ICE GLOBAL CREDIT ALPHA MASTER FUND LIMITED

Transcription

1 ICE GLOBAL CREDIT ALPHA MASTER FUND LIMITED (a private company with limited liability incorporated under the Companies Acts 1963 to 2012 of Ireland under number ) USD 10,000,000,000 Asset-Backed Notes due June This document comprises a listing particulars (the "Listing Particulars") for the purposes of giving information with regard to ICE Global Credit Alpha Master Fund Limited (the Issuer ) which, according to the particular nature of the Issuer and the Notes, is necessary to enable investors to make an informed assessment of the assets and liabilities, financial position, profits and losses and prospects of the Issuer and of the rights attaching to the Notes. The USD 10,000,000,000 Asset-Backed Notes due 29 June 2041 (the Notes ) issued by the Issuer on 11 October Interest Payments (as defined below) (if any) on the Notes will be made annually or on such other dates as provided in this Listing Particulars. Payment of Interest (as defined below) and redemption amounts, at maturity or otherwise, with respect to the Notes will depend upon the receipt by the Issuer of a return on certain investments that it makes. (See Terms and Conditions of the Notes Interest Payments ). Payments on the Notes will be made without deduction for or on account of taxes unless such deduction is required by law. (See Terms and Conditions of the Notes - Taxation ). The Notes have been subscribed for by the initial purchaser of the Notes (the Initial Purchaser ) for an amount (the Subscription Amount ) that is less than the full Stated Amount (as defined below, being USD 10,000,000,000 in aggregate) thereof. The Issuer may from time to time require the holders of the Notes (the Note Holders ), or a Note Holder may so elect, to pay to the Issuer an amount up to the difference, if any, between (i) the Paid-Up Amount (as defined below) of such Note and (ii) the Stated Amount of such Note. (See Terms and Conditions of the Notes Form Denomination and Title ). The Notes mature on 29 June 2041 but may be redeemed prior thereto at the option of the Issuer. (See Terms and Conditions Redemption and Purchase ). Application has been made to the Irish Stock Exchange Limited (the Irish Stock Exchange ) for the Notes to be admitted to the Official List and to trade on the Global Exchange Market of the Irish Stock Exchange Limited (the GEM ). This Listing Particulars has been approved by the Irish Stock Exchange as listing particulars for the purposes of the "Listing and Admission to Trading Rules of the Global Exchange Market" of the Irish Stock Exchange. Such approval relates only to the Notes which are to be admitted to trading on the GEM. The Notes have not been registered under the United States Securities Act of 1933, as amended (the Securities Act ). The Notes will be offered only to accredited investors in reliance on the exemption from registration under Section 4(a)(2) of the Securities Act. The Issuer will not be registered under the Investment Company Act of Interests in the Notes will be subject to certain restrictions on transfer (see Subscription ). For a description of certain matters that prospective investors should consider, see Risk Factors. This Listing Particulars is dated 14 November M (i)

2 The Issuer accepts responsibility for the information contained in this Listing Particulars. To the best of the knowledge and belief of the Issuer (having taken all reasonable care to ensure that such is the case), such information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Issuer accepts responsibility accordingly. ICE Canyon LLC (the Investment Manager ) accepts responsibility for the information contained in the sections entitled The Investment Manager and The Portfolio. To the best of the knowledge and belief of the Investment Manager (having taken all reasonable care to ensure that such is the case), such information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Investment Manager accepts responsibility accordingly. None of the Trustee (as defined below), the Paying Agent (as defined below) or the Corporate Services Provider (as defined below) make any representation, recommendation or warranty, express or implied, regarding the accuracy, adequacy, reasonableness or completeness of the information contained herein or in any further information, notice or other document which may at any time be supplied in connection with the Notes nor accept any responsibility or liability therefor. None of the Trustee, the Paying Agent or the Corporate Services Provider undertake to review the financial condition or affairs of the Issuer during the life of the arrangements contemplated by this Listing Particulars nor to advise any investor or potential investor in the Notes of any information coming to their attention with respect to the Issuer, the Portfolio (as defined below) or otherwise. None of the Trustee, the Paying Agent, the Corporate Services Provider or the Listing Agent represents that this Listing Particulars may be lawfully distributed, or that any Notes may be lawfully offered, in compliance with any applicable registration or other requirements in any such jurisdiction, or pursuant to an exemption available thereunder, or assume any responsibility for facilitating any such distribution or offering. The Notes may not be offered or sold directly or indirectly, and neither this Listing Particulars nor any listing particulars, prospectus, form of application, advertisement, other offering material or other information relating to the Issuer or the Notes may be issued, distributed or published in any country or jurisdiction (including the Republic of Ireland ( Ireland ) and United Kingdom), except in circumstances that will result in compliance with all applicable laws, orders, rules and regulations. The distribution of this Listing Particulars and the offering of the Notes in certain jurisdictions may be restricted by law. Persons into whose possession this Listing Particulars comes are required by the Issuer to inform themselves about and to observe any such restrictions. For a description of certain restrictions on offers and sales of Notes and distribution of this Listing Particulars and other offering material relating to the Notes, see Subscription below. No person is authorised to give any information or to make any representation not contained in this Listing Particulars and any information or representation not so contained must not be relied upon as having been authorised by or on behalf of the Issuer. The delivery of this Listing Particulars at any time does not imply that the information contained in it is correct as at any time subsequent to its date and neither the Issuer, the Trustee nor the Investment Manager undertakes to update the information contained in this document. Neither this Listing Particulars nor any part hereof constitutes an offer of, or an invitation by, or on behalf of the Issuer or any other party to subscribe for or purchase any of the Notes and neither this Listing Particulars, nor any part hereof, may be used for or in conjunction with an offer to, or solicitation by, (a) any person in any jurisdiction or in any circumstances in which such offer or solicitation is not authorised or (b) any person to whom it is unlawful to make such offer or by whom such solicitation is unlawful. This Listing Particulars may only be communicated or caused to be communicated to persons (a) who are outside the United Kingdom and Ireland; or (b) who have professional experience in matters relating to investments; or (c) who are persons falling within Article 49(2)(a) to (e) of the Financial Services and Market Act 2000 (Financial M (ii)

3 Promotion) Order 2001 of the United Kingdom; or (d) to whom this Listing Particulars may otherwise be lawfully communicated in accordance with all applicable laws (all such persons together being referred to as relevant persons ). This Listing Particulars must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only by relevant persons. In this Listing Particulars, unless otherwise specified or the context otherwise requires, references to and euro are to the lawful currency for the time being of the member states of the European Union that adopt the single currency in accordance with the treaty establishing the European Communities signed in Rome on 25 March 1957 as amended from time to time and references to $ USD and U.S. Dollars are to the lawful currency for the time being of the United States of America. This offering is being made in reliance upon an exemption from registration under the Securities Act for an offer and sale of the Notes which does not involve a public offering. In making your purchase, you will be deemed to have made certain acknowledgments, representations and agreements. See Subscription below. The Notes described in this Listing Particulars have not been registered with, recommended by or approved by the US Securities and Exchange Commission (the SEC ), any state securities commission in the United States or any other securities commission or regulatory authority, nor has the SEC, any state securities commission in the United States or any such securities commission or authority passed upon the accuracy or adequacy of this Listing Particulars. Any representation to the contrary is a criminal offence. The Issuer is not, and will not be, regulated by the Central Bank of Ireland (the Central Bank ) by virtue of the issue of the Notes. Any investment in the Notes does not have the status of a bank deposit and is not subject to the deposit protection scheme operated by the Central Bank. The Notes are obligations solely of the Issuer and are not obligations of, guaranteed by or the responsibility of any other entity. Neither the Issuer nor the Notes are rated with any rating service. M (iii)

4 TABLE OF CONTENTS PAGE SUMMARY...2 RISK FACTORS...8 TERMS AND CONDITIONS OF THE NOTES...30 USE OF PROCEEDS...42 THE ISSUER...43 INVESTMENT MANAGER...45 THE PORTFOLIO...50 THE PORTFOLIO MANAGEMENT AGREEMENT...58 PRIME BROKER AND PRIME BROKERAGE AGREEMENT...62 THE PORTFOLIO ADMINISTRATOR AND THE PROFESSIONAL SERVICES AGREEMENT...63 CERTAIN TAX CONSIDERATIONS...65 SUBSCRIPTION...67 GENERAL INFORMATION...69 M

5 SUMMARY The following summary does not purport to be complete and is qualified in its entirety by reference to the detailed information appearing elsewhere in this Listing Particulars and related documents referred to herein. For a discussion of certain risk factors to be considered in connection with an investment in the Notes, see Risk Factors. The Issuer ICE Global Credit Alpha Master Fund Limited, a private company with limited liability having its registered office at 78 Sir John Rogerson s Quay, Dublin 2, Ireland and incorporated under the Companies Acts 1963 to 2012 of Ireland under number , for the purpose of acquiring certain Portfolio Assets (as defined below), managing the Portfolio (as defined below), issuing the Notes and engaging in certain related transactions as described in the Transaction Documents (as defined below). The Issuer will not have any assets other than the Portfolio, the balance standing to the credit of the Transaction Account and the Issuer Account (each as defined below) and its rights under the Transaction Documents and certain other incidental rights and assets. The Notes Status and Ranking of the Notes The Trustee The Investment Manager Portfolio Administrator Pursuant to the Trust Deed (as defined below) the Issuer issued the USD10,000,000,000 Notes on 11 October 2012 (the Issue Date ) in consideration for payment of the Subscription Amount and for deferred payment by way of Capital Amounts (each as defined below) in respect of the Notes. The Notes constitute direct, unsecured, unconditional and subordinated obligations of the Issuer, and will rank pari passu and rateably without any preference among themselves for all purposes. The Notes will rank, as to payment in respect of amounts due upon them, junior to all other present and future secured and unsecured obligations of the Issuer (the Senior Obligations ). The obligation of the Issuer to make payments in respect of the Notes will be limited to the value of the Net Recourse Assets (as defined in Condition 5.1 (Final Redemption), after payments in respect of the Senior Obligations. Wilmington Trust SP Services (Dublin) Limited (the Trustee ), acting through its office at 1 st Floor, 7 Exchange Place, IFSC, Dublin1, Ireland has been appointed as trustee of the Note Holders and the other creditors pursuant to a trust deed dated as of the 27 June 2012 (the Trust Deed ). The Trust Deed is governed by Irish law. The Issuer has engaged the services of ICE Canyon LLC (the Investment Manager ) to perform certain purchase, disposal and management functions with respect to the Portfolio (as defined below) in accordance with a portfolio management agreement dated 11 May 2012 between the Issuer and the Investment Manager (the Portfolio Management Agreement ). The Portfolio Management Agreement is governed by the laws of the State of California, United States of America. The Issuer has engaged Northern Trust Hedge Fund Services LLC (the Portfolio Administrator ) pursuant to a M

6 joinder to a professional services agreement effective 1 May 2012 to perform certain administrative functions with respect to the Portfolio and the Portfolio Assets (as defined below) on the same terms and conditions as set forth in the professional services agreement entered into by ICE Focus EM Credit Master Fund Limited (formerly known as ICE EM Special Situations Master Fund Limited) and Northern Trust House Fund Services LLC (formerly known as Citadel LLC and Omnium LLC) dated 23 May 2008 as if the Issuer was an original party to such agreement (the Professional Services Agreement ). The Professional Services Agreement is governed by the laws of the State of Delaware, United States of America. Prime Broker The Issuer has engaged Credit Suisse Securities (USA) LLC ( Credit Suisse ) as prime broker (the Prime Broker ), pursuant to a prime broker customer agreement (collectively the Prime Brokerage Agreement ) dated 17 May 2012 between the Issuer, the Prime Broker and the Investment Manager, to provide certain prime brokerage and custodial services in respect of Portfolio Assets constituting public securities. The Issuer will grant security to the Prime Broker over securities held in accounts with the Prime Broker or its affiliates and over its rights under derivative contracts with the Prime Broker and affiliates of the Prime Broker. See Prime Broker and Prime Brokerage Agreement. Use of Proceeds Portfolio and Portfolio Assets The Issuer will apply the Proceeds (as defined below) of the issue of the Notes (after payment of applicable fees and expenses) to the acquisition of the Portfolio Assets (or in the discharge of liability incurred to finance the acquisition of the Portfolio Assets) (see The Portfolio Description of the Portfolio Assets ). The Issuer (or the Investment Manager on behalf of the Issuer) will acquire a diversified portfolio of financial assets (the Portfolio Assets and each a Portfolio Asset ) selected and allocated by the Investment Manager as further described in the section entitled The Portfolio. The Portfolio Assets will include, high yield bonds and private placements, syndicated bank loans, special situation financings, sovereign and short credit positions. The Issuer s targeted investment opportunities will include: debt/equity conversions, rescue finance, restructuring/recapitalizations, special situations, distressed and hedging. The Portfolio Assets in aggregate are the Portfolio. The Issuer may purchase some of its Portfolio Assets through the use of term financing facilities provided by its brokerdealers or may borrow funds from other sources using other techniques to leverage its investments. The Issuer does not intend to leverage its investments more than one and a half times the aggregate net value of the Portfolio. Such leveraged financing increases both the possibility of higher returns and the risk of higher losses. (See The Portfolio Description of the Portfolio Assets ). Swap Agreements For the purpose of entering into credit and other derivatives, the Issuer has entered into: M

7 (i) (ii) an ISDA Master Agreement, Schedule and Credit Support Annex thereto, dated 17 May 2012 with Credit Suisse Securities (Europe) Limited (the CSS Europe Agreement ); and an ISDA Master Agreement, Schedule and Credit Support Annex thereto, dated 17 May 2012 with Credit Suisse International (the CSI Agreement ); each an ISDA Agreement, and collectively, the ISDA Agreements. The registered address of Credit Suisse Securities (Europe) Limited is One Cabot Square, London E14 4QJ. The registered address of Credit Suisse International is One Cabot Square, London E14 4QJ, England. Each derivative transaction entered into by the Issuer under any of the ISDA Agreements will be evidenced by a confirmation (a Confirmation ) which, together with the relevant ISDA agreement, will constitute a Swap Agreement. Each ISDA Agreement and form of Confirmation are, together, a Transaction Document (as defined below), and are available for inspection as described in General Information below. The Issuer will, from time to time, enter into swap agreements with counterparties, other than those listed above, on such terms as will be agreed upon by the Investment Manager. Under the terms of the credit support annex forming part of the relevant ISDA Agreement, a party posting collateral will grant security over such collateral to the other party. Interest Payments The return on a Note in respect of any Accrual Period (as defined below) (the Interest ) will be a proportion (being the proportion that the Paid-Up Amount (as defined below) of such Note bears to the aggregate Paid-Up Amount of all outstanding Notes (the Relevant Proportion ) of an amount equal to all income and gains (including deemed gains) earned by the Issuer from or in respect of the Portfolio Assets or related arrangements, for the Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Assets or related arrangements, for the Accrual Period or for prior Accrual Periods not previously taken into account in any computation of Interest, less the sum of (i) all operating expenses and costs (other than the accrual of Interest) of the Issuer accrued in that Accrual Period and (ii) the Profit Reserve Amount for that Accrual Period (as defined below). If, in respect of any Accrual Period, the amount of the Interest is zero or a negative number, the Issuer will not have an obligation to make a payment on the Notes in respect of that Accrual Period. Such Interest Payment will be regarded as accruing throughout the Accrual Period. The payment of the Interest (an Interest Payment ) (if any) on the Notes will be due and payable annually or on such other dates as the Issuer or, in certain cases the Note Holders, shall determine. See Terms and Conditions of the Notes Interest Payments. Accrual Period means each Financial Year (as defined below) or such shorter or longer period as the Issuer or the M

8 Note Holders may determine from time to time; Financial Year means the period from and including 1 January of each year to and including 31 December of the same year, provided that the Issuer s first Financial Year will be the period from and including 21 March 2012 to and including 31 December Notwithstanding the above, in order to ensure compliance by each Note Holder with all laws, regulations and rules applying to it which restrict its ability to participate in the income, gains and losses from certain Portfolio Assets, the Investment Manager may restrict a Note Holder from participating in such income, gains and losses to the extent necessary to comply with such laws, regulations and rules and shall adjust the Interest accrued on the Notes as it so determines. Profit Reserve Amount means 4,000 or such other amount as may be agreed between the Issuer and the Note Holders from time to time, for each Financial Year that a profit is made by the Issuer. Final Maturity Issuer Account Transaction Account The Notes will mature on 29 June 2041 or, if such day is not a Business Day (as defined below), the immediately following Business Day (the Maturity Date ). If, on such date the proceeds of the net assets of the Issuer available for distribution in accordance with the Conditions (as defined below) is less than the aggregate of the Paid-Up Amount of all the Notes together with all Interest accrued but unpaid thereon (the Final Redemption Amount ), the Final Redemption Amount of each Note shall be reduced to an amount equal to the Relevant Proportion of such amount of the net assets of the Issuer. Any remaining claims of the Note Holders in respect of the Notes will be extinguished. The Issuer has opened and will maintain an account (the Issuer Account ) with Bank of Ireland acting through its offices at Lower Baggot Street, Dublin 2, Ireland. The Proceeds (and any cash proceeds relating to, or return on, the Portfolio) will be credited to an account held with the Prime Broker. Stated Amount The Stated Amount of each Note is USD 5,000,000,000. The aggregate Stated Amount of the Notes is USD 10,000,000,000 See Terms and Conditions of the Notes Form, Denomination and Title. Capital Call Paid-Up Amount The Issuer may from time to time elect that any or all of the Note Holders be required, or a Note Holder may so elect, to pay the Issuer an amount not exceeding the Stated Amount of its respective Note less the Paid-Up Amount of such Note (a Capital Amount ). The Issuer or a Note Holder may make this election on more than one occasion and in a minimum amount of the USD equivalent of EUR 100,000 on the date that the Capital Call is made, whichever is the lesser amount, provided that, upon such election, the sum of (x) the aggregate of the Paid-Up Amounts with respect to the relevant Note and (y) the proposed aggregate Capital Amount, does not exceed the Stated Amount of such Note. On 11 October 2012 (the Closing Date ) the initial M

9 purchaser subscribed for an amount (the Subscription Amount ) that is less than the amount expressed as the Stated Amount of such Note (the Stated Amount ). The Issuer shall notify the Trustee and the Paying Agent of the amount of the Subscription Amount and, in accordance with the terms of the Paying Agency Agreement, the Paying Agent (each as defined below) shall, on receipt of such notification from the Issuer, record details of the Subscription Amount on the schedule to the relevant Note. The Paid-Up Amount of a Note at any time is (x), the sum of the Subscription Amount, all Capital Amounts from time to time paid on such Note and all Positive Adjustment Amounts (as defined in Condition 7 (Capital Call) below) in respect of such Note less (y) the sum of all Redeemed Amounts (as defined in Condition 5.2 (Optional Redemption) below) and all Negative Adjustment Amounts (as defined in Condition 7 (Capital Call) below) in respect of such Note. Withholding Tax The Offering Form of the Notes Further Issues Payments in respect of the Notes will be made without any deduction or withholding for or on account of any tax unless required by law. The Issuer will be under no obligation to gross-up such payments in the event it is so required to deduct or withhold. The Notes are only offered to persons who are accredited investors in reliance on the exemption from registration under Section 4(a)(2) of the Securities Act. The Notes are in bearer form. The Issuer may from time to time without the consent of the Note Holders create and issue further notes either: A. having the same terms and conditions as the Notes in all respects so that such further issue shall be consolidated and form a single series of notes (a Series ) with the outstanding notes of any Series (including the Notes); or B. upon such terms as the Issuer may determine at the time of their issue. Such terms may provide that the proceeds of such notes shall be invested in, and the Interest payable in respect of such notes shall be calculated by reference solely to, the income and gains earned by the Issuer from or in respect of, certain investments or groups of investments which are initially or subsequently identified and designated as Designated Investments by the Investment Manager. Such further notes may be issued for cash or in exchange for the redemption of any existing note or part thereof. Upon the issuance of any such further notes, the Issuer shall make an announcement of such issuance to the Irish Stock Exchange. Rating Governing Law Listing Neither the Issuer nor the Notes will be rated. The Notes are governed by Irish law. Application has been made to have the Notes listed on the Global Exchange Market of the Irish Stock Exchange. See M

10 General Information. Listing Agent Tax Status Transaction Documents A&L Listing Limited. See Certain Tax Considerations. The Trust Deed, the Subscription Agreement, the Portfolio Management Agreement, the Professional Services Agreement, the Prime Brokerage Agreement, the Paying Agency Agreement, the Corporate Services Agreement, each Swap Agreement, each Capital Call Notice and all agreements incidental to the issue of the Notes (the Transaction Documents ). M

11 RISK FACTORS Prior to making an investment decision, prospective investors should carefully consider, in addition to the matters set forth elsewhere in this Listing Particulars, the following factors. General Investment Risks General An investment in the Notes is speculative because of a variety of risks and considerations. The Issuer may invest in loans, asset-backed notes and other financial assets with certain risk characteristics as described below and subject to the investment policies, restrictions and guidelines described in The Portfolio below. There can be no assurance that the Issuer's investments will be successful, that the Note Holders will receive the full amounts payable by the Issuer under the Notes or that they will receive any return on their investment in the Notes. Prospective investors are therefore advised to review this entire Listing Particulars carefully and should consider, among other things, the factors set out below before deciding whether to invest in the Notes. The Trustee does not undertake to review the financial conditions or affairs of the Issuer at any time during the life of the arrangements contemplated by this Listing Particulars nor to advise any investor or potential investor in the Notes of any information coming to the attention of the Trustee which is not included in this Listing Particulars. Prospective purchasers of the Notes should be particularly knowledgeable in investment matters and should ensure that they understand the nature of such Notes and the extent of their exposure to risk, that they have sufficient knowledge, experience and access to professional advisers to make their own legal, tax, accounting and financial evaluation of the merits and risks of investment in such Notes and that they consider the suitability of such Notes as an investment in the light of their own circumstances and financial condition. No Operating History The Issuer has no performance history. Note Holders may not have sufficient historical information to serve as a basis for making a more informed investment decision. Past Performance Past results of the Investment Manager are not necessarily indicative of future performance of the Issuer. The markets in which the Issuer operates have been severely disrupted in recent years, so results observed in earlier periods may have little relevance to the results observable in the current environment. Possibility of Losses An investment in the Notes is speculative. The Issuer may invest in distressed securities and in other assets and instruments that may facilitate taking control of distressed issuers. These securities, assets and instruments by their nature are issued by or relate to companies in unstable financial condition and entail substantial inherent risks. Although the Issuer, through the Investment Manager, will attempt to manage these risks, there can be no assurance that the Portfolio will increase in value or that the Portfolio will not incur significant losses. The Issuer anticipates that some of the Portfolio will incur losses. Therefore, investors may lose all or a portion of the amounts they have invested in the Notes if the Issuer s trading strategies are not successful. Limited Resources of the Issuer The Issuer's ability to meet its obligations in respect of the Notes, its operating expenses and its administrative expenses is wholly dependent upon the performance of the Portfolio. The Issuer will not have any other funds available to it to meet its obligations M

