ICE GLOBAL CREDIT (DCAM) FUND LIMITED

Transcription

1 ICE GLOBAL CREDIT (DCAM) FUND LIMITED (incorporated with limited liability in Ireland with registration number ) USD 2,000,000,000 Asset Backed Pass Through Notes due 30 July 2045 On 3 September 2014 (the "Closing Date") ICE Global Credit (DCAM) Fund Limited (the "Issuer") will issue USD 2,000,000,000 Asset Backed Pass Through Notes due 30 July 2045 (the "Notes"). The Notes will be constituted by and issued pursuant to a trust deed (the "Trust Deed") dated the Closing Date between the Issuer and BNY Mellon Corporate Trustee Services Limited (the "Trustee"). The terms and conditions of the Notes (the "Conditions") are set out herein under "Terms and Conditions of the Notes". The Notes will be partly paid on issue in the amount of USD 180,000,000. Note Holders may, but will not be obliged to, make further instalment payments on the Notes from time to time subject to the maximum Stated Amount of USD 2,000,000,000. The Notes will constitute direct, unsecured, unconditional and subordinated obligations of the Issuer. Interest (if any) on the Notes will accrue in respect of, and throughout each Accrual Period. As further described herein, Interest will be dependent on the performance of the Portfolio of the Asset Level Issuer. Accrued Interest will be added to the Paid-Up Amount of the Notes and will not be paid out, while losses on the Portfolio may result in reduction of the Paid-up Amount of the Notes. Note Holders may redeem their notes as set out in the Conditions. Payment of Redemption Amounts, at maturity or otherwise, with respect to the Notes will depend on payments received by the Issuer in respect of the Asset Level Notes (indirectly via the Intermediate Fund), as more fully described herein. This Prospectus has been prepared for use only in connection with the Notes issued by the Issuer. This Prospectus is a prospectus for the purposes of Directive 2003/71/EC (the "Prospectus Directive") as amended (which includes the amendments made by Directive 2010/73/EU (the "2010 PD Amending Directive")) to the extent that such amendments have been implemented in a relevant Member State of the European Economic Area. This Prospectus has been approved by the Central Bank of Ireland (the "Central Bank"), as competent authority under the Prospectus Directive. The Central Bank only approves this Prospectus as meeting the requirements imposed under Irish and EU law pursuant to the Prospectus Directive. Such approval relates only to Notes which are to be admitted to trading on the regulated market for the purposes of Markets in Financial Instruments Directive and/or which are to be offered to the public in any Member State of the European Economic Area. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on the regulated market of the Irish Stock Exchange plc (the "Irish Stock Exchange") or other regulated markets for the purposes of Directive 2004/39/EC (the "Markets in Financial Instruments Directive"). There can be no assurance that any such listing will be obtained, or if obtained, maintained. The Notes will be issued in registered form only. The Notes will be represented on issue by a global certificate (the "Global Certificate") which will be registered in the name of a nominee for Euroclear Bank S.A./N.V. ("Euroclear") and Clearstream Banking, société anonyme ("Clearstream, Luxembourg"). A Note Holder may request that a definitive certificate (a "Definitive Certificate") be issued in respect of its Notes only in certain limited circumstances. The Notes may not be offered, sold, delivered or transferred within the United States or to U.S. Persons. In addition, all Note Holders must be both "accredited investors" within the meaning of Regulation D under the U.S. Securities Act of 1933, as amended (the "Securities Act") and "qualified purchasers" under Section 2(a)(51)(A) of the U.S. Investment Company Act of 1940, as amended (the "Investment Company Act"). (See "Sale and Purchase" below). If any withholding or deduction for or on account of tax is applicable to payments of interest or principal on the Notes, such payments will be made subject to such withholding or deduction without the Issuer being obliged to pay any additional amounts as a consequence. (See "Irish Taxation" below). Investing in the Notes involves risks - Please see "Risk Factors" beginning on page 19 to read about certain factors you should consider before buying any Notes. The date of this Prospectus is 26 August 2014

2 This Prospectus has been prepared, inter alia, for the purpose of providing information with regard to the Issuer and the Notes. The Issuer (the "Responsible Person") accepts responsibility for the information contained in this Prospectus. To the best of the knowledge and belief of the Issuer (having taken all reasonable care to ensure that such is the case) the information contained in this Prospectus is in accordance with the facts and does not omit anything likely to affect the import of such information. The Issuer has only made very limited queries with regards to the accuracy and completeness of the information under the sections entitled "Description of the Asset Level Issuer", "Description of the Intermediate Fund", the "Portfolio of the Asset Level Issuer" and the "Portfolio Manager to the Asset Level Issuer" in this Prospectus (the "Third Party Information"). The Issuer confirms that Third Party Information has been accurately reproduced and as far as the Issuer is aware and is able to ascertain from information published by the third party, no facts have been omitted which would render the Third Party Information inaccurate or misleading. Prospective investors in the Notes should not rely upon, and should make their own independent investigations and enquires in respect of, the accuracy and completeness of the Third Party Information. None of the Portfolio Manager, the Trustee, the Agents or any other party has or will have separately verified the information contained herein. Accordingly, no representation, warranty or undertaking, express or implied, is or will be made and no responsibility or liability is or will be accepted by or imposed on the Portfolio Manager, the Trustee, the Agents or any other party as to the accuracy or completeness of the information contained in this Prospectus or any other information provided by the Issuer in connection with the Notes or their distribution. The statements made in this paragraph are made without prejudice to the responsibility of the Issuer. None of the Issuer, the Portfolio Manager, the Trustee, the Agents or any other party accept responsibility to investors for the regulatory treatment of their investment in the Notes (including but not limited to whether the transaction is or will be regarded as constituting a "securitisation" for the purposes of the EU Capital Requirements Directive (Directive numbers 2006/48/EC and 2006/49/EEU, as amended, including by EU Directive 2009/111/EC) and the application of Article 122a to such transaction) in any jurisdiction or by any regulatory authority. If the regulatory treatment of an investment in the Notes is relevant to an investor's decision whether or not to invest, the investor should make its own determination as to such treatment and for this purpose seek professional advice and consult its regulator. Other than information or representations provided in writing signed by the Portfolio Manager, no person is, has been or will be authorised to give any information or to make any representation not contained in or not consistent with this Prospectus, the Portfolio Manager's form ADV, or any other information supplied in connection with the Notes and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer, the Portfolio Manager, the Trustee, the Agents or any other party. Neither this Prospectus nor any other information supplied in connection with the Notes (a) is intended to provide the basis of any credit or other evaluation or (b) should be considered as a recommendation or as constituting an invitation or offer by the Issuer, the Portfolio Manager, the Trustee, the Agents or any other party that any recipient of this Prospectus or any other information supplied in connection with the Notes, should subscribe for or purchase any Notes. Each investor contemplating purchasing any Notes should make its own independent investigation of the financial condition and affairs, and its own appraisal of the creditworthiness, of the Issuer, the Asset Level Issuer or the Intermediate Fund. (See "Risk Factors" below for a discussion of certain factors to be considered in connection with an investment in the Notes.) The delivery of this Prospectus or the offering, sale or delivery of any Notes shall not at any time or in any circumstances imply that the information contained herein or therein concerning the Issuer is correct at any time subsequent to the date hereof or thereof (as the case may be) or that any other information supplied in connection with the Notes is correct as of any time subsequent to the date indicated in the document containing the same. The Portfolio Manager, the Trustee, the Agents and the other parties expressly do not undertake to review the financial condition or affairs of the Issuer, the Intermediate Fund or the Asset Level Issuer during the life of the Notes. This Prospectus does not constitute an offer to sell, or the solicitation of an offer to buy, any Notes in any jurisdiction to any person to whom it is unlawful to make the offer or solicitation in such jurisdiction. The distribution of this Prospectus and the offer or sale of Notes may be restricted by law in certain jurisdictions. The Issuer, the Portfolio Manager, the Trustee, the Agents and each other party do not and will not represent that this Prospectus may be lawfully distributed, or that the 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. In particular, no action has been or will be taken by the Issuer, the Portfolio Manager, the Trustee, the Agents or any other party which would permit a public offering of the Notes or distribution of this Prospectus in any jurisdiction where action for that purpose is required. Accordingly, the Notes may not be offered or sold, directly or indirectly, and neither this Prospectus nor any advertisement or other offering material may be distributed or published in any jurisdiction, except under circumstances that will result in compliance with any applicable laws and regulations. 1

3 Persons into whose possession this Prospectus or Notes come must inform themselves about, and observe, any such restrictions. In particular, there are restrictions on the distribution of this Prospectus and the offer or sale of Notes in the United States (or to or for the account or benefit of U.S. Persons) and the European Economic Area (See "Sale and Purchase" and "Transfer Restrictions" below). The Notes have not been, and will not be, registered under the Securities Act, as amended or the securities laws of any other jurisdiction. The Notes may not be offered, sold or delivered within the United States or to U.S. persons. See "Sale and Purchase" and "Transfer Restrictions" below). 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. All references in this Prospectus to "U.S. dollars", "USD" and "$" are to the currency of the United States of America and those to "euro" "EUR" and " " are to the currency introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty establishing the European Communities, as amended by the Treaty on European Union and the Treaty of Amsterdam. The language of this Prospectus is English. Any foreign language text that is included with or within this document has been included for convenience purposes only and does not form part of the Prospectus. An investment in the Notes does not have the status of a bank deposit and is not within the scope of the Deposit Protection Scheme operated by the Central Bank. The Issuer is not and will not be regulated by the Central Bank arising from the issue of the Notes. Any websites mentioned in this document do not constitute part of this Prospectus. You should rely only on the information contained in this Prospectus. The Issuer has not authorised anyone to provide you with information that is different from that contained in this Prospectus. The information in this Prospectus is only accurate as of the date hereof. LIMITED INFORMATION REGARDING THE INTERMEDIATE FUND, THE ASSET LEVEL ISSUER AND THE ASSET LEVEL NOTES This Prospectus provides only limited information with respect to the Intermediate Fund, the Asset Level Issuer and the Asset Level Notes. None of the Portfolio Manager, the Trustee, any Agent, any other party, any affiliate (as defined in the Securities Act) of such person, or any other person, takes any responsibility for the information included in, or excluded from, this Prospectus in respect of the financial condition, creditworthiness or other factors relating to the Intermediate Fund, the Asset Level Issuer or any of their subsidiaries or affiliates, or with respect to the Asset Level Notes. Prospective purchasers of Notes therefore should consider carefully, and bear the burden of independently investigating, the condition of the Intermediate Fund, the Asset Level Issuer and the Asset Level Notes. Any and all information contained in this Prospectus regarding the Intermediate Fund, the Asset Level Issuer and the Asset Level Notes has been derived from the Portfolio Manager, the Intermediate Fund and the Asset Level Issuer. None of the Portfolio Manager, the Trustee, any Agent, any other party, any affiliate (as defined in the Securities Act) of such person, or any other person, takes any responsibility for the correctness, completeness, currency or sufficiency of the information contained in such sources. 2

4 REGULATORY NOTICES PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION (THE "CFTC"), THE PORTFOLIO MANAGER IS NOT REQUIRED TO REGISTER AS A COMMODITY POOL OPERATOR OR A COMMODITY TRADING ADVISOR. ITS COMMODITY POOL OPERATOR EXEMPTION IS CONDITIONED ON (I) THE ISSUER SELLING THE NOTES ONLY TO CERTAIN CLASSES OF INVESTORS RECOGNIZED UNDER U.S. FEDERAL SECURITIES AND COMMODITIES LAWS AND (II) EITHER THE AGGREGATE INITIAL MARGIN AND PREMIUMS REQUIRED TO ESTABLISH COMMODITY INTEREST POSITIONS NOT EXCEEDING FIVE PERCENT OF THE LIQUIDATION VALUE OF THE ISSUER'S PORTFOLIO OR THE AGGREGATE NET NOTIONAL VALUE OF THE ISSUER'S COMMODITY INTEREST POSITIONS NOT EXCEEDING THE LIQUIDATION VALUE OF THE ISSUER'S PORTFOLIO. BECAUSE OF THE EXEMPTION, THE PORTFOLIO MANAGER IS NOT REQUIRED TO DELIVER A DISCLOSURE DOCUMENT OR A CERTIFIED ANNUAL REPORT TO INVESTORS. THE PORTFOLIO MANAGER WILL, HOWEVER, DELIVER THIS PROSPECTUS AND THE PERIODIC AND ANNUAL REPORTS DESCRIBED HEREIN. 3

5 INVESTOR SUITABILITY INVESTMENT IN THE NOTES INVOLVES POTENTIALLY SUBSTANTIAL RISKS. EACH PROSPECTIVE INVESTOR IN THE NOTES SHOULD BE FAMILIAR WITH INSTRUMENTS HAVING CHARACTERISTICS SIMILAR TO THE NOTES AND SHOULD FULLY UNDERSTAND THE TERMS OF THE NOTES AND THE NATURE AND EXTENT OF HIS EXPOSURE TO RISK OF LOSS. THE NOTES ARE SPECULATIVE, ILLIQUID, INVOLVE SUBSTANTIAL RISK AND ARE A SUITABLE INVESTMENT ONLY FOR A LIMITED PORTION OF AN INVESTOR'S PORTFOLIO. INVESTORS COULD LOSE ALL OR SUBSTANTIALLY ALL OF THEIR INVESTMENT IN THE NOTES. NO ONE MAY INVEST IN THE NOTES WITHOUT CAREFULLY REVIEWING THIS PROSPECTUS. Before making an investment decision, prospective investors in the Notes should conduct such independent investigation and analysis regarding: (a) the Issuer, the Notes, the Asset Level Issuer and the Asset Level Notes and (b) all other relevant persons and such market, economic and any other factors as they deem appropriate to evaluate the merits and risks of an investment in the Notes. As part of such independent investigation and analysis, prospective investors in the Notes should consider carefully all the information set out in this Prospectus and the considerations set out below. Investment in the Notes is only suitable for investors who have the knowledge and experience in financial and business matters necessary to enable them to evaluate the information contained in this Prospectus and the merits and risks of an investment in such Notes in the context of the investor's own financial, tax and regulatory circumstances and investment objectives. In particular, investment in the Notes is only suitable for investors who: (a) (b) (c) (d) have the willingness to accept the risks and limited liquidity of the Notes which can only be transferred or redeemed on a limited basis; have conducted an independent investigation of the Intermediate Fund, the Asset Level Issuer and the Asset Level Notes; recognise that the Notes may decline in value, and that as a result investors may suffer substantial losses; and have access to, and knowledge of, appropriate analytical tools to evaluate the merits and risks of an investment in such Notes. The "Risk Factors" section of this Prospectus contains a summary of certain risk factors involved in an investment in the Notes and your particular attention is drawn to that section. The risk factors described in the Prospectus are not, and are not intended to be, a comprehensive list of all considerations relevant to a decision to purchase or hold any of the Notes. The Issuer may, in its discretion, refuse to arrange for the issue or sale of Notes to any prospective investor even though that investor considers that it satisfies the foregoing suitability standards. Further, each prospective investor should ensure that it fully understands the nature of the transaction into which it is entering and the nature and extent of its exposure to the risk of loss of all or a substantial part of its original investment. Each prospective investor is urged to seek independent investment, legal and tax advice concerning the consequences of investing in the Notes. Prospective investors should seek their own professional advice as to: (a) (b) (c) the legal requirements within the country of their nationality, residence of domicile for investing in the Notes; any foreign exchange restriction or exchange control requirements which they might encounter on acquisition or disposal of the Notes; and the income tax and other tax consequences which may be relevant to the acquisition, holding or disposal of the Notes. 4

6 TABLE OF CONTENTS STRUCTURE OVERVIEW... 6 TRANSACTION DIAGRAM... 7 TRANSACTION OVERVIEW... 8 RISK FACTORS THE GLOBAL CERTIFICATE TERMS AND CONDITIONS OF THE NOTES CLEARING AND SETTLEMENT ARRANGEMENTS USE OF PROCEEDS DESCRIPTION OF THE ISSUER DESCRIPTION OF THE INTERMEDIATE FUND DESCRIPTION OF THE ASSET LEVEL ISSUER SUMMARY OF THE PRINCIPAL DOCUMENTS ALLOCATION OF PROFITS AND LOSSES AND FUNDS FOR REDEMPTION OF THE NOTES THE PORTFOLIO OF THE ASSET LEVEL ISSUER THE PORTFOLIO MANAGER TO THE ASSET LEVEL ISSUER TRANSFER RESTRICTIONS CERTAIN TAX CONSIDERATIONS SALE AND PURCHASE GENERAL INFORMATION ANNEX

7 STRUCTURE OVERVIEW This overview must be read as an introduction to this Prospectus and any decision to invest in any Notes should be based on a consideration of this Prospectus as a whole. The following overview does not purport to be complete and is taken from, and is qualified in its entirety by, the remainder of this Prospectus. ICE Global Credit (DCAM) Fund Limited (the "Issuer") will issue USD 2,000,000,000 in stated amount of notes (the "Notes"). The Notes will be partly paid on issue. The proceeds of the Notes will be used to acquire a diversified portfolio (the "Portfolio") of credit assets consisting principally of bonds, loan obligations and participations in loan obligations (the "Portfolio Assets"). The Portfolio Assets may be performing and nonperforming and will be acquired in accordance with the investment principles set out under Description of the Portfolio Assets below. The Portfolio will be actively managed by ICE Canyon LLC. The Issuer will not acquire the Portfolio directly. The Issuer will instead apply the proceeds of the issue of the Notes to acquire limited partnership interests in ICE Global Credit (DCAM) Holdings L.P. (the "Intermediate Fund"), a Cayman Islands exempted limited partnership (the "Limited Partnership Interests"). In turn, the General Partner of the Intermediate Fund will apply the funds provided by the Issuer to subscribe for asset backed notes (the "Asset Level Notes") to be issued by ICE Global Credit (DCAM) Master Fund Limited (the "Asset Level Issuer"). The Asset Level Issuer will apply the proceeds of the issue of the Asset Level Notes in acquiring the Portfolio Assets (or in discharge of liability incurred to finance the acquisition of the Portfolio Assets) and to pay any legal or professional fees and expenses. The structure of the transaction is illustrated in the structure chart on the following page. Full descriptions of the Intermediate Fund and the Asset Level Issuer are set out below under Description of the Intermediate Fund and Description of the Asset Level Issuer respectively. In managing the Portfolio, the Portfolio Manager will act in accordance with the investment policies and restrictions as described under Description of the Portfolio Assets below. The return on the Notes will be based on the performance of the Portfolio. As more fully described under "Allocation of Profits and Losses and Funds for Redemptions on the Notes" below, gains and losses on the Portfolio will be reflected in the return on the Asset Level Notes. Returns on the Asset Level Notes will flow directly to the Intermediate Fund. This return will then be distributed to the Issuer through returns on the Limited Partnership Interests as detailed in Terms and Conditions of the Notes below. The purpose of this structure is to allow incentive based fees to be paid to the Portfolio Manager by way of an incentive allocation to the General Partner of the Intermediate Fund, an affiliate of the Portfolio Manager. As described in more detail in Terms and Conditions of the Notes below, the General Partner will maintain accounts (the "Capital Accounts") tracking investments made in the Limited Partnership Interests by the Issuer and returns due to the Issuer and the holders of the Notes. In addition, under the Limited Partnership Agreement the Intermediate Fund will be responsible for paying expenses of the Issuer on behalf of the Issuer. As described more fully in Terms and Conditions of the Notes below, interest on the Notes will be added to the principal amount of the Notes. Note Holders will gain access to return on the Notes by way of a redemption of principal amount, as more fully described under Terms and Conditions of the Notes below. 6

8 TRANSACTION DIAGRAM NOTE HOLDERS Paid Up Amounts Asset Backed Pass - Through Notes Note Trustee ICE Global Credit (DCAM) GP Co., LLC ICE Global Credit (DCAM) Fund Limited Limited Partner Capital Contributions Limited Partnership Interests General Partner ICE Global Credit (DCAM) Holdings, L.P. ICE Canyon LLC Paid Up Amounts Asset Backed Notes Portfolio Manager ICE Global Credit (DCAM) Master Fund Limited PORTFOLIO ASSETS 7

9 TRANSACTION OVERVIEW This overview must be read as an introduction to this Prospectus and any decision to invest in any Notes should be based on a consideration of this Prospectus as a whole. The following overview does not purport to be complete and is taken from, and is qualified in its entirety by, the remainder of this Prospectus. THE ISSUER The Issuer ICE Global Credit (DCAM) Fund Limited (the "Issuer") is a private company with limited liability incorporated under the laws of Ireland on 27 May 2014 with registered number and having its registered office at Office G03, Fitzwilliam Business Centre, 77 Sir John Rogerson's Quay, Dublin 2. DESCRIPTION OF THE NOTES The Issuer is a special purpose vehicle incorporated for, amongst other things, the purpose of raising finance through the issuance of the Notes to fund directly the acquisition of the Limited Partnership Interests in the Intermediate Fund (as defined below) and ultimately, by way of the purchase by the Intermediate Fund of the Asset Level Notes (as defined below), the investment by the Issuer in a diversified portfolio of global credit assets. The Asset Level Issuer will borrow 100% of the net funds available from the Intermediate Fund in exchange for a note issued by the Asset Level Issuer. The Intermediate Fund will receive all of the net income, less fees, expenses and losses of the Asset Level Issuer as a return on the Asset Level Notes. (see "the Intermediate Fund", the "Asset Level Issuer" and "the Asset Level Notes" below) The Notes will give the Holders of the Notes economic exposure to the performance of the Portfolio (as defined below) of the Asset Level Issuer. Other information about the Issuer is set out under "Description of the Issuer" below. The Notes: Plan of Distribution: On 3 September 2014 (the "Closing Date") the Issuer will issue its USD 2,000,000,000 Asset Backed Pass Through Notes due 30 July 2045 (the "Notes"). The Notes will be subject to the terms and conditions of the Notes set out in the Trust Deed (the "Conditions"). (See "Terms and Conditions of the Notes"). The Notes are only offered to persons who are: (i) not US persons for US tax or securities law purposes; (ii) "accredited investors" within the meaning of Regulation D under the U.S. Securities Act of 1933, as amended (the "Securities Act"); and (iii) "qualified purchasers" under Section 2(a)(51)(A) of the U.S. Investment Company Act of 1940, as amended (the "Investment Company Act"). The Issuer has the right to reject any or all subscriptions for the Notes in whole or in part. The Notes may not be purchased or held by (i) an employee benefit plan as described in Section 3(3) of the Employee Retirement Income Security Act of 1974, as amended ( ERISA ), and subject to Title I of ERISA, (ii) a plan as defined in and subject to Section 4975 of the US Internal Revenue Code of 1986, as amended (the Code ), (iii) an entity whose assets are treated as assets of any such plan by reason of such employee benefit plan s or plan s investment in the entity, (iv) a benefit plan investor as such term is otherwise defined in Section 3(42) of ERISA, or (v) a governmental, church, non-us or other plan which is 8

10 subject to any federal, state, local or non-us law that is substantially similar to the provisions of Title I of ERISA or Section 4975 of the Code, if its acquisition, holding or disposition of a Note would constitute or result in a non-exempt violation under any such substantially similar law. Form of the Notes: The Notes will be issued in registered form only. The Notes will be represented on issue by a global certificate (the "Global Certificate") which will be registered in the name of a nominee for Euroclear Bank S.A./N.V. ("Euroclear") and Clearstream Banking, société anonyme ("Clearstream, Luxembourg"). A Note Holder may request that a definitive certificate (a "Definitive Certificate") be issued in respect of its Notes only in certain limited circumstances. Interests in a Global Certificate will be exchangeable (free of charge), in whole but not in part, for Definitive Certificates without interest coupons or talons attached only upon the occurrence of an Exchange Event. "Exchange Event" means that the Issuer has been notified that both Euroclear and Clearstream, Luxembourg have been closed for business for a continuous period of 14 days (other than by reason of holiday, statutory or otherwise) or have announced an intention permanently to cease business or have in fact done so and, in any such case, no successor clearing system is available. The Issuer will promptly give notice to the Note Holders in accordance with Condition 1.1 of the Conditions if an Exchange Event occurs and Euroclear and/or Clearstream, Luxembourg (acting on the instructions of any holder of an interest in such Global Certificate) may give notice to the Registrar requesting exchange of a Global Certificate for a Definitive Certificate. Any such exchange shall occur not later than 10 days after the date of receipt of the first relevant notice by the Registrar. Stated Amount of the Notes: The Stated Amount of the Notes is USD 2,000,000,000 (the "Stated Amount"). Paid-Up Amount of the Notes: The Notes will be issued on a partly-paid basis. On the Closing Date the Initial Purchasers will subscribe for an amount (the "Subscription Amount") that is less than the Stated Amount. Payment of such Subscription Amount will be notified by the Issuer to (a) in accordance with the terms of the Agency Agreement, the Trustee, the Paying Agent and the Registrar, who will record details of the aggregate of such Subscription Amounts on the Register (and, where a Definitive Certificate is issued, the details of the relevant Subscription Amount on the Definitive Certificate) and (b) the General Partner (as defined below), in accordance with the terms of the Limited Partnership Agreement, who will record details of Subscription Amounts on the Capital Accounts of the Note Holders. The "Paid Up Amount" of a Note at any time is (x) the sum of (i) the Subscription Amount, (ii) all Principal Borrowings paid on the note at that time and (iii) all amounts of Interest added to the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date less (y) all Redemption Amounts and all amounts of negative amounts of Interest deducted from the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date. "Register" means the register in respect of the Notes maintained by the Registrar in accordance with the terms of the Agency Agreement and the Conditions. Principal Borrowing: For the purpose of funding a borrowing request in respect of the Asset Level Issuer, to be funded by any or all of the Note Holders by way of payment to the Issuer of an additional instalment on their Note (a "Principal Borrowing"), the Issuer may send a borrowing request (a "Borrowing Request") to any or all of the Note Holders. A Note Holder will not be required to pay any additional instalment on its Note following receipt of a Borrowing Request and a failure to make such a payment will not constitute a default by that Note Holder. 9

11 If a Borrowing request is sent by the Issuer to more than one Note Holder and the aggregate of the amounts received by the Issuer from the Note Holders in respect of that Borrowing Request exceeds the corresponding borrowing request in respect of the Asset Level Issuer, the Issuer shall allocate such amounts received by it in respect of that Borrowing Request among the Note Holders in accordance with the Relevant Proportion at that time, or in such other proportion as may be agreed between the Issuer and all of the Note Holders, and any surplus amounts will be returned to the relevant Note Holders. Any amounts received by the Issuer from a Note Holder that are in response to a Borrowing Request will constitute a Principal Borrowing and the Issuer will, within 3 Business Days of receipt, pay such Principal Borrowings to the Intermediate Fund. The Issuer may make a Borrowing Request on more than one occasion provided that each such Borrowing Request is for a minimum amount of USD 200,000 on the date that the Borrowing Request is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed aggregate Principal Borrowing, does not exceed the Stated Amount. Status of the Notes: Ranking of the Notes: Limited Recourse: Use of Proceeds: The Notes constitute direct, unsecured, unconditional and subordinated obligations of the Issuer. The Notes 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 5.5. (Redemption Amount), after payments in respect of the Senior Obligations. The initial net proceeds from the issuance of the Notes is USD 180,000,000 being the amount of the Subscription Amount (the "Initial Proceeds"). The Issuer may raise up to the USD 2,000,000,000 Stated Amount of the Notes provided that the Note Holders make additional instalment payments on the Notes by way of Principal Borrowings in accordance with Condition 10 (Principal Borrowings) (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 (i) acquire the Asset Level Notes issued by the Asset Level Issuer, by way of the Intermediate Fund and (ii) to pay the Profit Reserve Amount and any legal or professional fees and expenses of the Issuer in connection with the issue of the Notes. The Asset Level Issuer will use the proceeds of the Asset Level Notes to acquire Portfolio Assets (see "Use of Proceeds"). The Issuer, the Intermediate Fund and the Asset Level Issuer may be referred to collectively as the "Investment Complex". Interest: The return on each Note (the "Interest") in respect of any Accrual Period (as defined below) will be an amount that is the Relevant Proportion, measured as at the first day of that Accrual Period, of the Available Amount, adjusted, if applicable, to take account of the following: (a) Designated Investments: a Note Holder will only be entitled to share in the return on any Designated Investment if, and to the extent that, the 10

12 proceeds of the Paid-Up Amount of the Note Holder's Notes were used by the Asset Level Issuer (by way of the Intermediate Fund) to acquire an interest in the Designated Investment and accordingly, in respect of a Note Holder, the Relevant Proportion of the Available Amount will, if applicable, be increased or decreased to reflect such interest; and (b) Incentive Allocation: in respect of a Note Holder, the Relevant Proportion of the Available Amount shall, if applicable, be increased or decreased to reflect the allocation among the Note Holders of the Incentive Allocation in accordance with the Limited Partnership Agreement and as summarised in Condition 7 (Intermediate Fund Capital Accounts). Interest, if any, on each Note will accrue in respect of, and throughout, each Accrual Period. If the Interest on a Note in respect of an Accrual Period is: (a) (b) a positive amount, the Paid-Up Amount of the Note will be increased by that amount; or a negative amount, the Paid-Up Amount of the Note will be decreased by that amount, and in each case the increase or decrease of the Paid-Up Amount under Condition 4.2 (Accrual Period and Interest) will be effective as of the Accrual Date for that Accrual Period. If the Interest on a Note in respect of an Accrual Period is zero, no adjustment will be made to the Paid-Up Amount of the Note in respect of that Accrual Period. Interest will be reflected in an adjustment to the Paid-Up Amount of the Notes and will not be paid or payable (other than in connection with a permitted redemption or on the Maturity Date). The Portfolio Manager will, on the Issuer's behalf, calculate the amount of any Interest accrued on each Note in respect of an Accrual Period and notify the Issuer, the Trustee, the Paying Agent, the Registrar and the Note Holders in accordance with Condition 16 (Notices to the Note Holders) of the results of such determination as such as reasonably practicable following the end of an Accrual Period. See "Terms and Conditions of the Notes Interest". "Accrual Date" means the last day of each Financial Year, each Redemption Date and the day immediately preceding each Principal Borrowing Date. "Accrual Period" means the period from and excluding an Accrual Date to and including the next following Accrual Date, and, in the case of the first accrual period, means the period from and including the Closing Date to and including the next following Accrual Date (the "First Accrual Period"). "Available Amount" means an amount equal to all income and gains (including deemed gains) arising from, earned by or attributed to the Issuer from or in respect, of the Limited Partnership Interests or related arrangements, for the Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Asset 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) accrued or attributable to the Issuer in that Accrual Period and which are allowable as deductions for Irish tax purposes and (ii) the Profit Reserve Amount (as defined below) for that Accrual Period. "Business Day" means a day on which commercial banks and foreign exchange markets are open in the place of presentation. 11

13 "Closing Date" means the date of issue of the Notes. "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 17 May 2014 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 provided that a profit is made by the Issuer. "Relevant Proportion" means, in respect of a Note, the proportion that the Paid- Up Amount of that Note bears to the aggregate Paid-Up Amount of all outstanding Notes. Maturity: Unless previously redeemed, each Note will be redeemed on 30 July 2045 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 of the Note, increased or decreased to the extent that the amount of the Interest accrued on the Note for the relevant Accrual Period is a positive amount or a negative amount respectively determined as set out in Condition 5.5, (the "Redemption Amount") provided, however, that: (a) (b) if the assets of the Issuer represented by the Portfolio and the balance standing to the credit of an the Transaction Account (the "Net Recourse Assets") on such date are less than the aggregate of all Redemption Amounts, the Redemption Amount of each Note will be deemed reduced to an amount equal to the Relevant Proportion, measured as of the Redemption Date, or, in respect of a Final Redemption, the Maturity Date, of the Net Recourse Assets and any claims of Note Holders otherwise outstanding will be extinguished; and no Redemption Amount shall include any amount referable to a Designated Investment except to the extent that: (i) (ii) the proceeds of the Paid-Up Amount of the relevant Note Holder's Notes were used by the Asset Level Issuer (by way of the Intermediate Fund) to acquire an interest in the Designated Investment; the Designated Investment has been liquidated or deemed liquidated and for the purposes of determining entitlement to returns on Designated Investments, the records of the Intermediate Fund will be conclusive, absent manifest error; and (c) where a Note is redeemed in part, it will be redeemed at the Redemption Amount attributable to such part of such Note, adjusted, if applicable, to exclude amount attributable to Designated Investments (the "Partial Redemption Amount"), provided that the Partial Redemption Amount will be appropriately reduced in the event that the value of the Net Recourse Assets on the Quarterly Redemption Date is less than the aggregate of the Paid-Up Amounts of the Notes. Optional Redemption: Subject to the provisions of Condition 5.6 (Redemption Limits) and the Minimum Denomination of the Notes, the Issuer may, having given not less than 15 days' notice to the Trustee, the Paying Agent, the Registrar and the relevant Note Holders in accordance with Condition 16 (Notices to Note Holders) (which notice will be irrevocable), redeem such Notes in whole or in part as it determines is 12

