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.
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