12 under the Notes or any other payments ranking in priority to, or pari passu with, the Notes. There is no assurance that there will be sufficient funds to enable the Issuer to pay the Interest Payments or the required amount on the Maturity Date. Illiquid Investments The Issuer is a closed-end fund designed primarily for long-term investment. Hence, an investment in the Issuer is an illiquid one. An investment in the Issuer should only be considered by persons financially able to maintain their investments for a substantial period of time and who can afford a loss of all or a substantial part of their investments. The Issuer has been organized as a closed-end fund due, among other reasons, to the illiquid nature of the Issuer s investments. Ability of the Issuer to Meet its Obligations under the Notes None of the Trustee, the Investment Manager, or any of their affiliates or any other person or entity (other than the Issuer) will be obligated to make payments on the Notes. Consequently, the Note Holders must rely solely upon distributions the Issuer receives in respect of the Portfolio for the payment of the Interest Payments and the other payments on the Maturity Date. There can be no assurance that the distributions on the Portfolio will be sufficient to make payments on the Notes. If, in respect of any Accrual Period, the amount of the Interest is zero or a negative number the Issuer will not have an obligation to make an Interest Payment to Note Holders in respect of that Accrual Period. Where amounts received in respect of the Portfolio are insufficient to make payments on the Notes, no other assets will be available for payment and, following realisation of the Issuer's assets and the application of the proceeds thereof, the obligations of the Issuer to pay such shortfall shall be extinguished. Market Disruptions; Governmental Intervention; Dodd-Frank Wall Street Reform and Consumer Protection Act The global financial markets have in the past few years gone through pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Such intervention has in certain cases been implemented on an emergency basis, suddenly and substantially eliminating market participants ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies. The Issuer may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Issuer from its banks, dealers and other counterparties is typically reduced in disrupted markets. Such a reduction may result in substantial losses to the Issuer. Market disruptions may from time to time cause dramatic losses for the Issuer, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. In response to the recent financial crises, the Obama Administration and the U.S. Congress proposed sweeping reform of the U.S. financial regulatory system. After over a year of debate, the Dodd Frank Wall Street Reform and Consumer Protection Act (the Reform Act ) became law in July The Reform Act seeks to regulate markets, market participants and financial instruments that previously have been unregulated and substantially alters the regulation of many other markets, market participants and financial instruments. Because many provisions of the Reform Act require rulemaking by the applicable regulators before becoming fully effective and the Reform Act mandates multiple agency reports and studies (which could result in additional legislative or regulatory action), it is difficult to predict the impact of the Reform Act on the Issuer, the M

13 Investment Manager, and the markets in which they trade and invest. The Reform Act could result in certain investment strategies in which the Issuer engages or may have otherwise engaged becoming non-viable or non-economic to implement. The Reform Act and regulations adopted pursuant to the Reform Act could have a material adverse impact on the profit potential of the Issuer. See also Over-the-Counter Derivatives Markets below. Additional Government or Market Regulation Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies during the past decade have led to increased governmental as well as self regulatory scrutiny of the hedge fund and financial services industry in general. Certain legislation proposing greater regulation of the industry, such as the recently enacted Reform Act, is considered periodically by the U.S. Congress, as well as the governing bodies of non-u.s. jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Issuer, the Investment Manager, the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such laws or regulations could have a material adverse impact on the profit potential of the Issuer, as well as require increased transparency as to the identity of the Note holders. Possible Ineffectiveness of Risk Reduction Techniques The Investment Manager may employ various risk reduction strategies designed to minimize the risk of the Issuer s trading positions. A substantial risk remains, nonetheless, that such strategies will not always be possible to implement, and when possible will not always be effective in limiting losses. If the Investment Manager analyzes market conditions incorrectly, or employs a risk reduction strategy that does not correlate well with the Issuer s investments, such risk reduction techniques could increase rather than mitigate losses. These risk reduction techniques may also increase the volatility of the Issuer and/or result in a loss if the counterparty to the transaction does not perform as promised. Moreover, even though the Investment Manager may employ stop loss orders on individual positions, there is no assurance that any such order will be executed at or near the desired stop loss level. Financing Arrangements; Availability of Credit To the extent the Issuer utilizes leverage, the Issuer will depend on the availability of credit in order to finance its portfolio. There can be no assurance that the Issuer will be able to maintain adequate financing arrangements under all market circumstances. As a general matter, certain of the dealers that provide financing to the Issuer can apply essentially discretionary margin, haircut, financing, security and collateral valuation policies. Changes by dealers in such financing policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances or governmental, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidation of positions at disadvantageous prices, termination of swap and repurchase agreements and cross-defaults to agreements with other dealers. Any such adverse effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants at or about the same time. Investments in Restricted Securities The Issuer may be prevented from buying or selling certain publicly traded securities if the Investment Manager or the Issuer acquires non-public material information with respect to such securities. In addition, with respect to a publicly traded security that the Issuer already holds, such security will be placed on a restricted securities list maintained by the Investment Manager and will not be traded until the non-public material information becomes public or is no longer material. Counterparty Risk Institutions, such as brokerage firms, banks and broker dealers, generally have custody of the Issuer s portfolio assets and may hold such assets in street name. Bankruptcy or M

14 fraud at one of these institutions could impair the operational capabilities or the capital position of the Issuer. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of the Issuer, and hence the Issuer may be exposed to a credit risk with regard to such parties. In some jurisdictions, the Issuer may only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Issuer attempts to limit its investment transactions to well capitalized and established banks and brokerage firms in an effort to mitigate such risks, but the collapse of the seemingly well capitalized and established Bear Stearns and Lehman Brothers demonstrates that complete and foolproof evaluation of the financial capabilities of counterparties is impossible. In addition, some of the markets in which the Issuer may effect transactions are over-thecounter or interdealer markets. The participants in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets. This exposes the Issuer to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Issuer to suffer a loss. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Issuer has concentrated its transactions with a single or small group of counterparties. The Issuer is not restricted from dealing with any particular counterparty. The lack of a complete and foolproof evaluation of the financial capabilities of the Issuer s counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Issuer. Due Diligence May Not Reveal All Relevant Facts Before the Issuer makes an investment, the Investment Manager will arrange for such due diligence to be conducted that it deems reasonable and appropriate based on the facts and circumstances applicable to each investment. The objective of the due diligence process will be to identify attractive investment opportunities based on the facts and circumstances surrounding an investment. When considering the due diligence, the Investment Manager will be expected to evaluate a number of important business, financial, tax, accounting, and legal issues in determining whether or not the Issuer should proceed with an investment. External consultants, legal advisers, accountants and investment banks may be involved in the due diligence process in varying degrees depending on the type of investment. Nevertheless, when conducting due diligence, the Investment Manager and the Issuer will be required to rely on the resources available to it, including information provided by the target of the investment and, in some cases, third party investigations. The due diligence process may at times be subjective with respect to newly organized companies or other entities for which only limited information is available. Typically, potential investors in emerging markets have access to less reliable or less detailed fiscal and other information than investors in more developed markets. Accordingly, there can be no assurance that the due diligence process carried out with respect to any investment opportunity will reveal or highlight all relevant facts that may be necessary or helpful in evaluating such investment opportunity. There can also be no assurance that such an investigation will result in an investment being successful. If a potential investee company is publicly quoted, due diligence may be limited to information in the public domain for the reason that access may not be granted to the potential investee company s records. Any warranties provided by the selling shareholders or indemnity cover given may be limited or unavailable because the investment is a primary investment, because of market practice or because the potential investee company is publicly quoted. As a result, the Issuers due diligence into a potential investee company may be the only comfort it receives before committing to a transaction and there is therefore the risk that, following the consummation of a transaction or the making of an investment, liabilities or other unforeseen matters of an adverse nature may come to light which had not been revealed by the due diligence carried out in respect of such transaction or investment. Were this to happen in relation to any of the investments made by the Issuer, it could have an adverse effect on the investment in question, the Portfolio s net asset value, its financial condition and/or results. Dilution M

15 Note Holders subscribing for the Notes after the Closing Date will participate in the existing investments of the Issuer, thereby diluting the indirect interest of existing Note Holders in such investments. Although such subsequent Note Holders will contribute their pro rata share of subscriptions, there can be no assurance that this contribution will reflect the fair value of the Issuer s existing investments at the time that such additional Note Holders make their subscription despite the Issuer s marking-to-market of such existing investments. Failure to Make Capital Calls If a Note Holder fails to make a Capital Call when due and the Capital Call made by nondefaulting Note Holders and short-term borrowings by the Issuer are inadequate to cover the defaulted Capital Call, the Issuer itself may be unable to pay its obligations when due. As a result, the Issuer may be subjected to significant penalties that could materially adversely affect the returns to the non-defaulting Note Holders. Investment Risks Emerging Markets The Issuer will trade in emerging markets. These markets tend to be inefficient and illiquid as well as subject to political and other factors which do not typically affect more developed economies. The Issuer may sustain losses as a result of market inefficiencies or interference in emerging markets which would not take place in more developed markets. The Issuer will invest in sovereign debt issues by emerging market countries as well as in debt and equity investments of companies and other entities in emerging markets. Many emerging markets are developing both economically and politically and may have relatively unstable governments and economies based on only a few commodities or industries. Many emerging market countries do not have firmly established product markets and companies may lack depth of management or may be sovereigns vulnerable to political or economic developments such as nationalization of key industries. Investments in companies and other entities in emerging markets involve a high degree of risk and are speculative. Risks include (i) greater risk of expropriation, confiscatory taxation, nationalization, social and political instability (including the risk of changes of government following elections or otherwise) and economic instability; (ii) the relatively small current size of some of the markets for securities and other investments in emerging markets issuers and the current relatively low volume of trading, resulting in lack of liquidity and in price volatility; (iii) certain national policies which may restrict the Issuer s investment opportunities including restrictions on investing in issuers or industries deemed sensitive to relevant national interests; (iv) the absence of developed legal structures governing private or foreign investment and private property; (v) the potential for higher rates of inflation or hyper-inflation; (vi) currency risk and the imposition, extension or continuation of foreign exchange controls; (vii) interest rate risk; (viii) credit risk; (ix) lower levels of democratic accountability; (x) differences in accounting standards and auditing practices which may result in unreliable financial information; and (xi) different corporate governance frameworks. In addition, custodians in these markets are not able to offer the level of service and safe-keeping, settlement and administration of securities that is customary in more developed markets and there is a risk that the Issuer will not be recognized as the owner of securities held on its behalf by a custodian or sub-custodian. The emerging markets risks described above increase counterparty risks for the Issuer investing in those markets. In addition, investor risk aversion to emerging markets can have a significant adverse effect on the value and/or liquidity of investments made in or exposed to such markets and can accentuate any downward movement in the actual or anticipated value of such investments which is caused by any of the factors described above. Emerging markets have market imperfections, analysis of which requires long experience in the market and a range of complementary specialist skills. These imperfections include (i) the effect of politics on sovereign risk and asset price dynamics; (ii) institutional imperfections in emerging markets, such as deficiencies in formal bureaucracies and historical or cultural norms of behavior at the level of individual economic factors; (iii) the M

16 fact that asset classes in emerging markets are still developing and the information driving markets is a small proportion of the available information, and underlying development and sovereign risk fundamentals may take days, months and sometimes years to impact asset prices; (iv) liquidity imperfections and the unpredictability of market concentration; and (v) information asymmetries, most typically the result of experience and local knowledge and the fact that some market participants have access to relevant market information that others do not. Whilst the Investment Manager will seek to take advantage of these market imperfections to achieve investment performance for the Issuer, it is not guaranteed that it will be able to do so. A failure to do so could have a material adverse affect on the Issuer s business, growth prospects, revenues, results of operations and/or financial condition. As the Issuer will be investing in emerging market investments, the performance of the Notes will be closely related to the condition of emerging markets. Note Holders should exercise particular care in evaluating the risks involved and must decide for themselves whether, in light of those risks, their investment is appropriate. Special Situations and Distressed Securities The Issuer may purchase securities and other obligations of companies that are experiencing significant financial or business distress, including companies involved in bankruptcy or other reorganisation and liquidation proceedings. Although such purchases may result in significant returns, they involve a substantial degree of risk and may not show any return for a considerable period of time. In fact, many of these instruments ordinarily remain unpaid unless and until such companies reorganize and/or emerge from bankruptcy proceedings, and as a result may have to be held for an extended period of time. The level of analytical sophistication, both financial and legal, necessary for successful investment in companies or sovereign issuers experiencing significant business and financial distress is unusually high. There is no assurance that the Investment Manager will correctly evaluate the nature and magnitude of the various factors that could affect the prospects for a successful reorganisation or similar action. The completion of debt and/or equity exchange offers, restructurings, reorganisations, mergers, takeover offers and other transactions can be prevented or delayed, or the terms changed, by a variety of factors. If a proposed transaction appears likely not to be completed or in fact is not completed or is delayed, the market price of the investments purchased by the Issuer may decline sharply and result in losses which could have a material adverse effect on the performance of the Issuer and returns to Note Holders. Moreover, the administrative costs in connection with a bankruptcy or restructuring proceeding are frequently high and will be paid out of the debtor s assets prior to any return to creditors (other than out of assets or proceeds thereof, which may be subject to valid and enforceable liens and other security interests) and equity holders. In addition, certain claims that have priority by law over the claims of certain creditors (for example, claims for taxes) may reduce any entitlement of the Issuer. In any reorganisation or liquidation proceeding relating to a company or sovereign issuance in which the Issuer invests, the Issuer may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Under such circumstances, the returns generated from such investments may not compensate investors adequately for the risks assumed, which could have a material adverse effect on the performance of the Issuer and returns to Note Holders. Additionally, it is frequently difficult to obtain accurate information as to the condition of such entities. Such investments also may be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or payments, lender liability and the bankruptcy court s power to disallow, reduce, subordinate or disenfranchise particular claims. The market prices of such securities are also subject to abrupt and erratic market movements and above-average price volatility, and the spread between the bid and offer prices of such securities may be greater than those prevailing in other securities markets. It may take a number of years for the market price of such securities to reflect their intrinsic value. Securities issued by distressed companies or sovereign issuers may have a limited trading market, resulting in limited liquidity. As a result, the Issuer may have difficulties in valuing or liquidating positions, which could have a material adverse effect on the Issuer s performance and returns to Note Holders. Troubled company and other asset-based investments require active monitoring and M

17 may, at times, require participation in business strategy or reorganisation proceedings by the Investment Manager. To the extent that the Investment Manager becomes involved in such proceedings, the Issuer may have a more active participation in the affairs of such company than that assumed generally by an investor. Involvement by the Issuer in a company's reorganisation proceedings could result in the imposition of restrictions limiting the Issuer's ability to liquidate its position in that company. The Issuer will invest in debt, including, without limitation, higher yielding (and, therefore, higher risk) debt securities, when the Investment Manager believes that such debt securities offer opportunities for capital appreciation. In most cases, such debt will be rated below investment grade or will be unrated and face ongoing uncertainties due to exposure to adverse business, financial, or economic conditions and the relevant issuer s failure to make timely interest and principal payments. The market values of certain of these debt securities may reflect individual corporate developments. It is likely that a major economic recession could have a materially adverse impact on the value of such securities. In addition, adverse publicity and investor perceptions, whether or not based on fundamental analysis, may also decrease the value and liquidity of these debt securities. Investments of the Issuer The Issuer may invest in a broad array of financial instruments. These may include the financial instruments of foreign entities, which may be both public and private. In addition to the risks associated with investments of this kind in general, such investments may also involve the risks associated with currency fluctuations and various political factors, as described below. The Issuer may also invest in treasury securities and other cash equivalents when attractive opportunities for capital appreciation appear to be limited. Liquidity of the Portfolio Assets The Issuer may invest in securities, loans or other types of financial assets (within the meaning of s.110 of the Irish Taxes Consolidation Act 1997) for which no (or only a limited) liquid market exists or that are subject to legal or other restrictions on transfer. The market prices, if any, for such assets may be volatile, and may fluctuate due to a variety of factors that are inherently difficult to predict, including, but not limited to, changes in interest rates, prevailing credit spreads, general economic conditions, financial market conditions, domestic or international economic or political events, developments or trends in any particular industry, and the financing condition of the obligors on the Portfolio's assets. The Issuer may not be able to sell assets when it desires to do so or to realise what it perceives to be their fair value in the event of a sale. The sale of illiquid assets often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Investments in Undervalued Securities The identification of investment opportunities in undervalued securities is a difficult task, and there is no assurance that such opportunities will be successfully recognised or acquired. While investments in undervalued securities offer the opportunities for aboveaverage capital appreciation, these investments involve a high degree of financial risk and can result in substantial losses. Returns generated from the Issuer s investments may not adequately compensate for the business and financial risks assumed. The Issuer will make certain investments in securities which the Investment Manager believes to be undervalued. However, there are no assurances that the securities purchased will in fact be undervalued. In addition, the Issuer may be required to hold such securities for a substantial period of time before realizing their anticipated value. Issuer Borrowing The Issuer may use term financing facilities provided by its broker-dealers or may borrow M

18 funds from other sources using other techniques to leverage its securities, which increases both the possibility of realising higher returns and the risk of higher losses. The Issuer does not expect to incur leverage in excess of one and a half times its aggregate net capital. Hedging Transactions Hedging techniques involve one or more of the following risks: (i) imperfect correlation between the performance and value of the instrument and the value of the Issuer securities or other objective of the Investment Manager; (ii) possible lack of a secondary market for closing out a position in such instrument; (iii) losses resulting from interest rate, spread or other market movements not anticipated by the Investment Manager; (iv) the possible obligation to meet additional margin or other payment requirements, all of which could worsen the Issuer s position; and (v) default or refusal to perform on the part of the counterparty with which the Issuer trades. Furthermore, to the extent that any hedging strategy involves the use of over-the-counter ( OTC ) derivatives transactions, such a strategy would be affected by implementation of the various regulations adopted pursuant to the Reform Act. The Investment Manager will not, in general, attempt to hedge all market or other risks inherent in the Issuer s positions, and hedges certain risks, if at all, only partially. Specifically, the Investment Manager may choose not, or may determine that it is economically unattractive, to hedge certain risks either in respect of particular positions or in respect of the Issuer s overall portfolio. The Portfolio composition will commonly result in various directional market risks remaining unhedged. The Investment Manager may rely on diversification to control such risks to the extent that the Investment Manager believes it is desirable to do so; however, the Issuer is not subject to formal diversification policies. The ability of the Issuer to hedge successfully will depend on the ability of the Investment Manager to predict pertinent market movements, which cannot be assured. The Investment Manager is not required to hedge and there can be no assurance that hedging transactions will be available or, even if undertaken, will be effective. In addition, it is not possible to hedge fully or perfectly against currency fluctuations affecting the value of securities denominated in non-u.s. currencies because the value of those securities is likely to fluctuate as a result of independent factors not related to currency fluctuations. Moreover, it should be noted that the Portfolio will always be exposed to certain risks that cannot be hedged, such as counterparty credit risk. Furthermore, by hedging a particular position, any potential gain from an increase in the value of such position may be limited. Non-Investment Grade Investments The Issuer may purchase financial instruments of, and may make direct loans to, companies that are not of investment grade. The Issuer may purchase loans that may be in default or are from issuers in financial distress or bankruptcy proceedings. The Issuer may also purchase trade or other claims against credit impaired companies, which generally represent money owed by such companies to a supplier of goods and services. Loans or claims purchased by the Issuer may not have any maturity and may be secured or unsecured. As with other types of debt instruments, loans and trade claims involve the risk of loss in case of default or insolvency of the borrower, particularly if the borrowing is unsecured. In addition, trade claims may be subject to other defences such as warranty claims or failure to provide the related product or services. Such loans and trade claims are also less liquid than are the debt instruments of publicly traded companies. Bank Loans and Participations The Portfolio may include bank loans and participations, which may include significant amounts of such obligations. These obligations are subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent conveyance under relevant creditors' rights laws; (ii) so-called lender liability claims by the issuer of the obligations; (iii) environmental liabilities that may arise with respect to collateral securing the obligations; and (iv) limitations on the ability of the Issuer to directly enforce its rights M

19 with respect to participations. In analyzing each bank loan or participation, the Investment Manager compares the relative significance of the risks involved against the benefits expected to accrue. Successful claims by third parties arising from these and other risks, absent fraud, wilful misconduct or gross negligence by the Investment Manager or affiliates will be borne by the Issuer. The Issuer may experience significant delays in the settlement of certain loan and/or bank debt transactions, particularly in the case of investments that are or become distressed. Until such transactions are settled, the Issuer is subject to counterparty insolvency risk. Pursuant to certain insolvency laws, a counterparty may have the ability to reject or terminate an unsettled loan transaction. If a counterparty rejects an unsettled transaction, the Issuer might lose any increase in value with respect to such loan that accrued while the transaction was unsettled. The Issuer may also invest in loan participations where it will be subject to certain additional risks as a result of having no direct contractual relationship with the borrower of the underlying loan. In such circumstances, the Issuer generally would depend on the lender to enforce its rights and obligations under the loan arrangements in the event of a default by the borrower on the underlying loan and will generally have no voting rights with respect to the borrower, as such rights are typically retained by the lender. Such investments are subject to the credit risk of the lender (as well as the borrower) since they will depend upon the lender forwarding payments of principal and interest received on the underlying loan. There can be no assurance that the lender will not default on its obligations under such arrangements, resulting in substantial losses to the Issuer. Prepayment Risk The frequency at which prepayments (including voluntary prepayments by the obligors and liquidations due to default and foreclosures) occur on loans and other debt underlying certain of the Issuer s investments will be affected by a variety of factors including the prevailing level of interest rates as well as economic, demographic, tax, social, legal and other factors. In general, premium financial instruments (financial instruments whose market values exceed their principal or par amounts) are adversely affected by faster than anticipated prepayments, and discount financial instruments (financial instruments whose principal or par amounts exceed their market values) are adversely affected by slower than anticipated prepayments. Since the Issuer s investments may include discount financial instruments when interest rates are high, and may include premium financial instruments when interest rates are low, such investments may be adversely affected by prepayments in any interest rate environment. Corporate Debt Obligations and High-Yield Securities The Issuer may invest in corporate debt obligations and high-yield securities. The market value of debt securities generally tends to decline as interest rates increase and, conversely, increase as interest rates decline. Debt obligations are subject to the risk of an issuer s inability to meet principal and interest payments on the obligations, i.e., credit risk. High yield bonds and securities, which are rated in the lower rating categories by the various credit rating agencies, are subject to greater risk of loss of principal and interest than higher-rated securities and are generally considered to be speculative. They are also generally considered to be subject to greater risk than securities with higher ratings because the yields and prices of such securities tend to fluctuate more than those for higher-rated instruments and the market for lower-rated securities is less liquid and less active. Leverage of Portfolio Companies Because the Issuer s investments may include securities of companies with leveraged capital structures, such investments will be subject to increased exposure to adverse economic factors such as an increase in interest rates, a downturn in the economy or further deterioration in the economic conditions of such company or its industry. Similarly, the Issuer may invest in entities that are unable to generate sufficient cash flow M