14 reasonably necessary or appropriate to address any regulatory, tax, legal or antimoney laundering issues affecting it. Subject to customary restrictions, a Note Holder may generally redeem its Note, in whole or in part, only as of the last day of each quarter (each, a "Redemption Date") by providing prior written notice of that redemption to the Administrator, the Paying Agent and the Trustee no later than the last day of the prior quarter in accordance with the provisions of Condition 5 (Redemption and Purchase). A Majority of Note Holders (as defined in Condition 5.4 (Redemption at the option of the Note Holders)) may require the Issuer to redeem the Notes (in full only) following the occurrence of a Key Person Event (as defined in Condition 5.4 (Redemption at the option of the Note Holders)) in accordance with the provisions as defined in Condition 5.4 (Redemption at the option of the Note Holders). Listing and Trading: Rating: Withholding Tax Issuer Transaction Documents: Governing Law: Issuer Account: Transaction Account: Application has been made to for the Notes to be admitted to the Official List and to trading on the Main Securities Market of the Irish Stock Exchange. Neither the Issuer nor the Notes will be rated. 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. For further discussion of certain other tax considerations, see "Risk Factors Tax Risks" and "Certain Tax Considerations". The Trust Deed, the Agency Agreement, the Subscription Agreement, the Portfolio Management Agreement, the Corporate Services Agreement, the Limited Partnership Agreement and the Professional Services Agreement. The Issuer Transaction Documents (other than the Limited Partnership Agreement, Portfolio Management Agreement and the Professional Services Agreement) will be governed by, and construed in accordance with, Irish law. The Limited Partnership Agreement will be governed by, and construed in accordance with, the laws of the Cayman Islands. The Portfolio Management Agreement and the Professional Services Agreement will be governed by, and construed in accordance with, the laws of the State of Delaware, United States of America. The Notes will be governed by, and construed in accordance with, Irish law. 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 Intermediate Fund) will be credited to an account (the "Transaction Account") opened with Northern Trust (the "Account Bank"). THE PARTIES The Portfolio Manager: The Trustee: The Issuer has engaged the services of ICE Canyon LLC (the "Portfolio Manager") in accordance with a portfolio management agreement dated 24 June 2014 between the Issuer and the Portfolio Manager, as amended and restated on or about 3 September 2014 (the "Portfolio Management Agreement"). The Portfolio Management Agreement is governed by the laws of the State of Delaware, United States of America. (See "Summary of the Principal Documents the Portfolio Management Agreement"). BNY Mellon Corporate Trustee Services Limited (the "Trustee"), with registered 13

15 office at One Canada Square, London E14 5AL, United Kingdom, has been appointed as trustee of the Note Holders and the other creditors pursuant to a trust deed dated on or about 3 September 2014 (the "Trust Deed"). The Trust Deed is governed by Irish law. (See "Summary of the Principal Documents the Trust Deed"). The Paying Agent: The Registrar: The Corporate Services Provider: The Bank of New York Mellon (London Branch) (the "Paying Agent"), with registered office at One Canada Square, London E14 5AL, United Kingdom has been appointed as paying agent with respect to the Notes pursuant to an agency agreement dated on or about 3 September 2014 (the "Agency Agreement"). The Agency Agreement is governed by Irish law. (See "Summary of the Principal Documents the Agency Agreement"). The Bank of New York Mellon (Luxembourg) S.A. (the "Registrar" and together with the Paying Agent, the "Agents"), with registered office at Vertigo Building Polaris, 2-4 rue Eugene Ruppert, L-2453 Luxembourg, Grand Duchy of Luxembourg, has been appointed as registrar of the Notes pursuant to the Agency Agreement. The Agency Agreement is governed by Irish law. (See "Summary of the Principal Documents the Agency Agreement"). Sanne Corporate Services (Ireland) Limited (the "Corporate Services Provider") with registered office at Office G03, Fitzwilliam Business Centre, 77 Sir John Rogerson's Quay, Dublin 1 has been appointed as corporate services provider to the Issuer pursuant to a corporate services agreement dated 25 July 2014 (the "Corporate Services Agreement"). The Corporate Services Agreement is governed by Irish law. Account Bank The Administrator: Northern Trust has been appointed as account bank to the Issuer. The Issuer has engaged Northern Trust Hedge Fund Services LLC (the "Administrator") pursuant to a joinder to a professional services agreement effective as of 1 July 2014 to perform certain administrative functions with respect to the Issuer and the Notes on the same terms and conditions as set forth in the professional services agreement entered into by ICE EM Special Situation Fund (Cayman) Ltd. and Northern Trust Hedge Fund Services LLC (formerly known as Citadel Solutions LLC and Omnium LLC) as if the Issuer was an original party to such agreement (the "Professional Services Agreement"). (See "Summary of the Principal Documents the Professional Services Agreement"). The Initial Purchasers: Pursuant to subscription agreements (the "Subscription Agreements") dated 3 July 2014 between the Issuer and each initial purchaser of the Notes (the "Initial Purchasers"), the Initial Purchasers agreed to subscribe for the Stated Amount of the Notes. (See "Sale and Purchase"). The Subscription Agreements provide for the submission of disputes to arbitration under the London Court of International Arbitration in London. THE INTERMEDIATE FUND: The Intermediate Fund: The Limited Partnership Agreement: ICE Global Credit (DCAM) Holdings, L.P. (the "Intermediate Fund") is a Cayman Islands exempted limited partnership. The Issuer is the limited partner and ICE Global Credit (DCAM) GP Co., LLC (the "General Partner") is the general partner. The Intermediate Fund was registered with the Registrar of Exempted Limited Partnerships in the Cayman Islands as an exempted limited partnership on 22 May It is governed by an amended and restated limited partnership agreement (the "Limited Partnership Agreement") dated on or about 3 14

16 September 2014 between the Issuer and the General Partner. The Partnership Agreement is governed by the laws of the Cayman Islands. Purpose of the Intermediate Fund: The principal purpose of the Intermediate Fund is to hold the USD 2,000,000,000 asset backed note issued by the Asset Level Issuer (the "Asset Level Notes"). Other information about the Intermediate Fund is set out under "Description of the Intermediate Fund" below. THE ASSET LEVEL ISSUER Asset Level Issuer: ICE Global Credit (DCAM) Master Fund Limited (the "Asset Level Issuer") is a private company with limited liability incorporated under the laws of Ireland on 27 May 2014 with registered number and having its registered office at Office G03, Fitzwilliam Business Centre, 77 Sir John Rogerson's Quay, Dublin 2. The Asset Level Issuer is a special purpose vehicle incorporated for, amongst other things, the purpose of raising finance through the issuing of the Asset Level Notes in connection with the acquisition of a portfolio of financial assets. The Asset Level Issuer has engaged the services of the Portfolio Manager to manage the investment and trading of the Portfolio (as defined below) in accordance with a portfolio management agreement dated 24 June 2014 between the Asset Level Issuer and the Portfolio Manager, as amended and restated on or about 3 September 2014 (the "Asset Level Portfolio Management Agreement"). Other information about the Asset Level Issuer and the Portfolio (as defined below) is set out under "Description of the Asset Level Issuer", "The Portfolio of the Asset Level Issuer" and "The Asset Level Portfolio Management Agreement" below. THE ASSET LEVEL NOTES Asset Level Notes: On the Closing Date the Asset Level Issuer will issue its USD 2,000,000,000 Asset Backed Notes due 30 July 2045 (the "Asset Level Notes"). The terms and conditions of the Asset Level Notes are set out in full in the Listing Particulars of the Asset Level Issuer in respect of the Asset Level Notes (the "Asset Level Notes Listing Particulars") which is set out in full in the Annex to this Prospectus. Pursuant to a subscription agreement dated the Closing Date between the Intermediate Fund and the Asset Level Issuer, the Intermediate Fund will subscribe for the Asset Level Notes. Asset Level Notes Stated Amount: Asset Level Notes Principal Borrowings: The stated amount of the Asset Level Notes is USD 2,000,000,000 (the "Asset Level Notes Stated Amount"). The Asset Level Issuer may from time to time make a request to the holder of the Asset Level Notes (the "Asset Level Notes Holder") to pay an additional instalment on the Asset Level Notes (an "Asset Level Notes Principal Borrowing") and any amounts received by the Asset Level Issuer from the Asset Level Notes Holder shall constitute an Asset Level Notes Principal Borrowing. The Asset Level Notes Holder may also from time to time make a request to the Asset Level Issuer to pay to the Asset Level Issuer an Asset Level Notes Principal Borrowing. The Asset Level Issuer or the Asset Level Notes Holder may make this election on more than one occasion and in a minimum amount of USD 15

17 200,000 on the date that the Asset Level Notes Principal Borrowing is made, provided that, upon such election, the sum of (x) the aggregate of the Asset Level Notes Paid-Up Amounts with respect to the Asset Level Notes and (y) the proposed aggregate Asset Level Notes Principal Borrowing, does not exceed the Asset Level Notes Stated Amount of the Asset Level Notes. Asset Level Notes Paid-Up Amount: The Asset Level Notes will be issued on a partly-paid basis. On the Closing Date, the Intermediate Fund will subscribe for an amount (the "Asset Level Notes Subscription Amount") that is less than the Asset Level Notes Stated Amount. The Asset Level Issuer shall notify BNY Mellon Corporate Trustee Services Limited as trustee of the Asset Level Notes (the "Asset Level Trustee"), The Bank of New York Mellon (London Branch) as paying agent of the Issuer in respect of the Asset Level Notes (the "Asset Level Notes Paying Agent") and The Bank of New York Mellon (Luxembourg) S.A. as registrar of the Asset Level Notes (the "Asset Level Notes Registrar") of the amount of the Asset Level Notes Subscription Amount and, in accordance with the terms of the agency agreement entered into between, inter alios, the Asset Level Issuer and the Asset Level Notes Registrar in respect of the Asset Level Notes (the "Asset Level Notes Agency Agreement"), the Asset Level Notes Registrar shall, on receipt of such notification from the Issuer, record details of the Asset Level Notes Subscription Amount on the Register. The "Asset Level Notes Paid-Up Amount" of the Asset Level Notes at any time is (x), the sum of the Asset Level Notes Subscription Amount, all Asset Level Notes Principal Borrowings from time to time paid on the Asset Level Notes and all amounts of Interest added to the Asset Level Notes Paid-Up Amount in accordance with the Condition 4 (Interest) of the Asset Level Notes Conditions less, as of the last Asset Level Notes Accrual Period, (y) all Redemption Amounts (as defined in Condition 5.3 (Redemption Amount) of the Asset Level Notes Conditions) and all amounts of negative amounts of Interest deducted from the Paid-Up Amount in accordance with Condition 4 (Interest) the Asset Level Notes Conditions as of the last Asset Level Notes Accrual Period in respect of the Asset Level Notes. "Asset Level Notes Accrual Date" means the last day of each Asset Level Issuer Financial Year (as defined below), each Redemption Date (as defined in Condition 5.3 (Optional Redemption) of the Asset Level Notes Conditions) and the day immediately preceding each Principal Borrowing Date (as defined in Condition 9.3 (Notice of Paid-Up Amounts following receipt of Principal Borrowing) of the Asset Level Notes Conditions). "Asset Level Notes Accrual Period" means the period from and excluding an Accrual Date to and including the next following Accrual Date, and, in the case of the first accrual period, means the period from and including the Closing Date to and including the next following Accrual Date. "Asset Level Notes Trust Deed" means the trust deed entered into between the Asset Level Issuer and the Asset Level Trustee in respect of the Asset Level Notes. "Asset Level Notes Register" means the register in respect of the Asset Level Notes maintained by the Asset Level Notes Registrar in accordance with the terms of the Asset Level Notes Agency Agreement and the Asset Level Notes Conditions. Form of the Asset Level Notes: The Asset Level Notes are in definitive registered form. A definitive certificate will be issued in respect of the Asset Level Notes. Asset Level Notes Use of Proceeds: The Asset Level Issuer will apply the proceeds of the issue of the Asset Level 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 16

18 acquisition of the Portfolio Assets) (see "The Portfolio of the Asset Level Issuer Description of the Portfolio Assets"). The Portfolio: The Asset Level Issuer (or the Portfolio Manager on behalf of the Asset Level Issuer) will acquire a diversified portfolio of financial assets (the "Portfolio Assets" and each a "Portfolio Asset") selected and allocated by the Portfolio Manager as further described in the section entitled "The Portfolio of the Asset Level Issuer". The Portfolio Assets will include a diversified portfolio of credit assets consisting principally of bonds, loan obligations and participations in loan obligations. The Portfolio Assets in aggregate are the "Portfolio". Interest: The Portfolio Manager intends to implement a targeted investment strategy on behalf of the Asset Level Issuer to take advantage of market dislocations and inefficiencies in the global credit markets, targeting emerging markets ("EM"). The strategy focuses 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 investment objective of the Asset Level Issuer is to generate attractive risk-adjusted returns from income, enhanced income and medium-term capital appreciation through the use of core value, event driven, special situations, distressed and arbitrage portfolio strategies. The return on the Asset Level Notes (the "Asset Level Notes Interest") in respect of any Asset Level Notes Accrual Period will be the Asset Level Notes Available Amount. Interest, if any, on the Asset Level Notes will accrue in respect of, and throughout, each Asset Level Notes Accrual Period. If the Asset Level Notes Interest on the Asset Level Notes in respect of an Asset Level Notes Accrual Period is: (a) (b) a positive amount, the Asset Level Notes Paid-Up Amount will be increased by that amount; or a negative amount, the Asset Level Notes Paid-Up Amount will be decreased by that amount, and in each case the increase or decrease of the Asset Level Notes Paid-Up Amount under Condition 4.2 (Accrual Period and Interest) of the Asset Level Notes Conditions will be effective as of the Asset Level Notes Accrual Date for that Asset Level Notes Accrual Period. If the Asset Level Notes Interest on the Asset Level Notes in respect of an Asset Level Notes Accrual Period is zero, no adjustment will be made to the Asset Level Notes Paid-Up Amount in respect of that Asset Level Notes Accrual Period. The Asset Level Notes Interest will be reflected in an adjustment to the Asset Level Notes Paid-Up Amount and will not be paid or payable (other than in connection with a permitted redemption or on the Asset Level Notes Maturity Date). "Asset Level Notes Available Amount" means an amount equal to all income and gains (including deemed gains) arising from, earned by or attributed to the Issuer from or in respect, of the Portfolio Assets or related arrangements, for the Asset Level Notes Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Assets or related arrangements, for the Asset Level Notes Accrual Period or for prior Asset Level Notes 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) accrued or 17

19 attributable to the Issuer in that Asset Level Notes Accrual Period and which are allowable as deductions for Irish tax purposes and (ii) the Asset Level Notes Profit Reserve Amount (as defined below) for that Asset Level Notes Accrual Period. Final Maturity: Listing: Governing Law: Rating: Asset Level Issuer 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 27 May 2014 to and including 31 December Asset Level Notes Profit Reserve Amount means 4,000, or such other amount as may be agreed between the Asset Level Issuer and the Asset Level Notes Holder from time to time, for each Financial Year, provided that a profit was made by the Asset Level Issuer. The Asset Level Notes will mature on 30 July 2045 or, if such day is not a Business Day, the immediately following Business Day (the "Asset Level Notes Maturity Date"). If, on such date the proceeds of the net assets of the Asset Level Issuer available for distribution in accordance with the Asset Level Notes Conditions is less than the Asset Level Notes Paid-Up Amount of the Asset Level Notes together with all Asset Level Notes Interest accrued but unpaid thereon (the "Asset Level Notes Final Redemption Amount"), the Asset Level Notes Final Redemption Amount will be reduced to an amount equal to the amount of the net assets of the Asset Level Issuer. Any remaining claims of the Asset Level Notes Holder in respect of the Asset Level Notes will be extinguished. Application has been made to the Irish Stock Exchange for the Asset Level Notes to be admitted to the Official List and to trading on the Global Exchange Market of the Irish Stock Exchange. The Asset Level Notes Listing Particulars is set out in full in the annex to this Prospectus. The Asset Level Notes are governed by Irish law. Neither the Asset Level Issuer nor the Asset Level Notes will be rated. 18

20 RISK FACTORS The purchase of Notes is speculative and may involve substantial risks and is suitable only for investors who have the knowledge and experience in financial and business matters necessary to enable them to evaluate the risks and the merits of an investment in the Notes. Notes are not principal protected and purchasers of Notes are exposed to the risk of full loss of principal. The Issuer believes that the following factors may be relevant to it and its business. All of these factors are contingencies which may or may not occur and the Issuer is not in a position to express a view on the likelihood of any such contingency occurring. The Issuer believes that the factors described below represent the principal risks inherent in investing in Notes, but the inability of the Issuer to pay interest, principal or other amounts on or in connection with any Notes may occur for other reasons which may not be considered significant risks by the Issuer based on information currently available to it or which it may not currently be able to anticipate. Prospective investors should also read the detailed information set out elsewhere in this Prospectus and the Listing Particulars relating to the Asset Level Notes and, in the light of their own financial circumstances and investment objectives, reach their own views prior to making any investment decision. GENERAL RISKS No assurance of successful investments; need for investors to review entire Prospectus It is intended that the Issuer will invest in loans, securities and other financial assets with certain risk characteristics as described below and subject to the investment policies, restrictions and guidelines described in Description of the Portfolio Assets below. There can be no assurance that the Issuer s investments will be successful, that its investment objectives will be achieved, 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 Prospectus carefully and should consider, among other things, the factors set out below before deciding whether to invest in the Notes. None of the Portfolio Manager, the Agents or the Trustee undertakes to review the financial condition or affairs of the Issuer during the life of the arrangements contemplated by this Prospectus nor to advise any investor or potential investor in the Notes of any information coming to the attention of the Managers, the Portfolio Manager, the Agents or the Trustee which is not included in this Prospectus. Suitability Prospective purchasers of the Notes should ensure that they understand the nature of the 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, regulatory treatment 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 light of their own circumstances and financial condition. No Operating History; Past Performance The Issuer, the Asset Level Issuer and the Intermediate Fund have no operating history, and the past performance of the other funds or accounts managed by the Portfolio Manager may not be representative of the prospects for the Issuer. The markets in which the Issuer (through the Intermediate Fund and the Asset Level Issuer) intends to operate 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. Performance information and reports of the Portfolio Manager's investment results are available from the Portfolio Manager upon request. The past performance of any funds or accounts managed by the Portfolio Manager is not necessarily indicative of future results of the Issuer, the Asset Level Issuer and the Intermediate Fund. Possibility of Losses An investment in the Notes is speculative and is suitable only for persons who have limited need for liquidity of their investment and no need for regular current income. 19

21 RISKS RELATING TO THE ISSUER Issuer is a special purpose entity The Issuer is a special purpose entity with no employees and is therefore dependent on third parties to carry out on its behalf, inter alia, administrative functions and actions relating to the Notes. These third parties include the Portfolio Manager, the Agents and the Corporate Services Provider. Failure of any of these third parties to discharge their functions on behalf of the Issuer could adversely affect the interests of the Note Holders. Absence of Certain Regulatory Protection Since the Issuer is not required to be registered as an investment company, certain protections of the Investment Company Act will not be available to the Issuer or the Note Holders. In addition, because the Issuer is exempt from registration with the CFTC as a commodity pool operator and as a commodity trading advisor, Note Holders will not have the benefit of CFTC regulatory oversight. Notwithstanding the foregoing, the recently enacted Reform Act imposes burdensome reporting and recordkeeping requirements on the Issuer. The Issuer intends to trade with dealers who will undertake to fulfil the Issuer's Reform Act mandated reporting requirements. The costs associated with such compliance may result in certain investment strategies in which the Issuer engages or may have otherwise engaged becoming non-viable or non-economic to implement. Registration as an investment advisor does not imply a certain level of skill or training. Ability of the Issuer to meet its obligations The Issuer's ability to meet its obligations in respect of its operating expenses and its administrative expenses is wholly dependent upon distributions received by the Intermediate Fund in respect of the Asset Level Notes, which in turn depends on the performance of the Portfolio. Investing through the Asset Level Issuer The Issuer does not intend to trade directly, but rather through investing (indirectly via the Intermediate Fund) in an asset backed note issued by the Asset Level Issuer. Although operating in this manner rather than investing directly should not, in general, have any adverse effect on the Issuer, it is possible that the fact that the Issuer invests in the Asset Level Issuer through a Cayman Islands exempted limited partnership could be disadvantageous to investors. In addition, the treatment of certain taxes, such as U.S. withholding taxes on dividends (which may be a component of the Issuer's income), may be different as a result of this structure. Alternative Investment Fund Managers Directive The Issuer does not believe that it is an alternative investment fund for the purposes of the European Union Alternative Investment Fund Managers Directive. If there is a change in regulation which would require the Issuer to register as an alternative investment fund, this could expose the Portfolio Manager and/or the Issuer to conflicting regulatory requirements in the United States, Cayman Islands and the EU and its member states. Examinership Examinership 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 Issuer's directors, 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 this appointment and, in certain circumstances, can avoid a negative pledge given by the company prior to this appointment. During the period of protection, the examiner will compile proposals for a compromise or scheme of arrangement to assist in 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 Irish High Court when at least one class of creditors has voted in favour of the proposals and the Irish High Court is satisfied that such proposals are fair and equitable in relation to any class of members or creditors who have not accepted the proposals and whose interests would be impaired by implementation of the scheme of arrangement. 20

22 The primary risks to the Note Holders if an examiner were appointed to the Issuer are as follows: (a) the potential for a scheme of arrangement being approved involving the writing down of the debt due by the Issuer to the Note Holders; (b) the potential for the examiner to seek to set aside any negative pledge in the Notes prohibiting the creation of security or the incurring of borrowings by the Issuer to enable the examiner to borrow to fund the Issuer during the protection period; and (c) 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 Irish 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 each of the creditors under the Notes or the Issuer Transaction Documents. Preferred Creditors under Irish Law Under Irish law, upon an insolvency of an Irish company such as the Issuer, when applying the proceeds of assets, the claims of a limited category of preferential creditors will take priority over the claims of both secured and unsecured creditors. These preferred claims include the remuneration, costs and expenses properly incurred by any examiner of the company (which may include any borrowings made by an examiner to fund the company's requirements for the duration of his appointment) which have been approved by the Irish courts. (See "Examinership" above.) RISKS RELATING TO THE NOTES Limited Resources of the Issuer; ability of the Issuer to meet its obligations under the Notes The Notes will be limited recourse obligations of the Issuer and amounts due on the Notes will be payable solely from payments the Issuer is entitled to receive from the Intermediate Fund in respect of the Asset Level Notes, which in turn depends on the performance of the Portfolio. The Issuer will not have any other funds available to it to meet its obligations under the Notes or any other obligations ranking in priority to, or pari passu with, the Notes. The Issuer's ability to meet its obligations in respect of its operating expenses and its administrative expenses is wholly dependent upon distributions received by the Intermediate Fund in respect of the Asset Level Notes, which in turn depends on the performance of the Portfolio. There can be no assurance that the payments that the Issuer receives from the Intermediate Fund in respect of the Asset Level Notes will be sufficient to make payments on the Notes. In particular, there is no assurance that the Issuer will have sufficient funds to enable it to make payments in respect of Redemption Amounts either on the Maturity Date or on any other date on which payment of a Redemption Amount is due. Where the assets of the Issuer 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 any shortfall will be extinguished. None of the Trustee, the Portfolio 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. Interest on the Notes is dependent on the performance of the Portfolio; Interest may be negative The Interest on the Notes will be directly dependent on the performance of the Portfolio. Gains on the Portfolio will accrue as interest on the Asset Level Notes, subject to certain deductions for fees, expenses of, and the profit amount due to, the Asset Level Issuer. Interest on the Asset Level Notes will in turn accrue as Interest on the Notes, subject to certain deductions for fees, expenses of, and the profit amount due to, the Issuer. Accordingly, the accrual of Interest on the Notes will be directly dependent on the performance of the Portfolio. Furthermore, Interest may be a negative amount, in that losses on the Portfolio will be reflected in a reduction of the paid-up amount of the Asset Level Notes, which will in turn result in a deduction from the Paid-Up Amount of the Notes. Interest added to Paid-Up Amount It is intended that Interest accrued on the Notes will be added to the Paid-Up Amount of the Notes rather than paid to Note Holders in cash. Accordingly, Note Holders will be required to redeem Notes in part or in whole if they wish to receive a payment in respect of their Notes. 21

23 Notes represent direct obligations of the Issuer The Notes will constitute direct and subordinated obligations of the Issuer. Accordingly, claims of the Note Holders will be subordinated to the claims of all secured and unsubordinated creditors of the Issuer. It is not expected that the Issuer will have material obligations that will rank senior to the Note Holders. Non-Petition and Enforcement by the Trustee Neither the Trustee nor the Note Holders will be entitled to institute against the Issuer any bankruptcy, reorganisation, arrangement, examination, insolvency or liquidation proceedings or other proceedings under any applicable bankruptcy or similar law in connection with any obligation relating to the Notes or the other Transaction Documents, save for lodging a claim in the liquidation of the Issuer which is initiated by any other party. The Trustee shall not be bound to take proceedings as it thinks fit against the Issuer to enforce repayment of the Notes and the provisions of the Conditions and the Trust Deed unless it has been indemnified, pre-funded and/or secured to its satisfaction. The Trustee, in its capacity as trustee of the Notes, will have the right to enforce the obligations of the Note Holders against the Issuer but will not have a direct right to enforce against the Asset Level Issuer. Enforcement against the Asset Level Issuer is dependent upon the Trustee, in its capacity as trustee of the Asset Level Notes, taking enforcement action in accordance with the terms and conditions of the Asset Level Notes however Note Holders should be aware that the Trustee, in its capacity as trustee of the Asset Level Notes, owes no duties to the Note Holders and any such duties are owed only to the Intermediate Fund as holder of the Asset Level Note. Risk of loss if the Notes are recharacterised as shares The Notes are issued in the form of debt instruments, and the Issuer will account for the Notes as debt. As the holders of debt obligations, the claims of the Note Holders would rank ahead of the claims of any holders of ordinary shares in the Issuer on a winding up of the Issuer. If, however, a court were to recharacterise the Notes as a form of equity in the Issuer, there is a risk that the claims of the Note Holders under the Notes would on a winding up of the Issuer rank pari passu with the claims of shareholders and that the Note Holders would suffer a loss as a result. Instalment Payments on the Notes In order to fund the ongoing activities of the Issuer (including the funding of Asset Level Notes Principal Borrowing), the Issuer may make further borrowing requests in respect of the unpaid Stated Amounts of the Notes. If a Note Holder is not able or refuses to meet such request the Asset Level Issuer may not be able to complete a transaction that it wishes to enter into. The Note Holders are not obliged to, and there is no guarantee that all Note Holders will, make further instalment payments on the Notes. Illiquid Investment There is currently no secondary market for the Notes and there is no guarantee that such a market for the Notes will develop. In addition, the Notes are subject to certain restrictions on transfer and redemption. Hence, an investment in the Notes is a relatively illiquid investment. An investment in the Notes 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. 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 22

24 person any indemnification or payment in respect of any tax consequence of any such exercise upon individual Note Holders. Note Holder Meetings and Modification The Trust Deed contains provisions relating to meetings of Note Holders with respect to matters affecting the interests of the Note Holders, including the sanctioning of a modification of any of the Conditions or any of the Issuer Transaction Documents. Interest added to Paid-Up Amount It is intended that Interest accrued on the Notes will be added to the Paid-Up Amount of the Notes rather than paid to Note Holders in cash. Accordingly, Note Holders will be required to redeem Notes in part or in whole if they wish to receive a payment in respect of their Notes. Audit Holdback If a Note Holder has made a sequence of consecutive quarterly redemptions such that the Paid-Up Amount of the Note Holder's Notes immediately following the last such redemption will be less than the Audit Holdback Amount (as defined in the Conditions), then (A) the Issuer may withhold from the proceeds of the Redemption Amount otherwise payable to that Note Holder in respect of the last such redemption, an amount up to the Audit Holdback Amount, which the Issuer will hold until after receipt by the Issuer of its audited financial statements for the fiscal year in which the last such redemption took place. Any Audit Holdback Amount will not accrue interest and will not form part of the Paid-Up Amount of the Notes. If a liquidator is appointed to the Issuer between redemption and remittance of the amount held back by the Issuer then such sums will form part of the general pool of assets available to creditors of the Issuer (to be paid in accordance with the agreed priority of payments). Reduction of Redemption Amounts There are certain restrictions of the payment of Redemption Amounts by the Issuer. The Issuer may reduce the proceeds of any Redemption Amount in respect of any Note Holder to the extent the Issuer is required by United States law or by agreement with the United States Treasury Department or similar government division or department to withhold in respect of a payment of redemption proceeds to such Note Holder. Restrictions on Payment of Redemption Amounts The Issuer may, in its absolute discretion refuse to make a redemption payment to a Note Holder if the Issuer or the Portfolio Manager reasonably suspects or is advised that the payment of any redemption proceeds to such Note Holder may result in a breach or violation of any applicable laws or regulations (including, without limitation, any anti-money laundering or anti-terrorism laws and regulations) by the Issuer or any other person in any relevant jurisdiction, or that such refusal is necessary to ensure the compliance by the Issuer or the Portfolio Manager with any such applicable law or regulation in any relevant jurisdiction. In such circumstances, and until otherwise instructed by the relevant authority, the Issuer may deposit the redemption proceeds of the relevant Redemption Amount in a separate non-interest bearing bank account. Such Note Holder's only right with respect to such Redemption Amount will be the right to payment of the moneys so deposited (without interest) upon demonstration that such payment will not result in a breach or violation of any applicable laws or regulations by the Issuer or the Portfolio Manager. Such redemption proceeds will not accrue interest and will not form part of the Paid-Up Amount of the Notes. In the event that a liquidator is appointed to the Issuer between redemption and remittance of the redemption proceeds to the Note Holder, then such sums will form part of the general pool of assets available to creditors of the Issuer (to be paid in accordance with the agreed priority of payments). 23

