It has averaged around 70bps return over that time period. I like the concept but not sure the strategy generates enough returns. Happy to discuss more if you think I missed something. Paul Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11* Floor, New York, NY 10019 (o) (c) ai ALPHA G