20 to meet principal and interest payments on their indebtedness. Accordingly, the value of the Issuer s investment in such an entity could be significantly reduced or even eliminated due to further credit deterioration. Event-Driven Analysis The success of strategies employing event-driven analysis depends on the successful prediction of whether various corporate events will occur or be consummated. The Issuer may invest in securities of issuers in weak financial condition, experiencing poor operating results, having substantial financial needs or negative net worth, facing special competitive or product obsolescence problems, or issuers that are involved in bankruptcy or reorganization proceedings. Investments of this type involve substantial financial business risks that can result in substantial or total losses. The market prices of such securities are also subject to abrupt and erratic market movements and above average price volatility and the spread between the bid and asked price of such securities may be greater than normally expected. Non-Performing Nature of Loans It is possible that certain of the loans purchased by the Issuer may be non-performing and possibly in default. Furthermore, the obligor and/or relevant guarantor may also be in bankruptcy or liquidation. There can be no assurance as to the amount and timing of payments, if any, with respect to the loans. Nature of Bankruptcy Proceedings There are a number of significant risks when investing in companies involved in bankruptcy proceedings, including the following: First, many events in a bankruptcy are the product of contested matters and adversary proceedings which are beyond the control of the creditors. Second, a bankruptcy filing may have adverse and permanent effects on a company. For instance, the company may lose its market position and key employees and otherwise become incapable of restoring itself as a viable entity. Further, if the proceeding is converted to a liquidation, the liquidation value of the company may not equal the liquidation value that was believed to exist at the time of the investment. Third, the duration of a bankruptcy proceeding is difficult to predict. A creditor s return on investment can be impacted adversely by delays while the plan of reorganisation is being negotiated, approved by the creditors and confirmed by the bankruptcy court, and until it ultimately becomes effective. Fourth, certain claims, such as claims for taxes, wages and certain trade claims, may have priority by law over the claims of certain creditors. Fifth, the administrative costs in connection with a bankruptcy proceeding are frequently high and will be paid out of the debtor s estate prior to any return to creditors. Sixth, creditors can lose their ranking and priority in a variety of circumstances, including if they exercise domination and control over a debtor and other creditors can demonstrate that they have been harmed by such actions. Finally, the Issuer may seek representation on creditors committees and as a member of a creditors committee it may owe certain obligations generally to all creditors similarly situated that the committee represents and may be exposed to liability to such other creditors who disagree with the Issuer's actions. There can be no assurance that the Issuer would be successful in obtaining results most favourable to it in such proceedings, although the Issuer may incur significant legal fees and other expenses in attempting to do so. The Issuer may also be subject to various trading or confidentiality restrictions. If the Investment Manager concludes that the Issuer s membership on a creditors committee entails obligations or restrictions that conflict with the duties the Issuer owes to Note Holders, the Issuer will not seek membership in, or will resign from, that committee. In addition, the Issuer and some of the Investment Manager s other clients may potentially hold conflicting positions in relation to investments in companies involved in bankruptcy proceedings. Investment in the debt of financially distressed companies domiciled outside the United States involves additional risks. Bankruptcy law and process may differ substantially across such countries, resulting in greater uncertainty as to the rights of creditors, the enforceability of such rights, reorganization timing, and the classification, seniority and treatment of claims. In certain developing countries, although bankruptcy laws have been enacted, the process for reorganization remains highly uncertain. M

21 Short Sales The Issuer may make short sales in any type of securities for profit in anticipation of a change in the market price of a financial instrument or as a hedge against other positions held by the Issuer. Short sales that are not made against the box and are not part of a hedging transaction create opportunities to increase return but, at the same time, are speculative and involve special risk considerations. Since the seller in effect profits from a decline in the price of the securities sold short without the need to invest the full purchase price of the securities on the date of the short sale, returns tend to increase more when the securities sold short decrease in value, and to decrease more when the securities sold short increase in value, than would otherwise be the case if the seller had not engaged in such short sales. Short sales theoretically involve unlimited loss potential, as the market price of securities sold short may continuously increase, although the Issuer may mitigate such losses by replacing the securities sold short before the market price has increased significantly. Under adverse market conditions, the Issuer might have difficulty purchasing securities to meet its short sale delivery obligations, and might have to sell portfolio securities to raise the capital necessary to meet its short sale obligations at a time when fundamental investment considerations would not favour such sales. Short sales may be used with the intent of hedging against the risk of declines in the market value of the Issuer s long portfolio, but there can be no assurance that such hedging operations will be successful. Short sales have recently been, and may in the future be, subject to emergency regulatory action prohibiting, in whole or in part, short sales. Further, the SEC has proposed to reinstate an uptick test for short sales. Such restrictions could make it difficult for the Issuer to utilize short selling as part of its investment strategy. While short sales are not currently prohibited or subject to the uptick test, it is not possible to tell what impact such future regulations and even the recent additional regulation, including the additional disclosure requirements, will have on short selling and those strategies that utilize short selling. Currency and Foreign Risks The Issuer may invest in non-dollar denominated debt instruments or in securities of companies domiciled or operating in developing countries. Investing in these securities involves considerations and possible risks, including instability of some governments, capital controls, the possibility of expropriation, limitations on the use or removal of funds or other assets, changes in governmental administration or economic or monetary policy or changed circumstances in dealings between nations. The application of tax laws or confiscatory taxation may also affect the Issuer s investments. Moreover, less information may be publicly available concerning certain of the foreign issuers of securities held by the Issuer than is available concerning U.S. companies. The Issuer may incur higher expenses with respect to investments made outside the United States compared to investing in U.S. securities because of the costs incurred in connection with conversions between various currencies and the fact that brokerage commissions outside the United States may be higher than commissions in the United States. Non-U.S. markets also may be less liquid, more volatile and less subject to government supervision than in the United States. The Issuer s investments could be adversely affected by other factors, including lack of uniform accounting, auditing and financial reporting standards and potential difficulties in enforcing contractual obligations. Many of the laws that govern private and foreign investment, securities transactions, creditors rights and other contractual relationships in developing countries may be recently developed and largely untested. As a result, the Issuer may be subject to a number of unusual risks, including inadequate investor protection, contradictory legislation, incomplete, unclear and changing laws, unknowing breaches of regulations on the part of other market participants, lack of established or effective avenues for legal redress, lack of standard practices and confidentiality customs characteristic of developed markets, and lack of enforcement of existing regulations. This difficulty in protecting and enforcing rights may have an adverse effect on the Issuer and its operations. Furthermore, it may be difficult to obtain and enforce a judgment in a court in certain developing countries and corporate governance of companies in developing countries may confer little protection on investors. For example, anti-fraud and antiinsider trading legislation, and the concept of fiduciary duty, may be less developed or M

22 limited compared to those in more developed markets. Recent Developments in Europe Global markets have recently experienced upheaval and above-average volatility due to developments in Europe that have raised doubts about the ability of certain European countries to meet their sovereign debt obligations. The fallout from such developments could have a significant impact on the stability and credit ratings of various European countries and financial institutions with exposure to European sovereign debt, and even the continued viability of the European Union and the Euro currency. There can be no assurance that the Investment Manager will accurately predict or adequately prepare for the impact of such developments, and therefore they may have a materially negative effect on the Issuer s investments, particularly those made in European entities or denominated in the Euro currency. Currency Exposure The Notes are denominated in U.S. dollars and will be issued and redeemed in U.S. dollars. Certain of the assets of the Issuer may, however, be invested in securities and other investments which are denominated in currencies other than in the currency of the Notes. Accordingly, the value of such assets may be affected favourably or unfavourably by fluctuations in currency rates. The Issuer will necessarily be subject to foreign exchange risks. In addition, prospective investors whose assets and liabilities are predominately in other currencies should take into account the potential risk of loss arising from fluctuations in value between the U.S. dollar and such other currencies. Interest Rate Fluctuations The prices of portfolio investments tend to be sensitive to interest rate fluctuations, and unexpected fluctuations in interest rates could cause the corresponding prices of a position to move in directions which were not initially anticipated. In addition, interest rate increases generally will increase the interest carrying costs to the Issuer of borrowed securities and leveraged investments. Availability of Suitable Investments While the Investment Manager believes that there are currently available attractive investments of the type in which the Issuer may invest, there can be no assurance that such investments will continue to be available for the Issuer s investment activities, or that available investments will meet the Issuer s investment criteria. The Issuer will compete with other potential investors to acquire interests in its targeted investments. Certain of the Issuer s competitors may have greater financial and other resources and may have better access to suitable investment opportunities. Whether or not suitable investment opportunities are available to the Issuer, the Issuer will bear the Management Fees and other Issuer expenses described herein. Uncertain Exit Strategies Due to the less liquid nature of most of the investments in which the Issuer is expected to invest, the Investment Manager is unable to predict with confidence what the exit strategy will ultimately be for any given position, or that one will definitely be available. Exit strategies which appear to be viable when an investment is initiated may be precluded by the time the investment is ready to be realized due to economic, legal, political or other factors. Other Trading Strategies The Issuer may employ strategies for which no specific risk factors are provided. Nevertheless, such strategies should be considered to be speculative, volatile and, in general, no less risky than other strategies more fully described herein. Adherence to ESG Criteria M

23 In determining appropriate investments for the Issuer, the Investment Manager intends to integrate environmental, social and governance ("ESG") factors into its investment analysis and decision making process using the framework provided by the Equator Principles and the Principles for Responsible Investment. The Issuer s adherence to ESG criteria may affect the Issuer's ability to take advantage of certain investment opportunities that, in the determination of the Investment Manager, do not meet such criteria. Derivatives Risks Derivatives The Issuer will use derivative financial instruments, which may include, without limitation, warrants, options, swaps, convertible securities, notional principal contracts, contracts for differences, forward contracts, futures contracts and options thereon, and uses derivative techniques for hedging and for other trading purposes. The use of derivative instruments involves a variety of material risks, including the extremely high degree of leverage sometimes embedded in such instruments. The derivatives markets are frequently characterized by limited liquidity, which can make it difficult as well as costly to close out open positions in order either to realize gains or to limit losses. The pricing relationships between derivatives and the instruments underlying such derivatives may not correlate with historical patterns, resulting in unexpected losses. Use of derivatives and other techniques such as short sales for hedging purposes involves certain additional risks, including (i) dependence on the ability to predict movements in the price of the securities hedged; (ii) imperfect correlation between movements in the securities on which the derivative is based and movements in the assets of the underlying portfolio; and (iii) possible impediments to effective portfolio management or the ability to meet short term obligations because of the percentage of a portfolio s assets segregated to cover its obligations. In addition, by hedging a particular position, any potential gain from an increase in the value of such position may be limited. Swap Agreements The Issuer from time to time enters into various swap agreements ( Swaps ) as part of its investment program. A Swap is an individually negotiated, non-standardized agreement between two parties to exchange cash flows (and sometimes principal amounts) measured by different interest rates, commodity prices, exchange rates, indices or prices, with payments generally calculated by reference to a principal ( notional ) amount or quantity. Swaps and similar derivative contracts are not currently traded on exchanges; rather, banks and dealers act as principals in these markets. As a result, the Issuer is subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the counterparties with which the Issuer trades. Swaps may be subject to various other types of risk, including market risk, liquidity risk, counterparty credit risk, legal risk and operations risk. In addition, Swaps can involve considerable economic leverage and may, in some cases, involve significant risk of loss. Depending on their structure, Swaps may increase or decrease exposure to the corporate credit market, equity securities, long-term or short-term interest rates, foreign currency values, corporate borrowing rates or other factors. Swaps can take many different forms and are known by a variety of names. The Issuer is not limited to any particular form of Swap if its use is consistent with the Issuer s investment objectives and policies, and the Investment Manager anticipates that the Issuer will invest in interest rate swaps, credit default swaps ("CDS"), total return swaps, and variance swaps, and other types of Swaps. Depending on how they are used, Swaps may increase or decrease the overall volatility of a portfolio. The most significant factor in the performance of Swaps is the change in the specific interest rate, currency, equity index or other factors that determine the amounts of payments due to and from the Issuer. If a Swap calls for payments by the Issuer, the Issuer must be prepared to make such payments when due. In addition, if a counterparty s creditworthiness declines, the value of a Swap with such counterparty can be expected to decline, potentially resulting in losses by the Issuer. Credit Default Swaps M

24 The Issuer may invest in credit default swaps in all types of securities. The typical credit default swap contract requires the seller to pay to the buyer, in the event that a particular reference entity experiences specified credit events, the difference between the notional amount of the contract and the value of a portfolio of securities issued by the reference entity that the buyer delivers to the seller. In return, the buyer agrees to make periodic payments equal to a fixed percentage of the notional amount of the contract. The Issuer may also sell credit default swaps on a basket of reference entities as part of a synthetic collateralized debt obligation transaction. As a buyer of credit default swaps, the Issuer will be subject to certain risks in addition to those described herein. In circumstances in which the Issuer does not own the debt securities that are deliverable under a credit default swap, the Issuer will be exposed to the risk that deliverable securities will not be available in the market, or will be available only at unfavourable prices, as would be the case in a so-called short squeeze. While the credit default swap market auction protocols reduce this risk, it is still possible that an auction will not be organized or will not be successful. In certain instances of issuer defaults or restructurings (for those credit default swaps for which restructuring is specified as a credit event), it has been unclear under the standard industry documentation for credit default swaps whether or not a credit event triggering the seller s payment obligation had occurred. The creation of the new ISDA Credit Derivatives Determination Committee (the Determination Committee ) is intended to reduce this uncertainty and create uniformity across the market, although it is possible that the Determinations Committee will not be able to reach a resolution or do so on a timely basis. In either of these cases, the Issuer would not be able to realise the full value of the credit default swap upon a default by the reference entity. As a seller of credit default swaps, the Issuer will incur leveraged exposure to the credit of the reference entity and become subject to many of the same risks it would incur if it were holding debt securities issued by the reference entity. However, the Issuer will not have any legal recourse against the reference entity and will not benefit from any collateral securing the reference entity s debt obligations. In addition, the credit default swap buyer may have broad discretion to select which of the reference entity s debt obligations to deliver to the Issuer following a credit event and will likely choose the obligations with the lowest market value in order to maximize the payment obligations of the Issuer. Counterparty risk is always present in credit default swaps. The market for credit default swaps on distressed securities is not liquid (compared to the market for credit default swaps on investment grade corporate reference entities). In the event that current interest rate spreads over LIBOR (or over the applicable U.S. Treasury benchmark) widen or the prevailing credit premiums on credit default swaps increase, the amount of a termination or assignment payment upon a termination or assignment of a transaction due from the Issuer to the credit default swap counterparty could increase by a substantial amount. In addition, the proper tax treatment of credit default swaps and other derivatives may not be clear. The tax environment for derivatives is evolving and changes in the taxation of derivatives may adversely affect the value of derivatives held by the Issuer. Given the recent sharp increases in volume of credit derivatives trading in the market, settlement of such contracts may also be delayed beyond the time frame originally anticipated by counterparties. Such delays may adversely impact the Issuer s ability to otherwise productively deploy any capital that is committed with respect to such contracts. Certain governmental entities have indicated that they intend to regulate the market in credit default swaps. It is difficult to predict the impact of any such regulation on the Issuer, but it may be adverse (including making the Issuer ineligible to be a seller of credit default swaps). Over-the-Counter Derivatives Markets The Reform Act was enacted in July The Reform Act includes provisions that M

25 comprehensively regulate the OTC derivatives markets for the first time. The Reform Act will mandate that a substantial portion of OTC derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC- or Commodity Futures Trading Commission (the CFTC ) -mandated margin requirements. It is also possible that the Issuer s OTC derivatives dealers may demand the unilateral ability to increase the Issuer s collateral requirements for cleared OTC trades beyond any regulatory and clearinghouse minimums. The regulators also have broad discretion to impose margin requirements on non-cleared OTC derivatives and new requirements will apply to the holding of customer collateral by OTC derivatives dealers. These requirements may increase the amount of collateral the Issuer is required to provide and the costs associated with providing it. Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called end-users, the Issuer does not expect to be able to rely on such exemptions. In addition, the OTC derivative dealers with which the Issuer executes the majority of its OTC derivatives will not be able to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements irrespective of whether the Issuer is subject to such requirements. OTC derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers trades instead of using such margin in their operations, as is currently permitted. This will increase the OTC derivative dealers costs, and these increased costs are expected to be passed through to other market participants in the form of higher upfront and mark-tomarket margin, less favourable trade pricing, and the possible imposition of new or increased fees. With respect to cleared OTC derivatives, the Issuer will not face a clearinghouse directly but rather through an OTC derivatives dealer that is registered with the CFTC or SEC to act as a clearing member. The Issuer may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to the clearinghouse, triggered by a customer s failure to meet its obligations to the clearing member. In the event that the defaulting customer s clearinghouse margin account balance is insufficient to cover the defaulted obligation, the clearinghouse may have recourse to the margin of all of the clearing member s customers on deposit with the clearinghouse in order to cure the default, regardless of which customer caused the clearing member to default. The SEC and the CFTC are both considering proposals on the most effective methods to protect customer collateral posted to a clearing member that may change this analysis. Notwithstanding regulations or clearinghouse rules governing the recovery of collateral the Issuer have posted to its clearing member, if the clearing member s affiliates have a lien on the assets posted to the clearing member, the Issuer s recovery in the event of the clearing member s insolvency is likely going to be subject to resolution of claims against all affiliates of the clearing member. This is due to the likelihood that the bankruptcy trustee will retain collateral owed by the insolvent clearing member until each affiliate has confirmed that it has no claim on the collateral. The SEC and CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the OTC markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and costly for investment funds, including the Issuer, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Issuer might otherwise engage impossible or so costly that they will no longer be economical to implement. OTC derivative dealers and major OTC derivatives market participants will be required to register with the SEC and/or CFTC. The Issuer or the Investment Manager may be required to register as major participants in the OTC derivatives markets. Dealers and major participants will be subject to minimum capital and margin requirements. These requirements may apply irrespective of whether the OTC derivatives in question are exchange-traded or cleared. OTC derivatives dealers will also be subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of M

26 interest, and other regulatory burdens. These requirements may further increase the overall costs for OTC derivative dealers, which costs are also likely to be passed along to market participants. The overall impact of the Reform Act on the Issuer is highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime. Convertible Securities, Rights and Warrants The Issuer may invest in hybrid securities that may be exchanged for, converted into or exercised to acquire a predetermined number of shares of an issuer s common stock at the option of the holder during a specified time period (such as convertible preferred stocks, convertible debentures, stock purchase rights, and warrants). Convertible securities generally pay interest or dividends and provide for participation in the appreciation of the underlying common stock but at a lower level of risk because the yield is higher and the security is senior to common stock. Convertible debt securities purchased by the Issuer that are acquired for their equity characteristics are not subject to minimum rating requirements. The value of a convertible security is a function of its investment value (determined by its yield in comparison with the yields of other securities of comparable maturity and quality that do not have a conversion privilege) and its conversion value (the security s worth, at market value, if converted into the underlying common stock). The credit standing of the issuer and other factors may also affect the investment value of a convertible security. If the conversion value is low relative to the investment value, the price of the convertible security is governed principally by its investment value. To the extent the market price of the underlying common stock approaches or exceeds the conversion price, the price of the convertible security is increasingly influenced by its conversion value. Convertible securities may also include warrants, often publicly traded, that give a holder the right to purchase at any time during a specified period a predetermined number of shares of common stock at a fixed price but that do not pay a fixed dividend. Their value depends primarily on the relationship of the exercise price to the current and anticipated price of the underlying securities. Futures Trading The Issuer may trade futures contracts, including stock index futures. Futures prices are highly volatile, with price movements being influenced by a multitude of factors such as changing supply and demand relationships, government trade, fiscal, monetary and exchange control programs and policies, national and international political and economic events and speculative frenzy and the emotions of the marketplace. In addition, governments from time to time intervene in certain markets, particularly currency and interest-rate markets. The low margin deposits normally required in futures trading permit an extremely high degree of leverage; margin requirements for futures trading being in some cases as little as 2% of the face value of the contracts traded. Accordingly, a relatively small price movement in a futures contract may result in an immediate and substantial loss to the investor. There can be no assurance that a liquid market will exist at a time when the Issuer seeks to close out an option position or futures or Swaps. Most United States commodity exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as daily limits. During a single trading day no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Issuer from promptly liquidating unfavorable positions and subject the Issuer to substantial losses. In addition, certain of these instruments are relatively new and without a significant trading history. As a result, there is no assurance that an active secondary market will develop or continue to exist. Lack of a liquid market for any reason may prevent the Issuer from liquidating an M

27 unfavorable position and the Issuer would remain obligated to meet margin requirements until the position is closed. The CFTC and the United States commodities exchanges have established limits referred to as speculative position limits on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on United States commodities exchanges. All accounts owned or managed by the Investment Manager will be combined for speculative position limit purposes. The Issuer could be required to liquidate positions it holds in order to comply with such limits. Options Trading Trading options is highly speculative and may entail risks that are greater than investing in other securities. Prices of options are generally more volatile than prices of other securities. In trading options the Investment Manager speculates on market fluctuations of securities and securities exchange indices while investing only a small percentage of the value of the securities underlying such option. A change in the market price of the underlying securities or underlying market index will cause a much greater change in the price of the option contract. In addition, to the extent that the Investment Manager purchases options that it does not sell or exercise the Issuer will suffer the loss of the premium paid in such purchase. To the extent the Investment Manager sells options and must deliver the underlying securities at the option price, the Issuer has a theoretically unlimited risk of loss if the price of such underlying securities increases. If the Investment Manager must buy those underlying securities, am Issuer risks the loss of the difference between the market price of the underlying securities and the option price. Any gain or loss derived from the sale or exercise of an option will be reduced or increased, respectively, by the amount of the premium paid. The expenses of option investing include commissions payable on the purchase and on the exercise or sale of an option. Furthermore, the risk of non-performance by the obligor on an option may be greater and the ease with which the Investment Manager can dispose of such an option may be less than in the case of an exchange traded option. The Investment Manager may cause the Issuer to buy or sell over-the counter options options on securities that are not traded on a securities exchange and are not issued or cleared by an internationally recognised clearing corporation. The risk of nonperformance by the obligor on such an option may be greater, and the ease with which the Investment Manager can dispose of such an option may be less, than in the case of an exchange traded option issued by an internationally recognised clearing corporation. Structural Risks Reliance on Investment Manager and Nathan B. Sandler The success of the Portfolio depends upon the ability of the Investment Manager (acting as such) to develop and implement investment strategies that achieve the Portfolio's investment objectives. If the Investment Manager were to become unable to participate in the management of the Portfolio, the consequences to the Portfolio could be material and adverse. Nathan B. Sandler is principally responsible for the Investment Manager s investment activities. If Mr. Sandler is not available to the Investment Manager, this could adversely affect the Portfolio s performance. The Trustee is not obliged in any circumstances to act as administrator, investment manager or servicer of the Portfolio or to monitor the performance of the Investment Manager of its obligations or otherwise. Limited Obligations and Liability of the Investment Manager The Portfolio Management Agreement provides that the Issuer will indemnify and hold the Investment Manager, each of its affiliates and each of their respective owners, directors, officers, agents and employees (each an Indemnified Person ) harmless from and against, and shall reimburse such Indemnified Person promptly upon demand for, any and all claims, losses, costs, indebtedness, liabilities, settlements and expenses (including, without limitation, court costs, attorneys fees and expenses, costs of M