25 Parallel Funds The Portfolio Manager may cause the Issuer or the Intermediate Fund to invest, directly or indirectly, together with one or more investment vehicles ("Parallel Funds") structured to invest substantially in parallel with the Asset Level Issuer. In order to ensure that the investments of the Asset Level Issuer and those of any of the Parallel Funds are ultimately made on a pro rata basis, the Portfolio Manager may seek to effect transfers of investments between and among the Asset Level Issuer and any such related Parallel Funds. No assurance can be given that the necessary consents for such transfers will be granted, and the Portfolio Manager cannot ensure that investments held by both the Asset Level Issuer and any related Parallel Funds will ultimately be held on a fully pro rata basis. Designated Investments The Asset Level Issuer may hold or acquire beneficial interests in certain investments or groups of investments which the Portfolio Manager may initially or subsequently identify and designate as "Designated Investments." Each Designated Investment will typically be designated as such because the Portfolio Manager believes that the investment horizon for the investment (i.e., the period over which the investment should be held in order for the investment to reach its full potential) is longer than 3 years. Note Holders will be required to hold their interests in, and will not be entitled to make redemptions in respect of, any Designated Investments in which they participate until those Designated Investments are undesignated (and will remain Note Holders until such time). Therefore, Note Holders wishing to redeem Notes will be required to hold their interests in Designated Investments in which they participate until such Designated Investments are liquidated or deemed liquidated. Management Fees due with respect to Designated Investments may be paid monthly from reserves created for that purpose when the Designated Investment is made or designated as such. If the reserves are depleted, the Management Fee will accrue and be re-paid when the Designated Investment is liquidated or deemed liquidated, out of the proceeds of that liquidation or deemed liquidation. While only a subset of Note Holders may be participating economically in a particular Designated Investment, all of the assets of the Asset Level Issuer may be subject to losses or liabilities (e.g., litigation) relating to Designated Investments. Therefore, general losses or liabilities of the Asset Level Issuer could adversely affect the value of Designated Investments. Side Letters Additional Reports and Information To the extent permitted by the Issuer Transaction Documents and the Issuer's Memorandum and Articles of Association, the Portfolio Manager and/or the Issuer may, in their sole and absolute discretion, agree to waive or modify the application of any provision of the offering terms described herein with respect to any Note Holder, by side letter or otherwise, without obtaining the consent of any other Note Holder. Such side letters may provide for the following modified terms: (i) various notification requirements (e.g., upon substantial redemptions by other investors, legal or regulatory actions, or the receipt of any soft dollar commissions outside of the safe harbour provided in Section 28(e) of the United States Securities Exchange Act of 1934, as amended (the "Exchange Act")); (ii) limitations on the Issuer's ability to distribute securities in kind upon a redemption request; (iii) the provision of audited financial statements within certain periods of time; (iv) special redemption rights for key men changes and net asset value reductions; (v) the provision of information relating to the Asset Level Issuer's portfolio holdings (subject to non-disclosure agreements and other confidentiality considerations); (vi) reduced fees or fee rebates; (vii) minor investment restrictions that do not materially affect the Asset Level Issuer; (viii) the provision of periodic pricing information; (ix) the waiver or modification of redemption restrictions (such as redemption fees, lock-up provisions or affiliated transfers), required redemption terms or notice requirements; or (x) provisions necessary to accommodate a particular investor's legal, tax, sovereign or regulatory status, accounting considerations, contractual obligations, or internal guidelines or policies. In certain cases, the Portfolio Manager may disclose portfolio holdings of the Asset Level Issuer to entities that evaluate portfolio risk for Note Holders. The Portfolio Manager will provide this information to such entities as it chooses and may refuse to provide this information to any such entity at any time. Every effort is made to bind the recipients of this information to maintain the confidential nature of this information, including entering into non-disclosure agreements prior to providing this information to them. However, there can be no assurance that these entities will fulfil their confidentiality obligations to the Portfolio Manager. In addition, Note Holders, in the course of conducting due diligence, may request information pertaining to their investments in the Notes and 24

26 the Limited Partnership's interest in the Asset Level Issuer (either verbally or in writing), including information that is not generally made available to all Note Holders. The Issuer and the Portfolio Manager may respond to such requests without providing relevant information to all other Note Holders. The Issuer and the Portfolio Manager generally are available to receive reasonable information requests from Note Holders concerning their investments in the Issuer. However, the Asset Level Issuer and the Portfolio Manager reserve the right to determine what information is appropriate to provide in response to inquiries from Note Holders. RISKS RELATING TO THE PORTFOLIO AND THE PORTFOLIO ASSETS Portfolio will be held by the Asset Level Issuer The portfolio of assets on which the return on the Notes is based and on which the Note Holders must depend for payments will be held by the Asset Level Issuer. In managing the Portfolio, the Portfolio Manager will be acting on behalf of the Asset Level Issuer. The Issuer will have access to the Portfolio only indirectly, by way of its Limited Partnership Interests in the Intermediate Fund and the Intermediate Fund's holding of the Asset Level Notes. Investments of the Asset Level Issuer The Asset Level Issuer may invest in a broad array of credit related financial instruments, including senior, mezzanine and junior loan obligations, participations in loan obligations and debt securities. These financial instruments will include 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 (and as detailed further below), such investments may also involve the risks associated with currency fluctuations and various political factors, as also described below. The Asset Level Issuer may also invest in treasury securities and other cash equivalents when attractive opportunities for capital appreciation appear to be limited. Due Diligence May Not Reveal All Relevant Facts Before making an investment on behalf of the Asset Level Issuer, the Portfolio 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 of the Asset Level Issuer. 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 Portfolio Manager will be expected to evaluate a number of important business, financial, tax, accounting, and legal issues in determining whether or not the Asset Level Issuer should proceed with an investment. External consultants, legal advisors, 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 Portfolio Manager and the Asset Level 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 organised 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 Asset Level Issuer's 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 Asset Level Issuer, it could have an adverse effect on the investment in question, the Asset Level Issuer's net asset value, its financial condition and/or results, which could then have an adverse effect on the value of the Notes. 25

27 Possibility of Losses The Asset Level 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 Portfolio Manager will attempt to manage these risks, there can be no assurance that the Asset Level Issuer's investments will increase in value or that the Asset Level Issuer will not incur significant losses. The Portfolio Manager anticipates that some of the Asset Level Issuer's investments will incur losses. Therefore, all or a portion of the principal invested in the Asset Level Notes may be lost if the Asset Level Issuer's trading strategies are not successful, which would result in a corresponding loss on the Notes. Non-Investment Grade Investments The Asset Level Issuer may purchase financial instruments of companies that are not of investment grade. The Asset Level Issuer may purchase loans that are in default or are from issuers in financial distress. The Asset Level Issuer may also purchase trade or other claims against credit impaired companies, which generally represent money owed by the company to a supplier of goods and services. Loans or claims purchased by the Asset Level 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 product or services. Such loans and trade claims are also less liquid than are the debt instruments of publicly traded companies. Security Granted to the Prime Broker Under the terms of a prime brokerage agreement entered into between the Asset Level Issuer and Credit Suisse Securities (USA) LLC ( Credit Suisse ) as prime broker (the "Prime Broker") (the "Prime Brokerage Agreement"), the Asset Level Issuer s assets that are held by the Prime Broker (or an agent so selected by the Prime Broker) as custodian, the accounts of the Asset Level Issuer with the Prime Broker and the rights of the Asset Level Issuer under any contracts entered into by the Asset Level 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 Asset Level Issuer s liabilities and obligations to the Prime Broker (including obligations under derivatives contracts). The Asset Level 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 Asset Level 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 Asset Level Issuer comprising the Portfolio Assets and ranking pari passu with all other unsecured and unsubordinated claims against the Asset Level Issuer and the claims of the holders of the Asset Level Notes in respect of payment of Redemption Amounts (as defined in Condition 5.2 (Redemption at the option of the Issuer) of the Asset Level Notes Conditions) will be subordinated to such claims. In addition to security granted to the Prime Broker, the Asset Level 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 Asset Level Notes will constitute unsecured and subordinated obligations of the Asset Level Issuer. Accordingly, claims of the holders of the Asset Level Notes in respect of the payment of Redemption Amounts as defined in Condition 5.2 (Redemption at the option of the Issuer) of the Asset Level Notes Conditions) will be subordinated to the claims of all secured and unsubordinated creditors of the Asset Level Issuer. To the extent that assets pledged or otherwise granted as security by the Asset Level Issuer to a secured creditor are insufficient to cover the Asset Level 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. Any claims of the Intermediate Fund, and ultimately of the Note Holders, will be subordinated to the secured claims of the Prime Broker and of any other secured party. 26

28 Bank Loans and Participations The Asset Level Issuer's investment programme will include trading in the secondary market for 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 Asset Level Issuer to directly enforce its rights with respect to participations. In analysing each bank loan or participation, the Portfolio Manager compares the relative significance of the risks against the expected benefits. Successful claims by third parties arising from these and other risks, absent violation of the Standard of Care by the Portfolio Manager or its affiliates, will be borne by the Asset Level Issuer. The Asset Level 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 Asset Level 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 Asset Level Issuer might lose any increase in value with respect to such loan that accrued while the transaction was unsettled. The Asset Level 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 Asset Level 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 issuer, 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 Asset Level Issuer, and corresponding losses on the Notes. Corporate Debt Obligations and High-Yield Securities The Asset Level Issuer will invest in corporate debt obligations debt, including, without limitation, "higher yielding" (and, therefore, higher risk) debt securities, when the Portfolio Manager believes that 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 and exposure to adverse business, financial, or economic conditions and the 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. The market value of debt securities generally tends to decline as interest rates increase and, conversely, tends to 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. 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 Asset Level Issuer of borrowed securities and leveraged investments. 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 Asset Level Issuer's investments will be affected by a variety of factors including the prevailing level of interest rates as well as 27

29 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 Asset Level 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. Convertible Securities, Rights and Warrants The Asset Level 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 Asset Level 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. Derivatives The Asset Level 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 characterised by limited liquidity, which can make it difficult as well as costly to close out open positions in order either to realise 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 Asset Level Issuer from time to time enters into various swap agreements ("Swaps") as part of its investment programme. A Swap is an individually negotiated, non-standardised 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 Asset Level 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 Asset Level 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 28

30 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 shortterm 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 Asset Level Issuer is not limited to any particular form of Swap if its use is consistent with the Asset Level Issuer's investment objectives and policies, and the Portfolio Manager anticipates that the Asset Level 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 Asset Level Issuer. If a Swap calls for payments by the Asset Level Issuer, the Asset Level 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 Asset Level Issuer. Credit Default Swap Agreements The Asset Level Issuer may invest in CDS in all types of securities. The typical CDS 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 Asset Level Issuer may also sell CDS on a basket of reference entities as part of a synthetic collateralised debt obligation transaction. As a buyer of CDS, the Asset Level Issuer will be subject to certain risks in addition to those described elsewhere herein. In circumstances in which the Asset Level Issuer does not own the debt securities that are deliverable under a credit default swap, the Asset Level 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 organised or will not be successful. In certain instances of issuer defaults or restructurings (for those CDS for which restructuring is specified as a credit event), it has been unclear under the standard industry documentation for CDS 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 "Determinations 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 Asset Level 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 CDS, the Asset Level 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 Asset Level 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 will have broad discretion to select which of the reference entity's debt obligations to deliver to the Asset Level Issuer following a credit event and will likely choose the obligations with the lowest market value in order to maximise the payment obligations of the Asset Level Issuer. Counterparty risk is always present in CDS. The market for CDS on distressed securities is not liquid (compared to the market for CDS 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 CDS increase, the amount of a termination or assignment payment upon a termination or assignment of a transaction due from the Asset Level Issuer to the credit default swap counterparty could increase by a substantial amount. In addition, the proper tax treatment of CDS 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 Asset Level 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 Asset Level Issuer's ability to otherwise productively deploy any capital that is committed with respect to such contracts. 29

31 Certain governmental entities have indicated that they intend to regulate the market in CDS. It is difficult to predict the impact of any such regulation on the Asset Level Issuer, but it may be adverse (including making the Asset Level Issuer ineligible to be a "seller" of CDS). Futures Trading The Asset Level 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 programmes 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 Asset Level Issuer seeks to close out an option position, future or Swap. 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 Asset Level Issuer from promptly liquidating unfavourable positions and subject the Asset Level Issuer to substantial losses. In addition, certain of these instruments are relatively new and are 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 Asset Level Issuer from liquidating an unfavourable position and the Asset Level Issuer would remain obligated to meet margin requirements until the position is closed. The CFTC and the United States commodities exchanges impose 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. For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities (e.g., corn, oats, wheat, soybeans and cotton) and United States commodities exchanges currently impose speculative position limits on many other commodities. The Reform Act significantly expands the CFTC's authority to impose position limits with respect to futures contracts and options on futures contracts, swaps that are economically equivalent to futures or options on futures, and swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function. In response to this expansion of its authority, in 2012, the CFTC proposed a series of new speculative position limits with respect to futures and options on futures on so-called "exempt commodities" (which includes most energy and metals contracts) and with respect to agricultural commodities. Those proposed speculative position limits were vacated by a United States District Court, but the CFTC has again proposed a new set of speculative position rules which are not yet finalised (or effective). If the CFTC is successful in this second try, the counterparties with which the Asset Level Issuer deals may further limit the size or duration of positions available to the Asset Level Issuer. All accounts owned or managed by the Portfolio Manager are likely to be combined for speculative position limit purposes. The Asset Level Issuer could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Asset Level Issuer. 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 Portfolio 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 Portfolio Manager purchases options that it does not sell or exercise, the Asset Level Issuer will suffer the loss of the premium paid in such purchase. To the extent the Portfolio Manager sells options and must deliver the underlying securities at the option price, the Asset Level Issuer has a theoretically unlimited risk of loss if the price of such underlying securities increases. If the Portfolio Manager 30

32 must buy those underlying securities, the Asset Level 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 Portfolio Manager can dispose of such an option may be less than in the case of an exchange traded option. The Portfolio Manager may cause the Asset Level 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 non-performance by the obligor on such an option may be greater, and the ease with which the Portfolio 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. Special Situations and Distressed Securities The Asset Level 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 reorganise 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 Portfolio 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 Asset Level Issuer may decline sharply and result in losses which could have a material adverse effect on the performance of the Asset Level 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 Asset Level Issuer. In any reorganisation or liquidation proceeding relating to a company or sovereign issuance in which the Asset Level Issuer invests, the Asset Level 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 Asset Level Issuer and returns to the 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 Asset Level Issuer may have difficulties in valuing or liquidating positions, which could have a material adverse effect on the Asset Level Issuer's performance and returns to Note Holders. Troubled company and other asset-based investments require active monitoring and may, at times, require participation in business strategy or reorganisation proceedings by the Portfolio Manager. To the extent that the Portfolio Manager becomes involved in such proceedings, the Asset Level Issuer may have a more active participation in the affairs of the issuer than that assumed generally by an investor. Involvement by the Portfolio Manager in an issuer's reorganisation proceedings could result in the imposition of restrictions limiting the Asset Level Issuer's ability to liquidate its position in the issuer. 31

33 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 above-average capital appreciation, these investments involve a high degree of financial risk and can result in substantial losses. Returns generated from the Asset Level Issuer's investments may not adequately compensate for the business and financial risks assumed. The Asset Level Issuer will make certain investments in securities which the Portfolio Manager believes to be undervalued. However, there are no assurances that the securities purchased will in fact be undervalued. In addition, the Asset Level Issuer may be required to hold such securities for a substantial period of time before realising their anticipated value. Acquisition of Illiquid Securities Investments made by the Asset Level Issuer may include significant amounts of rated and unrated debt and listed and unlisted equity securities and other financial instruments for which no market or only a limited market exists (and which may even be restricted as to transferability under federal or state securities laws), and the disposition of such investments in the event of an unsuccessful outcome may be possible only at substantial discounts from their purchase price or intrinsic business value. Moreover, investments held by the Asset Level Issuer, a percentage of which may be issued by companies or governments in emerging markets which have relatively less stable governments and economies (as discussed below under "Emerging Markets"), could become subject to sanctions or other governmental restrictions on transferability or ownership imposed with little or no advance warning. The Asset Level Issuer's holding of illiquid securities may adversely affect the ability of Note Holders to receive redemption proceeds. Leverage of entities whose obligations are included in the Portfolio Because the Asset Level 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 Asset Level Issuer may invest in entities that are unable to generate sufficient cash flow to meet principal and interest payments on their indebtedness. Accordingly, the value of the Asset Level Issuer's investment in such an entity could be significantly reduced or even eliminated due to further credit deterioration. Non-Performing Nature of Loans It is possible that certain of the loans purchased by the Asset Level 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 Asset Level 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 Asset Level Issuer's actions. There can be no assurance that the Asset Level Issuer would be successful in obtaining results most 32

34 favourable to it in such proceedings, although the Asset Level Issuer may incur significant legal fees and other expenses in attempting to do so. The Asset Level Issuer may also be subject to various trading or confidentiality restrictions. If the Portfolio Manager concludes that the Asset Level Issuer's membership on a creditors' committee entails obligations or restrictions that conflict with the duties it owes to the Asset Level Issuer, the Asset Level Issuer may not seek membership in, or may resign from, that committee. In addition, the Asset Level Issuer and some of the Portfolio 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 from that in the United States, resulting in greater uncertainty as to the rights of creditors, the enforceability of such rights, reorganisation timing, and the classification, seniority and treatment of claims. In certain developing countries, although bankruptcy laws have been enacted, the process for reorganisation remains highly uncertain. Short Sales The Asset Level Issuer may make short sales in any type of securities, provided that any such short sales are in compliance with Regulation (EU) No 236/2012 of the European Parliament and the Council of 14 March 2012 on short selling and certain aspects of Credit Default Swaps, 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 Asset Level 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 Asset Level Issuer may mitigate such losses by replacing the securities sold short before the market price has increased significantly. Under adverse market conditions, the Asset Level 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 Asset Level 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 also recently proposed to reinstate an "uptick test" for short sales. Such restrictions could make it difficult for the Asset Level Issuer to utilise 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 regulation and even the recent additional regulation, including the additional disclosure requirements, will have on short selling and those strategies that utilise short selling. 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 securities of the Asset Level Issuer or other objective of the Portfolio 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 Portfolio Manager; (iv) the possible obligation to meet additional margin or other payment requirements, all of which could worsen the Asset Level Issuer's position; and (v) default or refusal to perform on the part of the counterparty with which the Asset Level 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 Portfolio Manager will not, in general, attempt to hedge all market or other risks inherent in the Asset Level Issuer's positions, and hedges certain risks, if at all, only partially. Specifically, the Portfolio 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 Asset Level Issuer's overall portfolio. The Asset Level Issuer's portfolio composition will commonly result in various directional market risks remaining unhedged. The Portfolio Manager may rely on diversification to control such risks to the extent that the Portfolio Manager believes it is desirable to do so; however, the Asset Level Issuer is not subject to formal diversification policies. 33

35 The ability of the Asset Level Issuer to hedge successfully will depend on the ability of the Portfolio Manager to predict pertinent market movements, which cannot be assured. The Portfolio 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. Possible Ineffectiveness of Risk Reduction Techniques The Portfolio Manager may employ various risk reduction strategies designed to minimise the risk of the Asset Level 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 Portfolio Manager analyses market conditions incorrectly, or employs a risk reduction strategy that does not correlate well with the Asset Level Issuer's investments, such risk reduction techniques could increase rather than mitigate losses. These risk reduction techniques may also increase the volatility of the Asset Level Issuer and/or result in a loss if the counterparty to the transaction does not perform as promised. Moreover, even though the Portfolio 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. Currency and Foreign Risks The Notes and the Asset Level Notes are denominated in US dollars. The Asset Level Issuer may, from time to time, invest in non-dollar denominated debt instruments or in securities of companies domiciled or operating outside of the United States. Investing in these securities involves considerations and possible risks not typically involved in investing in securities of companies domiciled and operating in the United States, 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 (in the United States or abroad) or changed circumstances in dealings between nations. The application of tax laws applicable outside the United States (e.g., the imposition of withholding taxes on interest and dividend payments, income taxes and excise taxes) or confiscatory taxation may also affect the Asset Level Issuer's investments. Moreover, less information may be publicly available concerning certain of the foreign issuers of securities held by the Asset Level Issuer than is available concerning U.S. companies. The Asset Level 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 governmental supervision than in the United States. The Asset Level Issuer's investments could be adversely affected by other factors not present in the United States, 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 Asset Level 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 Asset Level Issuer and its operations. Furthermore, it may be difficult to obtain and enforce a judgment in a court outside of the U.S. Regulatory controls 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 limited compared to those in more developed markets. Currency Exposure 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 US dollar and such other currencies. 34

36 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 Asset Level 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 reorganisation 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. Emerging Markets The Asset Level 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 Asset Level 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 Asset Level 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 nationalisation 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, nationalisation, 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 Asset Level 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 Asset Level Issuer will not be recognised 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 Asset Level 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 behaviour at the level of individual economic factors; (iii) the 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 Portfolio Manager will seek to take advantage of these market imperfections to achieve investment performance for the Asset Level Issuer, it is not guaranteed that it will be able to do so. A failure to do so could have a material adverse effect on the Asset Level Issuer's business, growth prospects, revenues, results of operations and/or financial condition. As the Asset Level Issuer will be investing in emerging market investments, the performance of Asset Level 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 in the Notes is appropriate. 35

37 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 Portfolio Manager will accurately predict or adequately prepare for the impact of such developments, and therefore they may have a materially negative effect on the Asset Level Issuer's investments, particularly those made in European entities or denominated in the Euro currency. 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 and/or the Asset Level 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 and/or the Asset Level Issuer from their banks, dealers and other counterparties is typically reduced in disrupted markets. Such a reduction may result in substantial losses to the Issuer and/or the Asset Level Issuer. Market disruptions may from time to time cause dramatic losses for the Issuer and/or the Asset Level 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 of , the Dodd Frank Wall Street Reform and Consumer Protection Act (the "Reform Act") was enacted 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 ultimate impact of the Reform Act on the Issuer, the Asset Level Issuer, the Portfolio Manager, and the markets in which they trade and invest. The Reform Act could result in certain investment strategies in which the Asset Level Issuer engages or may have otherwise engaged becoming nonviable 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 and/or the Asset Level Issuer. Over-the-Counter Derivatives Markets The Reform Act, enacted in July 2010, includes provisions that comprehensively regulate the OTC derivatives markets for the first time. The Reform Act will ultimately mandate that a substantial portion of OTC derivatives must be executed in regulated markets and be 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 Commodities and Futures Trading Commission ("CFTC")-mandated margin requirements. OTC derivatives dealers typically demand the unilateral ability to increase the Asset Level 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 Asset Level Issuer is required to provide and the costs associated with providing it. OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their customers' trades instead of using such margin in their operations, as was widely permitted before the Reform Act. This has and will continue to increase the OTC derivative dealers' costs, and these increased costs are generally passed through to other market participants in the form of higher upfront 36

38 and mark-to-market margin, less favourable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees. With respect to cleared OTC derivatives, the Asset Level 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 Asset Level 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. The SEC and CFTC will 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. Certain CFTC-regulated derivatives trades are expected to be subject to these rules starting in early to mid It is not yet clear when the parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for investment funds, including the Asset Level Issuer, to enter into highly tailored or customised transactions. They may also render certain strategies in which the Asset Level Issuer might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Asset Level Issuer decides to become a direct member of one or more of these exchanges or execution facilities, the Asset Level Issuer would be subject to all of the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential additional regulatory requirements. OTC derivative dealers are now required to register with the CFTC and will ultimately be required to register with the SEC. Dealers are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements further increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants as market changes continue to be implemented. The overall impact of the Reform Act on the Asset Level Issuer remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-united States regulators. Regulation 648/2012 on OTC Derivatives, Central Counterparties and Trade Repositories ("EMIR") regulates OTC derivatives in the European Union. The Issuer will be subject to EMIR, including the requirement to have in place trade reporting, portfolio reconciliation and dispute resolution arrangements. The Issuer may also be required to have OTC derivative cleared where the notional amount of such derivatives exceeds the thresholds set out by EMIR and implementing legislation. Failure by the Issuer to comply with the provisions of EMIR and implementing legislation could result in the Issuer being exposed to sanctions by the Central Bank. Regulatory Developments Related to Commodities Trading The Asset Level Issuer's trading activities may be impacted by regulatory developments related to commodities trading. For example, recent joint rulemaking by the CFTC and the SEC (required under the Reform Act) has broadened the definition of "commodities" positions to include certain types of swaps, including some foreign exchange trades that were previously not regulated as commodities. The precise contours of the SEC and CFTC rules remain somewhat uncertain and may change in unpredictable ways over time. As of the date of this Prospectus, the Portfolio Manager is exempt from registration with the CFTC as a Commodity Pool Operator ("CPO") pursuant to CFTC Rule 4.13(a)(3) which imposes certain quantitative limits on the size of commodities positions (including positions in swaps regulated as commodities) that the Asset Level Issuer may take. Continued reliance on CFTC Rule 4.13(a)(3) may cause the Asset Level Issuer to forego certain investment opportunities that might otherwise be suitable investments for the Asset Level Issuer. In order to avoid the trading limitations imposed by CFTC Rule 4.13(a)(3), the Portfolio Manager may seek to rely on other exemptions from registration that do not impose such limitations, or it may elect to register as a CPO with the CFTC. However, even if the Portfolio Manager does register as a CPO, it expects that it may nevertheless be able to avoid certain disclosure, recordkeeping and reporting requirements that would otherwise apply to it (in reliance on CFTC Rule 4.7). 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 37

39 the Issuer, the Asset Level Issuer, the Portfolio 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 and/or the Asset Level Issuer, as well as require increased transparency as to the identity of the Note Holders. Availability of Suitable Investments While the Portfolio Manager believes that there are currently available attractive investments of the type in which the Asset Level Issuer may invest, there can be no assurance that such investments will continue to be available for the Asset Level Issuer's investment activities, or that available investments will meet the Asset Level Issuer's investment criteria. The Asset Level Issuer will compete with other potential investors to acquire interests in its targeted investments. Certain of the Asset Level 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 Asset Level Issuer, the Asset Level Issuer will bear the Management Fees and other expenses described herein. Uncertain Exit Strategies Due to the less liquid nature of most of the investments in which the Asset Level Issuer is expected to invest, the Portfolio 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 realised due to economic, legal, political or other factors. Adherence to ESG Criteria In determining appropriate investments for the Asset Level Issuer, the Portfolio 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 Asset Level Issuer's adherence to ESG criteria may affect the Asset Level Issuer's ability to take advantage of certain investment opportunities that, in the determination of the Portfolio Manager, do not meet such criteria. Investments in Restricted Securities The Asset Level Issuer may be prevented from buying or selling certain publicly traded securities if the Portfolio Manager, the General Partner or the Asset Level Issuer acquires non-public material information with respect to such securities. In addition, with respect to a publicly traded security that the Asset Level Issuer already holds, such security will be placed on a "restricted securities list" maintained by the Portfolio Manager and will not be traded until the non-public material information becomes public or is no longer material. Other Trading Strategies The Asset Level 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. Financing Arrangements; Availability of Credit To the extent the Asset Level Issuer utilises leverage, the Asset Level Issuer will depend on the availability of credit in order to finance its portfolio. There can be no assurance that the Asset Level 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 Asset Level 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. 38

40 Counterparty Risk Institutions, such as brokerage firms, banks and broker-dealers, generally have custody of the Asset Level Issuer's portfolio assets and may hold such assets in their own name. Bankruptcy or fraud at one of these institutions could impair the operational capabilities or the capital position of the Asset Level Issuer. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of the Asset Level Issuer, and hence the Asset Level Issuer may be exposed to a credit risk with regard to such parties. In some jurisdictions, the Asset Level Issuer may only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Asset Level Issuer attempts to limit its investment transactions to well capitalised and established banks and brokerage firms in an effort to mitigate such risks, but the collapse in 2008 of the seemingly well capitalised and established Bear Stearns and Lehman Brothers demonstrates that complete and "foolproof" evaluation of the financial capabilities of counterparties is impossible. In addition, the Asset Level Issuer may effect transactions in "over-the-counter" 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 Asset Level 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 Asset Level 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 Asset Level Issuer has concentrated its transactions with a single or small group of counterparties. The Asset Level Issuer is not restricted from dealing with any particular counterparty. The lack of a complete and "foolproof" evaluation of the financial capabilities of the Asset Level Issuer's counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Asset Level Issuer. Other Business Activities of the Portfolio Manager None of the General Partner, the Portfolio Manager, or any of their affiliates, principals or employees is required to devote full time to managing the Issuer, the Intermediate Fund or the Asset Level Issuer. 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 Asset Level 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 Intermediate Fund or the Asset Level Issuer. The compensation arrangements with other clients may create incentives for the Portfolio Manager or its principals or employees to favour such other clients. However, the Portfolio Manager will not knowingly or deliberately favour any other account over the Issuer, the Intermediate Fund or the Asset Level Issuer. Decisions affecting the Issuer, the Intermediate Fund or the Asset Level Issuer may be made independently from such other accounts. Decisions as to the execution of portfolio transactions on behalf of the Asset Level Issuer, including the selection of the dealers and brokers, will be made in the sole discretion of the Portfolio Manager. The Portfolio Manager will seek the most favourable terms for each portfolio transaction. Investment Restrictions The Portfolio Manager is subject to certain investment restrictions (see "The Portfolio of the Asset Level Issuer Investment Restrictions") below. As a result the Portfolio Manager may not be able to make an investment that might ultimately prove profitable to Note Holders. Danske Capital The Portfolio Manager consulted with Danske Capital, a division of Danske Bank A/S ("Danske Capital") during the initial formation and structuring of the transaction and agreed to provide Danske Capital a notice and consent right in connection with certain of the Asset Level Issuer's investment restrictions (as described below in "The Portfolio of the Asset Level Issuer"). Danske Capital may refuse (or, by failing to affirmatively respond to the Portfolio Manager's request, may be deemed to have refused) to provide consent to an investment by the Asset Level Issuer that is otherwise prohibited by the investment restrictions but that may ultimately prove profitable to Note Holders. 39

41 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, 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 Portfolio 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. Reliance on Nathan B. Sandler Nathan B. Sandler is principally responsible for the Asset Level Issuer's investment activities. If Mr. Sandler is not available to the Portfolio Manager, this could adversely affect the Asset Level Issuer's performance. Limited Liability and Indemnification of ICE Canyon Parties ICE Canyon Parties have limited liability to Issuer, the Intermediate Fund, the Asset Level Issuer and Note Holders. The Issuer (and indirectly, Note Holders) have agreed to indemnify and hold each ICE Canyon Party harmless against any losses except to the extent such losses result from an ICE Canyon Party's violation of the Standard of Care. (See "Summary of the Principal Documents The Portfolio Management Agreement" below.) Therefore, none of the Issuer, the Intermediate Fund or the Asset Level Issuer will be able to recover from ICE Canyon Parties for losses that arise from such ICE Canyon Parties' actions or inactions absent a violation of the Standard of Care. Furthermore, the Issuer, the Intermediate Fund and the Asset Level Issuer may be required to bear, or reimburse ICE Canyon Parties for, potentially unlimited amounts, which could result in a material adverse effect on the Issuer, the Intermediate Fund and the Asset Level Issuer. Conflicts of Interest The Portfolio Manager and its affiliates have certain conflicts of interest in their management of the Asset Level Issuer, the Intermediate Fund and the Issuer. These conflicts arise primarily from the involvement of the Portfolio Manager and its affiliates in other activities that may conflict with those of Asset Level Issuer, the Intermediate Fund and the Issuer and the fact that the Portfolio Manager (or any of its affiliates) will carry out portfolio management and other related services for the Asset Level Issuer and the Intermediate Fund and will receive funds for so doing (see "The Portfolio Manager to the Asset Level Issuer Certain Conflicts of Interest"). The members of the Issuer's board of directors (the "Directors"), the General Partner, the Portfolio Manager, the Administrator and the Prime Broker, 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 Asset Level Issuer, the Intermediate Fund and the Issuer which have similar objectives. In such event should a conflict of interest arise, the General Partner will endeavour to ensure that it is resolved fairly. Performance Based Compensation The General Partner is an affiliate of the Portfolio Manager and under certain circumstances will receive performance based compensation from the Intermediate Fund. Risks related to such performance based compensation include: (i) the fact that the performance based compensation is payable only out of increases in net profits may create an incentive for the Portfolio Manager to make investments that are riskier or more speculative than would be the case if the Portfolio Manager were compensated solely based on a flat percentage of capital; (ii) the General Partner may receive increased compensation because losses incurred after the performance based compensation is paid will not result in a return thereof; and (iii) securities for which market quotations are not available may be valued by the Portfolio Manager at such value as the Portfolio Manager may reasonably determine and may not be independently valued or verified by a third party. Trade Error Policy The Portfolio Manager attempts to minimise trade errors by taking the utmost care in making and implementing investment decisions on behalf of client accounts. The Portfolio Manager has controls and procedures in place designed to detect and correct in a timely manner any trade errors that may occur. Trade errors are documented and reported to the Portfolio Manager's supervisory personnel, and trade errors are reviewed to assess whether an error was a result of a weakness in internal procedures and controls. If it is determined that 40

