From: Stewart Oldfield Sent: 1/26/2018 1:52:55 PM To: Andrew King Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Did anything happen with this? Thanks From: Andrew King Sent: Wednesday, October 18, 2017 11:17 AM To: Paul Barrett < Cc: Stewart Oldfield < Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Good morning Paul — please let me know when would work best to speak today. From: Paul Barrett [mato 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 57°' Street, 111h Floor, New York, NY 10019 al ALPHA GROUP CAP ITAL From: Andrew King (mailto: Sent: Tuesday, October 17, 2017 12:25 PM To: Paul Barrett < 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 'Mx 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-0090892 CONFIDENTIAL SDNY_GM_00237076 EFTA01387759