28 investigation, expert witness fees, taxes and penalties) arising out of any action or inaction of any Indemnified Person in performance of its services hereunder; provided, that such claims, losses, costs, indebtedness, liabilities, settlements and expenses are not a result of such Indemnified Person s willful misconduct, gross negligence, fraud or criminal wrongdoing in the performance of its services, or in the execution or discharge of such Indemnified Person s duties, powers, authorities or discretions, hereunder. No Indemnified Person shall have any liability to the Issuer for any claims, losses, costs, indebtedness, liabilities, settlements and expenses (including without limitation court costs, attorneys fees and expenses, costs of investigation, expert witness fees, taxes and penalties) suffered by the Issuer that arises out of any action or inaction of an Indemnified Person if such Indemnified Person s course of conduct did not constitute willful misconduct, gross negligence, fraud or criminal wrongdoing in the performance of its services, or in the execution or discharge of such Indemnified Person s duties, powers, authorities or discretions, hereunder. Conflicts of Interest The Investment Manager has certain conflicts of interest in its management of the Portfolio. These conflicts arise primarily from the involvement of the Investment Manager and its affiliates in other activities that may conflict with those of the Issuer and will also arise whenever the Investment Manager or any of its affiliates is engaged to perform for compensation any services for the Issuer. The directors, the Investment Manager, the Portfolio Administrator and the Prime Broker (as defined below) may from time to time act as directors, investment advisors, administrators, custodians or prime brokers in relation to or otherwise be involved with other companies established by parties other than the Issuer which have similar objectives. In such event should a conflict of interest arise, the directors will endeavor to ensure that it is resolved fairly. Other Business Activities of the Investment Manager Neither the Investment Manager nor any of their principals or employees is required to devote full time to managing the Portfolio. They may conduct other businesses and provide investment counselling services to other clients, including, without limitation, other affiliated investment funds and managed accounts (such as corporate or governmental benefit plans, institutional investors and high net worth individuals), some of whom may have objectives similar to those of the Issuer. They may give advice and make recommendations to such other accounts, which may be the same, similar to or different from those rendered to the Issuer. The compensation arrangements with other clients may create incentives for the Investment Manager or its principals or employees to favour such other clients. However, the Investment Manager will not knowingly or deliberately favour any other account over the Issuer. Decisions affecting the Issuer may be made independently from such other accounts. Decisions as to the execution of the Portfolio transactions on behalf of the Issuer, including the selection of dealers and brokers, will be made in the sole discretion of the Investment Manager. The Investment Manager will seek the most favourable terms for each Portfolio transaction. Mark-to-Market The Investment Manager may, in its sole discretion, mark to market certain investments. Portfolio Concentration and Ongoing Monitoring of the Portfolio The Investment Manager (acting on behalf of the Issuer) will build up the Portfolio as investment opportunities that meet the Portfolio investment policies and strategies of the Issuer, as further described above, become available. The Investment Manager (acting on behalf of the Issuer) will regularly monitor and manage the allocation of assets within the Portfolio in order to formulate and carry through investment policies and strategies for the Issuer. For as long as the Issuer is M

29 required by the Irish Stock Exchange, the Portfolio will comprise obligations of five or more obligors and no single obligor will account for more than 20% of the assets, and the percentage of equity securities which are not traded on a regulated or equivalent market will not exceed 10% of the value of the Portfolio. The Investment Manager will carry out all actions it deems necessary or advisable in connection with the maintenance and administration of the Portfolio (as more particularly set out in Clause 3 of the Portfolio Management Agreement). While the Portfolio Assets will generally be acquired and maintained in a manner consistent with the description of the Portfolio as set out in this Listing Particulars, the Investment Manager (acting on behalf of the Issuer) will manage the Portfolio Assets actively and, in building up the Portfolio and in managing the Portfolio Assets over time, may substantially alter asset allocations and limits to take advantage of market opportunities as they occur. Risk of Litigation In the ordinary course of its business, the Issuer may be subject to litigation from time to time. The outcome of litigation, which may materially adversely affect the value of the Issuer s Portfolio, may be impossible to anticipate, and such proceedings may continue without resolution for long periods of time. Any litigation may consume substantial amounts of the Investment Manager s time and attention, and that time and the devotion of these resources to litigation may, at times, be disproportionate to the amounts at stake in the litigation. Security Granted to the Prime Broker Under the terms of the Prime Brokerage Agreement (as defined herein), the Issuer s assets that are held by the Prime Broker (as defined herein) (or an agent so selected by the Prime Broker) as custodian, the accounts of the Issuer with the Prime Broker and the rights of the Issuer under any contracts entered into by the Issuer with the Prime Broker (such assets, accounts and rights, together the Collateral ), will be subject to a first priority security interest therein, a lien thereon, and a right of set-off against such assets, to secure all of the Issuer s liabilities and obligations to the Prime Broker (including obligations under derivatives contracts). The Issuer has further granted the Prime Broker the right to sell, pledge, rehypothecate, invest, use, commingle or otherwise dispose of cash, securities and other investment property to the extent permitted by law. Securities and cash held in custody pursuant to the Prime Brokerage Agreement are not entitled to the protections of the Securities Investor Protection Act of To the extent that the Collateral is insufficient to cover the Issuer s liabilities and obligations to the Prime Broker in the event of an enforcement of the security granted pursuant to the Prime Brokerage Agreement, the Prime Broker will have an unsecured claim against the remaining assets of the Issuer comprising the Portfolio Assets and ranking pari passu with all other unsecured and unsubordinated claims against the Issuer. Notes represent unsecured obligations of the Issuer In addition to security granted to the Prime Broker, the Issuer may also grant security over its Portfolio Assets to other counterparties to cover specific obligations such as those incurred under a Swap Agreement. The Notes will constitute unsecured and subordinated obligations of the Issuer. Accordingly, claims of the Note Holders in respect of the payment of Interest and the Paid-Up Amounts will be subordinated to the claims of all secured and unsubordinated creditors of the Issuer. To the extent that assets pledged or otherwise granted as security by the Issuer to a secured creditor are insufficient to cover the Issuer s liabilities and obligations to the relevant secured creditors, such secured creditor will have an unsecured claim against the remaining assets of the Issuer ranking pari passu with all other unsecured and unsubordinated claims against the Issuer. Non-Irish Taxation An issuer of securities may be domiciled in a country other than the country in whose currency the instrument is denominated. The values and relative yields of investments in the securities markets of different countries, and their associated risks, are expected to M

30 change independently of each other. It is anticipated that the Issuer will not be subject to tax in a jurisdiction other than Ireland (other than in relation to taxes withheld from the Issuer's receipts from certain jurisdictions). There can be no guarantee, however, that this will be the case. The Issuer will appoint the Investment Manager who may appoint sub-investment Managers with the result that a permanent establishment of the Issuer may be created in a jurisdiction other than Ireland such that the Issuer may be subject to tax in that jurisdiction. Withholding Taxes and Irish Taxation of Note Holders There is an Irish withholding tax, currently at the rate of 20%, generally imposed on Irish source interest. However, there is an exemption from such withholding under Section 64 of the Taxes Consolidation Act, 1997 (the 1997 Act ) provided that notes on which the interest payments are made are quoted on a recognized stock exchange (which would include the Global Exchange Market of the Irish Stock Exchange Limited) and are held in Euroclear and/or Clearstream, Luxembourg (or if not so held, the interest on the notes is paid through a paying agent not in the Republic of Ireland). It is anticipated that interest paid on the Notes will meet this exemption. Nevertheless there is no guarantee that the exemption will apply or that future legislation will not make this exemption inapplicable. In the event that any withholding or deduction for or on account of tax is imposed on payments on the Notes, the Note Holder will not be entitled to receive additional amounts to compensate for such withholding tax. Notwithstanding that a Note Holder may receive interest on the Notes free of withholding tax, a Note Holder may still be liable to pay Irish income tax if the interest is regarded as having an Irish source. Interest paid on the Notes may have an Irish source and therefore be within the charge to Irish income tax and levies. Ireland operates a self assessment system in respect of income tax and any person, including a person who is neither resident nor ordinarily resident, with Irish source income comes within its scope. There is therefore no assurance the Irish tax authorities will not seek to tax interest from the Notes to the Note Holders. In addition, if the Republic of Ireland s tax treaty with the source country applies, interest or other payments received by the Issuer may be free from withholding tax or subject to a reduced rate of withholding, depending on the country from which these payments are made and provided that certain procedural requirements are met. However, there is no guarantee that tax treaty benefits will apply to returns on the Issuer s investments. In the event that any withholding or deduction for or on account of tax is imposed on payments to the Issuer, the Issuer may not be entitled to receive additional amounts to compensate for such withholding tax. Irish Taxation of the Issuer The Issuer is incorporated in and resident for tax purposes in Ireland. Accordingly, it is subject to Irish corporation tax on its worldwide income and gains. The current rates of Irish corporation tax are 12.5% for certain trading income, 25% for all other income and 30% for capital gains. It is anticipated that the Issuer will be subject to the higher rate of Irish corporation tax (currently 25%). The rate of tax and the methods of computing the tax base in respect of the Issuer's business in Ireland can change depending on changes in Irish law. If the effective tax burden the Issuer suffers in Ireland increases above its anticipated level, returns to Note Holders will decrease. There can be no guarantee that such changes will not be introduced. Calls on the Notes In order to fund the ongoing activities of the Issuer, the Issuer may make further calls in respect of the unpaid Stated Amounts of the Notes. If a Note Holder is not able or refuses to meet such call the Issuer may not be able to complete a transaction that it wishes to enter into. There is no guarantee that the Note Holders will honour each call made on the Notes. Examinership M

31 Examination is a court procedure available under the Irish Companies (Amendment) Act 1990, as amended (the 1990 Act ) to facilitate the survival of Irish companies in financial difficulties. The Issuer, the directors of the Issuer, a contingent, prospective or actual creditor of the Issuer, or shareholders of the Issuer holding, at the date of presentation of the petition, not less than one-tenth of the voting share capital of the Issuer are each entitled to petition the court for the appointment of an examiner. The examiner, once appointed, has the power to set aside contracts and arrangements entered into by the company after his appointment and, in certain circumstances, can avoid a negative pledge given by the company prior to his appointment. During the period of protection, the examiner will compile proposals for a compromise or scheme of arrangement to assist the survival of the company or the whole or any part of its undertaking as a going concern. A scheme of arrangement may be approved by the High Court when at least one class of creditors has voted in favour of the proposals and the High Court is satisfied that such proposals are fair and equitable in relation to any class of shareholders or creditors who have not accepted the proposals and whose interests would be impaired by implementation of the scheme of arrangement. The primary risks to the Note Holders if any examiner were to be appointed with respect to the Issuer are as follows: (i) (ii) (iii) the potential for such a scheme of arrangement being approved involving the writing down of the amounts due by the Issuer to the Note Holders; the potential for the examiner to seek to set aside any negative pledge in the Notes or the Transaction Documents prohibiting the creation of a security or the incurring of borrowings by the Issuer to enable the examiner to borrow to fund the Issuer during the protection period; and in the event that a scheme of arrangement is not approved and the Issuer subsequently goes into liquidation, the examiner's remuneration and expenses (including certain borrowings incurred by the examiner on behalf of the Issuer and approved by the High Court) will take priority over the monies and liabilities which, from time to time, are or may become due, owing or payable by the Issuer to the Note Holders. Written Directions and Modification The Trust Deed contains provisions relating to Written Directions (as defined below) with respect to matters affecting the interests of the Note Holders, including the sanctioning of a modification of any of these Conditions or any of the Transaction Documents. A Written Direction will be binding on the Note Holders. The Trustee will, if so instructed by a Written Direction, agree to any modification of these Conditions, the Trust Deed or any of the Transaction Documents. In addition, the Trustee will, if so instructed by a Written Direction, authorise or waive any breach or proposed breach of the Notes or the Transaction Documents, or determine that any event which would or might otherwise give rise to a right of acceleration under the Conditions will not be treated as such. Rights of Note Holders as a Class only In connection with the exercise by it of any of its trusts, powers, authorities and discretions (including, without limitation, any modification, waiver, authorisation, determination or substitution), the Trustee will have regard to the general interests of the Note Holders as a class but will not have regard to any interests arising from circumstances particular to individual Note Holders (whatever their number) and, in particular but without limitation, will not have regard to the consequences of any such exercise for individual Note Holders (whatever their number) resulting from their being for any purpose domiciled or resident in, or otherwise connected with, or subject to the jurisdiction of, any particular territory or any political sub-division thereof and the Trustee will not be entitled to require, nor will any Note Holders be entitled to claim, from the Issuer, the Trustee or any other person any indemnification or payment in respect of any tax consequence of any such exercise upon individual Note Holders. M

32 No trustee or agency relationship with Paying Agent In acting under the Paying Agency Agreement and in connection with the Notes, the Paying Agent acts solely as agent of the Issuer and (to the extent provided therein) the Trustee and does not assume any obligations towards or relationship of agency or trust for or with any of the Note Holders. The Paying Agent is entitled to be indemnified and relieved from certain responsibility in certain circumstances as set out in the Paying Agency Agreement. The foregoing summary of certain risk factors does not purport to be a complete enumeration or explanation of the risks involved in an investment in the Notes. Prospective Note Holders should read this entire Listing Particulars and consult with their own advisors before deciding to invest in the Notes. M

33 TERMS AND CONDITIONS OF THE NOTES The USD 10,000,000,000 asset-backed Notes due 29 June 2041 (the Notes ), of ICE Global Credit Alpha Master Fund Limited (the Issuer ) are (a) issued pursuant to a trust deed dated 27 June 2012 (the Closing Date ) (the Trust Deed ) between the Issuer and Wilmington Trust SP Services (Dublin) Limited as trustee (the Trustee ) and (b) the subject of a paying agency agreement dated the Closing Date (as amended or supplemented from time to time, the Paying Agency Agreement ) between the Issuer, State Street (Jersey) Limited as paying agent (the Paying Agent which expression(s) include any successor paying agent appointed from time to time in connection with the Notes) and the Trustee. Certain provisions of the following conditions (the Conditions ) are summaries of the Trust Deed and the Paying Agency Agreement and are subject to their detailed provisions. The holders of the Notes (the Note Holders, which expression shall be construed in accordance with Condition 1.2 (Title)) are bound by, and are deemed to have notice of, all the provisions of the Trust Deed and those provisions of the Paying Agency Agreement applicable to them. Copies of the Trust Deed and the Paying Agency Agreement are available for inspection by Note Holders during normal business hours at the Specified Offices (as defined in the Paying Agency Agreement) of the Issuer and the Paying Agent, the initial Specified Offices of which are set out below. 1. Form, Denomination and Title 1.1. Form and Denomination The Notes are represented by individual physical certificates in bearer form, serially numbered and in denominations of USD100,000 or multiple thereof, without coupons attached (the "Certificates") Title Title to the Notes passes by delivery. Each person who is for the time being a Note Holder shall be treated by the Issuer, the Trustee and the Paying Agent as the holder of the Stated Amount of the relevant Note (and the expression Note Holder and references to holding of Notes and to holder of a Note shall be construed accordingly), for all purposes (whether or not such Note is overdue and regardless of any notice of ownership, trust or any interest in it or any writing on it, or its theft or loss) and no person will be liable for so treating the holder of such Note Paid-Up Amount On the Closing Date the initial purchaser of each Note will subscribe for an amount (the Subscription Amount ) that is less than the amount expressed as the Stated Amount of such Note (the Stated Amount ). Payment of such Subscription Amount will, in accordance with the terms of the Paying Agency Agreement, be notified by the Issuer to the Trustee and the Paying Agent, who will record details of such Subscription Amount on the schedule to the relevant Note. The Paid-Up Amount of a Note at any time is (x) the sum of the Subscription Amount, all Capital Amounts (as defined in Condition 7 (Capital Call) below) from time to time paid on such Note and all Positive Adjustment Amounts (as defined in Condition 7 (Capital Call) below) in respect of such Note, less (y) the sum of all Redeemed Amounts (as defined in Condition 5.2 (Optional Redemption) below) and all Negative Adjustment Amounts (as defined in Condition 7 (Capital Call) below) in respect of such Note. 2. Status and Ranking 2.1. Status and Ranking The Notes constitute direct, unsecured, unconditional and subordinated obligations of the Issuer, and will rank pari passu and rateably without any preference among themselves M

34 for all purposes. The Notes will rank, as to payment in respect of amounts due upon them, junior to all other present and future secured and unsecured obligations of the Issuer (the Senior Obligations ). The obligation of the Issuer to make payments in respect of the Notes will be limited to the value of the Net Recourse Assets (as defined in Condition 5.1 (Final Redemption) after payment in respect of the Senior Obligations. 3. Covenants So long as any Note remains outstanding, save with the prior written consent of the Trustee or upon the express written direction of the holders of all outstanding Notes (a Written Direction ) and subject as provided in, or contemplated by, any of the Transaction Documents, the Issuer will not: (i) carry on any business other than the acquisition, origination, disposal, owning, holding and management of financial assets as described in s.110 of the Irish Taxes Consolidation Act 1997 (as amended) and shall not engage in any activity or do anything whatsoever in connection with that business except: (1) funding the acquisition of the Portfolio Assets (as defined below) by various means including, inter alia, the borrowing of monies; (2) entering into hedging and other related arrangements; (3) owning, and exercising its rights in respect of, the Portfolio (as defined below) and its interests therein and performing its obligations in respect of the Portfolio; (4) preserving and/or exercising and/or enforcing any of its rights and performing and observing its obligations under the Transaction Documents; (5) making payments on the Notes; (6) paying dividends or making other distributions to its shareholders out of profits available for distribution in the manner permitted by applicable law and, inter alia, to make claims, payments and surrenders in respect of certain tax reliefs; (7) performing any act necessary in connection with 3(i) (1) to 3(i) (6) above in accordance with applicable laws and in accordance with the Memorandum and Articles of Association; (ii) (iii) (iv) (v) (vi) (vii) incur or permit to exist any indebtedness in respect of borrowed money whatsoever or give any guarantee or indemnity in respect of any indebtedness or any obligation of any person in excess of 20,000 (other than in connection with any of the matters contemplated in (i) above); pay any dividend or make any other distribution to its shareholders in excess of 1,000 per annum; have any employees; enter into any reconstruction, amalgamation, consolidation or merger with any other person or convey or transfer substantially the whole of its properties, undertaking or assets to any person; have any subsidiaries; issue any shares in the Issuer (other than such shares as are in issue at the date hereof); or M

35 (viii) release any party to any Transaction Document (as defined below) from any of its material obligations thereunder or amend, supplement or otherwise modify any Transaction Documents to which it is a party if such change might reasonably be expected to materially adversely affect the rights and obligations of the Note Holders. 4. Notional Allocations by the Investment Manager; Interest Payments 4.1. Notional Allocations by the Investment Manager For the purpose of calculations of any income, gains and losses accruing on any Note, the Investment Manager may adjust the amount of such income, gains and losses accruing in respect of each Note by: (a) notionally allocating the Management Fee (as defined below) and other fees and expenses of the Issuer (in each case, if and to the extent contemplated under the Note Holders constituent documents) among the Note Holders in such a way as to reflect capital investment in the Note Holders rather than the Paid-Up Amount of the Note of each Note Holder (such an allocation an "Expense Allocation"); and/or (b) notionally re-allocating income, gains and losses from certain Portfolio Assets in order to ensure compliance by each Note Holder and the investors in each Note Holder with all laws, regulations, rules and contractual provisions applying to it and them which restrict its or their ability to participate in the income, gains and losses from such Portfolio Assets (such a re-allocation an Asset Re-allocation ). The Investment Manager may restrict a Note Holder from participating in such income, gains and losses to the extent necessary to comply with such laws, regulations, rules and contractual provisions. The Investment Manager shall calculate any Expense Allocation and any Asset Reallocation based on information provided by each Note Holder to the Investment Manager and shall notify each Note Holder and the Issuer of the amount of any such Expense Allocation and Asset Re-allocation (a) when notifying determinations made under Conditions 4.2 to 4.5 inclusive (Interest Payments) or Condition 7.3 (Adjustment of Paid- Up Amount Prior to Capital Call) and (b) when requested by the Issuer or a Note Holder. Interest Payments 4.2. Interest The return on each Note (the Interest ) in respect of any Accrual Period (as defined below) will be a proportion (being the proportion that the Paid-Up Amount of such Note bears to the aggregate Paid-Up Amount of all outstanding Notes (the Relevant Proportion )) of an amount equal to all income and gains (including deemed gains) earned by the Issuer from or in respect of the Portfolio Assets or related arrangements, for the Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Assets or related arrangements, for the Accrual Period or for prior Accrual Periods not previously taken into account in any computation of Interest, less the sum of (i) all operating expenses and costs (other than the accrual of Interest) of the Issuer accrued in that Accrual Period and (ii) the Profit Reserve Amount (as defined below) for that Accrual Period. Notwithstanding the above, in order to ensure compliance by each Note Holder with all laws, regulations and rules applying to it which restrict its ability to participate in the income, gains and losses from certain Portfolio Assets, the Investment Manager may restrict a Note Holder from participating in such income, gains and losses to the extent necessary to comply with such laws, regulations and rules and shall adjust the Interest accrued on the Notes as it so determines Accrual Period and Interest Payment Dates Interest, if any, will accrue in respect of each Financial Year or in respect of such longer or shorter periods as the Issuer or the Note Holders may determine from time to time M