42 a weakness in internal controls caused or contributed to the error, mitigating controls are established to rectify the identified control weakness. It is the Portfolio Manager's policy generally not to reimburse clients for any errors or mistakes with respect to the Portfolio Manager's placing or executing trades for the client, as such errors are considered by the Portfolio Manager to be a cost of doing business. However, pursuant to the Portfolio Management Agreement's exculpation of liability and indemnification provisions, the Portfolio Manager will be obligated to reimburse the client for any trade error finally and judicially determined to be on account of a direct result of the Portfolio Manager's violation of the Standard of Care. The Portfolio Manager, subject to its fiduciary obligations, will determine whether or not any trade error is required to be reimbursed in accordance with this policy. Any positive trade errors will be for the benefit of the client and not retained by the Portfolio Manager. Mark-to-Market The Portfolio Manager may, in its sole discretion, mark-to-market certain investments. If an investment is marked-to-market and thereafter declines in value, then an Incentive Allocation may be payable with respect to appreciation in such investment which appreciation is never realised. Legal Matters Sidley Austin LLP, Los Angeles, California, served as United States legal counsel to the Portfolio Manager in connection with the organization of the Investment Complex and the preparation of this Prospectus. Sidley Austin LLP may continue to serve in such capacity in the future, but has not assumed any obligation to update this Prospectus. Sidley Austin LLP may advise the Portfolio Manager in matters relating to the operation of the Investment Complex on an ongoing basis. Sidley Austin LLP does not represent and has not represented the prospective Note Holders or the Investment Complex in the course of the organization of the Investment Complex, the negotiation of their business terms, the offering of Notes or in respect of their ongoing operations. Prospective Note Holders must recognize that, as they have had no representation in the organization process, the terms of the Investment Complex relating to themselves and Notes have not been negotiated at arm s length. Sidley Austin LLP s engagement by the Portfolio Manager in respect of the Investment Complex is limited to the specific matters as to which it is consulted by the Portfolio Manager, and therefore there may exist facts or circumstances which could have a bearing on the Investment Complex s or the Portfolio Manager s financial condition or operations with respect to which Sidley Austin LLP has not been consulted and for which Sidley Austin LLP expressly disclaims any responsibility. More specifically, Sidley Austin LLP does not undertake to monitor the compliance of the Portfolio Manager and its affiliates with the investment program, valuation procedures and other guidelines set forth herein, nor does it monitor compliance with applicable laws. In preparing this Prospectus, Sidley Austin LLP relied upon information furnished to it by the Investment Complex and/or the Portfolio Manager, and did not investigate or verify the accuracy and completeness of information set forth herein concerning the Portfolio Manager, the Investment Complex s service providers and their affiliates and personnel. Maples and Calder, PO Box 309, Ugland House, Grand Cayman, KY1-1104, Cayman Islands, acts as Cayman Islands legal counsel to the Limited Partnership. In connection with the Issuer s offering of the Notes and subsequent advice to the Issuer, Maples and Calder will not be representing the Note Holders. No independent legal counsel has been retained to represent the Note Holders. Maples and Calder s representation of the Limited Partnership is limited to specific matters as to which it has been consulted by the Limited Partnership. There may exist other matters that could have a bearing on the Investment Complex as to which Maples and Calder has not been consulted. In addition, Maples and Calder does not undertake to monitor compliance by the Portfolio Manager and its affiliates with the investment program, valuation procedures and other guidelines set forth herein, nor does Maples and Calder monitor ongoing compliance with applicable laws. In connection with the preparation of this Prospectus, Maples and Calder s responsibility is limited to matters of Cayman Islands law and it does not accept responsibility in relation to any other matters referred to or disclosed in this Prospectus. In the course of advising the Limited Partnership, there are times when the interests of Note Holders may differ from those of the Investment Complex. Maples and Calder does not represent the Note Holders interests in resolving these issues. In reviewing this Prospectus, Maples and Calder has relied upon information furnished to it by the Investment Complex and has not investigated or verified the accuracy and completeness of information set forth herein concerning the Investment Complex. 41

43 TAX RISKS Irish Withholding Taxes 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 recognised stock exchange (including the Main Securities Market of the Irish Stock Exchange) 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 and that interest paid on the Asset Level Notes will also 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. In the event that any withholding or deduction for or on account of tax is imposed on payments on the Asset Level Notes, the Intermediate Fund 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, the 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 that the Irish tax authorities will not seek to tax interest from the Notes to the Note Holder. In addition, if Ireland's tax treaty with the source country applies, interest or other payments received by the Note Holder 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 Asset Level Issuer's investments. In the event that any withholding or deduction for or on account of tax is imposed on payments to the Asset Level Issuer, the Asset Level Issuer may not be entitled to receive additional amounts to compensate for such withholding tax. United States Source Payments May Be Subject to Withholding Under FATCA The Foreign Account Tax Compliance Act ("FATCA"), enacted as part of the Hiring Incentives to Restore Employment Act, provides that a 30% withholding tax will be imposed on certain payments of United States source income and certain payments of proceeds from the sale of property that could give rise to United States source interest or dividends unless the Issuer enters into an agreement with the United States Internal Revenue Service ("IRS") to disclose the name, address and taxpayer identification number of certain United States persons that own, directly or indirectly, an interest in the Issuer, as well as certain other information relating to any such interest. The IRS has released regulations and other guidance that provide for the phased implementation of the foregoing withholding and reporting requirements. On November 29, 2013, the United States Department of the Treasury signed a Model 1 non-reciprocal intergovernmental agreement ("Model 1 IGA") with the Cayman Islands. Cayman Islands regulations have also been issued on July 4, 2014 to give effect to the Model 1 IGA. Pursuant to the regulations, the Cayman Islands Tax Information Authority is expected to issue guidance on the application of the Model 1 IGA. The Model 1 IGA modifies the foregoing requirements but generally requires similar information to be disclosed to the Cayman Islands government and ultimately to the IRS. Although the Issuer will attempt to satisfy any obligations imposed on it to avoid the imposition of this withholding tax, no assurance can be given that the Issuer will be able to satisfy these obligations. If the Issuer becomes subject to a withholding tax as a result of FATCA, the return of all Note Holders may be materially affected. Moreover, the Issuer may reduce the amount payable on any distribution or redemption to a Note Holder that fails to provide the Issuer with the requested information. The Asset Level Issuer and the Intermediate Fund will be subject to similar requirements under FATCA. Prospective investors are encouraged to consult with their own tax advisors regarding the possible implications of FATCA on their investments in the Issuer. Ireland entered into a Model 1 IGA with the United States on 21 December Under the terms of that Model 1 IGA the Issuer is not required to enter into an agreement with the IRS, instead, pursuant to the Financial Accounts Reporting (United States of America) Regulations 2014 (the "Irish Regulations"), introduced into law in Ireland with effect from 1 July 2014, it is required to register with the IRS to obtain a Global Intermediary Identification Number, and then comply with the aforementioned Irish legislation giving effect to the Model 1 IGA. The Issuer is obliged to register with the IRS under the irish Regulations by no later than 31 December 42

44 2014. Under the terms of the Model 1 IGA, withholding will not be imposed on payments made to the Issuer, or on payments made by the Issuer to the Note Holders (other than perhaps certain passthru withholding), unless the IRS has specifically listed the Issuer as a non-participating financial institution, or the Issuer has otherwise assumed responsibility for withholding under United States tax law. To the extent that the Notes are listed on a recognised stock exchange (which includes the Irish Stock Exchange) the Notes will not constitute reportable accounts and the Issuer will make a nil return for that year to the Irish tax authorities in respect of the Notes. The Issuer may appoint an individual to oversee its compliance with FATCA (the "Responsible Officer"). Once appointed, the Responsible Officer will have no liability to, and will be indemnified by, the Issuer to the same extent as ICE Canyon Parties in the absence of a violation of the Standard of Care. The Issuer May Mandatorily Redeem any Note Holder that Fails to Cooperate with the Issuer's Efforts to Comply with FATCA The Issuer's ability to comply with FATCA will depend on each Note Holder providing the Issuer with information that the Issuer requests concerning the direct and indirect owners of such Note Holder. If a Note Holder fails to provide the Issuer with any information the Issuer requests, the Issuer may exercise its right to mandatorily redeem such Note Holder and/or create a separate group of Notes for such Note Holder and charge such Note Holder for any withholding attributable to such Note Holder's failure to provide the requested information. Tax Audits The Asset Level Issuer or the Issuer may be audited by Irish or U.S. federal, state or other tax authorities. An income tax audit may result in an increased tax liability of the Asset Level Issuer or the Issuer, including with respect to years when a Note Holder did not hold Notes, which could reduce the net asset value of the Asset Level Issuer or the Issuer and affect the return of all Note Holders. Accounting for Uncertainty in Income Taxes Accounting Standards Codification Topic No. 740, "Income Taxes" (in part formerly known as "FIN 48") ("ASC 740"), provides guidance on the recognition of uncertain tax positions. ASC 740 prescribes the minimum recognition threshold that a tax position is required to meet before being recognised in an entity's financial statements. It also provides guidance on recognition, measurement, classification and interest and penalties with respect to tax positions. A prospective investor should be aware that, among other things, ASC 740 could have a material adverse effect on the periodic calculations of the net asset value of the Asset Level Issuer or the Issuer, including reducing the net asset value of the Asset Level Issuer or the Issuer to reflect reserves for income taxes (such as U.S. and foreign withholding taxes and income taxes payable on income effectively connected with a trade or business) that may be payable by the Issuer or the Asset Level Issuer. This could cause benefits or detriments to certain Note Holders, depending upon the timing of their entry and exit from the Issuer. Certain Activities of the Asset Level Issuer May Cause it to be Treated as Engaged in a Lending Business within the United States for United States Federal Income Tax Purposes It is intended that the Asset Level Issuer's and the Issuer's affairs generally will be conducted such that no income realised by the Issuer will be effectively connected with the conduct of a U.S. trade or business or otherwise subject to regular U.S. federal income taxation on a net basis. As a result, it is anticipated that gains realised by the Issuer will generally not be subject to U.S. federal income taxation. However, because the law is unclear as to what activities constitute an active lending business, it is possible that the Asset Level Issuer or the Issuer may engage in certain activities that may later be considered by the IRS to be a lending business if, among other facts, such activity is regularly carried on by the Asset Level Issuer or the Issuer during a taxable year. If, contrary to the intended method of operation, the Issuer were engaged in, or deemed to be engaged in, a U.S. trade or business in any year, the Issuer (but not any of the Note Holders) would be required to file a U.S. federal income tax return for such year and generally pay tax on its income and gain that is effectively connected with such U.S. trade or business at normal U.S. tax rates. In addition, the Issuer generally would be required to pay a branch profits tax equal to 30% of the earnings and profits of such U.S. trade or business that are not reinvested therein. 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 Prospectus and consult with their own advisors before deciding to invest in the Notes. 43

45 THE GLOBAL CERTIFICATE The Global Certificate contain the following provisions which apply to the Notes in respect of which they are issued whilst they are represented by the Global Certificate, some of which modify the effect of the Conditions. Terms defined in the Conditions have the same meaning in paragraphs 1 to 6 below. 1. ACCOUNTHOLDERS For so long as all of the Notes are represented by the Global Certificate and such Global Certificate(s) is/are held on behalf of a clearing system, each person (other than another clearing system) who is for the time being shown in the records of Euroclear or Clearstream, Luxembourg (as the case may be) as the holder of a particular aggregate principal amount of such Notes (each an "Accountholder") (in which regard any certificate or other document issued by Euroclear or Clearstream, Luxembourg (as the case may be) as to the aggregate principal amount of such Notes standing to the account of any person shall, in the absence of manifest error, be conclusive and binding for all purposes) shall be treated as the holder of such aggregate principal amount of such Notes (and the expression Note Holders and references to holding of Notes and to holder of Notes shall be construed accordingly) for all purposes other than with respect to payments on such Notes, the right to which shall be vested, as against the Issuer and the Trustee, solely in the nominee for the relevant clearing system (the "Relevant Nominee") in accordance with and subject to the terms of the Global Certificate. Each Accountholder must look solely to Euroclear or Clearstream, Luxembourg, as the case may be, for its share of each payment made to the Relevant Nominee. 2. PAYMENTS Distributions of amounts with respect to book-entry interests in the Notes held through Euroclear or Clearstream, Luxembourg will be credited, to the extent received by the Paying Agent, to the cash accounts of Euroclear or Clearstream, Luxembourg participants in accordance with the relevant clearing system's rules and procedures. The record date for payments of Redemption Amounts in respect of a Global Certificate shall be the first business day in respect of the relevant clearing system prior to the due date for payment (or such other date that may be required in accordance with the relevant clearing system's rules and procedures). A record of each payment made will be endorsed on the appropriate schedule to the relevant Global Certificate by or on behalf of the Registrar and shall be prima facie evidence that payment has been made. 3. NOTICES So long as all the Notes are represented by the Global Certificate and such Global Certificate is held on behalf of a clearing system, notices to Note Holders may be given by delivery of the relevant notice to that clearing system for communication by it to entitled Accountholders in substitution for notification as required by the Conditions except that, so long as the Notes are listed on the Irish Stock Exchange and the rules of that Exchange so require, such notices shall also be published in accordance with the rules of the Irish Stock Exchange. Whilst any of the Notes held by a Note Holder are represented by a Global Certificate, notices to be given by such Note Holder may be given by such Note Holder (where applicable) through Euroclear and/or Clearstream, Luxembourg and otherwise in such manner as Euroclear and Clearstream, Luxembourg may approve for this purpose. 4. REGISTRATION OF TITLE Registration of title to Notes in a name other than that of the Relevant Nominee will not be permitted unless Euroclear or Clearstream, Luxembourg notifies the Issuer that it is unwilling or unable to continue as a clearing system in connection with a Global Certificate, and a successor clearing system approved by the Trustee is not appointed by the Issuer within 90 days after receiving such notice from Euroclear or Clearstream, Luxembourg. In these circumstances title to a Note may be transferred into the names of holders notified by the Relevant Nominee in accordance with the Conditions, except that 44

46 Certificates in respect of Notes so transferred may not be available until 21 days after the request for transfer is duly made. The Registrar will not register title to the Notes in a name other than that of the Relevant Nominee for a period of 1 calendar day preceding the due date for any payment of principal or interest in respect of the Notes. 5. TRANSFERS Transfers of book-entry interests in the Notes will be effected through the records of Euroclear and Clearstream, Luxembourg and their respective participants in accordance with the rules and procedures of Euroclear and Clearstream, Luxembourg and their respective direct and indirect participants, as more fully described under "Clearing and Settlement Arrangements". The Notes will not be registered under the Securities Act and will therefore be subject to certain transfer restrictions. See "Transfer Restrictions" below. 45

47 TERMS AND CONDITIONS OF THE NOTES The following are the terms and conditions of the Notes in the form (subject to amendment) in which they will be set out in the Trust Deed. The terms and conditions set out below will apply to the Notes in global form. The up to USD 2,000,000,000 in stated principal amount Asset-Backed Pass-Through Notes due 30 July 2045 (the "Notes") are issued by ICE Global Credit (DCAM) Fund Limited (the "Issuer") to fund directly the acquisition of limited partnership interests in ICE Global Credit (DCAM) Holdings, L.P., a Cayman Islands exempted limited partnership (the "Intermediate Fund") and ultimately, by way of the purchase by the Intermediate Fund of the notes of ICE Global Credit (DCAM) Master Fund Limited (the "Asset Level Issuer"), the investment by the Issuer in a diversified portfolio of global credit assets. The Notes are (a) issued pursuant to a trust deed (the "Trust Deed") dated on or about 3 September 2014 (the "Closing Date") between the Issuer and BNY Mellon Corporate Trustee Services Limited as trustee (the "Trustee") and (b) the subject of an agency agreement dated the Closing Date between the Issuer, The Bank of New York Mellon (London Branch) as paying agent (the "Paying Agent"), The Bank of New York Mellon (Luxembourg) S.A. as registrar (the "Registrar") and the Trustee (the "Agency Agreement"). References to the Trustee, the Paying Agent and the Registrar include any successor trustee or agent appointed from time to time in connection with the Notes. Certain provisions of the following conditions (the "Conditions") are summaries of the Trust Deed, the Agency Agreement and the portfolio management agreement dated 24 June 2014, as amended and restated on or about 3 September 2014 (the "Portfolio Management Agreement") between the Issuer and ICE Canyon LLC as Portfolio Manager and the amended and restated limited partnership agreement dated on or about 3 September 2014 (the "Limited Partnership Agreement") in respect of the Intermediate Fund between ICE Global Credit (DCAM) GP Co., LLC (as the General Partner) and the Issuer (as the Limited Partner) and are subject to their detailed provisions. The Note Holders are bound by, and are deemed to have notice of, all the provisions of the Trust Deed and those provisions of the Agency Agreement applicable to them. Copies of the Trust Deed and the Agency Agreement are available for inspection by Note Holders during normal business hours at the Specified Offices (as defined in the Agency Agreement) of the Issuer and the Paying Agent, the initial Specified Offices of which are set out below. The Notes represent indebtedness of the Issuer equal to the aggregate of the Paid-Up Amount of each Note. The Notes will be issued on a partly paid basis. On the Closing Date, the Notes' Subscription Amount will be paid by the Note Holders in accordance with the Conditions and the Subscription Agreement. Subject to and in accordance with the procedures set out in Condition 10 (Principal Borrowings), (a) the Issuer may request the Note Holders to make further payments in respect of the Notes for the purpose of financing additional asset acquisitions by the Asset Level Issuer and (b) a Note Holder may make a request to the Issuer to make further payments in respect of the Notes, bringing the aggregate Paid-Up Amount of the Notes up to an amount not exceeding the Stated Amount. DEFINITIONS In these Conditions the following terms shall have the following meanings: "Accrual Date" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Accrual Period" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Administrator" means Northern Trust Hedge Fund Services LLC. "Agents" means the Registrar and Paying Agent, and each an "Agent". "Audit Holdback" shall have the meaning given to it in Condition 5.7 (Audit Holdback Amount) "Audit Holdback Amount" shall have the meaning given to it in Condition 5.7 (Audit Holdback Amount) "Available Amount" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). 46

48 "Available Balance" shall have the meaning given to it in Condition 5.6 (Redemption Limits). "Borrowing Request" shall have the meaning given to it in Condition 10.1 (Borrowing Request). "Business Day" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Capital Accounts" shall have the meaning given to it in Condition 7.1 (Capital Accounts). "Capital Account Cumulative Profit" shall have the meaning given to it in Condition 7.1 (Capital Accounts). "Capital Payment" shall have the meaning given to it in Condition 7.1 (Capital Accounts). "Clearstream, Luxembourg" means Clearstream Banking, société anonyme. "Definitive Certificate" shall have the meaning given to it in Condition 1.1 (Form and Denomination). "Euroclear" means Euroclear Bank S.A./N.V. "Exchange Event" shall have the meaning given to it in Condition 1.1 (Form and Denomination). "Extraordinary Resolution" has the meaning given to that term in the Trust Deed. "Financial Year" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Incentive Allocation" has the meaning given to that term in the Limited Partnership Agreement. "Interest" shall have the meaning given to it in Condition 4.1 (Interest and Accrual of Interest). "Investment Complex" means the Issuer, the Intermediate Fund and the Asset Level Issuer together. "Issuer Transaction Documents" means The Trust Deed, the Agency Agreement, the Subscription Agreement, the Portfolio Management Agreement, the Corporate Services Agreement, the Limited Partnership Agreement and the Professional Services Agreement. "General Partner" means ICE Global Credit (DCAM) GP Co., LLC. "Global Certificate" means the global certificate which will evidence the Notes on issue. "Hurdle Amount" shall have the meaning given to it in Condition 7.1 (Capital Accounts). "Key Person Event" shall have the meaning given to it in Condition 5.4 (Redemption at the option of the Note Holder). "Key Person Notice" shall have the meaning given to it in Condition 5.4 (Redemption at the option of the Note Holder). "Key Person Redemption Date" means a date selected by the Portfolio Manager following receipt of a Key Person Notice falling no more than 90 days after the date of that Key Person Notice. "Key Person Redemption Notice" shall have the meaning given to it in Condition 5.4 (Redemption at the option of the Note Holder). "Limited Partnership Interests" means the interests of the Issuer as Limited Partner in ICE Canyon (DCAM) Holdings, L.P. "Lending Request" shall have the meaning given to it in Condition 10.2 (Lending Request). "Majority of the Note Holders" shall have the meaning given to it in Condition 5.4 (Redemption at the option of the Note Holder). 47

49 "Management Fees" means the fee payable to the Portfolio Manager pursuant to the terms of the Portfolio Management Agreement. "Maturity Date" shall have the meaning given to it in Condition 5.1 (Final Redemption). "Maximum Redemption Percentage" shall have the meaning given to it in Condition 5.6 (Redemption Limits). "Net Recourse Assets" shall have the meaning given to it in Condition (Redemption Amount). "Note Holders" shall have the meaning given to it in Condition 1.3 (Title). "Paid-Up Amount" shall have the meaning given to it in Condition 1.2 (Paid-Up Amount). "Partial Redemption Amount" shall have the meaning given to it in Condition (Redemption Amount). "Portfolio" means the portfolio of assets of the Asset Level Issuer. "Portfolio Assets" means the assets comprising the Portfolio. "Portfolio Manager" means ICE Canyon LLC. "Prime Broker" means Credit Suisse Securities (USA) LLC ( Credit Suisse ) as prime broker (the "Prime Broker"). "Prime Brokerage Agreement" means the prime broker agreement dated 26 June 2014 entered into between the Issuer and the Prime Broker. "Principal Borrowing" has the meaning given to it in Condition 10 (Principal Borrowings). "Principal Borrowing Date" has the meaning given to it in Condition 10.3 (Notice of Paid-Up Amounts following receipt of Principal Borrowing). "Profit Reserve Amount" shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Quarterly Redemption Date" shall have the meaning given to it in Condition 5.4 (Redemption at the option of the Note Holders). "Record Date" shall have the meaning given to it in Condition 9.1 (Payment of proceeds of Redemption Amounts). "Redemption Amount" shall have the meaning given to it in Condition 5.5 (Redemption Amount). "Redemption Period" shall have the meaning given to it in Condition 5.7 (Audit Holdback Amount). "Register" shall have the meaning given to it in Condition 8 (Register). "Relevant Proportion" means shall have the meaning given to it in Condition 4.3 (Calculation of Interest by the Portfolio Manager on behalf of the Issuer). "Senior Obligations" shall have the meaning given to it in Condition 2 (Status and Ranking). "Specified Offices" shall have the meaning given to it in Condition 9.5 (Specified Office of Paying Agent). "Stated Amount" shall have the meaning given to it in Condition 1.2 (Paid-Up Amount). "Subscription Amount" shall have the meaning given to it in Condition 1.2 (Paid-Up Amount). "Transferee" shall have the meaning given to it in Condition 7.1 (Capital Accounts). "Transferor" shall have the meaning given to it in Condition 7.1 (Capital Accounts). 48

50 1. FORM, DENOMINATION, PAID-UP AMOUNT, TITLE AND TRANSFERS 1.1. Form and Denomination The Notes are in registered form and are issued in global form and transferable in minimum denominations of USD 200,000 and integral multiples of USD 1,000 in excess thereof. Whilst the Notes are issued in and may only be traded in denominations of USD 200,000 and integral multiple of USD 1,000 in excess thereof, for as long as the Notes are held in the Clearing Systems and for the purposes of the Clearing Systems only the denominations are considered as USD 1. For the avoidance of doubt the Clearing Systems are not required to monitor or enforce the minimum amount. A Note Holder may request that a definitive certificate (a "Definitive Certificate") be issued in respect of its Notes only in the circumstances described in the next succeeding paragraph. Any Definitive Certificates so issued shall be numbered and shall be in respect of Notes in minimum denominations of USD 200,000 and integral multiples of USD 1,000 in excess thereof. Interests in a Global Certificate will be exchangeable (free of charge), in whole but not in part, for Definitive Certificates without interest coupons or talons attached only upon the occurrence of an Exchange Event. For these purposes, "Exchange Event" means that the Issuer has been notified that both Euroclear and Clearstream, Luxembourg have been closed for business for a continuous period of 14 days (other than by reason of holiday, statutory or otherwise) or have announced an intention permanently to cease business or have in fact done so and, in any such case, no successor clearing system is available. The Issuer will promptly give notice to holders of Notes in accordance with Condition 16 (Notices to the Note Holders) of the Conditions if an Exchange Event occurs and Euroclear and/or Clearstream, Luxembourg (acting on the instructions of any holder of an interest in such Global Certificate or the Issuer) may give notice to the Registrar requesting exchange. Any such exchange shall occur not later than 10 days after the date of receipt of the first relevant notice by the Registrar Paid-Up Amount 1.3. Title On the Closing Date the initial purchasers of the Notes will each subscribe for an amount (the "Subscription Amount") that in aggregate is less than the amount expressed as the stated principal amount of the Notes (the "Stated Amount"). Payment of such Subscription Amount will be notified by the Issuer to (a) in accordance with the terms of the Agency Agreement, the Trustee and the Registrar, who will record details of the aggregate of such Subscription Amounts on the Register (and, where a Definitive Certificate is issued, the details of the relevant Subscription Amount on the Certificate) and (b) the General Partner, in accordance with the terms of the Limited Partnership Agreement, who will record details of Subscription Amounts on the Capital Accounts of the Note Holders. The "Paid-Up Amount" of a Note at any time is (x) the sum of (i) the Subscription Amount, (ii) all Principal Borrowings paid on the note at that time and (iii) all amounts of Interest added to the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date less (y) all Redemption Amounts and all amounts of negative amounts of Interest deducted from the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date. Subject as set out below, title to the Notes will pass upon registration in the register of Note Holders (the "Register"). The Issuer and any Agent will (except as otherwise required by law) deem and treat the registered holder of any Note as the absolute owner thereof (whether or not overdue and notwithstanding any notice of ownership, trust or any other interest or writing on, or notice of any previous loss or theft of, any Certificate) for all purposes, without prejudice to the provisions set out in the next paragraph below, and no person shall be liable for so treating the holder. For so long as any of the Notes is represented by a Global Certificate held on behalf of Euroclear and/or Clearstream, Luxembourg, each person (other than Euroclear or Clearstream, Luxembourg) who is for the time being shown in the records of Euroclear or of Clearstream, Luxembourg as the holder of a particular Paid-Up Amount of Notes (in which regard any certificate or other document issued by Euroclear or Clearstream, Luxembourg as to the Paid-Up Amount of Notes standing to the account of any person shall be conclusive and binding for all purposes save in the case of manifest or proven error) shall be treated by the Issuer and the Agents as the holder of such Paid-Up Amount of 49

51 Notes for all purposes other than with respect to the payment of principal or interest on such Paid-Up Amount of Notes, for which purpose the registered holder of the Global Certificate shall be treated by the Issuer and any Agent as the holder of the Paid-Up Amount of the Notes in accordance with and subject to the terms of the Global Certificate and the expressions "Note Holder" and related expressions shall be construed accordingly Transfers of interests in Global Certificate Transfers of beneficial interests in the Global Certificate will be effected by Euroclear or Clearstream, Luxembourg, as the case may be, and, in turn, by other participants and, if appropriate, indirect participants in such clearing systems acting on behalf of beneficial transferors and transferees of such interests. A beneficial interest in a Global Certificate will, subject to compliance with all applicable legal and regulatory restrictions, be transferable for a beneficial interest in another Global Certificate only in the authorised denominations set out in these Conditions and only in accordance with the rules and operating procedures for the time being of Euroclear or Clearstream, Luxembourg, as the case may be, and in accordance with the terms and conditions specified in the Agency Agreement. Transfers by the holder of, or of a beneficial interest in, the Global Certificate may not be made to a transferee in the United States or who is a US person Transfers of Notes in definitive form Upon the terms and subject to the conditions set forth in the Agency Agreement, a Note in definitive form may be transferred in whole or in part (in the minimum denominations). In order to effect any such transfer (i) the holder or holders must (A) surrender the Certificate for registration of the transfer of the Note (or the relevant part of the Note) at the specified office of the Registrar, with the form of transfer thereon duly executed by the holder or holders thereof and the transferee or transferees thereof or, in either case, his or their attorney or attorneys duly authorised in writing and (B) complete and deposit such other certifications as may be required by the Registrar and (ii) the Registrar must, after due and careful enquiry, be satisfied with the documents of title and the identity of the person making the request. Any such transfer will be subject to such reasonable regulations as the Issuer and the Registrar may from time to time prescribe (the initial such regulations being set out in Schedule 1 to the Agency Agreement), provided that no such transfer may be made to a person in the United States nor to a US person. Subject as provided above, the Registrar will, within three business days (being for this purpose a day on which banks are open for business in the city where the specified office of the Registrar is located) of the request (or such longer period as may be required to comply with any applicable fiscal or other laws or regulations), authenticate and deliver, or procure the authentication and delivery of, at its specified office to the transferee or (at the risk of the transferee) send by uninsured mail, to such address as the transferee may request, a new Certificate in definitive form of a like aggregate nominal amount to the Note (or the relevant part of the Note) transferred. In the case of the transfer of part only of a Note in definitive form, a new certificate form in respect of the balance of the Note not transferred will be so authenticated and delivered or (at the risk of the transferor) sent to the transferor Registration of transfer upon partial redemption In the event of a partial redemption of Notes under Condition 5 (Redemption and Purchase), the Issuer shall not be required to register the transfer of any Note, or part of a Note, called for partial redemption Costs of registration Note Holders will not be required to bear the costs and expenses of effecting any registration of transfer as provided above, except for any costs or expenses of delivery other than by regular uninsured mail and except that the Issuer may require the payment of a sum sufficient to cover any stamp duty, tax or other governmental charge that may be imposed in relation to the registration Exchanges and transfers of Notes generally Holders of Definitive Certificates may exchange such Definitive Certificates for interests in a Global Certificate of the same type at any time Forced Transfer of Notes held by U.S. Persons 50

52 The Issuer may require any holder of Notes (or holder of a beneficial interest therein) who is a U.S. Person or person in who is determined not to have been both an accredited investor and a Qualified Purchaser at the time of acquisition of the Notes (or such beneficial interest therein) to sell such interest to a person that is a person that is (a) not a U.S. Person and (b) both an accredited investor and a Qualified Purchaser. 2. 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 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 5.5 (Redemption Amount) after payment in respect of the Senior Obligations. 3. COVENANTS 3.1. So long as any Note remains outstanding, save with the prior consent in writing of the Trustee which consent shall be provided by the Trustee as so instructed pursuant to an Extraordinary Resolution, the Issuer will not: carry on any business other than the acquisition, 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 Limited Partnership Interest and other assets relating thereto; (2) entering into hedging and other related arrangements; (3) owning, and exercising its rights in respect of, the Limited Partnership Interests and performing its obligations in respect of the Notes and the Limited Partnership Interests; (4) preserving and/or exercising and/or enforcing any of its rights and performing and observing its obligations under the Issuer 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 3.1.1(1) to 3.1.1(6) above in accordance with applicable laws 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 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; 51

