From: Andrew King Sent: 10/18/2017 11:17:1O 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 (mailt ] 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 57th Street, 111h Floor, New York, NY 10019 at ALPHA GROUP CAPITAL From: Andrew King ( 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 -4x 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. I'd also highlight that this incremental return would not be earned by applying leverage to the risks already in most portfolios (equity beta, credit, and duration). Due to the low correlation of the strategy to equities, for most investors the addition of the overlay has a diversification benefit to the overall portfolio, improving the risk adjusted return. Please let me know if you'd like to discuss further. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDN