EFTA01388505.pdf

From: Andrew King Sent: 11/29/2017 2:29:54 PM To: Stewart Oldfield Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy [I] This is who we've sent it to already: Harvest conversations • Paul Barrett — sent — have engaged with him in follow-up conversation • Third Lake - sent • Tisch - sent I'm sending the rest out this afternoon. From: Stewart Oldfield Sent: Wednesday, November 29, 2017 2:22 PM To: Andrew King Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy Ill Classification: For Internal use only Thanks. I totally forgot we sent a couple of these out. From: Andrew King Sent: Wednesday, November 29 2017 2:21 PM To: Stewart Oldfield Subject: FW: DB - Harvest Collateral Yield Enhancement Strategy FYI — we sent back in October. I'll follow up to see if they'd like to discuss further. From: Andrew King Sent: Thursday, October 19, 2017 5:28 PM To: 'Paul Watson' Cc: Stewart Oldfield Subject: DB - Harvest Collateral Yield Enhancement Strategy Paul, I hope all is well. I'm reaching out as we've recently added a managed option strategy to our platform and I thought you might have interest; the Harvest Collateral Yield Enhancement Strategy (CYES). 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. As an overlay, 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 instead uses an investor's existing portfolio as collateral. The strategy is implemented through a separately managed account (SMA) with complete transparency and daily liquidity. CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0092083 CONFIDENTIAL SDNY_GM_00238267 EFTA01388505