53 have any subsidiaries (provided that it may have a shareholding or interest in other entities in connection with the Limited Partnership Interests or the Portfolio Assets); issue any shares in the Issuer (other than such shares as are in issue at the date hereof); or release any party to any Transaction Document from any of its material obligations thereunder or amend, supplement or otherwise modify any Issuer 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. INTEREST 4.1. Interest and Accrual of Interest The return on each Note (the "Interest") in respect of any Accrual Period (as defined below) will be an amount that is the Relevant Proportion, measured as at the first day of that Accrual Period, of the Available Amount, adjusted, if applicable, to take account of the following: Designated Investments: a Note Holder shall only be entitled to share in the return on any Designated Investment if, and to the extent that, the proceeds of the Paid-Up Amount of the Note Holder's Notes were used by the Asset Level Issuer (by way of the Intermediate Fund) to acquire an interest in the Designated Investment and accordingly, in respect of a Note Holder, the Relevant Proportion of the Available Amount shall, if applicable, be increased or decreased to reflect such interest; and Incentive Allocation: in respect of a Note Holder, the Relevant Proportion of the Available Amount shall, if applicable, be increased or decreased to reflect the allocation among the Note Holders of the Incentive Allocation in accordance with the Limited Partnership Agreement and as summarised in Condition 7 (Intermediate Fund Capital Accounts) below Accrual Period and Interest Interest, if any, on each Note will accrue in respect of, and throughout, each Accrual Period. If the Interest on a Note in respect of an Accrual Period is: a positive amount, the Paid-Up Amount of the Note will be increased by that amount; or a negative amount, the Paid-Up Amount of the Note will be decreased by that amount, and in each case the increase or decrease of the Paid-Up Amount under this Condition 4.2 will be effective as of the Accrual Date for that Accrual Period. If the Interest on a Note in respect of an Accrual Period is zero, no adjustment will be made to the Paid-Up Amount of the Note in respect of that Accrual Period. Interest will be reflected in an adjustment to the Paid-Up Amount of the Notes and will not be paid or payable (other than in connection with a permitted redemption or on the Maturity Date) Calculation of Interest by the Portfolio Manager on behalf of the Issuer The Portfolio Manager shall, on the Issuer's behalf, calculate the amount of any Interest accrued on each Note in respect of an Accrual Period and notify the Issuer, the Trustee, the Paying Agent, the Registrar and the Note Holders in accordance with Condition 16 (Notices to the Note Holders) of the results of such determination as soon as reasonably practicable following the end of an Accrual Period. After receipt by the Issuer of its audited financial statements for a Financial Year, the Portfolio Manager shall, on behalf of the Issuer, recalculate the Interest accrued on each Note in respect of any Accrual Period that is referable to the Financial Year of those financial statements and notify the Issuer, the Trustee, the Paying Agent, the Registrar and the Note Holders in accordance with Condition 16 (Notices to the Note Holders) as soon as reasonably practicable following receipt of those audited financial statements of the details of any change to the Interest accrual and the Registrar shall in respect of Notes represented by Definitive Certificates, amend the Register accordingly. 52

54 The address of the Portfolio 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: "Accrual Date" means the last day of each Financial Year, each Redemption Date and the day immediately preceding each Principal Borrowing Date. "Accrual Period" means the period from and excluding an Accrual Date to and including the next following Accrual Date, and, in the case of the first accrual period, means the period from and including the Closing Date to and including the next following Accrual Date (the "First Accrual Period"). "Available Amount" means an amount equal to all income and gains (including deemed gains) arising from, or earned by or attributed to 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) accrued or attributed to the Issuer in that Accrual Period and which are allowable as deductions for Irish tax purposes and (ii) the Profit Reserve Amount (as defined below) for that Accrual Period. "Business Day" means a day on which commercial banks and foreign exchange markets are open in the place of presentation. "Closing Date" means the date of issue of the Notes. "IFRS" means International Financial Reporting Standards. "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 27 May 2014 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 provided that a profit is made by the Issuer. "Relevant Proportion" means, in respect of a Note, the proportion that the Paid-Up Amount of that Note bears to the aggregate Paid-Up Amount of all outstanding Notes. The terms assets, liabilities, operating expenses, costs, income, gains and losses and references to accrual or accrued shall be construed in accordance with IFRS or, if greater, in accordance with Irish tax law. 5. REDEMPTION AND PURCHASE 5.1. Final Redemption Unless purchased and cancelled or previously redeemed, each Note will be redeemed on 30 July 2045 (the "Maturity Date") or, if such day is not a Business Day, the immediately following Business Day Redemption at the option of the Issuer The Issuer may at its option, on any Redemption Date having given not less than 15 days' notice to the Trustee, the Paying Agent, the Registrar and the relevant Note Holders in accordance with Condition 16 (Notices to the Note Holders) (which notice shall be irrevocable), redeem all of the Notes in whole or such of the Notes in whole or in part as the Issuer determines is reasonably necessary or appropriate to address any regulatory, tax, legal, or anti-money laundering issues affecting the Issuer (as specified in such notice). 53

55 5.3. Redemption for certain regulatory reasons The Issuer may at any time redeem such Notes in whole or in part as it may in its absolute discretion elect and specify if the Issuer: reasonably believes that such Notes are being held by (i) an employee benefit plan as described in Section 3(3) of ERISA and subject to Title I of ERISA, (ii) a plan as defined in and subject to Section 4975 of the Code, (iii) an entity whose assets are treated as assets of any such plan by reason of such employee benefit plan s or plan s investment in the entity, (iv) a benefit plan investor as such term is otherwise defined in Section 3(42) of ERISA, or (v) a governmental, church, non-us or other plan which is subject to any federal, state, local or non-us law that is substantially similar to the provisions of Title I of ERISA or Section 4975 of the Code, if its acquisition, holding or disposition of a Note would constitute or result in a non-exempt violation under any such substantially similar law; or is required by U.S. law or by agreement with the U.S. Treasury Department or similar government division or department to withhold amounts in respect of any Note Holder, and such redemption is necessary to ensure that no other Note Holder will suffer any reduction in the value of their Notes as a consequence of such withholding Redemption at the option of the Note Holders Subject to the provisions of Condition 5.6 (Redemption Limits) a Note Holder may at its option, require the Issuer to redeem its Notes (in whole or in part) subject to the Minimum Denomination, as of the last Business Day of any fiscal quarter (each, a "Quarterly Redemption Date") by providing prior written notice to the Issuer, the Trustee, the Agents and the Administrator on or before the last Business Day of the prior quarter. A Majority of Note Holders (as defined below) may require the Issuer to redeem the Notes (in full only) following the occurrence of a Key Person Event (as defined below) in accordance with the following provisions. The Portfolio Manager will notify the Note Holders as promptly as practicable upon the happening of a Key Person Event at any time during which the Notes remain outstanding. Following the occurrence of a Key Person Event, the Portfolio Manager will (i) cause the Asset Level Issuer to suspend the acquisition of any new Portfolio Assets (other than transactions that the Asset Level Issuer is contractually obligated to consummate pursuant to an agreement entered into prior to the commencement of such suspension), and (ii) may designate one or more replacement Key Persons and, within 30 days of such Key Person Event, will notify the Note Holders of their proposed designee(s) (the "Key Person Notice"). The Key Person Notice shall including such information on the background and experience of the replacement Key Person(s) as the Portfolio Manager determines to be appropriate. Within 30 days of delivery of the Key Person Notice, a Majority of the Note Holders may, by providing prior written notice (a "Key Person Redemption Notice") to the Issuer, the Trustee, the Agents and the Administrator, require the Issuer to redeem the Notes in full, in which case the Issuer shall redeem the Notes in full. A failure to deliver a Key Person Redemption Notice within 30 days of delivery of the Key Person Notice will be deemed to be an election to continue with the proposed designee(s) as the new Key Persons and to end the suspension described above. "Key Person" is Nathan B. Sandler, and in the future, the "Key Persons" may include one or more replacements designated as described above. "Key Person Event" means: (i) (ii) if there is only one Key Person, that Key Person; or if there are two or more Key Persons, any two Key Persons, (a) dies, (b) suffers a permanent disability, (c) is incapacitated for a period in excess of 30 days, or (d) otherwise ceases to be actively involved in the investment activities of the Investment Complex or the Portfolio Manager. 54

56 "Majority of the Note Holders" means, if there are two or more Note Holders at the time of determination, two or more note Holders owning more than 50% of the Paid-Up Amount of the Notes, and otherwise means the holders of more than 50% of the Paid-Up Amount of the Notes Redemption Amount The redemption amount of a Note redeemed in whole shall be an amount equal to the Paid-Up Amount of the Note, increased or decreased to the extent that the amount of Interest accrued on the Note for the relevant Accrual Period is a positive amount or a negative amount respectively (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 of each Note shall be deemed reduced to an amount equal to the Relevant Proportion, measured as of the Quarterly Redemption Date or Key Person Redemption Date (as applicable), or, in respect of a Final Redemption, the Maturity Date, of the Net Recourse Assets and any claims of Note Holders otherwise outstanding shall be extinguished; no Redemption Amount shall include any amount referable to a Designated Investment except to the extent that: (1) the proceeds of the Paid-Up Amount of the relevant Note Holder's Notes were used by the Asset Level Issuer (by way of the Intermediate Fund) to acquire an interest in the Designated Investment, and (2) the Designated Investment has been liquidated or deemed liquidated and for the purposes of determining entitlement to returns on Designated Investments, the records of the Intermediate Fund shall be conclusive, absent manifest error; and where a Note is redeemed in part, it shall be redeemed at the Redemption Amount attributable to such part of such Note, adjusted, if applicable, to exclude amount attributable to Designated Investments (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 on the Quarterly Redemption Date is less than the aggregate of the Paid- Up Amounts of the Notes. For the purpose of calculating a Redemption Amount in respect of a Note or part of a Note, any Interest shall be determined on the basis that the relevant Accrual Period is the period from and excluding the immediately preceding Accrual Date to and including the relevant Quarterly Redemption Date or Key Person Redemption Date (as applicable) or, in the case of a redemption on the Maturity Date, to and including the Maturity Date Redemption Limits The maximum value of that may be redeemed as of any Quarterly Redemption Date may not exceed 25% of the aggregate Available Balance (as defined below) in the Capital Accounts maintained for that Note Holder; provided, that on each of the next three consecutive Quarterly Redemption Dates, the Note Holder may redeem up to 33-1/3%, then 50%, and then 100% (each such percentage, a "Maximum Redemption Percentage" for the relevant Quarterly Redemption Date) of the remaining aggregate Available Balance in that Note Holder's Capital Accounts. If a Note Holder submits a redemption request for more than the Maximum Redemption Percentage for a given Quarterly Redemption Date, then the amount of any excess will be automatically "rolled forward" to subsequent Quarterly Redemption Dates until fully satisfied. If, however, a Note Holder submits a redemption request for less than the Maximum Redemption Percentage for a given Quarterly Redemption Date, or purchases additional Notes, then the Maximum Redemption Percentage for the next Quarterly Redemption Date for which such Note Holder submits a redemption request will be 25%, and the "cycle" of increasing Maximum Redemption Percentages described above will restart. The "Available Balance" in any Capital Account as of any Quarterly Redemption Date is the balance in that Capital Account (excluding that portion of the Capital Account balance representing that Note 55

57 Holder's interest in any Designated Investments) minus the amount of the accrued but "uncrystallised" Incentive Allocation that would be attributed to that Capital Account if the Quarterly Redemption Date were a Quarterly Redemption Date falling on the last day of the Financial Year. In order to fund a redemption, the Issuer will draw upon the Portfolio Assets and, unless a Note Holder instructs otherwise, redemptions of Notes will be funded by withdrawals made from the Note Holder's Capital Accounts on a "first-in, first-out" basis Audit Holdback Amount If a Note Holder has made a sequence of consecutive quarterly redemptions such that the Paid-Up Amount of the Note Holder's Notes immediately following the last such redemption will be less than the Audit Holdback Amount (as defined below), then (A) the Issuer may withhold from the proceeds of the Redemption Amount otherwise payable to that Note Holder in respect of the last such redemption, an amount up to the Audit Holdback Amount, which the Issuer will hold until after receipt by the Issuer of its audited financial statements for the fiscal year in which the last such redemption took place (the "Audit Holdback"); and (B) if the Issuer so withholds any Audit Holdback Amount, the Issuer will remit that Audit Holdback Amount, without interest, to the Note Holder, less any adjustments resulting from the Issuer's audited financial statements, as promptly as practicable following receipt by the Issuer of its audited financial statements for the relevant fiscal year. The "Audit Holdback Amount" applicable to a Note Holder for any sequence of consecutive quarterly redemptions (the "Redemption Period") will equal 5% of the Redemption Amount of the Note Holder's Notes as of the Quarterly Redemption Date in respect of the first such redemption, adjusted (as determined by the Issuer in consultation with the Portfolio Manager) for investment performance, Management Fees, Incentive Allocations and any other charges made during the Redemption Period. The Audit Holdback will be applied to the last redemption in the sequence, and as the Audit Holdback Amount is calculated on the Redemption Amount of the Notes on the Quarterly Redemption Date that is the first Quarterly Redemption Date in the sequence, the Audit Holdback Amount would be expected to represent more than 5% of the redemption proceeds in respect of the last Quarterly Redemption Date in the sequence. Any Audit Holdback Amount will not accrue interest, will not form part of the Paid-Up Amount of the Notes, and will not be subject to Management Fee or Incentive Allocation Other withholding The Issuer may reduce the proceeds of any Redemption Amount in respect of any Note Holder to the extent the Issuer is required by United States law or by agreement with the United States Treasury Department or similar government division or department to withhold in respect of a payment of redemption proceeds to such Note Holder. Notwithstanding anything to the contrary contained herein, the Issuer may, in its absolute discretion refuse to make a redemption payment to a Note Holder if the Issuer or the Portfolio Manager reasonably suspects or is advised that the payment of any redemption proceeds to such Note Holder may result in a breach or violation of any applicable laws or regulations (including, without limitation, any anti-money laundering or anti-terrorism laws and regulations) by the Issuer or any other person in any relevant jurisdiction, or that such refusal is necessary to ensure the compliance by the Issuer or the Portfolio Manager with any such applicable law or regulation in any relevant jurisdiction. In such circumstances, and until otherwise instructed by the relevant authority, the Issuer may deposit the redemption proceeds of the relevant Redemption Amount in a separate non-interest bearing bank account. Such Note Holder's only right with respect to such Redemption Amount will be the right to payment of the moneys so deposited (without interest) upon demonstration that such payment will not result in a breach or violation of any applicable laws or regulations by the Issuer or the Portfolio Manager. Note Holders wishing to redeem Notes will be required to hold their interests in Designated Investments in which they participate until such Designated Investments are liquidated or deemed liquidated Purchase The Issuer may not at any time purchase any Notes. 56

58 5.10. Cancellation All Notes redeemed in whole or purchased pursuant to Condition 5.1 (Final Redemption), 5.2 (Redemption at the option of the Issuer), 5.3 (Redemption for certain regulatory reasons), 5.4 (Redemption at the option of the Note Holders) and 5.9 (Purchase) will be cancelled and may not be reissued or resold and all Certificates in respect of those Notes shall be sent to the Registrar for cancellation and, if applicable, destruction in accordance with the terms of the Agency Agreement 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 5 (Redemption and Purchase) Suspension of Redemptions The Issuer, acting on the advice of the Portfolio Manager, may in its discretion suspend redemptions (other than on the maturity date) if any of the following circumstances apply: (a) (b) (c) (d) (e) to the extent that such redemption would violate applicable law or other legal requirements; (i) the Issuer, in consultation with the Portfolio Manager, determines in good faith and deems it appropriate to protect the interests of the Note Holders and the Issuer against potential short term losses relating to market disruptions and liquidity concerns during a period of volatility or illiquidity; (ii) the disposal of a substantial part of the Asset Level Issuer's Portfolio to meet redemption requests would not be reasonably practicable and might seriously prejudice the Note Holders; or (iii) for the Issuer of the Asset Level Issuer to determine fairly the value of its net assets; the Issuer suspects or is advised that the payment of any Redemption Amounts to a Note Holder may result in a breach or violation of any applicable laws of regulations (including, without limitation, any anti-money laundering or anti-terrorism laws and regulations) by the Issuer or any other person in any relevant jurisdiction, or such refusal is necessary to ensure the compliance by the Issuer or the Portfolio Manager with any such applicable legal requirements or regulation in any relevant jurisdiction. In such circumstances, and until otherwise instructed by the relevant authority, the Issuer may deposit such Redemption Amounts in a separate non-interest bearing bank account. An affected Note Holder's only right with respect to such redemption shall be the right to receive the moneys so deposited (without interest) upon demonstration that such receipt will not result in a breach or violation of any applicable laws or regulations. Claims in respect of such Redemption Amounts deposited will become prescribed unless such demonstration is made within a period of six years from the date such Redemption Amount is deposited; the Issuer, in connection with the Portfolio Manager, in good faith deems it appropriate to protect the interest of the Noteholders and the Issuer; and if redemptions of the Asset Level Note, or withdrawals or distributions from the Intermediate Fund, have been suspended. 6. VALUATION 6.1. A valuation of Notes (a "Valuation") will occur no less frequently than at the end of each calendar month (each a Valuation Day ). After each Valuation Day, the Administrator, in consultation with the Portfolio Manager, will determine the value of each Note Holder's Note. The value of the Notes will depend substantially on the value of the Asset Level Notes which each in turn will depend on the value of the Portfolio Assets. For the purposes of a Valuation, the value of the Portfolio Assets will be computed in accordance with International Financial Reporting Standards fair value standards and the Portfolio Manager s pricing policy, as amended from time to time, a copy of which will be provided to 57

59 the Note Holders on an annual basis and which is available upon reasonable request (the Pricing Policy ) The Issuer may declare a suspension of Valuation for the whole or any part of any period during which: (a) any stock exchange or over-the-counter market on which any significant portion of the Portfolio Assets are listed, quoted, traded or dealt in is closed (other than customary weekend and holiday closings) or trading on such stock exchange or market is suspended or restricted; or (b) circumstances exist as a result of which, in the reasonable opinion of the Issuer, acting on the advice of the Portfolio Manager, it is not reasonably practicable for the Portfolio Manager to dispose of Portfolio Assets, or as a result of which any such disposal will be materially prejudicial to the Note Holders; or (c) a breakdown occurs (including communications disruptions) in any of the means normally employed in ascertaining the value of Portfolio Assets; or (d) for any other reason the value of any of the Portfolio Assets cannot reasonably or fairly be ascertained; or (e) any transfer of funds involved in the realisation or acquisitions of Portfolio Assets or payments due on redemptions of Notes cannot, in the opinion of the Issuer, be effected at normal rates of exchange; or (f) the calculation of the Capital Account balances of the Issuer's interests in the Intermediate Fund has been suspended by the General Partner in accordance with the Limited Partnership Agreement Such suspension will take effect at such times as the Issuer will specify but not later than the close of business of the Business Day next following the declaration and thereafter there will be no Valuation until the Issuer declares the suspension at an end, except that the suspension will terminate in any event on the day following the first Business Day on which: (i) the condition giving rise to the suspension will have ceased to exist and (ii) no other condition under which suspension is authorised under this Condition will exist. Each declaration by the Issuer pursuant to this Condition will be consistent with such official rules and regulations, if any, relating to the subject-matter thereof as will have been promulgated by any authority having jurisdiction over the Issuer or the Portfolio Manager and as will be in effect at the time. To the extent not inconsistent with such official rules and regulations, the determination of the Issuer will be conclusive. Whenever the Issuer will declare a suspension of Valuation under this Condition, then as soon as may be practicable after any such declaration, the Issuer will cause a notice (in such manner as it may determine) to be given to the holders of Notes stating that such declaration has been made, and at the end of any period of suspension, the Issuer will cause another notice to be given to the holders of Notes stating that the period of suspension has ended. Notice for the purpose hereof will be sufficient if made in accordance with Condition 16 (Notices to Note Holders) 7. INTERMEDIATE FUND CAPITAL ACCOUNTS 7.1. Capital Accounts Pursuant to the Limited Partnership Agreement, the General Partner will establish and maintain separate accounts in respect of itself and each Note Holder (the "Capital Accounts" and each a "Capital Account"). The Capital Accounts will record, in respect of each Note Holder, payments by that Note Holder to, and receipts by that Note Holder from, the Issuer, accrued Interest (positive and negative amounts), and Incentive Allocation and Management Fee attributable to that Note Holder's holding of Notes and, in particular (among other things): the Subscription Amount; any Principal Borrowing; Paid-Up Amount; Interest; Redemption Amounts; Incentive Allocation attributable to that Note Holder's holding of the Notes; and Management Fee attributable to that Note Holder's holding of the Notes. The Capital Accounts in respect of the Note Holders are principally for purposes of calculating Paid-Up Amount, Interest, Redemption Amounts, Incentive Allocations and Management Fees and for ensuring 58

60 that redemptions and Redemption Amounts comply with Condition 5 (Redemption and Purchase). For the avoidance of doubt, however, Capital Accounts do not give Note Holders any proprietary interest in the Intermediate Fund. The operation of the Capital Accounts is set out in the Limited Partnership Agreement. A summary of how the Capital Accounts will operate is set out in the next following paragraphs. Each time the Issuer accepts a payment of capital from a Note Holder in respect of Notes, (a "Capital Payment"), either by way of a Subscription Amount or a Principal Borrowing pursuant to Condition 10 (Principal Borrowings), the Intermediate Fund will establish a separate Capital Account for that Capital Payment with an opening balance equal to the amount of the Capital Payment. The Intermediate Fund will treat the transfer of Notes (or part thereof) by a Note Holder (a "Transferor") to another person (a "Transferee") that is not an Affiliate of the Transferor as a redemption by the Transferor in the amount of the relevant Redemption Amount and a Capital Payment by the Transferee in the same amount as the relevant Redemption Amount, and will thus establish a new Capital Account for the Transferee corresponding to the Notes (or portion thereof) so transferred. Solely for the purposes of the foregoing sentence, the term "Affiliate", when used with reference to a specified person, does not include another person whose only connection to the specified person is the use of a common investment advisor or consultant. Accordingly, the Intermediate Fund may thus maintain multiple Capital Accounts for a Note Holder, each corresponding to separate Capital Payments. Subject to Condition 4 (Interest), on each Accrual Date, the balance in each Capital Account will generally be: (i) increased by that Capital Account's rateable share of (realised and unrealised) gains in the Portfolio Assets; and (ii) decreased by that Capital Account's rateable share of (realised and unrealised) losses in the Portfolio Assets, Redemption Amounts attributable to that Capital Account, the Management Fee and any Incentive Allocation charged to the Capital Account during that period. The General Partner's partnership interest in the Intermediate Fund will entitle it to receive a proportionate share of the gains and losses of the Intermediate Fund's investment portfolio based on the balance in its Capital Account. The General Partner is also entitled to receive an Incentive Allocation in its capacity as partner in the Intermediate Fund. The Incentive Allocation is calculated and applied as to each Capital Account as of each 31 December and each Quarterly Redemption Date and as to a Note Holder who redeems mid-year, as of the effective date of that redemption (but only as to the amount so redeemed). For purposes of calculating Incentive Allocations, a transfer of Notes to a Transferee that is not an Affiliate of the Transferor will be treated as a redemption. Each Incentive Allocation will equal, as to each Capital Account, the amount calculated as the excess (if any) of: (i) 15% of the amount (if any) by which the Capital Account Cumulative Profit exceeds the Hurdle Amount; over (ii) the cumulative amount of all Incentive Allocations previously applied to that Capital Account, in each case, as all relevant amounts have been adjusted for redemptions. The "Capital Account Cumulative Profit" as of any measurement date will equal the excess (if any) of: (i) the Capital Account balance as of that measurement date (after deducting any Management Fee charged to the Capital Account as of that date, but before deducting any Incentive Allocation then due); plus the cumulative amount of all Incentive Allocations previously applied to that Capital Account prior to that measurement date; over (ii) the opening balance of the Capital Account as of the date on which the Capital Account was established. 59

61 The "Hurdle Amount" for a Capital Account as of any measurement date will equal the amount by which that Capital Account would have increased from the date on which the Capital Account was established through the measurement date, had it earned a 7% per annum return (compounded annually) over that period. All quantities used to calculate Incentive Allocations as to a Capital Account following a redemption referable to that Capital Account will be appropriately adjusted to reflect such redemption. Once made, an Incentive Allocation will not be reduced by losses allocated to a Capital Account in later periods. The General Partner calculates the Incentive Allocation separately for each Capital Account. Because of this, a Note Holder with multiple Capital Accounts may bear Incentive Allocations allocated to one Capital Account even if, when aggregating its Capital Accounts, that Note Holder has experienced an overall loss on its investment in the Notes. The General Partner may in its discretion modify its Incentive Allocation for selected Note Holders with the consent of those Note Holders. The Portfolio Manager will liaise with the General Partner and the Registrar to ensure that the records of the Capital Accounts and the Register are consistent to the extent applicable and in the event of any irreconcilable difference between the records of the Capital Accounts and the Register, the Capital Accounts shall prevail and the Register shall be amended accordingly. 8. REGISTER In respect of Notes represented by Definitive Certificates, the Registrar shall at all times maintain a register (the "Register") and enter in it: (i) (ii) (iii) (iv) (v) (vi) the name, address and address of each Note Holder; the date on which each person was registered as a Note Holder; the Subscription Amount and any Principal Borrowing and/or Redeemed Amount in respect of the Notes; the Paid-Up Amount of the Notes held by a Note Holder and any change to such Paid-Up Amount following notification to the Registrar; the serial number of any Certificate issued, the date of its issue and (if applicable) the date of cancellation; and the date on which a person ceased to be a Note Holder. Danske Capital and each Note Holder may inspect the Register from 9.00 a.m. to 5.00 p.m. on any day that is a business day in the states of New York and California, the Republic of Ireland and the Cayman Islands, and that the New York Stock Exchange is open for trading, and the Issuer shall provide a copy of it or any part of it at the cost of the Issuer upon the reasonable request of Danske Capital or any Note Holder. 9. PAYMENTS 9.1. Payment of proceeds of Redemption Amounts It is expected that redemption proceeds will be raised through the sale of Portfolio Assets held by the Asset Level Issuer or through Principal Borrowings. The Portfolio Manager intends, where this would not, in its opinion, prejudice other Note Holders, to realise the required amount prior to the relevant Quarterly Redemption Date or Key Person Redemption Date (as applicable). Subject to market conditions, payments of Redemption Amounts consisting of cash or investment assets (or a combination thereof) having an aggregate value equal to the relevant Redemption Amount will be made as soon as reasonably practicable after the applicable Quarterly Redemption Date (provided that the original redemption request has been received by the Administrator) or Key Person Redemption Date (as applicable) in the name of the registered Note Holder, unless alternative payment 60

62 instructions are provided at the time of redemption (any such alternative payment instructions must be approved by the Issuer, the Administrator, or the Portfolio Manager). Notwithstanding the foregoing, if the Issuer determines to satisfy a Redemption Amount in whole or in part by way of a transfer of investment assets to the applicable Note Holder (a "Redemption In Kind"), the Issuer shall notify the applicable Note Holders of the pending Redemption In Kind and offer to each Note Holder the right to require the Issuer to sell on behalf of such Note Holder the investment assets forming part of the Redemption In Kind. Any Note Holder that fails to respond in writing to such notice within five business days following receipt thereof shall receive the proposed Redemption In Kind. If any Note Holder notifies the Issuer that such Note Holder wishes the Issuer to sell the investment assets forming part of such Note Holder's Redemption In Kind, the Issuer will use commercially reasonable efforts to sell such property and, upon such sale, promptly distribute to such Note Holder the net proceeds of the sale. The Note Holders acknowledge that any such sale of investment assets may result in the Note Holder incurring substantial losses as a result of the liquidation of the investment assets to satisfy the Note Holder's request. Payments of Redemption Amounts in cash with respect to book-entry interests in the Notes held through Euroclear or Clearstream, Luxembourg will be credited, to the extent received by the Paying Agent, to the cash accounts of Euroclear or Clearstream, Luxembourg participants in accordance with the relevant clearing system's rules and procedures. Any such payments of Redemption Amounts will be paid to the registered Note Holder shown in the records of Euroclear or Clearstream, Luxembourg at the close of business on the date (the "Record Date") being the day before the relevant payment date. A record in respect of a Note Holder of each payment made on the Notes of such Note Holder distinguishing between any payment of Redemption Amount, Interest and any Principal Borrowing (as defined in Condition 10 (Principal Borrowings)) 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. Any payment in respect of Notes held in definitive form will be notified to the Registrar and the Registrar shall amend the Register and, if requested by a Note Holder, the relevant Definitive Certificate accordingly 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 Paying Agent The initial Paying Agent and its initial specified offices are listed below. The Issuer reserves the right to terminate the appointment of the Paying Agent in accordance with the provisions of the Agency Agreement. In acting under the 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 Agency Agreement Specified Office of Paying Agent The specified office of the Paying Agent is One Canada Square, London E14 5AL (the "Specified Office"). 61

63 10. PRINCIPAL BORROWINGS Borrowing Request For the purpose of funding a borrowing request in respect of the Asset Level Issuer, to be funded by any or all of the Note Holders by way of payment to the Issuer of an additional instalment on its Note (a "Principal Borrowing"), the Issuer shall send a borrowing request (a "Borrowing Request") to any or all of the Note Holders. A Note Holder will not be required to pay any additional instalment on its Note following the receipt of a Borrowing Request and a failure to make any such payment following the receipt of a Borrowing Request shall not constitute a default by that Note Holder. If a Borrowing Request is sent by the Issuer to more than one Note Holder and the aggregate of the amounts received by the Issuer from the Note Holders in respect of that Borrowing Request exceeds the corresponding borrowing request in respect of the Asset Level Issuer, the Issuer shall allocate such amounts received by it in respect of that Borrowing Request among the Note Holders in accordance with the Relevant Proportion at that time, or in such other proportion as may be agreed between the Issuer and all of the Note Holders, and any surplus amounts shall be returned to the relevant Note Holders. Any amounts received by the Issuer from a Note Holder that are in response to a Borrowing Request shall constitute a Principal Borrowing and the Issuer shall, within 3 Business Days of receipt, pay such Principal Borrowings to the Intermediate Fund. The Issuer may make a Borrowing Request on more than one occasion provided that each such Borrowing Request is for a minimum amount of USD 200,000 on the date that the Borrowing Request is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed aggregate Principal Borrowings, does not exceed the Stated Amount of the Notes Lending Request A Note Holder may from time to time make a request to the Issuer (a "Lending Request") to pay to the Issuer a Principal Borrowing. A Note Holder may make this request on more than one occasion provided that each such Principal Borrowing is for a minimum amount of USD 200,000 on the date that the Principal Borrowing is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed Principal Borrowing, does not exceed the Stated Amount of the Notes. The Note Holder, when making a Lending Request, shall notify the Issuer and the Agents of (i) the amount of the proposed Principal Borrowing and (ii) the date falling not more than 30 days or not less than 1 day following the date of such notice on which date the Note Holder will to pay the proposed Principal Borrowing if the Lending Request is accepted by the Issuer. The Issuer will in its sole discretion determine whether to accept a Principal Borrowing following receipt of a Lending Request, will not be required to accept any payment following the receipt of a Lending Request and will not be required to notify any other Note Holder of the receipt of a Lending Request and/or a Principal Borrowing in accordance with this Condition 10.2 (Lending Request) Notice of Paid-Up Amounts following receipt of Principal Borrowing The Issuer shall, as soon as reasonably practicable following the date of receipt of a Principal Borrowing (a "Principal Borrowing Date"), notify such amount to the General Partner, the Trustee, the Paying Agent, the Registrar and the Note Holder(s) from whom the Principal Borrowing was received. From the time of receipt of a Principal Borrowing by the Intermediate Fund it shall be deemed to be added to the Paid-Up Amount of the Notes. Following receipt of notice of a Principal Borrowing, the Registrar shall amend the Register (and, if requested by a Note Holder, the relevant Certificate) accordingly. 62

64 11. TAXATION All payments of Paid-Up Amount and Interest in respect of the Notes shall be made free 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 The Issuer (or the Portfolio Manager on the Issuer's behalf) shall use commercially reasonable efforts to (i) notify each Note Holder of any requirement that such Note Holder file a tax return in the United States if the Portfolio Manager has actual knowledge that such Note Holder is required to file such a tax return solely as a result of its holding of the Notes and (ii) at such Note Holder s request and expense, make available to such Note Holder any information in the Portfolio Manager s possession reasonably required for such Note Holder to complete any such tax return. To the extent a Note Holder makes any filings, applications, or elections to obtain any available exemption from, or any available refund of, any withholding or other taxes imposed by any taxing authority with respect to amounts distributable or items of income allocable to the Investor under the Issuer Transaction Documents, the Portfolio Manager will use commercially reasonable efforts to provide to such Note Holder any information in its possession reasonably requested by such Note Holder in connection with such filing, application, or election The Issuer (or the Portfolio Manager on the Issuer's behalf) shall use commercially reasonable efforts to furnish or cause to be furnished, to the extent reasonably available to it without incurring unreasonable expenses, to each Note Holder such additional information as the Note Holder may reasonably request from time to time and upon reasonable written notice as is necessary to complete the Note Holder s income tax or information returns The Issuer (or the Portfolio Manager on the Issuer's behalf) shall notify each Note Holder, as promptly as practicable after the Issuer receives actual notice thereof, of any non-u.s. taxes paid by or withheld from receipts of the Issuer allocable to such Note Holder. 12. EVENTS OF DEFAULT The Trustee may, and if so directed by an Extraordinary Resolution shall (subject in each case to being indemnified and/or secured and/or prefunded to its satisfaction) give notice to the Issuer that the Notes are, and they shall accordingly forthwith become, immediately due and repayable, if any of the following events occur and are continuing (each such an event an "Event of Default"): (i) Non-Payment the Issuer fails to pay the required amount on the Maturity Date, or fails to pay any other amount due in respect of the Notes within 90 days of such amount becoming due for payment; 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 63