36 (each an Accrual Period ). A payment of Interest (an Interest Payment ), if any, in respect of an Accrual Period will be due and payable on each interest payment date (an Interest Payment Date ) which shall be the 30th day following the last Business Day (as defined below) of each such Accrual Period (the Accrual Date ) or, other than in respect of an Accrual Period determined in accordance with Condition 4.4 (Determination of Accrual Period by the Note Holders), such other date as the Issuer may determine. IF, IN RESPECT OF ANY ACCRUAL PERIOD, THE AMOUNT OF THE INTEREST IS ZERO OR A NEGATIVE NUMBER THE ISSUER WILL NOT HAVE AN OBLIGATION TO MAKE AN INTEREST PAYMENT IN RESPECT OF THAT ACCRUAL PERIOD. Until it is paid, Interest will be regarded as accruing throughout the Accrual Period Determination of Accrual Period and Interest Payment by the Note Holders A Note Holder may at any time determine an Accrual Period and may notify the Issuer, the Investment Manager and the Trustee of such determination. Following such notice, the Investment Manager shall calculate the amount of any Interest accrued in respect of such Accrual Period and shall notify the Issuer, the Trustee and the Note Holders in accordance with Condition 14 (Notices) of the results of such calculation. Within 5 Business Days of such notice the Note Holders shall elect to receive an Interest Payment on the related Interest Payment Date in the whole amount or part of the amount of such Interest and shall notify the Issuer, the Trustee, the Investment Manager and the Paying Agent of such election. Any portion of such Interest that is unpaid shall continue to accrue Determination of Accrual Period and Calculation of Interest Payment by the Investment Manager on behalf of the Issuer The Investment Manager shall, on the Issuer's behalf, determine, or procure to be determined, each Accrual Period (other than an Accrual Period determined pursuant to Condition 4.4 (Determination of Accrual Period and Interest Payment by the Note Holders) or Condition 7.3 (Adjustment of Paid-Up Amount Prior to Capital Call)), calculate the amount of any Interest accrued in respect of such Accrual Period, determine whether an Interest Payment is due and payable, the amount thereof and the Interest Payment Date, and notify the Issuer, the Trustee, the Paying Agent and the Note Holders in accordance with Condition 14 (Notices) of the results of such determination prior to the relevant Interest Payment Date. The address of the Investment Manager is: 2000 Avenue of the Stars, 11 th Floor, Los Angeles, California For the purposes of these Conditions the following terms have the following definitions: Business Day means a day on which commercial banks and foreign exchange markets are open in the place of presentation and which is a day on which a Payment System (as defined in Condition 6 (Payments)) (or an alternative system) is operating. Financial Year means the period from and including 1 January of each year to and including 31 December of the same year, provided that the Issuer s first Financial Year will be the period from and including 21 March 2012 to and including 31 December Profit Reserve Amount means 4,000, or such other amount as may be agreed between the Issuer and the Note Holders from time to time, for each Financial Year that a profit is made by the Issuer. The terms assets, liabilities, operating expenses, costs, income, gains and losses and references to accrual or accrued shall be construed in accordance with IFRS. 5. Redemption and Purchase 5.1. Final redemption M

37 Unless purchased and cancelled or previously redeemed, each Note will be redeemed on 29 June 2041 or, if such day is not a Business Day, the immediately following Business Day (the Maturity Date ) in an amount equal to the Paid-Up Amount together with any Interest Payment due (determined as set out in Condition 5.2 (Optional Redemption) below) in respect of such Note (together, the Redemption Amount ) provided, however, that, if the assets of the Issuer represented by the Portfolio and the balance standing to the credit of the Transaction Account (the Net Recourse Assets ) on such date are less than the aggregate of all Redemption Amounts, the Redemption Amount shall be deemed reduced to an amount equal to the Relevant Proportion of such amount of Net Recourse Assets and any claims of Note Holders otherwise outstanding shall be extinguished Optional Redemption The Issuer may at its option, at any time, having given not less than 1 nor more than 30 days' notice to the Trustee, the Paying Agent and the Note Holders in accordance with Condition 14 (Notices) (which notice shall be irrevocable), redeem such Notes in whole or in part as it may in its absolute discretion elect and specify in such notice. A Note Holder may at its option, having given not less than 15 nor more than 30 days' notice to the Issuer, the Trustee and the Paying Agent in accordance with Condition 14 (Notices) (which notice shall be irrevocable), require the Issuer to redeem its Note (a) at any time on or after the first anniversary of the Issue date, in whole or (b) at any time, in such part as it may in its absolute discretion elect and specify in such notice. The price at which a Note or part of a Note so specified by the Issuer or a Note Holder as applicable may be redeemed shall be: (i) (ii) in the case of a redemption of a Note in whole, the Redemption Amount, reduced, if applicable and as described in Condition 5.1 (Final Redemption), to an amount equal to the Relevant Proportion of Net Recourse Assets; or in the case of a redemption of a Note in part, the Paid Up Amount of such part of such Note (the Redeemed Amount ) together with any Interest Payment due with respect to such Redeemed Amount (together, the Partial Redemption Amount ); provided that the Partial Redemption Amount shall be appropriately reduced in the event that the value of the Net Recourse Assets at the time of such redemption is less than the aggregate of the Paid-Up Amounts of the Notes. For the purpose of calculating a Redemption Amount or a Partial Redemption Amount in respect of a Note, any Interest Payment shall be determined as if a reference in Condition Conditions 4.2 to 4.5 inclusive (Interest Payments) to Accrual Period is a reference to the period beginning on the day following the last day of the preceding Accrual Period or, with respect to the first Accrual Period, the date of incorporation of the Issuer, and ending on the date fixed for redemption of such Note or part of such Note Purchase The Issuer may at any time purchase all or part of any Notes in the open market or otherwise at any price Cancellation All Notes redeemed in whole or purchased pursuant to Condition 5.1 (Final Redemption), 5.2 (Optional Redemption) and 5.3 (Purchase) will be cancelled and may not be re-issued or resold Other Redemption The Notes may not be redeemed at the option of the Issuer or a Note Holder other than in accordance with this Condition Payments M

38 6.1. Method of Payment Payments of Paid-Up Amounts and Interest Payments in respect of Notes will (subject as provided below) be made by transfer to a USD account maintained by the payee with a bank in a city which has access to such payment system agreed in writing between the Issuer, the Paying Agent and the relevant payee (a Payment System ). A record in respect of a Note Holder of each payment made on the Notes of such Note Holder distinguishing between any payment of Paid-Up Amount, Interest Payment and any Capital Amount (as defined in Condition 7 (Capital Call)) will be maintained by the Paying Agent and notified to each Note Holder annually or on the request of such Note Holder and such record shall be prima facie evidence that the payment in question has been made Payments subject to fiscal laws All payments are subject in all cases to any applicable fiscal or other laws and regulations. No commissions or expenses shall be charged to the Note Holders in respect of such payments Payments on Business Days Payments on a Note may only be made on a day which is a Business Day. In this Condition Business Day means a day on which commercial banks and foreign exchange markets are open in the place of presentation and which is a day on which the Payment System (or an alternative system) is operating Paying Agent The initial Paying Agent and its initial specified offices are listed below. The Issuer reserves the right at any time to vary or terminate the appointment of any Paying Agent and appoint additional or other Paying Agents. In acting under the Paying Agency Agreement and in connection with the Notes, the Paying Agent acts solely as agent of the Issuer and does not assume any obligations towards or relationship of agency or trust for or with any of the Note Holders. The Paying Agent is entitled to be indemnified and relieved from certain responsibility in certain circumstances as set out in the Paying Agency Agreement Specified Office of Paying Agent The specified office of State Street (Jersey) Limited (the Paying Agent ) is 22 Grenville Street, St Helier, Jersey JE4 8PX, Channel Islands (the Specified Office ). 7. Capital Call 7.1. Capital Call at Issuer s Election The Issuer may from time to time elect that any or all of the Note Holders be required to pay the Issuer an amount (a Capital Amount ) which amount shall not exceed the Stated Amount of its respective Notes less the Paid-Up Amount of such Notes. The Issuer may make this election on more than one occasion and in a minimum amount of the USD equivalent of EUR 100,000 on the date that the Capital Call is made, provided that, upon such election, the sum of (x) the aggregate of the Paid-Up Amounts with respect to all Notes outstanding and (y) the proposed aggregate Capital Amount, does not exceed the aggregate Stated Amount of the Notes. The Issuer, upon making such election, shall notify the Paying Agent and the Note Holders in accordance with Condition 14 (Notices) (an Issuer Capital Call Notice ) of a date falling not more than 30 days or not less than 1 day following the service of such notice (the Issuer Capital Call Date ) on which date such Note Holder is required to pay for the account of the Issuer, at the USD account specified in such Issuer Capital Call Notice, the Capital Amount with respect to its Notes. The Issuer Capital Call Notice shall specify the Capital Amount with respect to each Note outstanding. M

39 7.2. Capital Call at Note Holder s Election A Note Holder may from time to time elect to pay the Issuer a Capital Amount which amount shall not exceed the Stated Amount of its Note less the Paid-Up Amount of such Note. A Note Holder may make this election on more than one occasion and in a minimum amount of the USD equivalent of EUR 100,000 on the date that the Capital Call is made, provided that, upon such election, the sum of (x) the Paid-Up Amount and (y) the proposed Capital Amount, does not exceed the Stated Amount of the Note. The Note Holder, upon making such election, shall notify the Paying Agent and the Issuer in accordance with Condition 14 (Notices) (a Noteholder Capital Call Notice and, together with an Issuer Capital Call Notice, the Capital Call Notices and, each a Capital Call Notice ) of a date falling not more than 30 days or not less than 1 day following the service of such notice (the Noteholder Capital Call Date and, together with the Issuer Capital Call Date, the Capital Call Dates ) on which date the Note Holder will to pay for the account of the Issuer, at the USD account specified in such Noteholder Capital Call Notice, the Capital Amount. The Noteholder Capital Call Notice shall specify the Capital Amount Adjustment of Paid-Up Amount Prior to Capital Call The Business Day immediately preceding each Capital Call Date shall be an Accrual Date. The Investment Manager shall calculate any Interest accrued in respect of the Accrual Period ending on such Accrual Date and shall notify the Issuer, the Trustee and the Note Holders of such calculation. Within 5 Business Days following such notice, each Note Holder shall elect, by notice in writing to the Issuer, the Trustee and the Investment Manager, to either (a) receive such Interest in whole as an Interest Payment in accordance with Conditions 4.2 to 4.5 inclusive (Interest Payments) or (b) have the Paid- Up Amount of its Note increased by the whole amount of such Interest or (c) receive such Interest in part as an Interest Payment in accordance with Conditions 4.2 to 4.5 inclusive (Interest Payments) and have the Paid-Up Amount of its Note increased by such part of such Interest not included in the relevant Interest Payment (the amount of any such increase as is referred to in (b) or (c) a Positive Adjustment Amount ). If the Investment Manager determines that the value of the Recourse Assets on such Accrual Date is less than the aggregate of the Paid-Up Amounts, the Paid-Up Amount of each Note will be reduced to the Relevant Proportion of the value of the Recourse Assets on such Accrual Date (the amount of such reduction a Negative Adjustment Amount ). Any adjustment of the Paid-Up Amount of the Notes in accordance with this Condition 7.3 (a Valuation Adjustment ) shall be effective on the day following the relevant Accrual Date Notice of Paid Up Amounts following Valuation Adjustment and Capital Amount Payment The Issuer or the Investment Manager on its behalf shall notify each Valuation Adjustment and the Paid-Up Amount of each Note following such Valuation Adjustment to the Trustee, the Paying Agent and the Note Holders, and the Paying Agent shall amend each Note accordingly. From the time of such amendment to the Notes the Paid-Up Amount so notified shall be the Paid-Up Amount for the purposes of Condition 5.1 (Final Redemption). Upon payment of a Capital Amount in respect of a Note, the Issuer or the Investment Manager on its behalf shall notify such Capital Amount and the Paid-Up Amount of such Note following such payment to the Trustee, the Paying Agent and the Note Holders. The Paying Agent shall amend the Notes accordingly. From the time of such amendment to the Notes the Paid-Up Amount so notified shall be the Paid-Up Amount for the purposes of Condition 5.1 (Final Redemption). 8. Taxation All payments of Paid-Up Amount and Interest in respect of the Notes shall be made free M

40 and clear of, and without withholding or deduction for, any taxes, duties, assessments or governmental charges of whatever nature imposed, levied, collected, withheld or assessed unless such withholding or deduction is required by law. In that event, the Issuer shall not be under an obligation to pay any additional amounts with respect thereto. 9. Events of Default If any of the following events occur and are continuing: (i) Non-Payment the Issuer fails to pay the required amount on the Maturity Date, or on any other redemption date for the Notes or the Interest Payment on the due date and such failure continues for a period of five days; or (ii) Breach of Other Obligations the Issuer does not perform or comply with any one or more of its other material obligations under the Notes which default is incapable of remedy or is not remedied within 30 days after notice of such default shall have been given to the Issuer by the Note Holders at its specified office; or (iii) Enforcement Proceedings a distress, attachment, execution or other legal process is levied, enforced or sued out on or against any part of the property, assets or revenues of the Issuer and is not discharged or stayed within 30 days; or (iv) Insolvency the Issuer is deemed by law or by a court or admits itself to be insolvent or bankrupt or unable to pay its debts as they fall due, stops, suspends or threatens to stop or suspend payment of all or a material part of its debts, proposes or makes any agreement for the deferral, rescheduling or other readjustment of all of its debts (or of any part which it will or might otherwise be unable to pay when due), proposes or makes a general assignment or an arrangement or composition with or for the benefit of the relevant creditors in respect of any of such debts or a moratorium is agreed or declared in respect of or affecting all or any part of (or of a particular type of) the debts of the Issuer; or (v) Winding-up an order or petition is made or an effective resolution passed for the winding-up, examination or dissolution of the Issuer, or the Issuer ceases or threatens to cease to carry on all or a material part of its business or operations, except for the purpose of and followed by a reconstruction, amalgamation, reorganisation, merger or consolidation on terms approved by a Written Direction; or (vi) Authorisation and Consents any action, condition or thing (including the obtaining or effecting of any necessary consent, approval, authorisation, exemption, filing, licence, order, recording or registration) at any time required to be taken, fulfilled or done in order (i) to enable the Issuer lawfully to enter into, exercise its respective rights and perform and comply with its obligations under the Notes, (ii) to ensure that those obligations are legally binding and enforceable and (iii) to make the Notes admissible in evidence in the courts of Ireland is not taken, fulfilled or done; or (vii) Illegality it is or will become unlawful for the Issuer to perform or comply with any one or more of its material obligations under any of the Notes; M

41 then each Note shall, by notice in writing given to the Issuer by the relevant Note Holder at its specified office, be declared immediately due and payable whereupon it shall become immediately due and payable at its Redemption Amount provided however that, if the Net Recourse Assets of the Issuer on such date are less than the aggregate of all Redemption Amounts, the Redemption Amount shall be deemed reduced to an amount equal to the Relevant Proportion of such amount of Net Recourse Assets and any claims of Note Holders otherwise outstanding shall be extinguished. 10. Prescription Claims in respect of Paid-Up Amounts and Interest Payments will become prescribed unless presentation for payment is made within a period of 10 years in the case of Paid- Up Amounts and five years in the case of Interest Payments from the appropriate relevant date. 11. Replacement of Certificates If any Certificate is lost, stolen, mutilated, defaced or destroyed it may be replaced at the Specified Office of the Paying Agent subject to all applicable laws and stock exchange requirements, upon payment by the claimant of the expenses incurred in connection with such replacement and on such terms as to evidence, security, indemnity and otherwise as the Issuer may require (provided that the requirement is reasonable in the light of prevailing market practice). Mutilated or defaced Certificates must be surrendered before replacements will be issued. 12. Written Directions and Modification The Trust Deed contains provisions relating to Written Directions with respect to matters affecting the interests of the Note Holders, including the sanctioning of a modification of any of these Conditions or any of the Transaction Documents. A Written Direction shall be binding on the Note Holders. The Trustee shall, if so instructed by a Written Direction, agree to any modification of these Conditions, the Trust Deed or any of the Transaction Documents. In addition, the Trustee shall, if so instructed by a Written Direction, authorise or waive any breach or proposed breach of the Notes or the Transaction Documents, or determine that any event which would or might otherwise give rise to a right of acceleration under the Conditions shall not be treated as such. 13. Further Issues The Issuer may from time to time without the consent of the Note Holders create and issue further notes either: A. having the same terms and conditions as the Notes in all respects so that such further issue shall be consolidated and form a single series of notes (a Series ) with the outstanding notes of any Series (including the Notes); or B. upon such terms as the Issuer may determine at the time of their issue. Such terms may provide that the proceeds of such notes shall be invested in, and the Interest payable in respect of such notes shall be calculated by reference solely to, the income and gains earned by the Issuer from or in respect of, certain investments or groups of investments which are initially or subsequently identified and designated as Designated Investments by the Investment Manager. Such further notes may be issued for cash or in exchange for the redemption of any existing note or part thereof. Upon the issuance of any such further notes, the Issuer shall make an announcement of such issuance to the Irish Stock Exchange. 14. Notices Notices to the Note Holders will be valid and deemed to have been made to all Note Holders if sent by mail, electronic mail or by facsimile communication to the mailing address, electronic mail address or facsimile number last received by the Issuer. Any such notice shall be deemed to have been given 3 days after the time of mailing by the M

42 Issuer, on the date of receipt by the Issuer of an acknowledgement by electronic mail or otherwise or on the date of receipt by the Issuer of a facsimile confirmation, as the case may be. Notices to the Trustee, the Paying Agent and the Investment Manager will be valid and deemed to have been made if sent in accordance with the provisions of the Trust Deed, the Paying Agency Agreement or the Portfolio Management Agreement as applicable. 15. Enforcement The Trustee shall take such proceedings against the Issuer as it may think fit to enforce repayment of the Notes and the provisions of these Conditions and the Trust Deed as instructed pursuant to a Written Direction, but it shall not be bound to take any such proceedings unless it shall have been indemnified, pre-funded and/or secured to its satisfaction. 16. Trustee and Paying Agent Under the Trust Deed, the Trustee is entitled to be indemnified, pre-funded, secured and relieved from responsibility in certain circumstances and to be paid its costs and expenses in priority to the claims of the Note Holders. In addition, the Trustee is entitled to enter into business transactions with the Issuer and any entity relating to the Issuer without accounting for any profit. In connection with the exercise by it of any of its trusts, powers, authorities and discretions (including, without limitation, any modification, waiver, authorisation, determination or substitution), the Trustee shall have regard to the general interests of the Note Holders as a class but shall not have regard to any interests arising from circumstances particular to individual Note Holders (whatever their number) and, in particular but without limitation, shall not have regard to the consequences of any such exercise for individual Note Holders (whatever their number) resulting from their being for any purpose domiciled or resident in, or otherwise connected with, or subject to the jurisdiction of, any particular territory or any political sub-division thereof and the Trustee shall not be entitled to require, nor shall any Note Holders be entitled to claim, from the Issuer, the Trustee or any other person any indemnification or payment in respect of any tax consequence of any such exercise upon individual Note Holders. In acting under the Paying Agency Agreement and in connection with the Notes, the Paying Agent acts solely as agent of the Issuer and (to the extent provided therein) the Trustee and does not assume any obligations towards or relationship of agency or trust for or with any of the Note Holders. The Paying Agent is entitled to be indemnified and relieved from certain responsibility in certain circumstances as set out in the Paying Agency Agreement. The Issuer reserves the right (with the prior approval of the Note Holders and Trustee acting pursuant to a Written Direction) at any time to vary or terminate the appointment of any Paying Agent and to appoint a successor principal paying agent or additional or successor other paying agents. 17. Limited Recourse and Non Petition The Note Holders will have recourse only to the Net Recourse Assets. The obligation of the Issuer to make payments in respect of the Notes will be limited to such amounts received in respect of the Net Recourse Assets and the Note Holders will have no further recourse to the Issuer in respect of such obligation. Once the proceeds of the Net Recourse Assets have been distributed to the creditors of the Issuer (including the Note Holders), neither the Note Holders nor anyone acting on their behalf may take any further steps against the Issuer or its directors, officers, members or delegates to recover any further sum, no debt will be owed by the Issuer in respect of such sum and all claims of the Note Holders will be extinguished. Other than (i) the instituting of proceedings pursuant to the Conditions (in which respect it is acknowledged that only the Trustee is entitled to initiate such proceedings) and (ii) the lodging of a claim in the liquidation of the Issuer which is initiated by another party or M

43 taking proceedings to obtain a declaration or judgment as to the obligations of the Issuer under to the Conditions and the Transaction Documents, neither the Trustee nor the Note Holders may institute against, or join any person in instituting against, the Issuer any bankruptcy, winding up, reorganisation, examinership, arrangement, insolvency or liquidation proceeding or other proceeding under any similar law so long as any of the Notes are outstanding or for two years and a day after the latest Maturity Date on which any Note is due to mature. 18. Application of Moneys Prior to the occurrence of an Event of Default: Prior to the occurrence of one of the circumstances set out in Condition 9 (Events of Default), all moneys standing to the credit of the Transaction Account (including any moneys which represent Paid-Up Amounts or Interest Payments in respect of the Notes which have become void under the Conditions), will be applied by the Issuer in the following order of priority: (1) first, in payment or satisfaction of all fees and other remuneration payable to the Trustee under the Trust Deed and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to the Trustee (including, but not limited to, any legal or professional fees and other costs and expenses of the Trustee) pursuant to the Trust Deed or in connection therewith; (2) secondly, in or towards payment pari passu and rateably of all costs, charges, expenses and liabilities properly incurred and owing to all the creditors of the Issuer excluding at all times any amounts due and payable to the Note Holders; (3) thirdly, in or towards payment pari passu and rateably of all arrears of Interest Payments remaining unpaid in respect of the Notes and all Paid- Up Amounts due on or in respect of the Notes; and (4) fourthly, the balance (if any) in payment to the Issuer; After the occurrence of an Event of Default: After the occurrence of one of the circumstances set out in Condition 9 (Events of Default), all moneys received by the Trustee in respect of the Notes or amounts payable under the Trust Deed will despite any appropriation of all or part of them by the Issuer (including any moneys which represent Paid-Up Amounts or Interest Payments in respect of the Notes which have become void under the Conditions) be held by the Trustee on trust to apply them in the following order of priority: (1) first, in or towards payment of any tax payable by the Issuer to any relevant tax authority; (2) secondly, in payment or satisfaction of all fees and other remuneration payable to the Trustee under the Trust Deed and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to the Trustee (including, but not limited to, any legal or professional fees and other costs and expenses of the Trustee) pursuant to the Trust Deed or in connection therewith; (3) thirdly, in or towards payment or discharge of all fees, costs and expenses incurred, or to be incurred, in the winding-up of the Issuer (if applicable); (4) fourthly, in or towards payment pari passu and rateably of all costs, charges, expenses and liabilities properly incurred and owing to all the creditors of the Issuer other than any amounts due and payable to the M

44 Note Holders; (5) fifthly, in or towards payment pari passu and rateably of all arrears of Interest Payments remaining unpaid in respect of the Notes and all Paid- Up Amounts due on or in respect of the Notes; and (6) sixthly, the balance (if any) in payment to the Issuer. M

45 USE OF PROCEEDS The initial net proceeds from the issuance of the Notes is USD 13,500,000, being the amount of the Subscription Amount (the Initial Proceeds). It is expected that the Issuer will raise up to USD 10,000,000,000 in aggregate from time to time following issuance of the Notes provided that the Note Holders will, as necessary, (i) elect, from time to time, to pay Capital Amounts to the Issuer, and/or (ii) comply with any request by the Issuer for payment of a Capital Amount, each in accordance with Condition 7 (the Deferred Proceeds ). The Initial Proceeds and the Deferred Proceeds (together the Proceeds ) will be credited to the Transaction Account. Amounts standing to the credit of the Transaction Account will be withdrawn, in whole or part, by the Issuer and used to purchase the Portfolio Assets (or in the discharge of liability incurred to finance the acquisition of the Portfolio Assets) and to pay any legal or professional fees and expenses of the Issuer (see The Portfolio - Description of the Portfolio Assets and The Portfolio Transaction Account ). M

