From: Stewart Oldfield
Sent: 1/29/2018 5:39:59 PM
To: Paul Barrett
CC: Andrew King
BCC:
Subject: RE: DB - Harvest Collateral Yield Enhancement Strategy
Paul,
Given the recent uptick in vol, does it make sense to discuss this in any more detail? Hope all is well.
Thanks
From: Paul Barrett
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, 11th Floor, New York, NY 10019
o) (c)
a ALPHA GROUP
CAP ITAL
From: Andrew King [mailto
Sent: Tuesday, October 17, 2017 12:25 PM
To: Paul Barrett IMIIMINIMa
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.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091082
CONFIDENTIAL SDNY_GM_00237266
EFTA01387883