65 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 an Extraordinary Resolution; 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; (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; or (viii) Enforcement of Prime Broker's security the Prime Broker takes any step to enforce its security in accordance with the terms of the Prime Brokerage Agreement then the Notes 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 Priority of Payments before the occurrence of an Event of Default Prior to the occurrence of one of the circumstances set out in Condition 12.1 (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 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: (i) (ii) (iii) (iv) first, in or towards payment of any tax payable by the Issuer to any relevant tax authority; secondly, in payment or satisfaction of all fees, costs, expenses and liabilities 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 pursuant to any other Transaction Document; thirdly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Agents under the Agency Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to any of the Agents (including, but not limited to, any legal or professional fees and other costs and expenses of any of the Agents) pursuant to the Agency Agreement or pursuant to any other Transaction Document; fourthly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Administrator under the Professional Services Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or 64

66 payable to the Administrator (including, but not limited to, any legal or professional fees and other costs and expenses of the Administrator) pursuant to the Professional Services Agreement or pursuant to any other Transaction Document; (v) (vi) (vii) (viii) fifthly, 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); sixthly, 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 Note Holder; and seventhly, in or towards payment pari passu and rateably of all Redemption Amounts remaining unpaid in respect of the Notes; and eighthly, the balance (if any) in payment to the Issuer Priority of Payments after the occurrence of an Event of Default After the occurrence of one of the circumstances set out in Condition 12.1 (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 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: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) first, in or towards payment of any tax payable by the Issuer to any relevant tax authority; secondly, in payment or satisfaction of all fees, costs, expenses and liabilities 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 pursuant to any other Transaction Document; thirdly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Agents under the Agency Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to any of the Agents (including, but not limited to, any legal or professional fees and other costs and expenses of any of the Agents) pursuant to the Agency Agreement or pursuant to any other Transaction Document; fourthly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Administrator under the Professional Services Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to the Administrator (including, but not limited to, any legal or professional fees and other costs and expenses of the Administrator) pursuant to the Professional Services Agreement or pursuant to any other Transaction Document; fifthly, 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); sixthly, 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 Note Holder; and seventhly, in or towards payment pari passu and rateably of all Redemption Amounts remaining unpaid in respect of the Notes; and eighthly, the balance (if any) in payment to the Issuer. 65

67 13. PRESCRIPTION Claims in respect of Paid-Up Amounts and Interest 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 from the appropriate relevant date. 14. REPLACEMENT OF CERTIFICATES If any Certificate is lost, stolen, mutilated, defaced or destroyed it may be replaced by the Registrar 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. 15. FURTHER ISSUES The Issuer may from time to time, but only with 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 by the Portfolio Manager. Such further notes may be issued for cash or in exchange for the redemption of any existing Note or part thereof. The issuance of any such further notes shall be subject to the approval and publication of a prospectus. For the purpose this Condition 15 (Further Issues) only, a resolution in writing signed by Note Holders holding in aggregate 66.67% of the Paid-Up Amount of the Notes, measured as of the Accrual Date preceding the date of such resolution, shall be sufficient to constitute the consent required for the issue of further notes. 16. NOTICES TO THE NOTE HOLDERS Any notice to the Note Holders shall be validly given to the relevant Note Holders if sent to the clearing systems for communication by them to the holders of the relevant Notes and shall be deemed to be given on the date on which the relevant notice was so sent. So long as the relevant Notes are admitted to trading and listed on the official list of the Irish Stock Exchange, and where the rules of the Irish Stock Exchange so require, any notice shall also be published in accordance with the rules of the Irish Stock Exchange and any notice so published shall be deemed to be given on the date of publication. For the avoidance of doubt, notices relating to Condition 10 (Principal Borrowings) shall be sent directly to the relevant Note Holders only in accordance with the provisions of the Agency Agreement. Notices to the Trustee, the Paying Agent, the Registrar and the Portfolio Manager will be valid and deemed to have been given if sent in accordance with the provisions of the Trust Deed, the Agency Agreement or the Portfolio Management Agreement, as applicable. 17. MEETINGS OF NOTE HOLDERS The Trust Deed contains provisions for convening meetings of the Note Holders to consider any matter affecting their interests, including the sanctioning by Extraordinary Resolution of a modification of the Notes or any provisions of the Trust Deed (as more particularly described in the Trust Deed). Such a meeting may be convened by the Issuer or the Trustee and shall be convened by the Issuer if required in writing by Note Holders holding not less than 10% of the Paid-Up Amount of the Notes for 66

68 the time being remaining outstanding. The quorum at any such meeting for passing an Extraordinary Resolution will be one or more persons present holding or representing more than 50% in principal amount of the Notes for the time being outstanding. The Trust Deed provides that (i) a resolution passed by a meeting duly convened and held in accordance with the Trust Deed by a majority consisting of not less than 75% of the votes cast on such resolution, (ii) a resolution in writing signed by or on behalf of the holders of not less than 75% in principal amount of the Notes for the time being outstanding or (iii) consent given by way of electronic consent through the relevant clearing system(s) (in a form satisfactory to the Trustee) by or on behalf of the holders of not less than 75% in principal amount of the Notes for the time being outstanding, shall, in each case, be effective as an Extraordinary Resolution of the Note Holders. An Extraordinary Resolution passed by the Note Holders shall be binding on all Note Holders, whether or not (in the case of Extraordinary Resolutions passed at any meeting) they are present at the meeting and whether or not they voted on the resolution. 18. 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. No security is granted by the Issuer in favour of the Note Holders or granted in favour of the Issuer by either the Intermediate Fund or the Asset Level Issuer. Therefore, the rights of the Note Holders (both directly and indirectly) through the Trustee are very limited. The Trustee s role post-enforcement is principally to facilitate communication between the Note Holders and to authorise certain non-material amendments of the Transaction Documents on behalf of the Note Holders, provided it is so directed by the Note Holders pursuant to a Written Direction and provided that it is indemnified, pre-funded and/or secured to its satisfaction. 19. TRUSTEE AND PAYING AGENT Under the Trust Deed, the Trustee is entitled to be indemnified, pre-funded, secured and relieved from liabilities in certain circumstances and to be paid its costs, fees 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 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 liabilities in certain circumstances as set out in the Agency Agreement and to be paid its costs, fees and expenses in priority to the claims of the Note Holders. The Issuer reserves the right (with the prior approval of the Note Holders and Trustee acting pursuant to a Written Direction) to terminate the appointment of the Paying Agent in accordance with the provisions of the Agency Agreement. 67

69 20. 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, 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 taking proceedings to obtain a declaration or judgment as to the obligations of the Issuer under to the Conditions and the Issuer 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. 21. CERTAIN PERMITTED DISCLOSURES Notwithstanding anything in the other Issuer Transaction Documents to the contrary, each Note Holder may disclose: (i) the name and the logo of the Issuer and the Portfolio Manager, respectively (if any); (ii) the Issuer's jurisdiction of organization; (iii) the Issuer's total net asset value; (iv) the amount of such Note Holder's investment in the Issuer; (v) such Note Holder's percentage of the Issuer's net asset value; (vi) the net asset value of the Note Holder's Notes and any changes in such net asset value relative to prior periods; and (vii) an outline description of the Issuer's investment strategy as described in this Prospectus Each Note Holder may also disclose any information related to the Issuer and the Notes to public authorities having authority over such Note Holder, including without limitation the Danish Financial Supervisory Authority, in each case upon their request, without being in breach of the Issuer Transaction Documents The Issuer will not deny access to any Note Holder any reports, books, and/or records concerning the Issuer that it provides to any other Note Holders that are not affiliated with the Portfolio Manager Any confidentiality agreement to which a Note Holder may be required to agree to in order to access any website maintained by the Portfolio Manager or the Issuer for the purpose of making certain documents available or delivering notices to the Note Holders will be subject to the confidentiality provisions of the Issuer Transaction Documents. 68

70 CLEARING AND SETTLEMENT ARRANGEMENTS The information set out below is subject to any change in or reinterpretation of the rules, regulations and procedures of Euroclear or Clearstream, Luxembourg (together, the "Clearing Systems") currently in effect. The information in this section concerning the Clearing Systems has been obtained from sources that the Issuer believes to be reliable, but none of the Issuer, the Trustee, the Agents or the Portfolio Manager takes any responsibility for the accuracy of this section. Investors wishing to use the facilities of any of the Clearing Systems are advised to confirm the continued applicability of the rules, regulations and procedures of the relevant Clearing System. None of the Issuer and any other party to the Agency Agreement will have any responsibility or liability for any aspect of the records relating to, or payments made on account of, beneficial ownership interests in the Notes held through the facilities of any Clearing System or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests. Clearing Systems Euroclear and Clearstream, Luxembourg Euroclear and Clearstream, Luxembourg each hold securities for their customers and facilitate the clearance and settlement of securities transactions by electronic book-entry transfer between their respective account holders. Euroclear and Clearstream, Luxembourg provide various services including safekeeping, administration, clearance and settlement of internationally traded securities and securities lending and borrowing. Euroclear and Clearstream, Luxembourg also deal with domestic securities markets in several countries through established depositary and custodial relationships. Euroclear and Clearstream, Luxembourg have established an electronic bridge between their two systems across which their respective participants may settle trades with each other. Euroclear and Clearstream, Luxembourg customers are worldwide financial institutions, including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations. Indirect access to Euroclear and Clearstream, Luxembourg is available to other institutions that clear through or maintain a custodial relationship with an account holder of either system. Registration and Form Book-entry interests in the Notes held through Euroclear and Clearstream, Luxembourg will be represented by the Global Certificate registered in the name of a nominee of, and held by, a common depositary for Euroclear and Clearstream, Luxembourg. Beneficial ownership of book-entry interests in Notes will be held through financial institutions as direct and indirect participants in Euroclear and Clearstream, Luxembourg. The aggregate holdings of book-entry interests in the Notes in Euroclear and Clearstream, Luxembourg will be reflected in the book-entry accounts of each such institution. Euroclear or Clearstream, Luxembourg, as the case may be, and every other intermediate holder in the chain to the beneficial owner of book-entry interests in the Notes will be responsible for establishing and maintaining accounts for their participants and customers having interests in the book-entry interests in the Notes. The Paying Agent will be responsible for maintaining a record of the aggregate holdings of Notes registered in the name of a common nominee for Euroclear and Clearstream, Luxembourg or, if individual Definitive Certificates are issued in the limited circumstances described under "The Global Certificates Registration of Title", holders of Notes represented by those individual Definitive Certificates. The Paying Agent will be responsible for ensuring that payments received by it from the Issuer for holders of book-entry interests in the Notes holding through Euroclear and Clearstream, Luxembourg are credited to Euroclear or Clearstream, Luxembourg, as the case may be. The Issuer will not impose any fees in respect of holding the Notes; however, holders of book-entry interests in the Notes may incur fees normally payable in respect of the maintenance and operation of accounts in Euroclear or Clearstream, Luxembourg. Clearing and Settlement Procedures Initial Settlement Upon their original issue, the Notes will be in global form represented by the Global Certificate. Interests in the Notes will be in uncertified book-entry form. Book-entry interests in the Notes will be credited to Euroclear and Clearstream, Luxembourg participants' securities clearance accounts on the business day following the Closing 69

71 Date against payment (value the Closing Date), in accordance with usual settlement procedures applicable to conventional Eurobonds. Secondary Market Trading Secondary market trades in the Notes will be settled by transfer of title to book-entry interests in the Clearing Systems. Title to such book-entry interests will pass by registration of the transfer within the records of Euroclear or Clearstream, Luxembourg, as the case may be, in accordance with their respective procedures. Book-entry interests in the Notes may be transferred within Euroclear and within Clearstream, Luxembourg and between Euroclear and Clearstream, Luxembourg in accordance with procedures established for these purposes by Euroclear and Clearstream, Luxembourg. General None of Euroclear or Clearstream, Luxembourg is under any obligation to perform or continue to perform the procedures referred to above, and such procedures may be discontinued at any time. None of the Issuer, the Trustee or any of their agents will have any responsibility for the performance by Euroclear or Clearstream, Luxembourg or their respective participants of their respective obligations under the rules and procedures governing their operations or the arrangements referred to above. 70

72 USE OF PROCEEDS The initial net proceeds from the issuance of the Notes is USD 180,000,000, being the amount of the Subscription Amount (the "Initial Proceeds"). The Issuer may raise up to USD 2,000,000,000 Stated Amount of the Notes provided that the Note Holders make additional instalment payments on the Notes by way of Principal Borrowings in accordance with Condition 10 (Principal Borrowing) (the "Deferred Proceeds"). The Initial Proceeds and the Deferred Proceeds (together the "Proceeds") will be credited to the Transaction Account. It is expected that the Issuer will apply substantially all of the Proceeds (other than legal or professional fees and expenses) towards acquiring (through the Intermediate Fund) its interests in the Asset Level Notes. 71

73 DESCRIPTION OF THE ISSUER General The Issuer is a private company with limited liability incorporated in Ireland on 27 May 2014 under the Companies Acts, 1963 to 2013 with registered number The registered office of the Issuer is Office G03, Fitzwilliam Business Centre, 77 Sir John Rogerson's Quay, Dublin 2 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, entering into the Partnership Agreement and acquiring the Limited Partnership Interests in the Intermediate Fund (see "Description of the Intermediate Fund" for further details of the Intermediate Fund). 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 Issuer Transaction Documents, the entry into the Limited Partnership Agreement and any and all other activities relating to the transactions described in this Prospectus. The Issuer has been established for the purpose of issuing the Notes, entering into the Limited Partnership Agreement and entering into the Issuer Transaction Documents. Since its date of incorporation, the Issuer has conducted no business other than negotiating and entering into the Issuer Transaction Documents, negotiating and entering into the Limited Partnership Agreement, opening the Issuer Account and the Transaction Account and other activities relating thereto. 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 Asset Level Notes by various means including, inter alia, the issue of Notes and the borrowing of monies; (b) entering into hedging and other related arrangements; (c) owning and exercising its rights in respect of the Asset Level Notes and its interests therein and performing its obligations in respect of the Asset Level Notes; (d) preserving and/or exercising and/or enforcing any of its rights in and performing and observing its obligations under the Issuer 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 of the Issuer; 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 EUR 20,000 (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 release any party to any Transaction Document from its obligations thereunder or amend supplement or otherwise modify any Issuer Transaction Documents to which it is a party if such a 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 services agreement dated 25 July 2014, pursuant to which Sanne Corporate Services (Ireland) Limited acts as corporate services provider to 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 Rory Williams, members of the board of directors of the Issuer, are also directors of the Corporate Services Provider and the Asset Level Issuer. 72

74 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 Sanne Nominees Limited, a private company with limited liability registered in Jersey as nominee and on behalf of Sanne Corporate Services (Ireland) Limited (the "Share Trustee") under the terms of a declaration of trust (the "Share Trust Agreement") under which 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 addresses, their positions within the Issuer and their other principal activities are as follows: Name Address Position with the Issuer Occupation Peter O'Leary 15 Farney Park Director Company Director Sandymount Dublin 4 Ireland Rory Williams 17 Seven Oaks Director Company Director Drumcondra Dublin 9 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 27 May 2014, the date of incorporation of the Issuer and will end on 31 December The Issuer does not prepare interim financial information. No financial statements have been made up to the date of this Prospectus. Shareholders The sole shareholder of the Issuer is the Share Trustee. The Share Trustee is described above in "Capital Stock and Ownership". 73

75 DESCRIPTION OF THE INTERMEDIATE FUND General The Issuer invests in the Asset Level Notes through the Intermediate Fund. The Intermediate Fund was formed as an exempted limited partnership in the Cayman Islands and registered on May 22, 2014 with the Registrar of Exempted Limited Partnerships in the Cayman Islands with registration number 74921, under the provisions of the Exempted Limited Partnership Law 2014 of the Cayman Islands (the ELP Law ). The Intermediate Fund is not a regulated entity. The registered office of the Intermediate Fund is Maples Corporate Services Limited, PO Box 309, Ugland House, Grand Cayman, KY1-1104, Cayman Islands and its telephone number is On formation of the Intermediate Fund the sole partners were ICE Global Credit (DCAM) GP Co., LLC as General Partner, and a nominee as the initial limited partner. Pursuant to the amended and restated limited partnership agreement dated on or about 3 September 2014 (the "Limited Partnership Agreement"), the initial limited partner retired and was replaced with the Issuer as sole limited partner. Accordingly, on the date of this Prospectus the sole partners of the Intermediate Fund are the General Partner and the Issuer as Limited Partner. The Intermediate Fund is not part of a group and does not have any subsidiaries. Purpose of the Intermediate Fund The sole objects and purpose of the Intermediate Fund are, as set out in Clause 1.6 of the Limited Partnership Agreement, to act as sole holder of the Asset Level Notes and to engage in such other activities and transactions, and to enter into, make and perform such contracts, agreements and other undertakings, as may be necessary or advisable in connection with that object and purpose. The Intermediate Fund will not avail of borrowing or leverage. Financial Information of the Intermediate Fund Since the date of its formation, the Intermediate Fund has conducted no business, has not entered into any material transactions or material contracts and no financial statements of the Intermediate Fund have been made up. Since the date of formation of the Intermediate Fund, there has been no significant change in the financial or trading positing of the Intermediate Fund. Since the date of formation of the Intermediate Fund no governmental, legal or arbitration proceedings have arisen which may have or have had a significant effect on the Intermediate Fund's financial position or profitability, nor, as far as the Intermediate Fund is aware, are there any such proceedings pending or threatened. The Limited Partnership Agreement The Intermediate Fund is governed by the Limited Partnership Agreement. For so long as any Notes remain outstanding, a copy of the Limited Partnership Agreement may be inspected in physical form at the registered office of the Issuer during usual business hours on any day (Saturdays, Sundays and Public Holidays excepted). All assets of the Intermediate Fund are held by the General Partner on trust for the partners in the Intermediate Fund. Management of the Intermediate Fund The general partner of the Intermediate Fund is the General Partner since the date of formation of the Intermediate Fund. The management and operation of the Intermediate Fund is vested solely and exclusively in the General Partner. The General Partner has the power to carry out any and all of the objects and purposes of the Intermediate Fund. The powers of the General Partner are very broad and are set forth in the Limited Partnership Agreement (for further information see "Summary of the Principal Rights and Obligations of the General Partner under the Limited Partnership Agreement" below). The General Partner is required to exercise its management and control of the Intermediate Fund in accordance with the ELP Law and the terms of the Limited Partnership Agreement. 74

76 The Limited Partner has no part in the management or operation of the Intermediate Fund. The General Partner The General Partner is a limited liability company formed under the laws of the State of Delaware, United States. The General Partner is managed by the Portfolio Manager as the sole managing entity of the General Partner. However, this does not give rise to any conflicts or potential conflicts of interest other than in circumstances where the Portfolio Manager acts in its capacity as Portfolio Manager to the Asset Level Issuer. In these circumstances, potential conflicts of interest may arise where the Portfolio Manager (or any of its associated persons) engages in any transactions for its (or their) own account and for the account of others, which could include the purchase or sale of securities which may also be purchased or sold by the Asset Level Issuer. In connection with those transactions, the Portfolio Manager may use information which may have become known to it by virtue of its services to the Asset Level Issuer. These potential conflicts of interest are managed in the following ways. Firstly, the Portfolio Manager will not, without the consent of the Asset Level Issuer, cause the Asset Level Issuer to purchase any asset from or sell any asset to the Portfolio Manager or any of its affiliates, or sell ahead or buy ahead of the Asset Level Issuer in order to obtain more favourable pricing for similar trades for its own account or for the account of others. Secondly, the Portfolio Manager represents to the Asset Level Issuer that any and all material conflicts of interest relating to the management and trading of the Portfolio involving the Portfolio Manager, its principals, employees and agents, have been disclosed to the Asset Level Issuer, and agrees to disclose promptly to the Asset Level Issuer any such conflicts of interest that may arise during the term of the Portfolio Management Agreement. Thirdly, the Portfolio Manager does not intend to act as principal in either buying securities for itself or its affiliates from the Asset Level Issuer or selling securities it or its affiliates own to the Asset Level Issuer. However, if the Portfolio Manager decides to engage in any such principal transaction in the future, it will (a) refrain from engaging in such transactions without the prior written consent of Danske Capital and (b) comply with 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 and the Asset Level Issuer in writing the material terms of the transaction; and (2) obtaining the written consent of the Issuer and the Asset Level Issuer. The Portfolio Manager will include in such disclosure: (i) its capacity as principal; (ii) the price of the security to the Portfolio Manager in the case of a sale to the Asset Level Issuer, or the price of the security in a resale, in the case of a purchase from the Asset Level 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 Asset Level Issuer than the purchase or sale with the Portfolio Manager. Independent Auditors The independent auditors of the Intermediate Fund are Deloitte & Touche, an accountancy firm which are chartered accountants qualified to practice in the Cayman Islands and who are a member of the Cayman Islands Society of Professional Accountants. Financial Year The financial year of the Intermediate Fund begins on 1 January of each year and terminates on 31 December of the same year. The first financial year began on 22 May 2014, the date of formation of the Intermediate Fund and will end on 31 December Partners & Ownership The General Partner and the Limited Partner are the sole partners in the Intermediate Fund. The Intermediate Fund has issued limited partnership interests to the Limited Partner and general partner interests to the General Partner. The Intermediate Fund has not issued any other partnership interests and it is not envisaged that any new limited partners will be admitted to the Intermediate Fund. The initial investment of the General Partner and the Limited Partner in the Intermediate Fund was 181,000,

77 Registration under the ELP Law entails that the Intermediate Fund becomes subject to, and the limited partners therein are afforded the limited liability (subject to the partnership agreement) and other benefits of, the ELP Law. The General Partner will be liable for all debts and obligations of the Intermediate Fund to the extent that the Intermediate Fund has insufficient assets. As a general matter, a limited partner of an exempted limited partnership will not be liable for the debts and obligations of the exempted limited partnership save (i) as expressed in the partnership agreement, (ii) if such limited partner becomes involved in the conduct of the partnership's business and holds himself out as a general partner to third parties or (iii) if such limited partner is obliged pursuant to the ELP Law to return a distribution made to it where the exempted limited partnership is insolvent and the limited partner has actual knowledge of such insolvency at that time. Notwithstanding registration, an exempted limited partnership is not a separate legal person distinct from its partners. Under Cayman Islands law, any property of the exempted limited partnership shall be held or deemed to be held by the general partner, and if more than one then by the general partners jointly, upon trust as an asset of the partnership in accordance with the terms of the partnership agreement. Similarly, any debts or obligations incurred by the general partner in the conduct of the Intermediate Fund's business are the debts and obligations of the exempted limited partnership. Registration under the ELP Law entails that the partnership becomes subject to, and the limited partners therein are afforded the limited liability (subject to the partnership agreement) and other benefits of the ELP Law. Distributions The Intermediate Fund does not have a dividend policy. Gains and losses on the Asset Level Note are reflected in the capital of the Intermediate Fund from which the Issuer, in its role as limited partner, may make withdrawals to the extent of its limited partnership interest and subject to the Limited Partnership Agreement. Requests for Information The Intermediate Fund, the General Partner or any of their agents domiciled in the Cayman Islands may be compelled to provide information, subject to a request for information made by a regulatory or governmental authority or agency under applicable law; e.g. by the Cayman Islands Monetary Authority, either for itself or for a recognised overseas regulatory authority, under the Monetary Authority Law (2013 Revision), or by the Tax Information Authority, under the Tax Information Authority Law (2013 Revision) or Reporting of Savings Income information (European Union) Law (2007 Revision) and associated regulations, agreements, arrangements and memoranda of understanding. Disclosure of confidential information under such laws shall not be regarded as a breach of any duty of confidentiality and, in certain circumstances, the Intermediate Fund, the General Partner and any of their agents may be prohibited from disclosing that the request has been made. In addition, if any person resident in the Cayman Islands (including the Intermediate Fund and the General Partner) knows or suspects or has reasonable grounds for knowing or suspecting that another person is engaged in criminal conduct or is involved with terrorism or terrorist property and the information for that knowledge or suspicion came to their attention in the course of business in the regulated sector, or other trade, profession, business or employment, the person will be required to report such knowledge or suspicion to (i) the Financial Reporting Authority of the Cayman Islands, pursuant to the Proceeds of Crime Law, 2008 of the Cayman Islands if the disclosure relates to criminal conduct or money laundering, or (ii) a police officer of the rank of constable or higher, or the Financial Reporting Authority pursuant to the Terrorism Law (2011 Revision) of the Cayman Islands if the disclosure relates to involvement with terrorism or terrorist financing and property. Such a report shall not be treated as a breach of confidence or of any restriction upon the disclosure of information imposed by any enactment or otherwise. The Intermediate Fund is not required to register or be regulated as a mutual fund under the Mutual Funds Law (2013 Revision) of the Cayman Islands. Neither the Cayman Islands Monetary Authority nor any other governmental authority in the Cayman Islands has commented upon or approved the terms or merits of the Prospectus. There is no investment compensation scheme available to investors in the Cayman Islands. Summary of the Principal Rights and Obligations of the General Partner under the Limited Partnership Agreement The Limited Partnership Agreement provides that the management and operation of the Limited Partnership will be vested exclusively in the General Partner, who has the power by itself, on behalf and in the name of the Limited Partnership, to carry out any and all of the objects and purposes of the Partnership. As noted above, the object and purpose of the Limited Partnership are to act as sole holder of the Asset Level Notes and to 76

78 engage in such other activities and transactions, and to enter into, make and perform such contracts, agreements and other undertakings, as may be necessary or advisable in connection with this. The General Partner has a number of rights and obligations pursuant to the Limited Partnership Agreement which include, inter alia: to pay the Management Fee and the Limited Partnership's share of the costs and expenses incurred in connection with the establishment of the Asset Level Issuer, the Intermediate Fund and the Issuer; to exercise the right to redeem all or part of the Asset Level Notes to facilitate payment of Redemption Amounts and fees and expenses; to liaise with the Portfolio Manager in order to determine the value of the Asset Level Notes; to establish and maintain the Capital Accounts which will record, in respect of the each Note Holder, payments by that Note Holder to, and receipts by that Note Holder from, the Issuer, accrued Interest (positive and negative amounts), and Incentive Allocation and Management Fee attributable to that Note Holder's holding of Notes; and to perform certain calculations. Standard of Care and Indemnity The Limited Partnership Agreement provides that the General Partner and its affiliates will not be liable to the Limited Partnership or to the Issuer for any claim, loss, cost, indebtedness, liability, settlement or expense (including, without limitation, court costs, attorneys fees and expenses, costs of investigation, expert witness fees, taxes and penalties) suffered by the Limited Partnership or the Issuer that arises out of any action or inaction of the General Partner or its affiliates if such General Partner or affiliates' course of conduct did not constitute wilful misconduct, gross negligence, fraud or criminal wrongdoing in or about the conduct of the Limited Partnership s business or affairs or in the execution or discharge of the General Partner or affiliates' duties, powers, authorities or discretions or a material breach of the Limited Partnership Agreement (the GP Standard of Care ). The Limited Partnership Agreement also provides that the Limited Partnership will indemnify and hold the General Partner and its affiliates harmless from and against, and will reimburse the General Partner or affiliate 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 the General Partner or any affiliate; provided, that such claims, losses, costs, indebtedness, liabilities, settlements and expenses are not a result of the General Partner or its affiliate's violation of the GP Standard of Care. 77

79 DESCRIPTION OF THE ASSET LEVEL ISSUER General The Asset Level Issuer is a private company with limited liability incorporated in Ireland on 27 May 2014 under the Companies Acts, 1963 to 2013 with registered number The registered office of the Asset Level Issuer is Office G03, Fitzwilliam Business Centre, 77 Sir John Rogerson's Quay, Dublin 2 and its telephone number is The Asset Level Issuer is registered and domiciled in Ireland. The Asset Level Issuer has been established as a special purpose vehicle for the purpose of issuing an asset backed note and purchase of the Portfolio Assets (See "The Portfolio of the Asset Level Issuer"). The principal objects of the Asset Level Issuer are set out in Clause 2 of its Memorandum of Association and permit, inter alia, the issuance of the Asset Level Notes, entering into of the Asset Level Issuer Transaction Documents, the purchase and origination of the Portfolio Assets and any and all other activities relating thereto. The Asset Level Issuer has been established for the purpose of acquiring the Portfolio, issuing the Asset Level Notes and entering into the Asset Level Issuer Transaction Documents. Since its date of incorporation, the Asset Level Issuer has conducted no business other than negotiating and entering into the Asset Level Issuer Transaction Documents, opening the certain accounts and other activities relating thereto. The Asset Level Issuer currently has no subsidiaries. The Asset Level Issuer entered into a corporate services agreement dated 25 July 2014, pursuant to which the Corporate Services Provider acts as corporate services provider to the Asset Level Issuer. 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 Rory Williams, members of the board of directors of the Asset Level Issuer, are also directors of the Corporate Services Provider and the Issuer. Since the date of incorporation of the Asset Level Issuer no governmental, legal or arbitration proceedings have arisen which may have or have had a significant effect on the Asset Level Issuer's financial position or profitability, nor, as far as the Asset Level Issuer is aware, are there any such proceedings pending or threatened. Capital Stock and Ownership The authorised share capital of the Asset Level 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 Sanne Nominees Limited, a private company with limited liability registered in Jersey as nominee and on behalf of the Share Trustee under the terms of a declaration of trust (the "Share Trust Agreement") under which the Share Trustee holds the benefit of the shares in trust for charitable purposes. Management The members of the board of directors of the Asset Level Issuer, their addresses, their positions within the Asset Level Issuer and their other principal activities are as follows: Name Address Position Occupation Peter O'Leary 15 Farney Park Director Company Director Sandymount Dublin 4 Ireland Rory Williams 17 Seven Oaks Director Company Director Drumcondra, Dublin 9 78

80 The directors of the Asset Level Issuer are also directors of the Corporate Services Provider and of the Issuer. There are no conflicts or potential conflicts of interest between the duties of the directors of the Asset Level Issuer to the Asset Level Issuer and their private interests or other duties. Independent Auditors The independent auditors of the Asset Level 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 Asset Level Issuer begins on 1 January of each year and terminates on 31 December of the same year. The first financial year began on 27 May 2014, the date of incorporation of the Asset Level Issuer and will end on 31 December The Asset Level Issuer does not prepare interim financial information. No financial statements have been made up to the date of this Prospectus. Shareholders The sole shareholder of the Asset Level Issuer is the Share Trustee. The Share Trustee is described above in "Capital Stock and Ownership". Further information regarding the foregoing is contained in Listing Particulars of the Asset Level Issuer. 79