46 THE ISSUER The Issuer is a private company with limited liability incorporated in Ireland on 21 March 2012 under the Companies Acts, 1963 to 2012 with registered number The registered office of the Issuer is 78 Sir John Rogerson s Quay, Dublin 2, Ireland and its telephone number is The Issuer is registered and domiciled in Ireland. The Issuer has been established as a special purpose vehicle for the purpose of issuing asset backed notes. The principal objects of the Issuer are set out in Clause 2 of its Memorandum of Association and permit, inter alia, the issuance of the Notes, entering into of the Transaction Documents, the purchase and origination of the Portfolio Assets and any and all other activities relating to the transactions described in this Listing Particulars. The Issuer has been established for the purpose of acquiring the Portfolio, issuing the Notes and entering into the Transaction Documents. Since its date of incorporation, the Issuer has conducted no business other than negotiating and entering into the Transaction Documents and opening the Issuer Account and the Transaction Account. The Issuer will covenant to observe certain restrictions on its activities which are detailed in Condition 3 (Covenants) of the Notes (while any Note is outstanding, including (but not limited to) covenanting not to: (i) (ii) (iii) (iv) carry on any business other than the acquisition, origination, disposal, owning, holding and management of assets as described in s.110 of the Irish Taxes Consolidation Act 1997 (as amended) or engage in any activity or do anything whatsoever in connection with that business except: (a) funding the acquisition of the Portfolio Assets by various means including, inter alia, the issue of Notes pursuant to Condition 1.3 (Paid-Up Amount) and the borrowing of monies; (b) entering into hedging and other related arrangements; (c) owning and exercising its rights in respect of the Portfolio and its interests therein and performing its obligations in respect of the Portfolio; (d) preserving and/or exercising and/or enforcing any of its rights in and performing and observing its obligations under the Transaction Documents; (e) making payments on Notes; (f) paying dividends or making other distributions to its shareholders out of profits available for distribution in the manner permitted by applicable law; and (g) performing any act necessary in connection with (a) to (g) above in accordance with applicable law and in accordance with the Memorandum and Articles of Association; incur or permit to exist any indebtedness in respect of borrowed money whatsoever or give any guarantee or indemnity in respect of any indebtedness or any obligation of any person (other than in connection with the matters contemplated in (i) above); consolidate or merge with any other person or convey or transfer substantially the whole of its properties, undertaking or assets to any person, or permit any party or any other person whose obligations form part of the Portfolio to be released from such obligations except in accordance with the Transaction Documents or as described herein, or amend, supplement or otherwise modify its Memorandum and Articles of Association or any Transaction Documents to which it is a party if such change might reasonably be expected to materially adversely affect the rights and obligations of the Note Holders. The Issuer currently has no subsidiaries. The Issuer entered into a corporate administration agreement dated 17 May 2012, pursuant to which State Street Administration Services (Ireland) Limited acts as corporate services provider of the Issuer (the "Corporate Services Provider"). Its duties include the provision of certain administrative and related services including acting as company secretary. The appointment of the Corporate Services Provider may be terminated and the Corporate Services Provider may retire upon 60 days' written notice subject to the appointment of a successor corporate services provider. Peter O Leary and Louise M

47 Corcoran, members of the board of directors of the Issuer, are also directors of the Corporate Services Provider. Capital Stock and Ownership The authorised share capital of the Issuer is 1,000 and is divided into 1,000 shares of 1 each of which one thousand shares are issued and are or will be fully paid up. All of the shares are or will be legally held by Juris Limited (Juris), a private company with limited liability registered in Jersey as nominee and on behalf of ICE Global Credit Charitable Trust under the terms of a declaration of trust (the Share Trust Agreement ) under which State Street Administration Services (Ireland) Limited (the Share Trustee ) holds the benefit of the shares in trust for charitable purposes. Management The members of the board of directors of the Issuer, their positions within the Issuer and their other principal activities are as follows: Peter O Leary, Director Louise Corcoran 15 Farney Park Sandymount Dublin 4 Ireland Apartment 9 Grove Village Grove Road Dublin 6 Independent Auditors The independent auditors of the Issuer are Deloitte & Touche, an accountancy firm who are chartered accountants qualified to practice in Ireland and members of the Institute of Chartered Accountants in Ireland. Financial Year The financial year of the Issuer begins on 1 January of each year and terminates on 31 December of the same year. The first financial year began on 21 March 2012, the date of incorporation of the Issuer and terminates on 31 December, The Issuer does not prepare interim financial information. No financial statements have been made up to the date of this Listing Particulars. Shareholders The sole shareholder of the Issuer is the Share Trustee. The Share Trustee is described above in Capital Stock and Ownership. M

48 INVESTMENT MANAGER ICE Canyon LLC, a Delaware limited liability company, is the investment manager of the Issuer (the Investment Manager ). The Investment Manager was formed in October 2006 as an investment management company specializing in international credit strategies. It is owned by Range Capital LLC, which is controlled by Nathan B. Sandler, and Canyon Capital Advisors LLC ( Canyon ), of which Joshua S. Friedman and Mitchell R. Julis are Co-Chief Executive Officers and Managing Partners. As of 1 October 2012, the Investment Manager had approximately $3 billion under management. In addition to the Portfolio, the Investment Manager currently manages the portfolios of other companies similar to the Issuer. The Investment Manager may organise other partnerships or funds in the future having similar or different investment objectives than those of the Portfolio. The Investment Manager has been appointed by the Issuer pursuant to the Portfolio Management Agreement. The provisions of the Portfolio Management Agreement, including those relating to termination of the Investment Manager s appointment, resignation of the Investment Manager and appointment of a successor to the Investment Manager, are described above in the section entitled The Portfolio Management Agreement. Canyon and its affiliates sponsor a number of funds in the Cayman Islands and in the United States. The Investment Manager and Canyon are both investment advisors registered with the SEC and are money management firms headquartered in the United States in Los Angeles, California. A copy of the Investment Manager s Form ADV, Part 2A and 2B is available at no charge to prospective investors and may be obtained by sending a written request that includes a delivery address (for either electronic or U.S. mail) to Investor Relations at ICE Canyon LLC, 2000 Avenue of the Stars, 11 th Floor, Los Angeles, CA 90067, USA, (310) , (facsimile), (310) (telephone), [email protected] ( ). A free copy of the Investment Manager s Form ADV, Part 1 and Part 2A may be obtained at Mr. Sandler is the Chief Executive Officer and Managing Partner, and Mr. Friedman and Mr. Julis are the co-founders, of the Investment Manager. Mr. Sandler is the key person at the Investment Manager responsible for the investment activities of the Issuer as well as the Investment Manager s research strategy and firm management. Nathan B. Sandler (age 51) is co-founder, Chief Executive Officer and Managing Partner of the Investment Manager. Prior to the formation of the Investment Manager in 2006, Mr. Sandler was Managing Director and Senior Portfolio Manager responsible for Emerging Markets and International Fixed Income at TCW from In his thirteen years at TCW, Mr. Sandler built a global investment business and a long-term track record in total return and structured credit investment strategies. Prior to joining TCW, Mr. Sandler specialized in U.S. government bond trading and arbitrage as a founding principal in SCS Leveraged Global Markets, a leveraged fixed income fund, and as a Vice President at Security Pacific Bank. Mr. Sandler began his career in Chicago working in institutional futures and options sales and derivatives products. Mr. Sandler is a graduate of Drake University (B.A., Economics and Political Science). Joshua S. Friedman (age 56) is a founding Managing Partner of Canyon and a cofounder of the Investment Manager. Mr. Friedman has spent his entire career in the leveraged finance business, structuring and investing in debt and equity securities, leveraged buyouts, acquisitions, restructurings, arbitrage and other special situations. Prior to the formation of Canyon (and its predecessors) in 1990, Mr. Friedman was a Senior Executive at Drexel Burnham Lambert, where he was in charge of structuring new issue transactions in the High Yield Bond and Private Placement Departments. Prior to M

49 1984, Mr. Friedman worked in the Mergers & Acquisitions Department of Goldman Sachs & Company in New York. Mr. Friedman is a graduate of Harvard College (B.A., summa cum laude, Phi Beta Kappa, Physics), Oxford University (M.A., honors, Politics and Economics, Marshall Scholar), Harvard Law School (J.D., magna cum laude) and Harvard Business School (M.B.A., Baker Scholar). Mitchell R. Julis (age 57) is a founding Managing Partner of Canyon and a co-founder of the Investment Manager. Since 1983, Mr. Julis has been a value investor in special situation debt and equity securities in the public and private markets, including bankruptcies, reorganizations and restructurings. Prior to the formation of Canyon (and its predecessors) in 1990, Mr. Julis was a Senior Vice President of Drexel Burnham Lambert, where he directed a group of professionals responsible for a portfolio of distressed and special situation securities. Prior to 1983, Mr. Julis was a bankruptcy and creditors rights attorney at Wachtell, Lipton, Rosen & Katz in New York. Mr. Julis has authored a number of articles published in law journals and other periodicals on the subject of bankruptcy and distressed credit investing. Mr. Julis is a graduate of the Woodrow Wilson School at Princeton University (B.A., magna cum laude, Phi Beta Kappa), Harvard Law School (J.D., magna cum laude) and Harvard Business School (M.B.A., honors). M

50 The Investment Manager also draws on the expertise of the following professionals: Laya Khadjavi (age 49) is a Senior Advisor responsible for formulating the Investment Manager s long-term corporate and business development strategies. Prior to joining the Investment Manager in 2011, Ms. Khadjavi served as Managing Director and Head of the Retail Products Group (RPG) within Morgan Stanley s Global Capital Markets in the Institutional Securities Group where she was responsible for the origination, structuring and execution of retail driven products. Ms. Khadjavi joined Morgan Stanley in 1988 and held a succession of senior positions at the Firm, including leading the Markets Group of Morgan Stanley Smith Barney (MSSB), where she was a member of MSSB s Management Committee; serving as the Global Head of Collateralized Debt Obligations (CDOs) in Fixed Income; and serving as Co-Head of North America Finance Group in the Securitized Products Group, and Co-Head of North America Structured Transactions Group within the Derivative Products Group. Ms. Khadjavi began her professional career as a financial analyst in the International Bond Market Research department at Salomon Brothers from 1984 to Ms. Khadjavi is a graduate of Brown University (B.S. in Applied Mathematics-Economics and B.A. in French Literature) and Columbia Business School (M.B.A.). Said Saffari (age 48) is a Senior Portfolio Manager with primary responsibilities for Financials, Industrials, Commodities, and the Oil & Gas sectors. Prior to joining the Investment Manager in 2007, Mr. Saffari was a Private Wealth Advisor at Bank of America Investment Services. Previously, from 1998 to 2005, Mr. Saffari was a Head of European Credit Research and Senior Credit Analyst at Credit Suisse (Singapore and London) focusing on European and Emerging Markets credit research. At Credit Suisse, Mr. Saffari earned industry recognition from Institutional Investor, Euromoney, and European Credit Magazine for his sector coverage of Emerging Markets and Industrials. Prior to joining CS, he worked for UBS Warburg where he covered Eastern European banks and corporates. Mr. Saffari is a graduate of University of California, Berkeley (B.S.) and Harvard University (M.A. and Ph.D.). Shaun Park (age 38) is a Senior Portfolio Manager with primary responsibilities for Retail, Telecom, Healthcare, and Real Estate sectors. Prior to joining the Investment Manager in 2007, Mr. Park served as Vice President with American Capital, an $11 billion private equity and mezzanine fund, where he was responsible for the origination and execution of leveraged buyouts as well as debt and equity financings across diversified industries. Previously, Mr. Park was an Associate with the investment bank Kane & Co. He began his career in corporate finance with Coopers & Lybrand and subsequently joined Donaldson Lufkin & Jenrette's Investment Banking Group in Los Angeles. Mr. Park is a graduate of the Haas School of Business at University of California, Berkeley (B.S. in Business Administration) and The Anderson School at UCLA (M.B.A with Honors Distinction). Hector Rocha (age 41) is a Senior Portfolio Manager with primary responsibilities for Oil & Gas and Power sectors. Before joining the Investment Manager in 2007, Mr. Rocha served as an Associate in the investment banking division of Credit Suisse focusing on leveraged finance transactions. Prior to Credit Suisse, Mr. Rocha was a Project Manager for PSEG Brazil in a joint venture with Petrobras. Mr. Rocha started his career as an Associate with InterGen helping to develop the Camisea gas field in Peru. Mr. Rocha is a graduate from Harvard College (B.A. in Anthropology) and from the Wharton School at University of Pennsylvania (M.B.A). He is a CFA Charterholder. Angela Kay (age 32) is a Senior Portfolio Manager and Director of Product Management responsible for special situations sovereign investments, overseeing all portfolios and product development, distribution, and client relations. Prior to joining the firm in 2006, Ms. Kay worked as an Emerging Markets Analyst at TCW from 2004 to She began her career as a Geopolitical Analyst at Logos Capital, a global macro hedge fund. Ms. Kay is a graduate of the University of Pennsylvania (B.A. with honors in Political Science) and University of California, Los Angeles (Masters in Public Policy specializing in International Policy and Economics). M

51 Jose M. Singson (age 43) is the Head of Global Trading with responsibility for all trading execution in debt, equities, and derivatives; as well as managing counterparty trading relationships and generating daily market intelligence. Prior to joining the Investment Manager in 2007, Mr. Singson served as Vice President and Head of Credit Trading for Emerging Markets Fixed Income at TCW from 1995 to Mr. Singson is a graduate of California State University at Long Beach (B.S. in Business Administration with a concentration in Accounting), and the Paul Merage School of Business at University of California, Irvine (M.B.A.). Matthew Epstein (age 38) is Managing Director for the Middle East and North Africa (MENA). Prior to joining the Investment Manager in 2010, Mr. Epstein served as the United States Treasury Department Financial Attache to Saudi Arabia and the UAE from Based in Riyadh and Abu Dhabi, Mr. Epstein led U.S. Treasury Department initiatives to coordinate economic policy with public and private sector finance officials in the Gulf. Mr. Epstein advised senior Treasury officials on major economic developments in the Gulf, including currency policy, sovereign debt, banking sector stability and foreign investment. Mr. Epstein was also responsible for illicit finance and regulatory issues, with a particular focus on Iran sanctions and terrorist financing. Prior to the Treasury Department, Mr. Epstein was an attorney in the New York office of Latham & Watkins working in the corporate and bank finance practice groups, and was President of a software company that built and licensed Internet-based networking applications. Mr. Epstein is a graduate of University of California, Berkeley (B.A.) and the UCLA School of Law (J.D.) Doug Cummings (age 66) is the U.S. Marketing Representative responsible for coverage of institutional plan sponsors, foundations and endowments. Prior to joining the Investment Manager in 2011, he was the Managing Director for Business Development at Gramercy LLC, an emerging markets event-driven hedge fund based in Greenwich, CT. Previously, Mr. Cummings spent eight years at Pacific Investment Management Company (PIMCO) working in all sectors of the fixed income markets in a business development role. Mr. Cummings is a graduate from the University of Western Ontario (A.B. in Economics with Honors) and Harvard Business School (M.B.A.). Aneesh Partap (age 31) is a Senior Analyst focusing on Corporate Special Situations, Structured Finance opportunities, and Hedging strategies. Mr. Partap also does work on asset-backed financings and commodity companies. Prior to joining the Investment Manager in 2009, Mr. Partap was an Analyst at Citadel s Fundamental Credit group from At Citadel, Mr. Partap focused on full capital structure, long/short investment opportunities in US and international commodity companies. Mr. Partap graduated with honors from the University of Chicago (B.A. in Economics) and is a CFA Charterholder. Damien Contes (age 34) is a Corporate Research Analyst, supporting research coverage in Financials, Telecom, Technologies, Industrials, and Healthcare. Prior to joining the Investment Manager in 2007, Mr. Contes was a Senior Bank Debt specialist with Canyon Capital Advisors where he was responsible for the settlement of foreign and distressed bank debt deals. Previously, Mr. Contes was a senior fund accountant with Mellon Financial Corporation overseeing Emerging Markets Real Estate s funds and Debt and Royalty s funds. He is a graduate of the College of Charleston (B.S. in Business Administration with a concentration in Finance). Mr. Contes is a CFA Charterholder. Sarah Yao Schutzman (age 26) is a Corporate Research Analyst, supporting research coverage in Retail, Media, Gaming, Real Estate, and Education. Prior to joining the Investment Manager in 2009, Ms. Schutzman was an Advisor within the Financial Restructuring Group of the investment bank Houlihan Lokey. Previously, Ms. Schutzman worked in mergers and acquisitions at Goldman Sachs. Ms. Schutzman is a graduate of the University of Southern California (B.S. in Business Administration with a concentration in Financial Analysis and Valuation, magna cum laude). Vishal Shah (age 33) is a Trader and CLO Analyst. Prior to the Investment Manager in 2007, Mr. Shah was a Securities Analyst for Countrywide Financial Corporation where he was responsible for monitoring performance of Mortgage Backed Securities. Previously, Mr. Shah served as a CDO Analyst for Coast Asset Management where he was responsible for settlement of high yield CDO trades and monitoring the performance of M

52 CDO portfolios. Mr. Shah is a graduate of The University of Alabama at Birmingham (B.A. in Business Administration with a concentration in Finance, magna cum laude) and the University of the Pacific (Masters in Finance and Entrepreneurship). Silvia K. Inzunza-Mendoza (age 31) is a Trading Assistant. Prior to the Investment Manager in 2009, Ms. Inzunza-Mendoza worked at Countrywide Financial Corporation as an analyst in the Operations group overseeing various cash management and accounting functions related to mortgages and derivatives. Ms. Inzunza-Mendoza is a graduate of California State University, Northridge (B.S. in Kinesiology). Jessica Gibbs (age 27) is a Marketing Assistant supporting Investor and Client Relations. Prior to joining the Investment Manager in 2010, Ms. Gibbs was an Investor Relations Associate at Canyon. She began her career with Canyon as a Research Assistant to a Senior Portfolio Manager and team of Credit Analysts in Ms. Gibbs is a graduate of the University of California, Berkeley (B.A. American Studies). M

53 Description of the Portfolio Assets General THE PORTFOLIO The investment objective of the Issuer is to generate superior risk-adjusted returns from inefficient and mispriced market opportunities. To do so, the Issuer will focus on what the Investment Manager believes to be the highest alpha generating opportunities in the emerging markets ( EM ) and global credit universe, without regard to short-term liquidity concerns. The Investment Manager will cause the Issuer to acquire a diversified portfolio (at any given time, in aggregate, the "Portfolio") of financial assets (the Portfolio Assets and each a Portfolio Asset ), selected and allocated by the Investment Manager as further described in this section. The investment universe of the Issuer will encompass all sectors of emerging markets and global credit opportunities. The Issuer s multi-sector investment approach will include high yield bonds and private placements, syndicated bank loans, special situations, sovereign and short positions. The Issuer s targeted investment opportunities will include: debt/equity conversions, rescue finance, restructuring/recapitalisations, special situations, distressed and hedging. As a result of (i) Basel II and III s regulatory capital constrains and (ii) the growing challenge to access term funding, international banks increasingly face constraints on their EM and global lending activities. Against this backdrop, there is significant risk that a global scarcity of capital and credit will hit EM borrowers, especially long-term infrastructure projects, particularly hard-limiting funding available from cross-border trade, growth and investment. The investment strategy of the Issuer is a direct play on the global shortage of capital, particularly, the acute shortage of longer-term financing for leading EM companies operating in high growth markets. For the purpose of entering into CDS and other OTC derivative transactions, the Issuer has entered into (i) an ISDA Master Agreement, Schedule and Credit Support Annex thereto with Credit Suisse Securities (Europe) Limited (the CSS Europe Agreement ), and (ii) an ISDA Master Agreement, Schedule and Credit Support Annex thereto with Credit Suisse International (the CSI Agreement, and together with the CSS Europe Master Agreement, the ISDA Agreements ). Each derivative transaction entered into by the Issuer under the Master Swap Terms will be evidenced by a confirmation which, together with the Master Swap Terms will constitute a Swap Agreement. The Master Swap Terms and form of confirmation are together a Transaction Document and are available for inspection as described in General Information below. The Issuer will, from time to time, enter into swap agreements with counterparties other than those identified in the preceding paragraph and such swap agreements will be on substantially the same terms, and in substantially the same form, as a Swap Agreement. Under the terms of the credit support annex forming part of the ISDA Agreements, a party posting collateral will grant security over such collateral to the other party. Where the Issuer acquires equity securities backing the issue of securities, such securities will (i) be listed on a stock exchange or traded on another regulated and regularly operating open market, or (ii) represent minority interests and must not confer legal or management control of issuing companies. The Investment Manager s View of Global Investment Opportunities The Investment Manager believes that there are significant opportunities in the global and emerging market credit universe. This view is based on the following observations: Global investment opportunity is at major crossroads. As the global economy gradually climbs back from the precipice of collapse, a new economic, financial, and political order M

54 is emerging. The Investment Manager believes that emerging markets will be the focal point for the new order while advanced economies struggle to overcome the cyclical damage caused by the recent global market disruptions and to reverse the gathering forces of secular decline. It is the Investment Manager s view that, at these crossroads, risk indicators in emerging markets are at the lowest risk point in four decades, whereas risk indicators for advanced economies are at the highest risk point. The divergence is widening as emerging markets become the primary force for global demand and economic growth. The Investment Manager believes that this is prove to be an increasing important investment theme over the next ten years. The new order will be disruptive to the old rules of global asset allocation and investment strategy. A global investment strategy that is leveraged to traditional asset classes and the old rules could significantly under-perform in the years ahead. Advanced economies face serious challenges, such as financial sector weakness, rising public sector indebtedness, deteriorating demographics, and the specter of a major U.S. dollar collapse. Against this backdrop, the middle class in advanced economies will struggle to hold position. The overhang of excessive household indebtedness, high unemployment, stagnant wages, and rising taxes will constrain future consumption, and therefore the main driver of U.S. and global economic growth. As a result, the Investment Manager believes that U.S. consumption-led growth will no longer be viable or sustainable. Global asset allocation that is leveraged to the secular strength of emerging markets fundamentals should outperform traditional asset classes in the years ahead. The Investment Manager believes that strong secular investment fundamentals lead to stronger economic growth, stronger corporate earnings, rising incomes and expanding markets with lower medium-term investment risks. Global investors should increase their exposure to emerging markets in order to align institutional asset allocation with the primary forces of global demand and economic growth. Emerging market credit valuations are compelling in absolute and relative expected returns. The Investment Manager believes that EM credit offers attractive opportunities to anchor global asset allocation through this period of uncertainty and wide ranging potential outcomes. The traditional channels of credit intermediation remain closed or impaired. The value proposition for EM credit will be solidly underpinned by strong growth fundamentals and the rising demand for capital in emerging markets, playing off against the global scarcity of capital and credit, continuing credit market dislocations, and higher risk premiums in the developed markets. The Investment Manager believes that, over time, EM credit will achieve attractive total returns over a wide range of potential outcomes equity-like total returns from income and capital appreciation on the upside, with lower risk and volatility versus equities on the downside. This risk profile is the essence of the Investment Manager s investment approach of investing capital to achieve high risk-adjusted returns under a broad set of potential outcomes, while protecting capital from unrecoverable losses when things go wrong. Taken together, these key observations underscore the compelling value proposition for EM credit: strong secular investment fundamentals in emerging markets, playing off against weak secular fundamentals, anemic growth, and lingering financial sector impairment in the advanced economies. The Investment Manager will seek to exploit secular weakness and cyclical dislocations in the advanced economies to create deep value exposure to leading global and EM companies operating in high growth markets and strategic industry sectors. The Investment Manager s Investment Philosophy The Investment Manager seeks to generate attractive risk-adjusted absolute returns and long-term value from specialist strategies in emerging markets and global credit. The Investment Manager s investment philosophy aligns long-term value creation in global investing to the primary forces of global economic growth, corporate earnings, and new M

