EFTA01362951.pdf

G HARVEST FIRM OVERVIEW Collateral Yield Enhancement Strategy (CYES) b $12 billion AUM investment manager founded in April 2008. b Demonstratedsuccessthroughtheglobal financial crisis and other significant market events. Vetted and approved by numerous investment consulting firms, ddr7n-ident klA a atforms, and large broker-dealers. ▪ Robust Infrastructure that efficiently integrates proprietary systems and processes with third-party custodians. Experienced team of 15 investment professionals with deep trading, portfolio management, marketing, operational and technology • Full service solutions delivered with an emphasis on education, backgrounds. transparency and access. CONSISTENT CONSERVATIVE COMPLEMENT TAX RETURNS RISK PORTFOLIO ADVANTAGED Delver steady cash Construct and manage Low coriebtkm of 60% long term/40% flows over ume. market to limit losses and returns enhances short term capital gains cycles and event, drantlonns pen folio (MC Section 1256) LIQUID & OPEN CENTRALLY TRANSPARENT COMMUNICATION CLEARED I NO Initial capital required Separately managed Exchange kited securities, Emphasis on inforrnation All positions centrally ty No change to existing weightings account opened at held and viewable at sharing and education cleared and guaranteed ✓ No liquidation of holdings misting custodian existing custodian with client and advisors by the OCC ✓ Maintain flexibility to change positions CYES is an overlay that seeks to exploit the volatility risk premium and time decay properties of option premium by actively managing a portfolio of short-dated index option spreads on the %PSC° index (SPX). CYES sells options to generate premium while purchasing further out of the money options to contain risk. In a disciplined manner the strategy will seek to mitigate exposure to market directional or gap risk by defensively adjusting positions in response to a large move or reducing exposure ahead of specific market events. Monthly Return Distribution Consistent Returns Conservative Risk (April 2M —current) Returned +3.30% during financial Largest drawdown since Inception tot crisis (Sept 08-f eb 09) 3.8% (recovered In 2 months) 405 ^85% of months between Positive returns In 8 of 10 years Only 6 months exceeding a 1% loss; -0.5% and +1.0% sox only 1 month exceeding a 2%, loss 204 -70% of months positive Low correlation to 58PS% of 0.08 on Best month: +3.51% Worst month: -2.83% 06 Best year: +3.62% Worst year: -0.68% o ip ie / ;ite / die e. .91 49 $ .9 .9 7 Best trailing 12-month: +7.71% Worst trailing 12-month: -1.99% nese a•f0 .ol . C tt Nes MO ;he. 2131E -0.63% -0-02% 026% 0.0514 .1.1.0% 2193% :017 -0.37% 024% 030% 020% 009% 0.14% 0.22% 0.06% .032% -032% 0.01% 0.72% 092% 2016 U7% 0.17% 0.14% 026% -0.11% -0.30% 0.01% 0.25% 0.28% -001% -0.13% 0.64% 0.97% 2417. 024% 0.27% 030% 033% 0.18% 026% .112% 0.67% i -035% 0.38% 026% 154% 1St% 102a -023% 0.43% 0.18% 0.12% 008% -0.07% 0.02% 0.27% .019% 0.05% -0.66% -0.64% 1.14% 201; 0.16% -013% 0.15% -098% 020% -0.02% -0.13% 0.30% -012•% 0.11% 0.10% -0.61% 1.17% eau -001% 000% 027% 011436 0.14% 029% 0.33% 000% 027% 0,35% 0.06% 231% , 0.55% 2011 0.06% . 4213% 022% 0.15% 024% 460% 4.26% NM •1A6% 0.46% 059% 2.64% POO 4.12% 4.13% -0.67% -036% -005% 0.03% 0.11% 0.36% _ 0 16% 2.95% 222% 200) -047% OM% 0A0% -ISM& 030% 033% 034% 047% 3.62% 236% KW: 0.42% Ili -005% 006% 042% -0 97% 705SWErnalL 351%,i 106% 600% • Canerissmeson ete cessAtiel ant the noinaolenearessh• ratot^ or • ' • COretatettshoontotorettedocomr ante wihtheCla imt t.seht.o, n.,. “Past perfoonsnre Is not an Indicator of foto re results. Okato w clfselahnera on the fob:twins payee • ta t2i ethypte Morse, 'yak 2420 tar ,arl...ts2:0 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052710 CONFIDENTIAL SDNY_GM_00198894 EFTA01362951