81 SUMMARY OF THE PRINCIPAL DOCUMENTS The following is a summary of the terms of the principal agreements to be entered into by the Issuer in connection with the Notes (in each case the relevant "Issuer Transaction Documents"). The Note Holders are deemed to have notice of, are bound by, and are entitled to the benefit of, all the provisions of the relevant Issuer Transaction Documents. The statements in this Prospectus are summaries of the relevant Issuer Transaction Documents, and are subject to the detailed provisions of the relevant Issuer Transaction Documents. THE PORTFOLIO MANAGEMENT AGREEMENT The investment management functions described herein are subject to the terms of, and will be performed by the Portfolio Manager pursuant to authority granted to the Portfolio Manager by the Issuer under the Portfolio Management Agreement. The Portfolio Management Agreement provides that the Portfolio Manager will act on behalf of the Issuer in relation to its investments. Expenses The Intermediate Fund shall pay or otherwise bear its share of the costs and expenses incurred in connection with the organisation of, and the initial offering and sale of interests in, the Investment Complex (other than any fees of a placement agent), including the legal costs and expenses of counsel to the Portfolio Manager (including those relating to blue sky laws, non-united States securities laws and regulatory compliance), the reasonable travel expenses of the Portfolio Manager, and out-of-pocket accounting, printing and filing fees and expenses (collectively, the Organisational Expenses ). The Intermediate Fund will pay, reimburse the General Partner or its affiliates or otherwise bear its share of all costs, fees and expenses incurred by or on behalf of the Investment Complex in connection with its management and operation, including all: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) costs, fees and expenses related to the ongoing offering and sale of the Notes, Intermediate Fund interests, and the Asset Level Issuer s debt and equity interests (which, for the avoidance of doubt, shall not include Organisational Expenses); third party costs, fees and expenses relating to investor communications and relations, accounting and the preparation and mailing of financial, tax and performance reports to partners of the Intermediate Fund or Note Holders; allocable fees and costs of maintaining the Investment Complex s affiliated investment advisor registration and compliance expenses; filing and recording fees of the Investment Complex; allocable fees and costs of maintaining indemnification and liability insurance for the General Partner and its affiliates and the directors of the Issuer and the Asset Level Issuer; expenses incurred in connection with actual and potential investments by the Investment Complex, including brokerage commissions, custodial fees, research expenses, quotation services, travel costs, all fees and expenses relating to the registration and qualification for sale of such securities and all transfer taxes; taxes (but not taxes on the income of the General Partner or its affiliates) of the Investment Complex; interest expense and any indemnification expense of the Investment Complex; fees and disbursements of the independent administrators, attorneys, accountants and consultants of the Investment Complex, including the costs of negotiating and implementing the Investment Complex s financing agreements and investments; and 80

82 (x) other fees or expenses of the Investment Complex or the General Partner and its affiliates that, in the determination of the General Partner or the Issuer, are reasonably incurred in connection with the operation of the business, the offering of Intermediate Fund limited partnership interests, the Notes and the Asset Level Issuer s debt and equity interests, or the maintenance of the Investment Complex or the General Partner and its affiliates; provided, however, that to the extent that the expenses itemised in clauses (i)-(v) above exceed the greater of $500,000 or 0.28% of the Intermediate Fund s net asset value in any fiscal year (calculated as an average over such fiscal year), such excess shall be borne by the General Partner or its affiliates (other than the Investment Complex). The material element of the Organisational Expenses comprises the legal fees of counsel to the Portfolio Manager, which is USD 590,000. These fees are calculated on the basis of the actual time and costs incurred by legal counsel and provided to the Portfolio Manager by counsel to the Portfolio Manager. The fees are based on an average hourly rate of legal counsel of approximately USD 522. The material ongoing fees payable that result from arrangements entered into on or prior to the Closing Date are the fees relating to the management of the Portfolio of the Asset Level Issuer, being the Management Fee, estimated to be a maximum of 0.875% of the value of the Portfolio at each month end, and the Incentive Allocation. Calculation of the Incentive Allocation is described under Terms and Conditions of the Notes Condition 7 (Intermediate Fund Capital Accounts). The Investment Complex will not bear office rent or salary or other compensation expenses of the Portfolio Manager s employees or the employees of its affiliates. As payment of the expenses described above will be made from the resources of the Intermediate Fund, which will consist substantially of returns to the Intermediate Fund on the Asset Level Notes, the expenses will in effect reduce the return on the Notes. Conflicts of Interest Nothing in the Portfolio Management Agreement shall restrict the ability of the Portfolio 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 Portfolio Manager may use information which may have become known to the Portfolio Manager by virtue of its services thereunder; provided, however, that the Portfolio Manager shall not, without the consent of the Issuer, cause the Issuer to purchase any asset from or sell any asset to the Portfolio 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 Portfolio Manager represents that any and all material conflicts of interest relating to the management and trading of the Portfolio involving the Portfolio 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 Portfolio Manager does not intend to act as principal in either buying securities for itself or its affiliates from the Investment Complex or selling securities it or its affiliates own to the Investment Complex. However, in the event that the Portfolio Manager decides to engage in any such principal transaction in the future, it will (a) refrain from engaging in such transaction without the prior written consent of Danske Capital, and (b) 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. Calculation of Interest on the Notes The Portfolio Manager shall, on the Issuer's behalf, calculate the amount of any Interest accrued on each Note in respect of an Accrual Period and notify the Issuer, the Trustee, the Paying Agent, the Registrar and the Note Holders in accordance with Condition 16 (Notices to the Note Holders) of the results of such determination as soon as reasonably practicable. 81

83 Termination Automatic Termination: The Portfolio Management Agreement shall continue until the repayment in full of all amounts owing under or in respect of the Notes and all other amounts owing to the Note Holders unless it is terminated upon 90 days' prior written notice by one party to the other party. Removal of the Portfolio Manager: Under the Portfolio Management Agreement, the Portfolio Manager may be removed upon written notice by the Issuer if (i) the Portfolio Manager materially breaches the Portfolio Management Agreement which breach is not cured after reasonable notice, (ii) the Portfolio Manager becomes insolvent, (iii) the Portfolio 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 Portfolio Manager to perform any obligation under the Portfolio Management Agreement. Such termination will be without payment of any penalty and shall subject to the proviso that no such termination shall take effect until a replacement Portfolio Manager is appointed. Replacement Portfolio Manager No termination of its Portfolio Manager will be effective unless an Eligible Successor has agreed to assume all the duties and obligations of the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager in the assumption of all of the responsibilities, duties and obligations of the Portfolio Manager; (iii) will perform its duties as Portfolio 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 Portfolio 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 Portfolio Manager by the Issuer Pursuant to the terms of the Portfolio Management Agreement, the Issuer will indemnify and hold the Portfolio Manager, its affiliates, and their respective owners, directors, officers, trustees, employees, agents and representatives (each an "ICE Canyon Person") harmless from and against, and shall reimburse such ICE Canyon 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 ICE Canyon 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 ICE Canyon Person's wilful misconduct, gross negligence, fraud or criminal wrongdoing in or about the conduct of the Issuer's business or affairs or in the execution or discharge of its duties, powers, authorities or discretions (the "Standard of Care"). No ICE Canyon 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 ICE Canyon Person provided that such claims, losses, costs, indebtedness, liabilities, settlements and expenses are not as a result of the ICE Canyon Person's violation of the Standard of Care. Governing Law The Portfolio Management Agreement is governed by, and construed in accordance with, the laws of the State of Delaware. 82

84 THE TRUST DEED General The Trustee will be appointed pursuant to the Trust Deed to represent the interests of the Note Holders and will agree to hold the benefit of the covenants of the Issuer contained in the Trust Deed on trust for the Note Holders. Among other things, the Trust Deed: (a) (b) (c) (d) (e) (f) (g) (h) sets out when, and the terms upon which, the Trustee will be entitled or obliged, as the case may be, to take steps to enforce the Issuer's obligations under the Notes (or certain other relevant documents); (contains various covenants of the Issuer relating to repayment of principal and payment of interest in respect of the Notes, to the conduct of its affairs generally and to certain ongoing obligations connected with its issuance of the Notes; provides for the remuneration of the Trustee, the payment of expenses incurred by it in the exercise of its powers and the performance of its duties and provides for the indemnification of the Trustee against liabilities, losses and costs arising out of the Trustee's exercise of its functions; provides that the determinations of the Trustee will be conclusive and binding on the Note Holders; sets out the extent of the Trustee's powers and discretions, including its rights to delegate the exercise of its powers or duties to appoint agents, to seek and act upon the advice of certain experts and to rely upon certain documents without further investigation; sets out the scope of the Trustee's liability for any fraud, negligence or wilful default in connection with the exercise of its functions; sets out the terms upon which the Trustee may, only if it is directed to do so by an Extraordinary Resolution of the Note Holders, determine that an Event of Default shall not be treated as such; and sets out the requirements for an organisation of meetings of the Note Holders. The Trust Deed also contains provisions governing the retirement or removal of the Trustee and the appointment of a successor trustee. The Trustee may at any time and for any reason resign as Trustee upon giving not less than 90 days' prior written notice to the Issuer and the Note Holders and without being responsible for any liabilities incurred by reason of such retirement. The Note Holders acting by Extraordinary Resolution may together remove the Trustee from office. No retirement or removal of the Trustee (or any successor trustee) will be effective until a successor trustee has been appointed. The appointment of a successor trustee will be made by the Issuer or, where the Trustee has given notice of its resignation and the Issuer has failed to make any such appointment by the expiry of the applicable notice period, by the Trustee itself. Governing law The Trust Deed and any non-contractual obligations arising out of or in connection with it will be governed by, and construed in accordance with, Irish law. THE AGENCY AGREEMENT General Upon and subject to the terms of the Agency Agreement the Issuer will, inter alia, (a) appoint the Paying Agent and the Registrar as its agent in relation to the Notes. The Paying Agent will be appointed as the Issuer's agent 83

85 in respect of making payments of principal and interest on the Notes in accordance with the Agency Agreement, the Conditions and the Trust Deed, and for performing such other duties as are reasonably incidental thereto. Resignation and termination An Agent may resign its appointment upon not less than 60 days' prior written notice to the Issuer and the Trustee and, where appropriate, the Paying Agent, subject to the further provisions of the Agency Agreement. The Issuer may with the prior approval of the Trustee forthwith terminate without notice the appointment of any Agent if at any time: The Issuer shall give notice thereof to the Trustee and the Note Holders in accordance with the Conditions. The Agency Agreement also provides for the Issuer or the Paying Agent to appoint further agents in accordance with the terms of the Agency Agreement. Governing law The Agency Agreement and all non-contractual obligations arising out of or in connection with such agreement will be governed by and will be construed in accordance with Irish law. THE PROFESSIONAL SERVICES AGREEMENT General The Administrator has been retained to perform administrative services for Issuer, the Intermediate Fund and the Asset Level Issuer pursuant to the Professional Services Agreement. The Administrator provides certain services to the Issuer as set out in detail in the Professional Services Agreement. The Administrator has no implied duties. The Administrator may employ agents or delegate or subcontract certain of its duties or functions pursuant to the terms and conditions of the Professional Services Agreement. The Professional Services Agreement does not create any contractual rights against, or right to rely upon, the Administrator by any Note Holder. The 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 Administrator in the performance of its responsibilities under the Professional Services Agreement; provided that the 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 Administrator or its affiliates in connection with the performance of their duties under the Professional Services Agreement and such act or omission constitutes gross negligence, wilful misconduct or fraud. In no event will the aggregate liabilities of the Administrator for Claims arising out of its provision of administrative services to the Issuer, the Intermediate Fund and the Asset Level Issuer be in excess of $6,000,000. Subject to the foregoing, the Administrator is obligated to indemnify the Issuer against all claims that arise out of the Administrator's performance of the services if (i) the conduct of the Administrator or its agents giving rise to such claims constituted gross negligence, fraud or wilful misconduct; and (ii) such claims did not arise from the negligence, wilful misconduct or breach of the Professional Services Agreement by the Issuer. The Administrator will not be liable to the Issuer or to any investor for any special, indirect, punitive, incidental or consequential damages. The Issuer is obligated to indemnify and hold the Administrator harmless from and against any and all Claims that arise out of the Administrator's performance of its responsibilities under the Professional Services Agreement if the conduct of the Administrator giving rise to such Claims did not constitute negligence, willful misconduct or breach of the Professional Services Agreement. The Issuer will pay the Administrator an administration fee, as set forth in the Professional Services Agreement. In addition, all reasonable out-of-pocket expenses incurred by the Administrator on behalf of the Issuer will be reimbursed to the Administrator on a quarterly basis. Term and Termination 84

86 As of each January 1, the Professional Services Agreement will automatically renew for an additional one year term until terminated by either party by giving not less than 60 days prior written notice or otherwise in accordance with the Professional Services Agreement. The Professional Services Agreement may be amended with the written consent of the parties thereto. Either party may terminate the Professional Services Agreement upon not less than 60 days' prior written notice to the Issuer subject to the further provisions of the Professional Services Agreement. Either party may terminate the Professional Services Agreement by providing written notice to the other party if the other party commits a material breach of the Professional Services Agreement and the defaulting party fails to remedy such breach with 15 business days of receipt of notice from the other party requiring it to do so. Either party may automatically terminate the Professional Services Agreement on the occurrence of certain events including an insolvency event. Governing Law The Professional Services Agreement will be governed by and will be construed in accordance with the laws of the State of Delaware. The Intermediate Fund and the Asset Level Issuer have retained the Administrator to perform portfolio administration service pursuant to a professional services agreement on substantially similar terms to the Portfolio Services Agreement. 85

87 ALLOCATION OF PROFITS AND LOSSES AND FUNDS FOR REDEMPTION OF THE NOTES Return on the Notes The return on the Notes will be derived from gains and losses on the Portfolio of the Asset Level Issuer. These gains and losses will accrue to the Issuer through its interest (as Limited Partner in the Intermediate Fund) in the Asset Level Notes, and will be passed on to the Note Holders as Interest, which will be added to (if positive) or deducted from (if negative) the Paid-Up Amount of the Notes at the end of each Accrual Period. Accordingly, the return on the Notes will be accumulated in the Paid-Up Amount of the Notes, and Note Holders may access this by redeeming their Notes in whole or in part in accordance with the Conditions. Capital Accounts and tracking of Paid-Up Amount In order to track gains and losses from the Portfolio through to the Notes, the General Partner, pursuant to the Limited Partnership Agreement, will establish and maintain accounts in respect of itself and each Note Holder ("Capital Accounts" and each a "Capital Account"). The Capital Accounts will record, in respect of each Note Holder, payments by that Note Holder to, and receipts by that Note Holder from, the Issuer, accrued Interest (positive and negative amounts), and Incentive Allocation and Management Fee attributable to that Note Holder's holding of Notes and, in particular (among other things): (a) (b) (c) (d) (e) (f) (g) the Subscription Amount; any Principal Borrowing; Paid-Up Amount; Interest; Redemption Amounts; Incentive Allocation attributable to that Note Holder's holding of Notes; and Management Fee attributable to that Note Holder's holding of Notes. The Capital Accounts in respect of the Note Holders are principally for purposes of calculating Paid-Up Amount, Interest, Redemption Amounts, Incentive Allocations and Management Fees. The records of the Capital Accounts will ensure that the Paid-Up Amount of the Notes reflect the return due on the Notes and that Redemption Amounts comply with Condition 5 (Redemption and Purchase). For the avoidance of doubt, however, Capital Accounts do not give Note Holders any proprietary interest in the Intermediate Fund. The operation of the Capital Accounts is set out in the Limited Partnership Agreement. A summary of how the Capital Accounts will operate is set out in the following paragraphs. Each time the Issuer accepts a payment of capital from a Note Holder in respect of Notes, (a "Capital Payment"), either by way of a Subscription Amount or a Principal Borrowing pursuant to Condition 10 (Principal Borrowings), the General Partner will establish a separate Capital Account for that Capital Payment with an opening balance equal to the amount of the Capital Payment. For the purposes of the calculations relating to the Capital Accounts, the General Partner will treat the transfer of Notes (or part thereof) by a Note Holder (a "Transferor") to another person (a "Transferee") that is not an Affiliate of the Transferor as a redemption by the Transferor in the amount of the relevant Redemption Amount and a Capital Payment by the Transferee in the same amount as the relevant Redemption Amount, and will thus establish a new Capital Account for the Transferee corresponding to the Notes (or portion thereof) so transferred. Accordingly, the General Partner may thus maintain multiple Capital Accounts for a Note Holder, each corresponding to separate Capital Payments. Subject to Condition 4 (Interest), on each Accrual Date, the balance in each Capital Account will generally be: (i) increased by that Capital Account's rateable share of (realised and unrealised) gains in the Issuer's Portfolio Asset; and (ii) decreased by that Capital Account's rateable share of (realised and unrealised) losses in the Issuer's Portfolio Asset, Redemption Amounts, attributable to that Capital Account, the Management Fee and any Incentive Allocation charged to the Capital Account during that period. The General Partner's partnership interests in the Intermediate Fund will entitle it to receive a proportionate share of the gains and losses of the Intermediate Fund's investment portfolio based on the balance in its Capital Account. The General Partner is also entitled to receive an Incentive Allocation in its capacity as partner in the 86

88 Intermediate Fund. The Incentive Allocation is calculated and applied as to each Capital Account as of each 31 December, each Redemption Date and as to a Note Holder who redeems mid-year, as of the effective date of that redemption (but only as to the amount so redeemed). Each Incentive Allocation will equal, as to each Capital Account, the amount calculated as the excess (if any) of: (i) 15% of the amount (if any) by which the Capital Account Cumulative Profit exceeds the Hurdle Amount; over (ii) the cumulative amount of all Incentive Allocations previously applied to that Capital Account, in each case, as all relevant quantities have been adjusted for Redemptions. The "Capital Account Cumulative Profit" as of any measurement date will equal the excess (if any) of: (i) the Capital Account balance as of that measurement date (after deducting any Management Fee charged to the Capital Account as of that date, but before deducting any Incentive Allocation then due); plus the cumulative amount of all Incentive Allocations previously applied to that Capital Account prior to that measurement date; over (ii) the opening balance of the Capital Account as of the date on which the Capital Account was established. The "Hurdle Amount" for a Capital Account as of any measurement date will equal the amount by which that Capital Account would have increased from the date on which the Capital Account was established through the measurement date, had it earned a 7% per annum return (compounded annually) over that period. All quantities used to calculate Incentive Allocations as to a Capital Account following a Redemption referable to that Capital Account will be appropriately adjusted to reflect such Redemption. Once made, an Incentive Allocation will not be reduced by losses allocated to a Capital Account in later periods. The General Partner calculates the Incentive Allocation separately for each Capital Account. Because of this, a Note Holder with multiple Capital Accounts may bear Incentive Allocations allocated to one Capital Account even if, when aggregating its Capital Accounts, that Note Holder has experienced an overall loss on its investment in the Notes. The General Partner may in its discretion modify its Incentive Allocation for selected Note Holders with the consent of those Note Holders. Designated Investments The Asset Level Issuer may hold or acquire beneficial interests in certain investments or groups of investments which the Portfolio Manager may initially or subsequently identify and designate as "Designated Investments." Each Designated Investment will typically be designated as such because the Portfolio Manager believes that the investment horizon for the investment (i.e., the period over which the investment should be held in order for the investment to reach its full potential) is longer than 3 years. A Note Holder will only be entitled to share in the return on any Designated Investment if, and to the extent that, the proceeds of the Paid-Up Amount of the Note Holder's Notes were used by the Asset Level Issuer (by way of the Intermediate Fund) to acquire an interest in the Designated Investment. Note Holders will be required to hold their interests in the Notes, and will not be entitled to make redemptions of the Notes, to the extent that the Paid-Up Amount of their Notes is referable to any Designated Investments until those Designated Investments are undesignated. For purposes of calculating Management Fees and Incentive Allocations, a Designated Investment will generally be valued by the Asset Level Issuer at the lesser of cost or fair market value until that Designated 87

89 Investment is liquidated, deemed liquidated or is otherwise "undesignated" by the Portfolio Manager. Accordingly, fluctuations in the deemed fair market value of a Designated Investment should not increase (but may decrease) the Incentive Allocation in any period prior to the period in which that Designated Investment is undesignated. After a Designated Investment is undesignated, any profit (or loss) attributable to that Designated Investment will be combined with (or netted against) the profit (or loss) of the Portfolio (whether realised and unrealised) in the relevant period when calculating any subsequent Incentive Allocations to the General Partner. While only a subset of Note Holders may be participating economically in a particular Designated Investment, all of the assets of the Asset Level Issuer may be subject to losses or liabilities (e.g., litigation) relating to Designated Investments (and conversely, general losses or liabilities of the Asset Level Issuer could adversely affect the value of Designated Investments). Funding of Redemptions Under the Conditions, Note Holders have the right to redeem their Notes in whole or in part from time to time. In order to fund redemptions on the Notes, the Issuer will draw on its interest (through the Intermediate Fund) in the Asset Level Notes. At the request of the Issuer (as Limited Partner in the Intermediate Fund) the General Partner will redeem a sufficient amount of the Asset Level Notes to fund the relevant Redemption Amount. It is expected that the Portfolio Assets (other than Designated Investments) will be sufficiently liquid for this purpose. Where liquidity is strained due, for example, to poor market conditions or market disruption, the Issuer has the right under the Conditions to suspend redemptions on the Notes. If the Issuer, in breach of the Conditions, refuses to effect a redemption on the Notes requested by a Note Holder, or, having accepted a redemption, defaults in making payment as required by the Conditions, the Trustee on behalf of the Note Holders may, subject to and in accordance with the Trust Deed, enforce the rights of the Note Holders to compliance by the Issuer with the Conditions and payment where due. Similarly, the Trustee, in its capacity as Trustee of the Asset Level Notes, may enforce the rights of the Intermediate Fund as holder of the Asset Level Notes, subject to and in accordance with the trust deed in respect of the Asset Level Notes. 88

90 Description of the Portfolio Assets General THE PORTFOLIO OF THE ASSET LEVEL ISSUER It is expected that the Issuer will invest substantially all of its assets (other than legal or professional fees, expenses and the Profit Reserve Amount) in the Intermediate Fund and the Intermediate Fund will invest substantially all of its assets in the Asset Level Notes. The Asset Level Issuer (or the Portfolio Manager on its behalf) will apply the Asset Level Notes Proceeds of the issue of the Asset Level Notes (after payment of applicable fees and expenses) to the acquisition of the Portfolio. Therefore, an investment in the Issuer generally will be the financial equivalent of an investment in the Portfolio. The Asset Level Issuer has pursuant to the Asset Level Portfolio Management Agreement appointed the Portfolio Manager to manage the investment and trading of the Portfolio. Any and all securities lending income earned with respect to the loaning out of the Asset Level Issuer s securities will accrue to the benefit of the Asset Level Issuer, and not the Portfolio Manager. The Asset Level Issuer's Investment Strategy The Asset Level Issuer will employ an investment strategy designed generally to market dislocations in global credit. The normal channels of capital and credit intermediation are impaired, leading to tighter financial conditions and widening imbalances in credit supply/demand. The Asset Level Issuer will target investments in: (i) primary and secondary market credit opportunities driven by scarcity of alternative credit providers, or poor market liquidity that causes EM high yield bond prices to overshoot; (ii) acquisition financing and other types of subordinated, mezzanine, or early stage project financing justifying higher financing spreads, enhanced with other yield or equity-type kickers to produce higher expected returns; (iii) growth capital financing to small and medium sized companies or stand-alone project financing with attractive growth and value prospects but with limited access to traditional financing sources (capital markets or banks), or requiring customised financing terms and structures that traditional credit sources will not or cannot provide; and (iv) rescue financing and distressed opportunities in the form of bridge financing, corporate restructuring and recapitalization, or purchase of stressed or defaulted assets trading at attractive discounts to expected recovery valuations. The compelling value proposition in the global and EM credit markets can be exploited in two distinctive areas: (A) via the public and liquid bank debt markets and (B) via less liquid and higher alpha generating opportunities. These areas correspond to the investment strategies of the Asset Level Issuer: both liquid strategies, less liquid opportunities. These strategies are designed to address the issue of how to best optimise the deployment of scalable capital to EM and global credit to achieve the highest risk adjusted total returns and to take advantage of opportunistic market dislocations in the public and private markets. Each of these investment strategies focus on global opportunistic credit and are a direct play on long-term value creation and alpha generation. The Asset Level 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, multisector diversification). The Asset Level 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 Asset Level Issuer will be long-biased and will only employ hedges to mitigate foreign exchange and interest rate risk. Where the Asset Level Issuer enters into financial derivatives for the purposes of hedging, the Asset Level Issuer will take counterparty risk and the ratings of any proposed counterparty into consideration. In order to mitigate counterparty risk, the Asset Level Issuer will employ counterparty diversification, comprehensive document negotiation (including, where possible, using industry standard documents such as ISDA documentation) and daily marking to market of the financial derivative. The Asset Level Issuer will also develop an understanding of the particular legal jurisdiction of the counterparty and the applicable insolvency regime in that jurisdiction, which will include reviewing industry legal opinions (such as those produced for ISDA) for that jurisdiction. 89

91 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. Hedging strategies consistent with the investment restrictions described below may use interest rate swaps, currency forwards, options or other strategies deemed applicable by the Portfolio Manager. The Asset Level Issuer's Investment Objective The Asset Level Issuer's investment objective is to generate attractive risk-adjusted returns from income, enhanced income and medium-term capital appreciation. The Asset Level Issuer will draw on investment opportunities in acquisition financing, growth financing, rescue capital, infrastructure and project finance, among others. The Portfolio Manager believes that EM credit valuations are extremely compelling offering high absolute yields, the potential for medium-term capital appreciation, and a risk premium to mitigate potential downside risks. It is the Portfolio Manager's continuing view that EM and global credit will generate equity-like returns from income and capital appreciation for the next three years or more, or until the ongoing process of financial sector recapitalization and normalization has played out. The linchpin to this medium-term value proposition is the squeeze created from tightening financial conditions in a zero interest rate environment. Financial sector capitalization is weak and is being rapidly eroded by legacy losses from the "Great Collapse," increasing losses from Europe's sovereign debt crisis and deleveraging pressures from Basel III. The Asset Level Issuer will attempt to exploit these tightening financial conditions to achieve its investment objective. The Asset Level Issuer will employ the following sub-portfolio strategies: (a) (b) (c) (d) Core Value Opportunities. Long portfolio positions taken to generate high current income and the potential for capital appreciation. The Portfolio Manager will target leading EM companies operating in strategic industry sectors with stable to improving investment fundamentals. Event Driven Opportunities. Long or short portfolio positions where near-term credit fundamentals and investment outcomes are driven by exogenous or endogenous performance catalysts. Special Situations. Special situations credit opportunities in EM bank loans and bonds trading at deep valuation discounts or direct purchase of interests in bank loan or other asset portfolios. Hedging. Short positions designed to provide low-cost, asymmetrical downside protection against foreign exchange and interest rate risk. Investment Universe of the Asset Level Issuer The investment universe for the Asset Level Issuer will encompass all sectors of EM and global credit opportunities, including liquid syndicated bank loans, publicly traded bonds, special situations, and credit derivatives. Specifically, the eligible investments for the Asset Level Issuer include: (a) (b) (c) (d) Investment Grade Bonds. Investment grade credit fundamentals trading at or below investment grade valuations. High Yield Bonds and Private Placements. High-yield bond opportunities trading at deep discounts, with stable to improving credit fundamentals and the opportunity for capital appreciation from upward ratings migration or normalizing credit valuations. Syndicated Bank Loans. Market opportunities in bank loans: (i) senior secured loans trading at deep discounts with solid credit fundamentals and low relative default risks; and (ii) subordinated loans trading at deep discounts and equity-like valuations. Special Situation Financings. Special situations develop from special situations financing with attractive pricing, covenant structure, and collateral protection. 90

92 (e) (f) (g) (h) (i) (j) (k) Local Currency Credit Opportunities. Local currency financings offering attractive risk/reward over the U.S. dollar, or U.S. dollar-hedged comparables. Publicly Listed Equities. Long or short positions in listed equities, equity indices, or exchange traded funds. Sovereign. Full faith and credit government guaranteed debt obligations, or debt obligations of state-owned government entities with strongly implied government support. Debt/Equity Conversions. Rescue financing for companies undergoing financial restructuring, including debt for equity exchanges to create deeply discounted shareholder equity at low EBITDA multiples. Restructuring/Recapitalizations. Restructuring and recapitalizations executed in the form of balance sheet re-optimization or new money financing. Special Situations. Credit opportunities to earn higher than market total returns from income, capital appreciation, and other total return enhancements (e.g., equity kickers). 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. Distressed. Credit opportunities to earn higher than market total returns from income, capital appreciation, and other total return enhancements (e.g., equity kickers). Secondary market distressed credit opportunities in EM bank loans and bonds trading at deep valuation discounts, where prices are substantially cheap to normalised or expected post-restructuring valuations. Formal Credit Review Process Every investment is evaluated using a formal analysis and review. Analysis and due diligence is presented to the Portfolio 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 Portfolio Manager's strategy is to manage its position to minimise the permanent loss of capital and maximise 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 Portfolio Manager will undertake a work-out procedure that maximises 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 Portfolio 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-authorised by Mr. Sandler, and trading is centralised to mitigate the risk of unauthorised trading. Monitoring of Positions The Portfolio Manager has an active database of approximately 500 companies. The Portfolio Manager will typically hold between 40 and 80 positions in an investment strategy, depending on the mandate and investment guidelines of the strategy. The Portfolio Manager monitors over 20 industry sectors and over 70 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 Portfolio Manager's analysts and by Mr. Sandler. Each position is assigned to an analyst who 91

93 continually monitors it. Each analyst may be responsible for 15 to 25 portfolio positions and approximately 30 to 40 companies overall. The Portfolio Manager stress tests for changes in interest rates, credit spreads and volatility, and for bankruptcies. The Portfolio 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 Portfolio 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 real-time basis. Investment Restrictions Other than with the consent of Danske Capital, the Asset Level Issuer will not make any investment if, as of immediately following the making of that investment: (a) (b) (c) (d) (e) (f) (g) more than 10% of the NAV is invested in instruments denominated by the currency of any single emerging market country; more than 50% of the NAV is invested in distressed investments (with the understanding that, for this purpose, a "distressed investment" means an investment in the securities of an issuer that, at the time of the investment, is experiencing financial or business distress (including companies involved in bankruptcy or other reorganisation and liquidation proceedings), as reasonably determined by the Portfolio Manager in good faith); more than 20% of the NAV is invested in government bonds; more than 5% of the NAV is invested in any single issuer; provided, that the Asset Level Issuer may select two issuers at any given time in which up to 7.5% of the Asset Level Issuer's NAV may be invested; more than 10% of the NAV is invested in any single country; provided, that the Asset Level Issuer may select two countries at any given time in which up to 15% of the Asset Level Issuer's NAV may be invested; more than 30% of the NAV is invested in issuers of any single industry group (based on a generally recognised industry classification scheme); more than 5% of the NAV is invested in credit linked notes ("CLNs"), and credit default swaps ("CDS") on an aggregate basis. All of the investment restrictions set forth above will be tested solely at the time of incurrence. If, as of any month end, any of the percentage thresholds set forth above are exceeded due to changes in the Asset Level Issuer's NAV, the Portfolio Manager will provide notice of the same to Danske Capital no later than the 15th calendar day of the following month. The Asset Level Issuer will not be required to take any action (other than providing the aforementioned notice) if the Asset Level Issuer no longer complies with the thresholds set forth above due to changes in market conditions, realizations of investments or other circumstances. In addition to the foregoing, other than with the consent of Danske Capital: (1) The Asset Level Issuer will not employ leverage and will only employ hedges to mitigate foreign exchange and interest rate risk. (2) The Asset Level Issuer will not invest in any debt securities with a stated maturity date later than 10 years from the date on which the Asset Level Issuer acquired those securities. 92