55 market opportunities i.e., emerging markets. The Investment Manager s investment strategies generate long-term value at the intersection of the following secular forces: 1) Globalization: deepening linkages between advanced economies and emerging markets; 2) Emerging markets: the primary force for global economic growth. High growth rates as the catalyst for strong corporate earnings, rising incomes, improving living standards, a rapidly expanding middle class, and the proliferation of new markets for products, services, and investment; 3) Emerging markets credit where financing meets growth: global investment strategies financing EM growth opportunities - acquisition finance, project finance, infrastructure, rescue finance, recapitalization and restructuring; and 4) A Paradigm Shift: a paradigm shift is underway in global investing and the long-term balance of economic, financial, geopolitical power is shifting away from the advanced economies to the emerging markets. The Investment Manager s investment philosophy takes account of these paradigm shifts and their impact on asset allocation, investment strategy, and long-term value creation. The Investment Manager uses an integrated, bottom-up, research-driven, value-seeking investment approach using probabilistic scenario analysis as the cornerstone to decisionmaking and asset allocation. This disciplined investment approach has been tested in the most volatile market conditions. The investment approach is designed to identify and exploit asymmetrical market opportunities where the risk of any permanent loss of capital is well contained and the investment strategy is positively linked to significant upside catalysts. The Investment Manager s investment strategy targets core value, deep value, and event-driven investment opportunities. Core value positions are defined as long portfolio positions to generate high current income and potential for capital appreciation. Deep value positions are defined as long portfolio special situation positions in deep discount or defaulted credit opportunities where downside outcomes are fully discounted and current market valuations are below expected post-restructuring valuations. Event-driven opportunities are defined as long or short positions where nearterm credit fundamentals and investment outcomes are driven by exogenous or endogenous performance catalysts. The Investment Manager s investment mandates seek to maximize risk-adjusted total returns from income and capital appreciation. Performance alpha is generated primarily from three sources: (i) high current income; (ii) exploiting market asymmetry in credit valuations (minimizing capital losses while maximizing total returns); and (iii) hedging strategies to mitigate downside market risks. The Investment Manager s Investment Process The Investment Manager believes that its investment approach is the cornerstone of the Issuer s competitive advantage. The Investment Manager utilizes a rigorous and disciplined investment approach developed and implemented by Nathan Sandler and his investment teams over the last 18 years of managing EM and global credit - the last five years since forming the Investment Manager, and the prior 13 years in Mr. Sandler s previous position at The TCW Group. This investment approach has been tested during the most volatile market conditions. Scenario analysis is used to map a wide range of possible outcomes for each investment and specific performance benchmarks are defined for each scenario. Actual outcomes are regularly measured against expected outcomes and this forms the basis for risk management. Through this analytical framework, a dynamic link is established between credit fundamentals, market valuations, and investment strategy. This investment process consists of the following steps: 1) The Investment Universe. The investment universe defines the potential opportunity set for investment. This opportunity set is the raw material for investment strategy and product development. The scope of coverage M

56 encompasses: emerging markets credit (as defined by the International Bank for Reconstruction and Development; International Credit (OECD countries, excluding the U.S.) and multi-sector asset classes, including bank loans, sovereign and corporate bonds, structured finance, project finance, credit derivatives, distressed and special situations, convertible debt, and local currency debt. 2) Analysis of Investment and Credit Fundamentals. A formal analysis of sovereign investment and corporate credit fundamentals is used to isolate credit strengths and weaknesses and define key performance catalysts. Sovereign analysis includes GDP fundamentals, monetary policy, exchange rate policy, financial sector, debt dynamics, political, market liberalization, structural reforms, and geopolitical position. The Investment Manager s corporate analysis includes due diligence on the following: company background, competitive analysis, ownership structure, company operating fundamentals, cash flow analysis, enterprise valuation, capital structure and leverage, debt service capacity, management, reporting practices and covenants. Generally, the Issuer s investment strategy targets countries and companies that most closely exemplify the convergence story of the emerging markets - that is, EM countries and companies building the deepest linkages to the developed markets. 3) Scenario Analysis. Potential outcomes and risk/return profiles are mapped for each investment under three scenarios: best case, base case, and worst case. The best case scenario describes outcomes that would generally give rise to stronger underlying credit fundamentals, and improving debt service capacity, and capital appreciation from tightening credit spreads. The base case describes the most likely outcomes for the key investment catalysts of a given investment, including macroeconomic, political, and financial variables. Finally, the worst case scenario describes outcomes that would generally lead to an economic or financial crisis, deteriorating credit fundamentals, and eroding debt service capacity with higher corresponding default risks. Key performance benchmarks are defined for each scenario. Actual outcomes are tracked against expected outcomes and regularly evaluated as the basis for risk management. 4) Portfolio Selection and Asset Allocation. Global macro overlays set portfolio parameters and a bottom-up selection process is used for asset allocation. Global macro overlays include economic growth assumptions, interest rate duration, credit spread duration, credit quality, liquidity, and tail risks. These overlays are used in conjunction with the Investment Manager s investment approach to determine its portfolio construction, which is derived from a bottom-up asset allocation emphasizing global multi-sector diversification, low-expected correlation, and position limits. Under normal market conditions, the Issuer will seek to implement a balanced investment strategy, diversified with respect to geography and industry sector. 5) Trading, Portfolio Rotation, Sell Discipline. All investment strategies are actively managed using a strategic investment approach. Investment strategy is regularly adapted to changing market conditions. The Investment Manager s exit strategy (portfolio rotation and sell discipline) is defined by the following inputs: changing market conditions, changing credit fundamentals, changing valuations, realization of targeted returns, relative quality swaps, and duration management. 6) Principles for Responsible Investment. In determining appropriate investments for the Issuer, the Investment Manager intends to integrate environmental, social and governance ( ESG ) factors into its investment analysis and decision making process using the framework provided by the Equator Principles and the Principles for Responsible Investment (the Equator Principles ). The Equator Principles are a set of internationally recognized, voluntary project finance guidelines that establish social and M

57 environmental standards in the banking industry. The Principles for Responsible Investment are an initiative of the United Nations Secretary- General and provide a list of possible actions for incorporating ESG issues into mainstream investment decision making and ownership practices. The Issuer s adherence to ESG criteria may affect its ability to take advantage of certain investment opportunities that, in the determination of the Investment Manager, do not meet such criteria. Using this disciplined investment approach, the Investment Manager seeks to: (i) maximize risk-adjusted returns, (ii) minimize downside credit risks, (iii) ensure adequate liquidity, and (iv) lower portfolio volatility through correlation and duration management. In managing the Issuer s debt investments, the Investment Manager, as agent for and on behalf of the Issuer, will arrange for the purchase or discount of obligations or evidences of money due or to become due, whether the obligations or evidences are secured or guaranteed or not. Selection Criteria The Investment Manager s general investment process seeks to maximize risk-adjusted returns from income and medium-term capital appreciation. The investment process generally targets the following broad categories of opportunities: 1) Convergence Themes. Convergence plays attempt to exploit the secular improving credit story of the emerging markets. These opportunities target countries and companies most highly leveraged to globalization and deepening linkages to the developed markets and other emerging markets. For countries, the convergence story develops from a strong commitment to economic reforms. Economic reforms promote macroeconomic stability and unleash private sector productivity and efficiency. For private sector companies, the convergence story develops from increasing trade linkages, strategic alliances, cross-border acquisitions, major market equity listings, and leveraging international brands in local markets. 2) Event-Driven. Event-driven opportunities arise when credit fundamentals are transformed by endogenous or exogenous catalysts. The intersection of convergence themed and event-driven opportunities are frequently the most interesting. In these situations, cross-border mergers & acquisitions creates new linkages to developed markets and (frequently) improving credit profiles. Key investment themes include early stage cross-border mergers & acquisitions targets in globally consolidating sectors, change in corporate strategy and surprise financial disclosures. 3) Special Situations and Turnarounds. Special situations are credit opportunities to earn higher than market total returns from income, capital appreciation, and other total return enhancements (e.g., equity kickers). Special situations develop from special situations financing with attractive pricing, covenant structure, and collateral protection. Special situations also include turnaround situations where long portfolio positions are taken to capture the transformation from weak credit fundamentals to strengthening credit fundamentals, leading to tighter credit spreads and higher market valuations. Turnaround situations attempt to capture the transformation from weak to strengthening credit fundamentals. Weakening credit fundamentals could be the result of unfavorable global commodity trends, poor operating or financial management, or exogenous shocks. Turnaround plays generate excess returns from improving credit profiles that lower associated risk premiums, leading to higher valuations. Key investment themes include asset coverage, recapitalization and financial flexibility, dominant competitive position, and a strategic position in a strategic sector. 4) Distressed. The best distressed opportunities arise when market valuations fully discount worst case outcomes. Where downside risks are mitigated by strong asset coverage and other factors, debt restructuring and other positive M

58 catalysts can work to unlock upside value. A related aspect to distressed investing involves maximizing the recovery value of positions that become distressed. Accessing Market Information and Origination The Investment Manager has developed a global investment infrastructure for research, origination and trading. The research process uses a wide range of primary and secondary information sources. Regular country and company visits are integral to the Investment Manager s due diligence. Primary information sources for sovereign research include: senior government officials, business leaders, academic sources, political consultants, journalists, International Monetary Fund and World Bank officials. Primary information sources for corporate research include company management, audited financial reports, regulatory filings, industry sources, consultants, legal advisers, and loan documents. Secondary information sources include independent research services, online industry or trade sites, local market publications, academic research, trade journals, think tanks, investment bank research, rating agencies and consultants. The Investment Manager has a global origination strategy to source potential investments and generate a consistent pipeline of attractive investment opportunities. This origination strategy is built on three pillars: (i) multiple points of entry with leading international banks and investment banks (e.g. syndication desk, proprietary trading desks, specialized lending groups); (ii) global private equity sponsors to source proprietary financing opportunities; and (iii) strategic relationships in key local markets. The Issuer s Investment Strategy The Issuer will employ an investment strategy designed generally to exploit strong structural and cyclical investment fundamentals in emerging markets to create a direct play on high growth rates and rising incomes in these markets. The compelling value proposition in the global and EM credit markets can be exploited via the public and liquid bank debt markets. This investment strategy focuses on global opportunistic credit and is a direct play on strong secular investment fundamentals and high growth markets playing off secular, cyclical, and structural dislocations in the advanced economies. The Issuer will seek to exploit a wide range of targeted credit opportunities in emerging markets, or opportunities with strong linkages to the emerging markets. The investment strategy will focus on leading companies operating in strategic industry sectors with strong underlying investment fundamentals (supported by strong asset coverage, cash flow, collateral coverage, attractive valuations, and globally balanced, multi-sector diversification). The Issuer will generally focus on the following sectors: utilities, alternative energy, infrastructure, oil and gas, mining and materials, telecom, financial services, exporters, consumer services, technology, media, property, capital goods and health care. The Issuer is a direct play on EM growth and, in managing the Portfolio, the Investment Manager intends to align its investment strategy to companies operating in high growth markets with organically improving credit fundamentals and companies with lower leverage per unit of spread relative to developed market comparables. The Issuer will be long-biased but will use a long/short investment framework. The Issuer will seek to generate attractive risk-adjusted total returns. Long positions will be taken to generate high income, enhanced income, and capital appreciation from accretion of deep price discounts, spread tightening, or equity enhancements. Short positions will be taken to protect the assets of the Issuer against potential downside outcomes generating capital appreciation from spread widening and higher relative default risks or to hedge against broader credit market weakness. To the extent used, short positions will generally be taken in single-name CDS. Short positions for hedging may be taken to mitigate other portfolio risks (e.g., interest rate risk, credit risk, or other tail risks). Hedging strategies may use single-name CDS, liquid credit indices, interest rate swaps, currency forwards, options or other strategies deemed applicable by the Investment Manager. Formal Credit Review Process M

59 Every investment is evaluated using a formal analysis and review. Analysis and due diligence is presented to the Investment Manager s senior investment team as part of a regular credit review process. Once an investment is approved, senior analysts are responsible for full coverage of the investment. Performance is closely monitored to ensure that each investment is tracking expected outcomes. Investment assumptions are adapted as needed to changing credit fundamentals or market conditions. Performance benchmarks are clearly established under multiple scenarios at the inception of each investment. These performance benchmarks are used to track actual versus expected outcomes. It is through this rigorous framework that investment risks are managed through time. If a credit position is deemed to be impaired, the Investment Manager s strategy is to manage its position to minimize the permanent loss of capital and maximize ultimate recovery value. This process for managing impaired credit positions could include: holding the investment in expectation of price or value recovery; holding the investment in expectation of restructuring; transferring the risk position to another situation with higher prospective recovery value; or liquidation of the investment. The Investment Manager will undertake a work-out procedure that maximizes the ultimate recovery value of stressed positions. Initiation of a Position & Timeframe Positions are initiated when Mr. Sandler and the senior investment team of the Investment Manager are satisfied that the due diligence is complete and the risk versus return parameters are attractive. The time frame from investment idea to execution will vary from situation to situation, depending on complexity and due diligence requirements. No investment is made until all aspects of the due diligence process have been satisfied. All trades are pre-authorized by Mr. Sandler, and trading is centralized to mitigate the risk of unauthorized trading. Monitoring of Positions The Investment Manager has an active database of approximately 500 companies. The Investment Manager will typically hold between 40 and 80 positions in an investment strategy, depending on the mandate and investment guidelines of the strategy. The Investment Manager monitors over 20 industry sectors and over 50 countries with tradable debt. Its investments are generally long term and strategic and the holding period will depend on credit fundamentals and the strength of the investment over time. Investment positions are reviewed daily by the Investment Manager s analysts and by Mr. Sandler. Each position is assigned to an analyst who continually monitors it. Each analyst may be responsible for 15 to 25 portfolio positions and approximately 30 to 40 companies overall. The Investment Manager stress tests for changes in interest rates, credit spreads and volatility, and for bankruptcies. The Investment Manager conducts stress testing on both a position basis and on a portfolio basis. Risk Parameters Risk is managed on an individual asset level using a dynamic analytical framework that incorporates: (i) trends in credit fundamentals, (ii) liquidation analysis, and (iii) scenario analysis for each position. Risks are assessed for each position prior to the purchase of such position through the Investment Manager s typical four to six week rigorous due diligence process and scenario building approach and thereafter are measured and monitored per investment and on a portfolio basis. The portfolio level profits and loss is monitored daily on a realtime basis. Other Philosophies and Techniques The investment objectives and strategies summarized in this Listing Particulars represent M

60 the Investment Manager s current intentions. Nevertheless, depending on conditions and trends in securities, industries and trading markets and the economy generally, the Investment Manager may pursue any objectives or employ any philosophy or techniques that the Investment Manager considers appropriate and in the interests of the Issuer. Other than as expressly set forth herein, there are no limitations on the types of securities in which the Issuer may invest or trade, the types of positions it may take or the concentration of investments (whether by company, industry, sector, country, asset class or otherwise). Portfolio Concentration and Ongoing Monitoring of the Portfolio The Investment Manager (acting on behalf of the Issuer) will build up the Portfolio as investment opportunities that meet the Portfolio investment policies and strategies of the Issuer, as further described above, become available. The Investment Manager (acting on behalf of the Issuer) will regularly monitor and manage the allocation of assets within the Portfolio in order to formulate and carry through investment policies and strategies for the Issuer. For as long as the Issuer is required by the Irish Stock Exchange, the Portfolio will comprise obligations of five or more obligors and no single obligor will account for more than 20% of the assets, and the percentage of equity securities which are not traded on a regulated or equivalent market will not exceed 10% of the value of the Portfolio.The Investment Manager will carry out all actions it deems necessary or advisable in connection with the maintenance and administration of the Portfolio (as more particularly set out in Clause 3 of the Portfolio Management Agreement). While the Portfolio Assets will generally be acquired and maintained in a manner consistent with the description of the Portfolio as set out in this Listing Particulars, the Investment Manager (acting on behalf of the Issuer) will manage the Portfolio Assets actively and, in building up the Portfolio and in managing the Portfolio Assets over time, may substantially alter asset allocations and limits to take advantage of market opportunities as they occur. Reports The Issuer will make available its audited annual financial statements, upon the request of any of the Note Holders who have identified themselves as such and, if and to the extent required, have provided reasonable evidence to the effect that they are Note Holders. Communication of any such requests shall be made by fax or letter marked for the attention of the following party on behalf of the Issuer: Attn: The directors, 78 Sir John Rogerson s Quay, Dublin 2, Ireland, Fax Number: Mechanics of Purchase of the Portfolio Assets Acquisition Transactions The Issuer will acquire or originate an interest in the Portfolio Assets pursuant to agreements entered into from time to time with counterparties recommended by, and on terms advised by, the Investment Manager (or on its behalf). Acquisition of Portfolio Assets commenced in October Leveraged Financing The Issuer may purchase some of its securities through the use of term financing facilities provided by its broker-dealers or borrow funds from other sources using other techniques. The Issuer does not intend to leverage its investments more than one and a half times the aggregate net value of the Portfolio. This increases both the possibility of higher returns and the risk of higher losses. M

61 THE PORTFOLIO MANAGEMENT AGREEMENT The Portfolio management functions described herein are subject to the terms of, and will be performed by the Investment Manager pursuant to authority granted to the Investment Manager by the Issuer under, the Portfolio Management Agreement. The Portfolio Management Agreement provides that the Investment Manager will act on behalf of the Issuer in relation to the composition and management of the Portfolio (as defined below). Management Fee The Issuer will pay the Investment Manager a fee (the "Management Fee") as full compensation for the investment management services provided by the Investment Manager to the Issuer. The amount of the Management Fee will be (i) during the Investment Period (as defined below), 1.0% per annum of the value of Capital Commitments (as defined below), and (ii) following the end of the Investment Period, 1.0% per annum of the net asset value of the Portfolio (not taking into account liabilities of the Issuer under the Notes) valued as of the end of each month (before giving effect to any payments of Paid-Up Amounts or Interest made in any month), in each case computed before deduction of such fee and payable monthly in arrears on the last day of each calendar month. In addition, the Issuer shall also reimburse the Investment Manager for all expenses (e.g. brokerage commissions, expenses relating to short sales, clearing and settlement charges, custodial fees, bank service fees, investment related travel expenses, interest expenses and expenses related to a proposed investment that was not consummated) incurred by the Investment Manager on behalf of the Issuer in connection with the performance by the Investment Manager of its obligations under the Investment Management Agreement. Capital Commitments means the aggregate value of capital commitments received by ICE Global Credit Alpha Fund, L.P. from all investors therein and capital commitments received by ICE Global Credit Alpha Fund (Cayman), Ltd. from all of its shareholders, collectively. Investment Period means, unless such period is earlier terminated, suspended or extended in accordance the terms of the Amended and Restated Limited Partnership Agreement of ICE Global Credit Alpha Fund, L.P. dated 27 June 2012, the period beginning on 27 June 2012 and expiring on the second anniversary of that date. Allocation of Investments The Investment Manager will act in a fair and reasonable manner in allocating suitable investment and trading opportunities among the Issuer and any of its other clients (an Other Account ). In furtherance of the foregoing, the Investment Manager will consider participation by the Issuer in all appropriate opportunities within the purpose and scope of the Portfolio objectives which are under consideration for the Other Accounts and not treat any Other Account more favourably than the Issuer with respect to such opportunities. However, the Issuer acknowledges that equality of treatment cannot be assured in all situations. Bundled Commissions As the Investment Manager pays bundled commission rates and receives proprietary research from many of its executing and prime brokers, the Investment Manager may pay a broker a brokerage commission in excess of that which another broker might have charged for effecting the same transactions, in recognition of the value of the brokerage and research services provided by the broker and used by the Issuer and Other Accounts. In such circumstances, the Investment Manager will endeavour to do so in accordance with Section 28(e) of the Securities Exchange Act of Aggregation of Orders The Investment Manager may, from time to time, aggregate orders to purchase or sell securities on behalf of the Issuer with those of Other Accounts in order to facilitate execution and minimize transaction costs. The Investment Manager receives no M

62 additional compensation or remuneration for such aggregation. In such situations, the Investment Manager is authorised to place orders for the Portfolio and each such Other Account simultaneously. The Issuer and Other Accounts of the Investment Manager participate in such aggregated orders at the average share price for each completed transaction in a security with a given broker on a given business day, with transaction costs borne by each client participating in the transaction. If all such orders cannot be fully executed under prevailing market conditions, the Investment Manager will seek to allocate in an equitable manner among the Portfolio and such Other Accounts the orders that are capable of being executed, taking into account the size of the order placed for the Issuer and each such Other Account as well as any other factors which it deems relevant. Conflicts of Interest Nothing in the Portfolio Management Agreement shall restrict the ability of the Investment Manager (or any of its associated persons) to engage in any transactions for its (or their) own account and for the account of others including the purchase or sale of securities which may also be purchased or sold by the Issuer and, in connection therewith, the Investment Manager may use information which may have become known to the Investment Manager by virtue of its services thereunder; provided, however, that the Investment Manager shall not, without the consent of the Issuer, cause the Issuer to purchase any asset from or sell any asset to the Investment Manager or any of its affiliates, or sell ahead or buy ahead of the Issuer in order to obtain more favourable pricing for similar trades for its own account or for the account of others. Under the Portfolio Management Agreement the Investment Manager represents that any and all material conflicts of interest relating to the management and trading of the Portfolio involving the Investment Manager, its principals, employees and agents, have been disclosed to the Issuer, and agrees to disclose promptly to the Issuer any such conflicts of interest that may arise during the term of the Portfolio Management Agreement. The Investment Manager does not intend to act as principal in either buying securities for itself or its affiliates from the Issuer or selling securities it or its affiliates own to the Issuer. However, in the event that the Investment Manager decides to engage in any such principal transaction in the future, it will comply with Clause 3.7 of the Portfolio Management Agreement and the requirements of Section 206(3) of the Investment Advisers Act of 1940, as amended, and the rules promulgated thereunder (the Advisers Act ) and Section 25235(c) of the California Corporation Code by: (1) disclosing to the Issuer in writing the material terms of the transaction; and (2) obtaining the written consent of the Issuer. The Investment Manager shall include in such disclosure: (i) its capacity as principal; (ii) the price of the security to the Investment Manager in the case of a sale to the Issuer, or the price of the security in a resale, in the case of a purchase from the Issuer; and (iii) the best price at which the transaction could be effected by or for the Issuer elsewhere if such price is more advantageous to the Issuer than the purchase or sale with the Investment Manager. Calculation of Interest on the Notes The Investment Manager will, on the Issuer's behalf, in accordance with the Conditions, determine, or procure to be determined, each Accrual Period, (other than an Accrual Period determined pursuant to Condition 4.4 (Determination of Accrual Period and Interest Payment by the Note Holders) or Condition 7.3 (Adjustment of Paid-Up Amount Prior to Capital Call)), calculate the amount of any Interest accrued in respect of such Accrual Period, determine whether an Interest Payment is due and payable, the amount thereof, any allocation thereof required to ensure compliance by each Note Holder with all laws, regulations and rules applying to it and the Interest Payment Date, and notify the Issuer, the Trustee, the Paying Agent and the Note Holders in accordance with Condition 14 (Notices) of the results of such determination prior to the relevant Interest Payment Date. Following notice of a determination of an Accrual Period by the Note Holders in accordance with Condition 4.4 (Determination of Accrual Period and Interest Payment by the Note Holders), the Investment Manager shall calculate the amount of any Interest M

63 accrued in respect of such Accrual Period and shall notify the Issuer and the Note Holders in accordance with Condition 14 (Notices) of the results of such calculation. Termination and Resignation Automatic Termination: The Portfolio Management Agreement will be automatically terminated in the event of the repayment in full of all amounts owing under or in respect of the Notes and all other amounts owing to the Note Holders. Removal of the Investment Manager: Under the Portfolio Management Agreement, the Investment Manager may be removed without cause upon 90 days' prior written notice by the holders of at least 75 percent in aggregate Paid-Up Amounts of all the Notes and may be removed upon 30 days prior written notice by the Issuer if (i) the Investment Manager materially breaches the Portfolio Management Agreement which breach is not cured after reasonable notice, (ii) the Investment Manager becomes insolvent, (iii) the Investment Manager ceases to be qualified to so act under the Advisers Act or (iv) there is a change in law making it unlawful for the Investment Manager to perform any obligation under the Portfolio Management Agreement. Such termination shall be without payment of any penalty and shall subject to the proviso that no such termination shall take effect until a replacement Investment Manager is appointed. Resignation The Investment Manager may resign upon 30 days' written notice to the Issuer. Replacement Investment Manager No termination or resignation of its Investment Manager shall be effective unless an Eligible Successor has agreed to assume all the duties and obligations of the Investment Manager arising out of Portfolio Management Agreement in accordance with its terms and conditions. An "Eligible Successor" means an established institution that: (i) in the reasonable opinion of the Issuer has demonstrated an ability to professionally and competently perform duties similar to those imposed upon the Investment Manager and with a substantially similar (or better) level of expertise or has, within 60 days of the receipt of notice of removal or resignation of the Investment Manager, been recommended to the Issuer by the holders of at least 50 percent in aggregate Paid-Up Amounts of all the Notes; (ii) is legally qualified and has the capacity to act as successor to the Investment Manager in the assumption of all of the responsibilities, duties and obligations of the Investment Manager; (iii) will perform its duties as Investment Manager without causing adverse tax consequences to the Issuer or any holder of the Notes; and (iv) has regulatory capacity to conduct investment management business with Irish residents. Assignment Neither the Investment Manager nor the Issuer may assign its respective rights or responsibilities under the Portfolio Management Agreement without the written consent of the other. Indemnification of the Investment Manager by the Issuer Pursuant to the terms of the Portfolio Management Agreement, the Issuer will indemnify and hold the Investment Manager, its affiliates, and their respective owners, directors, officers, trustees, employees, agents and representatives (each an "Indemnified Person") harmless from and against, and shall reimburse such Indemnified Person promptly upon demand for, any and all claims, losses, costs, indebtedness, liabilities, settlements and expenses (including, without limitation, court costs, attorneys fees and expenses, costs of investigation, expert witness fees, taxes and penalties) arising out of any action or inaction of any Indemnified Person in performance of its services under the Portfolio Management Agreement; provided, that such claims, losses, costs, indebtedness, liabilities, settlements and expenses are not a result of such Indemnified Person s willful misconduct, gross negligence, fraud or criminal wrongdoing in the performance of its services, or in the execution or discharge of such Indemnified Person s M

64 duties, powers, authorities or discretions, under the Portfolio Management Agreement. No Indemnified Person shall have any liability to the Issuer for any claims, losses, costs, indebtedness, liabilities, settlements and expenses (including, without limitation, court costs, attorneys fees and expenses, costs of investigation, expert witness fees, taxes and penalties) suffered by the Issuer that arises out of any action or inaction of an Indemnified Person if such Indemnified Person s course of conduct did not constitute willful misconduct, gross negligence, fraud or criminal wrongdoing in the performance of its services, or in the execution or discharge of such Indemnified Person s duties, powers, authorities or discretions, under the Portfolio Management Agreement. Governing Law The Portfolio Management Agreement is governed by, and construed in accordance with, the laws of the State of California. M

65 PRIME BROKER AND PRIME BROKERAGE AGREEMENT Prime Broker and Custodian Credit Suisse is the prime broker (the Prime Broker ) and custodian to the Issuer. Credit Suisse, as used herein, includes any branch thereof and any of its current and future subsidiaries, parents or affiliates as the context requires. Such prime brokerage and custodial services will be provided pursuant to certain agreements (collectively, the Prime Brokerage Agreement ), including, but not limited to, a customer agreement, a prime broker annex, an arranging loan agreement, a global master securities lending agreement, and a credit annex. Under the terms of the Prime Brokerage Agreement, the Issuer s assets that are held by Credit Suisse (or an agent so selected by Credit Suisse) as custodian, the accounts of Issuer with Credit Suisse and the rights of the Issuer under any contracts entered into by the Issuer with Credit Suisse (such assets, accounts and rights, together the Collateral ), will be subject to a first priority security interest therein, a lien thereon, and a right of set-off against such assets, to secure all of the Issuer s liabilities and obligations to Credit Suisse (including obligations under derivatives contracts). The Issuer has further granted Credit Suisse the right to sell, pledge, rehypothecate, invest, use, commingle or otherwise dispose of cash, securities and other investment property to the extent permitted by law. Securities and cash held in custody pursuant to the Prime Brokerage Agreement are not entitled to the protections of the Securities Investor Protection Act of To the extent that the Collateral is insufficient to cover the Issuer s liabilities and obligations to Credit Suisse in the event of an enforcement of the security granted pursuant to the Prime Brokerage Agreement, Credit Suisse will have an unsecured claim against the remaining assets of the Issuer ranking pari passu with all other unsecured claims against the Issuer. The Prime Brokerage Agreement provides, and any other such agreement as the Issuer and Credit Suisse may enter into from time to time will provide, the terms and conditions pursuant to which securities owned by the Issuer will be held by the Prime Broker and will also provide the terms and conditions under which Credit Suisse will extend margin lending, in cash or securities, to the Issuer. The Prime Brokerage Agreement may be terminated at will by either party. The Prime Brokerage Agreement is governed by the laws of the State of New York, and is in compliance with the laws, rules and regulations of the Securities and Exchange Commission and other exchanges and associations by which the relevant Credit Suisse entity is regulated. The Issuer may at its discretion appoint other brokers and custodians. If certain assets of the Issuer are not held by Credit Suisse (or an agent so selected by Credit Suisse), such assets will be held with other reputable international creditworthy financial institutions that meet the requirements of a qualified custodian under the Advisers Act. Brokers or custodians, including Credit Suisse, have no role in investment decisions on the Issuer s behalf. The Prime Broker will be liable to the Issuer for any loss suffered by it as a result of its negligence or wilful misconduct. M

66 THE PORTFOLIO ADMINISTRATOR AND THE PROFESSIONAL SERVICES AGREEMENT Northern Trust Hedge Fund Services LLC is the Portfolio Administrator. The Portfolio Administrator provides certain services typical of a portfolio administrator and those services are set out in detail in the agreement with the Issuer (the Professional Services Agreement ). The Portfolio Administrator has no implied duties. The Portfolio Administrator may employ agents or delegate or sub-contract certain of its duties or functions pursuant to the terms and conditions of the Professional Services Agreement. The Portfolio Administrator will rely on valuations of Portfolio Assets provided by or on behalf of the Issuer, even though such valuations may vary (whether significantly or not) from those used by other affiliated or unaffiliated clients of the Portfolio Administrator or available pricing vendors. The Portfolio Administrator: (i) is not responsible for any trading decisions of the Issuer; (ii) may rely upon all information provided to it by the Issuer or its agents; (iii) is entitled to rely on instructions from the Issuer; and (iv) is not responsible for determining whether the Issuer is in compliance with the investment guidelines and restrictions set forth in this Listing Particulars, or for monitoring the terms of any side letters or similar agreements with an investor. The Professional Services Agreement does not create any contractual rights against, or right to rely upon, the Portfolio Administrator by any Note Holder. The Portfolio Administrator will not be liable to the Issuer or any of its affiliates for any and all claims, liabilities, damages, losses, costs and expenses (including amounts paid in satisfaction of judgments, in compromises and settlements, as fines and penalties and legal or other costs and expenses of investigating or defending against any claim or alleged claim) (a Claim ) due to any act or omission by the Portfolio Administrator in the performance of its responsibilities under the Professional Services Agreement; provided that the Portfolio Administrator will be liable to the Issuer and to any of its affiliates with respect to a Claim that was a direct result of or is related to an act or omission of the Portfolio Administrator in connection with the performance of its administrative duties and such act or omission constitutes gross negligence, wilful misconduct or fraud. As further explained below, in no event will the aggregate liabilities of the Portfolio Administrator for Claims arising out of its provision of administrative services to the Issuer and the Initial Note Holder (as defined below) be in excess of $6,000,000. Subject to the foregoing, the Portfolio Administrator is obligated to indemnify the Issuer against all claims that arise out of the Portfolio Administrator s performance of the services so long as the conduct of the Portfolio Administrator or its agent giving rise to such claims constitutes gross negligence, fraud or wilful misconduct and such claims or liabilities did not arise from negligence, wilful misconduct or breach of the Professional Services Agreement on the part of the Issuer. The Portfolio Administrator will not be liable to the Issuer or to any Note Holder, for any special, indirect, punitive, incidental or consequential damages. The Issuer is obligated to indemnify the Portfolio Administrator and its affiliates against all claims and liabilities that arise out of the Portfolio Administrator s performance of its obligations under the Professional Services Agreement so long as the conduct of the Portfolio Administrator or its affiliates giving rise to such claims of liabilities did not constitute negligence, wilful misconduct or breach of the agreement. The Professional Services Agreement will continue in full force and effect up to and including 31 December 2012 and thereafter it will automatically renew for additional one (1) year terms until terminated by either party in accordance with its terms. Upon termination of the Professional Services Agreement, the Portfolio Administrator shall, if a new administrator has been appointed, take all reasonably necessary step to facilitate the transfer of the provision of duties and obligations from the Portfolio Administrator to a new administrator. ICE Global Credit Alpha Fund, L.P. a limited partnership formed under the laws of the M

67 State of Delaware, the initial holder of the Notes (the Initial Note Holder ) has retained the Portfolio Administrator or its affiliate to perform certain portfolio administration functions pursuant to a professional services agreement, substantially similar in form to the Professional Services Agreement (such agreement together with the Professional Services Agreement, the Administration Agreements ). M

68 CERTAIN TAX CONSIDERATIONS General Purchasers of Notes may be required to pay stamp taxes and other charges, in accordance with the laws and practices of the country of purchase, in addition to the issue price of each Note. Potential purchasers who are in any doubt about their tax position on purchase, ownership, transfer or exercise of any Note should consult their own tax advisers. In particular, no representation is made as to the manner in which payments under the Notes would be characterised by any relevant taxing authority. Irish Taxation The following is a summary based on the laws and practices currently in force in Ireland regarding the tax position of investors beneficially owning their Notes and should be treated with appropriate caution. Particular rules may apply to certain classes of taxpayers holding Notes. The summary does not constitute tax or legal advice and the comments below are of a general nature only. Prospective investors in the Notes should consult their professional advisers on the tax implications of the purchase, holding, redemption or sale of the Notes and the receipt of interest thereon under the laws of their country of residence, citizenship or domicile. Withholding Tax In general, tax at the standard rate of income tax (currently 20 per cent.) is required to be withheld from payments of Irish source interest. However, there is an exemption from such withholding under Section 64 of the Taxes Consolidation Act, 1997 (the 1997 Act ) provided that the notes on which such payments are made are quoted on a recognised stock exchange (which would include the GEM) and are held in Euroclear and/or Clearstream, Luxembourg (or if not so held, payments on such notes are made through a paying agent not in Ireland). If this is the case, Interest Payments on the Notes can be paid by the Issuer and any paying agent acting on behalf of the Issuer without any withholding or deduction for or on account of Irish income tax. In certain circumstances, Irish tax will be required to be withheld at the standard rate from Interest Payments, where such amount is collected by a bank in Ireland on behalf of any Note Holder who is resident in Ireland. Taxation of Note Holders Notwithstanding that a Note Holder may receive interest on the Notes free of withholding tax, the Note Holder may still be liable to pay Irish income tax if such interest is regarded as having an Irish source. Interest paid on the Notes may have an Irish source and therefore be within the charge to Irish income tax and levies. Ireland operates a self assessment system in respect of income tax and any person, including a person who is neither resident nor ordinarily resident, with Irish source income comes within its scope. Stamp Duty No stamp duty or similar tax is imposed in Ireland on the issue (on the basis of an exemption provided for in Section 85(2) (c) to the Stamp Duties Consolidation Act 1999 provided the proceeds of the Notes are used in the course of the Issuer's business), transfer or redemption of the Notes. European Union Savings Directive European Union Directive on the Taxation of Savings Income (Directive 2003/48/EC) The EU member states have adopted a Savings Directive (2003/48/EC) ( Directive ), which came into effect on 1 July The Directive requires that paying agents in M

69 one member state provide to the tax authorities of another member state details of payments of interest or other similar income (including income, by way of distribution or redemption, made by or on behalf of certain investment funds) paid by them to or for the benefit of an individual resident in that other member state. (Instead of providing that information, certain states operate a withholding system in relation to payments of that kind.) The implementation of the Directive affects certain dependencies and territories of EU member states, including the Cayman Islands, which have voluntarily agreed to apply the same or equivalent measures to those contained in the Directive. In the Cayman Islands, those measures came into effect on July 1, In common with the Directive, the Cayman Islands legislation applies to interest payments made by a paying agent to an individual resident in the EU. Under the Cayman Islands legislation, interest payment includes income paid (by way of distribution or redemption) by or on behalf of certain UCITS or equivalent undertakings for collective investment established in the Cayman Islands (called a UCITS equivalent ). For the purpose of Cayman Islands legislation implementing the Directive, the Issuer is a non-ucits equivalent, and is therefore outside the scope of the Directive. Ireland has implemented the Directive into national law. Any Irish paying agent making an interest payment on behalf of the Issuer to an individual, and certain residual entities defined in the 1997 Act, resident in another EU Member State and certain associated and dependent territories of a Member State will have to provide details of the payment to the Irish Revenue Commissioners who in turn will provide such information to the competent authorities of the state or territory of residence of the individual or residual entity concerned. An investor may become a paying agent for purpose of the Directive if (a) that investor is based in the EU or certain states that have agreed to implement measures equivalent to those contained in the Directive (including Switzerland, the Channel Islands and Monaco); and (b) that investor makes an investment in the Issuer on behalf of other underlying investors who are individuals or certain unincorporated entities resident in the EU. In those circumstances, under implementing legislation in that investor s country of residence, the investor may be required to (i) obtain all relevant information relating to its underlying investors and their indirect investment in the Issuer; and (ii) make returns to the appropriate tax authorities, or withhold tax at applicable rates from any distribution made to underlying investors in respect of a payment received from the Issuer. An investor of this kind should seek tax advice from an independent tax advisor, based on its own circumstances. In November 2008 the European Commission proposed that a number of changes be made to the Directive following a report on its operation since adoption. If any of these proposed changes are adopted they are likely to broaden the scope of the Directive. M

70 SUBSCRIPTION Pursuant to a Subscription Agreement dated the Closing Date, subscription by the Initial Purchaser for USD10,000,000,000 Stated Amount of the Notes in consideration for the Subscription Amount and future Capital Amounts has been agreed with the Issuer. In addition, the Issuer has agreed to bear certain costs incurred in connection with the issue of the Notes. Selling Restrictions United States of America The Notes have not been and will not be registered under the Securities Act and may not be offered or sold within the United States or to, or for the account or benefit of, United States persons except in certain transactions exempt from the registration requirements of the Securities Act. Terms used in this paragraph have the meanings given to them by Regulation S under the Securities Act. In addition, until 40 days after the commencement of the offering, an offer or sale of Notes within the United States by a dealer that is not participating in the offering may violate the registration requirements of the Securities Act. United Kingdom The Initial Purchaser has agreed that the Notes have been subscribed for on terms that: (a) a Note Holder is a qualified investor (within the meaning of section 86 (7) of the Financial Services and Markets Act 2000) (the FSMA ); (b) (c) (d) a Note Holder has not offered or sold and will not offer to sell any Notes except to persons who are qualified investors or otherwise in circumstances which do not require a prospectus to be made available to the public in the United Kingdom within the meaning of section 85 (1) of the FSMA; a Note Holder has only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or inducement to engage in investment activity (within the meaning of Section 21 of the FSMA) received by it in connection with the issue or sale of the Notes in circumstances in which Section 21 (1) of the FSMA does not apply to the Issuer; a Note Holder has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the Notes in, from or otherwise involving the United Kingdom. Ireland The Initial Purchaser has agreed that the Notes have been subscribed for on terms that: (a) (b) (c) a Note Holder will not place the Notes otherwise than in conformity with the provisions of the European Communities (Markets in Financial Instruments) Regulations (Nos. 1 to 3) 2007 (as amended) (the MiFID Regulations), including, without limitation, Parts 6, 7, and 12 thereof; a Note Holder will not place, or do anything in Ireland in respect of the Notes otherwise than in conformity with the provisions of the Irish Prospectus (Directive 2003/71/EC) Regulations 2005 (as amended), the Irish Companies Acts 1963 to 2012 and any rules issued under Section 51 of the Irish Investment Funds, Companies and Miscellaneous Provisions Act 2005 by the Central Bank; and a Note Holder will not place or otherwise act in Ireland in respect of the M

71 Notes, otherwise than in conformity with the provisions of the Irish Market Abuse (Directive 2003/6/EC) Regulations 2005 (as amended) and any rules issued under Section 34 of the Irish Investment Funds, Companies and Miscellaneous Provisions Act 2005 by the Central Bank. M

72 GENERAL INFORMATION 1. Listing Application has been made to the Irish Stock Exchange for the Notes to be listed on the Global Exchange Market. All expenses related to such admission will be met by the Investment Manager. 2. Consents and Authorisations The Issuer has obtained all necessary consents, approvals and authorisations in Ireland (if any) in connection with the issue of, and performance of its obligations under, the Notes. The issue of the Notes was authorised by resolutions of the board of directors of the Issuer passed on 26 June 2012 and 10 October No Significant or Material Change Save as disclosed in this Listing Particulars, there has been no material change in the financial or trading position or prospects of the Issuer since its incorporation on 21 March Since its incorporation, the Issuer has not commenced trading or established or created any accounts save as described in this Listing Particulars. 4. No Indebtedness Save as disclosed in this Listing Particulars, the Issuer has no outstanding or created but unissued loan capital, term loans, borrowings, indebtedness in the nature of borrowings or contingent liabilities, nor has the Issuer created any mortgages, charges or given any guarantees. 5. No Material Contracts Save as disclosed in this Listing Particulars, since incorporation, no material contract other than the Transaction Documents and agreements related thereto, all being contracts in the ordinary course of business, has been entered into by the Issuer. 6. No Litigation The Issuer is not involved, and has not been involved, in any governmental, legal or arbitration proceedings (including any such proceedings which are pending or threatened of which the Issuer is aware) which may have or have had since the date of its incorporation a significant effect on the Issuer's financial position or profitability. 7. ISIN Code The ISIN code of the Notes is IE00B904L Accounts So long as any Note remains outstanding, copies of the most recent annual audited financial statements of the Issuer, when published, can be obtained at the specified offices of the Paying Agent during normal business hours. The first financial statements of the Issuer will be in respect of the period from incorporation (21 March 2012) to 31 December Documents Available For so long as any Notes remain outstanding, copies of the following documents may be inspected in physical form at the registered office of the Issuer and at the specified offices of the Issuer and the Paying Agent during usual business hours on any day (Saturdays, Sundays and public holidays excepted): (a) the Memorandum and Articles of Association of the Issuer; M

73 (b) (c) (d) (e) (f) (g) (h) (i) (j) the Trust Deed; the Subscription Agreement; the Portfolio Management Agreement; the Professional Services Agreement; the Prime Brokerage Agreement; the Paying Agency Agreement; the ISDA Agreements and form of Confirmation; the Corporate Services Agreement; and any future information memoranda, prospectuses, listing particulars and supplements. 10. The Issuer does not intend to provide post-issuance information on the Notes or on the Portfolio Assets. M

74 THE ISSUER ICE Global Credit Alpha Master Fund Limited 78 Sir John Rogerson s Quay Dublin 2 Ireland TRUSTEE Wilmington Trust SP Services (Dublin) Limited 1 st Floor, 7 Exchange Place IFSC Dublin 1 Ireland INVESTMENT MANAGER ICE Canyon LLC 2000 Avenue of the Stars 11 th Floor, Los Angeles, CA 90067, USA PORTFOLIO ADMINISTRATOR Northern Trust Hedge Fund Services LLC 50 South LaSalle Street LQ-9 Chicago, IL USA PAYING AGENT State Street (Jersey) Limited 22 Grenville Street St Helier Jersey JE4 8PX LEGAL ADVISORS To the Issuer as to Irish law A&L Goodbody Solicitors International Financial Services Centre North Wall Quay Dublin 1 Ireland To the Investment Manager as to U.S. law Sidley Austin LLP 555 West 5 th Street Suite 4000 Los Angeles, California USA To the Trustee as to Irish law Walkers Ireland The Anchorage 17/19 Sir John Rogerson s Quay Dublin 2 Ireland AUDITORS TO THE ISSUER Deloitte & Touche Earlsfort Terrace Dublin 2 Ireland LISTING AGENT A & L Listing Limited International Financial Services Centre North Wall Quay Dublin 1 Ireland CORPORATE SERVICES PROVIDER State Street Administration Services (Ireland) Limited 78 Sir John Rogerson s Quay Dublin 2 Ireland M