94 (3) The Asset Level Issuer will not invest in any debt security with an interest rate and spread duration (expressed in years) in excess of 5 years. (4) The Portfolio Manager will not designate an investment at the time of the Asset Level Issuer's acquisition of such investment as a "Designated Investment" if doing so would cause the aggregate carrying cost of such investment and all other Designated Investments in the Portfolio that were designated as such upon acquisition to exceed 33% of the Asset Level Issuer's NAV. (5) The Asset Level Issuer will not invest in debt or equity tranches of any collateralised loan obligations. (6) The Asset Level Issuer will only invest in CDS as a tool to hedge counterparty exposure and not for making speculative investments. (7) The Asset Level Issuer will not invest in (a) any securities issued by a company that is on the Danske Bank Group s publically available list of excluded companies ( and (b) a sovereign bond issued by a country that is on the Danske Bank Group s publically available lists of excluded countries ( (an investment described in this clause 8 being referred to herein as a Prohibited Investment ). If the Portfolio Manager becomes aware that the Asset Level Issuer has directly or indirectly invested in a Prohibited Investment, the Portfolio Manager will use commercially reasonable efforts to so notify Danske Capital, and the Portfolio Manager will consult with Danske Capital in good faith to agree upon a suitable resolution, which could include the Portfolio Manager using commercially reasonable efforts to cause the Asset Level Issuer to exit such direct or indirect position in such a Prohibited Investment in accordance with the Portfolio Manager s fiduciary duties to the Asset Level Issuer and the Note Holders. The Asset Level Issuer and the Portfolio Manager have acknowledged that Danske Capital s written investment policy may be modified from time to time and the Asset Level Issuer and the Portfolio Manager have agreed to cooperate in good faith with Danske Capital to negotiate appropriate modifications to the investment restrictions applicable to the Asset Level Issuer from time to time as may be reasonably necessary to comply with such policy. "NAV" means the net asset value of the Portfolio of the Asset Level Issuer. Other Philosophies and Techniques The investment objectives and strategies summarised in this Prospectus represent the Portfolio Manager's current intentions. Nevertheless, depending on conditions and trends in securities, industries and trading markets and the economy generally, the Portfolio Manager may pursue any objectives or employ any philosophy or techniques that the Portfolio Manager considers appropriate and in the interests of the Asset Level Issuer. Other than the investment restrictions described above, neither the articles of association of the Asset Level Issuer nor the Asset Level Portfolio Management Agreement impose any limitations on the types of securities in which the Asset Level 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 The Portfolio Manager will build up the Portfolio as investment opportunities that meet the investment policies and strategies of the Asset Level Issuer, as described herein, become available. For as long as the Asset Level Issuer is required by the Irish Stock Exchange, the portfolio of the Asset Level Issuer will comprise obligations of five or more obligors and no single obligor will account for more than 20% of the assets. 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. Further information regarding the foregoing is contained in Listing Particulars of the Asset Level Issuer. 93

95 THE PORTFOLIO MANAGER TO THE ASSET LEVEL ISSUER As described under "Description of the Asset Level Issuer" above, the business of the Asset Level Issuer will include, inter alia, the purchase and origination of the Portfolio Assets. The Portfolio Manager Pursuant to the Asset Level Portfolio Management Agreement, the Asset Level Issuer appointed the Portfolio Manager to perform certain purchase, disposal and management functions with respect to the Portfolio. The Portfolio Manager was formed on 20 October 2006, as a Delaware limited liability company (file number ) and an investment management company specializing in emerging markets and global credit strategies. It is owned by Range Capital LLC, which is controlled by Nathan B. Sandler, and Canyon Capital Advisors LLC (CCA), of which Joshua S. Friedman and Mitchell R. Julis are Co-Chief Executive Officers and Managing Partners. As of July 1, 2014, the Portfolio Manager had approximately USD 3.8 billion under management. In addition to the Issuer and the Asset Level Issuer, the Portfolio Manager currently manages ICE Global Credit Fund, L.P., ICE Global Credit Fund (Cayman), Ltd., ICE Global Credit Alpha Fund, L.P., ICE Global Credit Alpha Fund (Cayman), Ltd., Select Emerging Markets Opportunities Fund (Cayman), Ltd., ICE Global Strategic Credit, L.P. (formerly known as ICE Global Value Loans, L.P.), ICE Focus EM Distressed Fund, L.P., ICE Focus EM Distressed Fund (Cayman), Ltd., ICE Focus EM Credit Fund, L.P., ICE Focus EM Credit Fund (Cayman), Ltd., ICE 1: EM CLO Limited, ICE Global Credit CLO Limited, ICE EM Multi-Sector Income Fund, ICE 3 Global Credit CLO Limited and may, from time to time, manage certain separately managed accounts. The Portfolio Manager may organise other partnerships or funds in the future having similar or different investment objectives than those of the Issuer and the Asset Level Issuer. The Portfolio Manager is an investment adviser registered with the SEC under the U.S. Investment Advisers Act of 1940(SEC registration number ) and a money management firm headquartered in the United States in Los Angeles. CCA is also an investment advisor registered with the SEC and a money management firm headquartered in the United States in Los Angeles, California. A copy of the Portfolio Manager's Form ADV, Parts 2A and 2B is available at no charge to prospective investors and Note Holders. A free copy 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, (310) (facsimile), (310) (telephone), [email protected] ( ). A free copy of the Portfolio 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 cofounders, of the Portfolio Manager. Mr. Sandler is the key person at the Portfolio Manager responsible for the investment activities of the Asset Level Issuer as well as the Portfolio Manager's research strategy and firm management. Nathan B. Sandler (age 53) is co-founder, Chief Executive Officer and Managing Partner of the Portfolio Manager. Prior to the formation of the Portfolio 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 specialised 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 58) is a founding Managing Partner of CCA and a co-founder of the Portfolio 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 CCA (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 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). 94

96 Mitchell R. Julis (age 59) is a founding Managing Partner of CCA and a co-founder of the Portfolio 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, reorganisations and restructurings. Prior to the formation of CCA (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). Other Activities of the Portfolio Manager and Affiliates The Portfolio Manager provides other individual and institutional clients with a variety of investment management services, focusing on investment objectives similar to those of the Asset Level Issuer. The Portfolio Manager is also the investment advisor to the Issuer. In addition, the Portfolio Manager may organise other partnerships or funds in the future having similar or different investment objectives than those of the Asset Level Issuer and the Issuer. The employees of the Portfolio Manager will devote varying portions of their business time and attention to the affairs of the Asset Level Issuer, the Issuer and its other affiliates. Neither the Portfolio Manager nor any of their principals or employees is required to devote full time to managing the Asset Level Issuer or the Issuer. Note Holders will have no direct interest in the Portfolio Manager or its other businesses. The Portfolio Manager does not intend to engage sub-advisors on behalf of the Asset Level Issuer or the Issuer. The Portfolio Manager's View of Global Investment Opportunities The Portfolio Manager believes that there are significant opportunities in the global and emerging market ("EM") credit universe. There are three key forces driving the scale and timeliness of the market opportunity: Significant market dislocations in global credit. The Portfolio Manager believes that the normalization of developed market ("DM") monetary policies, DM financial sector restructuring and re-regulation, combined with late stage EM credit cycles, are the structural underpinnings to tightening financial conditions constraining the supply of capital and credit to EM companies. Capital outflows from the EM will leave current account deficit countries most vulnerable. With the normal channels of credit intermediation impaired, global credit assets will re-price leading to higher credit spreads and risk premiums, tighter underwriting standards, and a more favourable risk profile for creditors. Widening demand/supply imbalances in EM credit. The demand for capital and credit in the EM significantly exceeds the supply from traditional financing sources (i.e., international capital markets and bank loans). The Portfolio Manager believes that the EM credit cycle is entering its late stages. Credit growth is decelerating and the largest EM multinational banks are pulling back from the primary financing markets. Diverging EM growth and credit cycles. The Portfolio Manager believes that EM growth and credit cycles are diverging, leading to differentiated market outcomes, widening market inefficiencies, and mispriced risk. Country and company differentiation is key. The Portfolio Manager believes that beta is out and alpha is in and differentiation and structural reforms will be the linchpin to medium term outcomes. Structural reforms will make differentiation across the emerging markets more important than ever. Structural reforms will be one of the primary drivers for investment alpha generation via an expanding investment universe, lower risk from downside loss mitigation, and higher risk-adjusted total returns. Countries with the strongest political will to push these reforms will be the winners. Countries with the weakest political will to push these reforms, or countries that push alternative development models (e.g., socialist, populist, state-dominated) will be the losers. Emerging market credit valuations are compelling in absolute and relative expected returns. The Portfolio Manager believes that EM credit offers attractive 95

97 opportunities to generate attractive risk-adjusted valuations, tight underwriting criteria, and long-term value creation via strategic investments in infrastructure, energy, housing, and other industry sectors most closely leveraged to the right country-specific dynamics. The Portfolio 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 Portfolio 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. The Portfolio Manager's Investment Philosophy The Portfolio Manager seeks to employ a disciplined bottom-up, research-driven, value seeking investment approach to the emerging and global credit markets. The Portfolio Manager's investment philosophy is designed to exploit asymmetrical market opportunities, inefficiencies, and mispriced risk. The Portfolio Manager's investment process integrates fundamental sovereign and corporate research; scenario analysis and stress testing and dynamic portfolio risk management. The Portfolio Manager's emphasis is on bottom-up, value-based fundamental fixed income and credit analysis (rather than high-volume trading strategies or indexed-based strategies). The Portfolio 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 near-term credit fundamentals and investment outcomes are driven by exogenous or endogenous performance catalysts. The Portfolio Manager's investment mandates seek to maximise riskadjusted total returns from income and capital appreciation. The Portfolio Manager's Investment Process The Portfolio Manager's strategic investment process is designed to maximise high risk-adjusted total returns from income and capital appreciation, and to minimise portfolio exposure to permanent capital losses. The Portfolio Manager's investment process aligns long-term value creation in global investing to the leading drivers of economic growth, corporate earnings, and expanding market opportunities. Financial sector dislocations, deleveraging and re-regulation have only reinforced the value proposition of the asset class and the Portfolio Manager's competitive position. The Portfolio Manager's investment process is actively managed and seeks to optimise the mix between the Asset Level Issuer's sub-strategies to exploit market inefficiencies, dislocations, and opportunistic investment and will shift depending on market conditions. Additionally, the Portfolio Manager's scenario analysis based risk management framework is the cornerstone to the Portfolio Manager's credit analysis and risk management. This analysis regularly analyses actual versus expected outcomes; new information versus expected outcomes; trajectory of investment fundamentals. The scenario analysis establishes the dynamic link between investment fundamentals, key risks, market valuations, and investment strategy. The analysis enables the identification of key performance catalysts, which serve as key inputs to construct base case, best case, and worst case scenarios. Stress testing is a key factor of this scenario analysis where each credit is stressed to identify the loss analysis under the worst case scenario, versus current market valuations. 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 encompasses: emerging markets credit (as defined by the International Bank for Reconstruction and Development); International Credit (OECD countries, excluding the U.S.) and multisector 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 96

98 geopolitical position. The Portfolio 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 Asset Level 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 bottomup 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 Portfolio Manager's investment approach to determine its portfolio construction, which is derived from a bottom-up asset allocation emphasizing global multisector diversification, low-expected correlation, and position limits. Under normal market conditions, the Asset Level 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 Portfolio 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 Asset Level Issuer, the Portfolio Manager intends to integrate ESG Factors (as defined above) 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 recognised, voluntary project finance guidelines that establish social and 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 Asset Level Issuer's adherence to ESG criteria may affect their ability to take advantage of certain investment opportunities that, in the determination of the Portfolio Manager, do not meet such criteria. Using this disciplined investment approach, the Portfolio Manager seeks to: (i) preserve capital, (ii) maximise risk-adjusted returns, (iii) minimise downside credit risks, (iv) ensure adequate liquidity, and (v) lower portfolio volatility through correlation and duration management. In managing the Asset Level Issuer's debt investments, the Portfolio Manager, as agent for and on behalf of the Asset Level Issuer, will arrange to acquire the debt obligations on the most favourable pricing and other terms, whether or not the obligations are secured or guaranteed. Accessing Market Information and Investment Origination Ideas are generated as portfolio managers and analysts follow sovereign, local, corporate and capital markets developments among their geographical regions, industry sectors, and macroeconomic trends that may impact their coverage universe (positively or negatively). The Portfolio Manager's portfolio managers and analysts regularly reassess the assumptions made in the original scenario analysis to determine whether and to what degree assets are mispriced and risk profiles remain asymmetrical. This requires a deep knowledge base of sovereign, corporate, interest rate, and exchange rate fundamentals, the capital structure of all relevant companies within an industry sector, the price of risk across various capital structures, and evolving industry and competitive dynamics. 97

99 Information Sources The Portfolio Manager's investment team travels regularly and the Portfolio Manager uses primary information sources to build country and company-specific analysis, and to closely evaluate macro and micro fundamentals, risk factors, and other investment catalysts. These information sources include: company management teams; private equity sponsors; local and regional leading government policy experts; consultants; legal teams; international and local banks; academics; local advisors; think tanks; business leaders; official creditors (e.g., IMF, World Bank). Global relationships are key to ensuring full coverage in today's 24-hour markets, and are integral to generating local information and intelligence. Extensive Relationship Network Nathan Sandler and his investment team have developed an extensive relationship network that is in line with our expertise investing in the emerging markets. The Portfolio Manager's research team has access to a global infrastructure for investment, information, trading, and risk management. The Portfolio Manager believes its industry relationships give it an important competitive advantage with respect to sourcing investment opportunities. The Portfolio Manager sources and originates new investment opportunities from a global network of international banks, private equity or major project sponsors, and other proprietary relationships. The Portfolio Manager utilises a three-tiered sourcing strategy that allows for a targeted screening process designed to maximise access to deal flow: (a) (b) (c) Strong relationships with international and local banks (e.g., syndication desks, specialised lending groups). Strong relationships with global private equity and project sponsors: the Portfolio Manager is often the "first call" for proprietary investment opportunities due to its long-term relationships with some of the largest private equity sponsors. Strong strategic and co-investment relationships: the Portfolio Manager seeks to form strong, long-term investing partnerships with its clients. These relationships are highly proprietary and are generating an increasing share of the Portfolio Manager's most attractive investment opportunities. Certain Conflicts of Interest Compensation Structure Because the Portfolio Manager and its affiliates receive fees and performance-based compensation from the Intermediate Fund, certain ICE Canyon Parties and their principals have a conflict of interest between their responsibility to manage the Investment Complex for the benefit of Note Holders and their interest in maximizing the fees and profits such ICE Canyon Parties will receive. For example, the performance-based compensation paid to the Portfolio Manager or its affiliate may create an incentive for the Portfolio Manager to engage in more speculative investing than might be the case if the Portfolio Manager or its affiliate were compensated solely based on a flat percentage of capital. Other Clients; Investment Opportunities As the Portfolio Manager and its affiliates currently sponsor other private investment funds, partnerships, and companies and act as the investment advisor to a number of managed accounts, and trade on behalf of themselves and their affiliates, conflicts of interest may arise among the Investment Complex, the Portfolio Manager, the trading accounts they manage for others or as a result of some other securities investment activity or business in which one or more of them may be engaged. The Portfolio Manager may also have a conflict of interest in rendering advice to the Investment Complex because its benefit from managing other accounts may exceed its benefit from managing the Investment Complex and, therefore, may provide an incentive to favour such other accounts. Moreover, if the Portfolio Manager makes investment decisions for other accounts at or about the same time it makes decisions for the Investment Complex, the Investment Complex may be competing with such other accounts for the same or similar positions. The Portfolio Manager also must take into account the varying investment objectives and limitations, tax considerations, available cash, investment horizons and other factors which may affect the Investment Complex and their accounts. There can be no assurance that the Asset Level Issuer will receive as large an allocation in respect of limited investment opportunities as it might otherwise have absent these considerations. 98

100 For example: (i) an investment opportunity may arise which is considered to be desirable, but the market for it is relatively illiquid; (ii) a situation may arise where the Asset Level Issuer and the trading accounts managed by the Portfolio Manager or its affiliates for others are invested in the same situation, the situation becomes undesirable and the Portfolio Manager determines that it is prudent to dispose of the investment, but the market is too thin to absorb the sale of the combined positions (or sales are made at prices over a range); (iii) the Portfolio Manager may determine that an investment is only warranted if hedged with an option, and the total availability of such options may be limited; (iv) securities may be acquired in the course of acquisition, or disposed of in the course of disposition, at prices over a range, some of which will necessarily be more favourable and some of which will be less favourable; or (v) for tax or other considerations, in certain circumstances, the Asset Level Issuer and other clients of the Portfolio Manager may not hold proportionate positions in each investment opportunity or subpart thereof, or may invest in and hold different positions in the capital structure of the same issuer that have different risk and return parameters. Any of these situations may result in the Asset Level Issuer and the other clients potentially holding conflicting positions in the event of a default, company reorganisation or otherwise. Although these conflicts, where material, will be handled in accordance with the Portfolio Manager's Conflicts Policy, there can be no assurance that the resolution of such conflicts will not result in adverse consequences to the Investment Complex. The Portfolio Manager could cause the Asset Level Issuer to forego trading opportunities that might otherwise be profitable due to securities positions held by other accounts managed by the ICE Canyon Parties. This could be because of a perceived potential for adverse effect on the other accounts, or it could be because of restrictions on the Portfolio Manager's trading activities imposed by agreements with the other accounts (e.g., for regulatory reasons applicable to another account), even in the absence of a substantive adverse impact on the other account. Neither the Portfolio Manager nor any of the other ICE Canyon Parties is obligated by contract to buy, sell or recommend for the Asset Level Issuer any security or other investment that may be bought, sold or recommended for other clients or for the Portfolio Manager's own or related persons' account, but the Portfolio Manager will endeavour to fairly allocate the investment opportunity or dispose of the investment in the event of an actual conflict. The Portfolio Manager will not enter into transactions in which it knowingly and deliberately favours itself or another client over the Asset Level Issuer; however, the Portfolio Manager is given considerable discretion to trade for other accounts, and intends to do so to a significant extent. The Portfolio Manager as Principal The Portfolio Manager does not act as principal, either buying securities for itself or its affiliates from the Investment Complex or selling securities it or its affiliates own to the Investment Complex. However, in the event that the Portfolio Manager decides to engage in any such "principal transaction" in the future, it will (a) refrain from engaging in such transaction without the prior written consent of Danske Capital and (b) comply with Section 13(d) of the Asset level Issuer Portfolio Management Agreement and the requirements of Section 206(3) of the Advisors Act (as defined above), as amended, and the rules promulgated thereunder and Section 25235(c) of the California Corporation Code. Neither the Issuer nor Asset Level Issuer anticipate engaging in such transactions when the Portfolio Manager may make a trading profit. "Cross Trades" Between Investment Advisory Clients From time to time, one collective investment entity or managed account advised by the Portfolio Manager (including the Asset Level Issuer) (an "ICE Canyon Fund") may sell or buy a security to or from another ICE Canyon Fund. Such transactions would not be deemed principal transactions because the Portfolio Manager (including its controlling persons) owns less than 25% of the interests of each such ICE Canyon Fund. Nevertheless, the Portfolio Manager recognises the conflict of interest such transactions may create. To mitigate such conflict of interest, the Portfolio Manager will obtain an independent review of the fairness of the transaction to both funds if the investment is private or an independent price (i.e., a pricing service or broker quote) if the investment is public. For the avoidance of doubt, none of the Portfolio Manager or any of its affiliates may receive any commissions with respect to any cross trades involving the Investment Complex. Further, only securities that are valued by a third party administrator may be subject to cross trades between the Investment Complex and any other ICE Canyon Fund. Similarly, from time to time, one ICE Canyon Fund may sell or buy a security to or from a separate account managed by the Portfolio Manager. The Portfolio Manager also recognises the conflict of interest such transactions may create. To mitigate such conflict of interest, the Portfolio Manager will provide the separately 99

101 managed account with the name of each security to be crossed for review and confirm approval by such separately managed account before executing the trade. Public securities will typically be "crossed" at the midpoint between the bid and the ask. Private securities will be valued by the Portfolio Manager, based on its valuation procedures, and such valuation will be reviewed and approved by the separately managed account. Co-investment with Affiliates It is contemplated that the Asset Level Issuer may "co-invest" with the Portfolio Manager and/or principals of the Portfolio Manager and their advisory clients in respect of certain investment opportunities, and to the extent permitted by applicable law, certain of the Asset Level Issuer's arbitrage and hedging activities may be conducted through an affiliate of the Asset Level Issuer. Any such co-investments will be on the same terms as made available to the Asset Level Issuer, and no additional fees will be incurred by virtue of such investments. On occasions, the Asset Level Issuer may acquire debt or equity interests in projects financed by other entities managed by affiliates of the Portfolio Manager. In addition, the Asset Level Issuer may loan to or invest in entities in which other clients of the Portfolio Manager are investors or lenders, either in similar investment positions or in different positions in the capital structure with different risk and return parameters. The Asset Level Issuer may enter into transactions originated by, or issuers otherwise affiliated with, service providers to the Asset Level Issuer and their affiliates. In such event, disputes may arise between the two entities regarding the terms of the investments and the enforcement of the entities' respective rights therein. Furthermore, the Portfolio Manager is not precluded from causing the Asset Level Issuer to invest in the securities issued by companies represented in the investment portfolios of other partnerships managed by the Portfolio Manager or its principals, affiliates or advisory clients. Any such purchases (or sales) will not be on a "principal-to-principal" basis and will only be offered where the Portfolio Manager is satisfied that the Asset Level Issuer's interests are not unfairly prejudiced. Trading by the Portfolio Manager The Portfolio Manager, its principals, employees and affiliates may trade securities for their own accounts. The records of such trading will not be made available to Investors. It is possible that principals, officers or employees of the Portfolio Manager may buy or sell securities or other instruments that the Portfolio Manager has recommended to clients and may engage in transactions for their own accounts in a manner that is inconsistent with the Portfolio Manager's recommendations to a client. Personal securities transactions by employees may raise potential conflicts of interest when such persons trade in a security that is owned by, or considered for purchase or sale for, a client. The Portfolio Manager has adopted policies and procedures designed to detect and prevent such conflicts of interest and, when they do arise, to ensure that it effects transactions for clients in a manner that is consistent with its fiduciary duty to its clients and in accordance with applicable law. In compliance with the Portfolio Manager's Code of Ethics for Personal Trading, transactions in certain securities described therein are required to be pre-cleared to allow for a review for any potential conflict of interest or insider trading. Employees of the Portfolio Manager are required to report personal securities transactions either electronically or via a monthly (or as generated, e.g., quarterly) duplicate statement sent directly from the corresponding brokerage firm. Management Fee Pursuant to the terms of the Asset Level Portfolio Management Agreement, the Portfolio Manager will earn a management fee (the "Management Fee") calculated as to each Note Holder's Capital Account (as defined below), and generally equal to one-twelfth of 0.875% of the balance of each such Capital Account as of the end of each month (before giving effect to any Incentive Allocations or withdrawals effective as of that date). The Management Fee calculated as to each Capital Account is payable monthly in arrears on the last day of each month. As the Management Fee is paid by the Asset Level Issuer, it will be a cost to the Asset Level Issuer and will, in effect, be passed on to the Note Holders through a corresponding reduction in the returns due to the Intermediate Fund as a holder of the Asset Level Notes and a deduction from the Capital Accounts attributable to the Note Holders. In the event the Asset Level Issuer invests in a transaction which includes break-up, standby, commitment, consent, waiver or similar fees, rather than directing such fees to the Asset Level Issuer, the Portfolio Manager or an affiliate thereof may instead retain such fees, in which case the Management Fees or reimbursable expenses next payable will be reduced by a like amount. The Portfolio Manager, in its sole discretion, may offer to rebate, modify or adjust the Management Fee and/or other compensation for the Portfolio Manager, its affiliates (including the General Partner) and any of their respective owners, directors, officers or employees (each an "ICE Canyon Party" and collectively, "ICE 100

102 Canyon Parties") and other selected investors without entitling any other investor to such modification or adjustment. 101

103 TRANSFER RESTRICTIONS As a result of the following restrictions, purchasers of Notes are advised to consult legal counsel prior to making any purchase, offer, sale, resale or other transfer of such Notes. Each purchaser of Notes will be required to acknowledge, represent and agree, and each person purchasing an interest in a Global Certificate with a view to holding it in the form of an interest in the same Global Certificate will be deemed to have acknowledged, represented and agreed, as follows (terms used in this paragraph that are defined in the Securities Act or the Investment Company Act and the rules and regulations thereunder are used herein as defined therein): (a) (b) (c) (d) (e) (f) (g) that it understands that the Notes may not be offered, sold, delivered or transferred within the United States or to U.S. Persons for U.S. tax or securities law, that the Notes have not been and will not be registered under the Securities Act and that (A) if in the future it decides to offer, resell, pledge or otherwise transfer any of the Notes, such Notes may be offered, resold, pledged or otherwise transferred only (i) to the Issuer, or (ii) to (a) persons who are not U.S. Persons for US tax or securities law and (b) both an "accredited investor" (within the meaning of Regulation D) and a "Qualified Purchaser", and that (B) the purchaser will, and each subsequent holder is required to, notify any subsequent purchaser of the Notes from it of the resale restrictions referred to in (A) above; that it is purchasing the Notes for its own account or one or more accounts with respect to which it exercises sole investment discretion, and both it and each such account (if any) (i) is not a U.S. Person and is both an "accredited investor" (within the meaning of Regulation D) and a "Qualified Purchaser", (ii) acknowledges and agrees that the Issuer may receive a list of participants holding positions in its securities from Euroclear, Clearstream, Luxembourg, or any other book-entry depository holding beneficial interests in the Notes; that the Trust Deed permits the Issuer (as described in Condition 1.9 (Forced Transfer of Notes held by U.S. Persons)), to require any holder of Notes (or holder of a beneficial interest therein) who is a U.S. Person or person in who is determined not to have been both an "accredited investor" (within the meaning of Regulation D) and a Qualified Purchaser at the time of acquisition of the Note (or such beneficial interest therein) to sell such interest to a person that is a person that is (a) not a U.S. Person and (b) both an "accredited investor" (within the meaning of Regulation D) and a "Qualified Purchaser". There can be no assurance that a holder of Notes (or such beneficial interest therein) who is required to transfer in this way will not incur a significant loss as a result of the need for the Issuer to find a qualifying transferee willing to purchase the Notes. None of the Issuer, the Trustee, the Agents, nor any other party shall be liable to a holder of Notes for any such loss; that it understands that the Notes have not been approved or disapproved by the SEC or any other governmental authority or agency of any state or jurisdiction, nor has the SEC or any other governmental authority or agency passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offence; that it understands that (i) the Issuer has not registered and does not intend to register as an investment company under the Investment Company Act; (ii) the Notes may not be reoffered, resold, pledged or otherwise transferred except in accordance with the legend on such Notes described below and (iii) no representation is made by the Issuer or the Portfolio Manager as to the availability of any exemption under the Securities Act, the Investment Company Act, or any state securities laws for resale of the Notes; that it is not purchasing the Notes with a view to the resale, distribution or other disposition thereof in violation of the Securities Act or the Investment Company Act. It understands that an investment in the Notes involves certain risks (including but not limited to those described in the "Risk Factors" section of this Prospectus), including the risk of loss of all or a substantial part of its investment under certain circumstances; that (i) it has such knowledge and experience in financial and business matters that the purchaser is capable of evaluating the merits and risks (including for tax, legal, regulatory, accounting and other financial purposes) of its prospective investment in the Notes, (ii) is financially able to bear such risk for an indefinite period of time, (iii) in making such 102

104 investment is not relying on the advice or recommendations of the Portfolio Manager, the Issuer or any of their respective Affiliates (or any representative of any of the foregoing) and (iv) has consulted with its own legal, regulatory, tax, business, investment, financial, accounting and other advisers to the extent it has deemed necessary, and it has made its own investment decisions based upon its own judgement and upon any advice from such advisers as it deemed necessary and not upon any view expressed by the Issuer. The purchaser has received, and has had an adequate opportunity to review the contents of, this Prospectus. The purchaser has had access to such financial and other information concerning the Issuer and the Notes as it has deemed necessary to make its own independent decision to purchase such Notes, including the opportunity, at a reasonable time prior to its purchase of such Notes, to ask questions and receive answers concerning the Issuer and the terms and conditions of the offering of the Notes; (h) (i) (j) (k) (l) that no sale, pledge or other transfer of a Note (or any interest therein) may be made if such transfer would have the effect of requiring the Issuer to register as an investment company under the Investment Company Act; that it will treat the Notes as equity of the Issuer for U.S. federal income tax purposes; that it is not (i) an employee benefit plan as described in Section 3(3) of ERISA and subject to Title I of ERISA, (ii) a plan as defined in and subject to Section 4975 of the Code, (iii) an entity whose assets are treated as assets of any such plan by reason of such employee benefit plan s or plan s investment in the entity, (iv) a benefit plan investor as such term is otherwise defined in Section 3(42) of ERISA, or (v) a governmental, church, non-us or other plan which is subject to any federal, state, local or non-us law that is substantially similar to the provisions of Title I of ERISA or Section 4975 of the Code, if its acquisition, holding or disposition of a Note would constitute or result in a non-exempt violation under any such substantially similar law; that (i) any sale, pledge or other transfer of a Note (or any interest therein) made in violation of the transfer restrictions contained in this Prospectus and in the Trust Deed, or made based upon any false or inaccurate representation made by the purchaser or a transferee to the Issuer, will be void ab initio and of no force or effect and (ii) none of the Issuer, the Trustee or the Registrar has any obligation to recognise any sale, pledge or other transfer of a Note (or any interest therein) made in violation of any such transfer restriction or made based upon any such false or inaccurate representation; that it understands and agrees that a legend in substantially the following form will be placed on each certificate representing any Global Certificate unless the Issuer determines otherwise in compliance with applicable law, it being understood and agreed that the receipt of this Prospectus by Initial Purchasers from the Portfolio Manager shall constitute sufficient notice of the transfer restrictions set out in the legend: THE NOTES EVIDENCED HEREBY (THE NOTES) HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT), OR THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR ANY OTHER RELEVANT JURISDICTION, AND THE ISSUER HAS NOT BEEN REGISTERED AND DOES NOT INTEND TO REGISTER AS AN INVESTMENT COMPANY UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE INVESTMENT COMPANY ACT). THE NOTES OR ANY INTEREST OR PARTICIPATION IN THE NOTES MAY BE OFFERED, SOLD, RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY TO PERSONS (A) WHO ARE NOT US PERSONS AND (B) ARE BOTH A "QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THE INVESTMENT COMPANY ACT AND THE RULES THEREUNDER AND IS AN "ACCREDITED INVESTOR" WITHIN THE MEANING OF REGULATION D (REGULATION D) UNDER THE SECURITIES ACT, PURCHASING FOR ITS OWN ACCOUNT OR ONE OR MORE ACCOUNTS WITH RESPECT TO WHICH IT EXERCISES SOLE INVESTMENT DISCRETION, EACH OF WHICH IS (I) NOT A US PERSON AND (II) BOTH A QUALIFIED PURCHASER AND AN ACCREDITED INVESTOR, (B) IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE TRUST DEED REFERRED TO HEREIN AND (C) IN ACCORDANCE WITH ANY APPLICABLE SECURITIES 103

105 LAWS OF ANY STATE OF THE UNITED STATES AND ANY OTHER RELEVANT JURISDICTION. BY ITS ACQUISITION HEREOF, THE HOLDER OF THE NOTES REPRESENTS THAT: (1) IT IS (A) BOTH AN "ACCREDITED INVESTOR" (WITHIN THE MEANING OF REGULATION D) AND A QUALIFIED PURCHASER UNDER THE INVESTMENT COMPANY ACT AND (B) NOT A U.S. PERSON, (2) IT UNDERSTANDS THAT THE ISSUER MAY RECEIVE A LIST OF PARTICIPANTS HOLDING POSITIONS IN THE NOTES FROM ONE OR MORE BOOK- ENTRY DEPOSITORIES, (3) IT WILL PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS APPLICABLE TO THE NOTES TO ANY SUBSEQUENT TRANSFEREES, (4) IT AND EACH ACCOUNT FOR WHICH IT IS PURCHASING WILL HOLD AND TRANSFER AT LEAST THE MINIMUM DENOMINATION OF NOTES, AND (5) IT IS NOT (I) AN "EMPLOYEE BENEFIT PLAN" AS DESCRIBED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 AS AMENDED ("ERISA") AND SUBJECT TO TITLE I OF ERISA, (II) A "PLAN" AS DEFINED IN AND SUBJECT TO SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986 (THE CODE), (III) AN ENTITY WHOSE ASSETS ARE TREATED AS ASSETS OF ANY SUCH PLAN BY REASON OF SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY, (IV) A "BENEFIT PLAN INVESTOR" AS SUCH TERM IS OTHERWISE DEFINED IN SECTION 3(42) OF ERISA, OR (V) A GOVERNMENTAL, CHURCH, NON-US OR OTHER PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL OR NON-US LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF TITLE I OF ERISA OR SECTION 4975 OF THE CODE, IF ITS ACQUISITION, HOLDING OR DISPOSITION OF A NOTE WOULD CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION UNDER ANY SUCH SUBSTANTIALLY SIMILAR LAW. ALSO, EACH PERSON ACQUIRING OR HOLDING THE NOTES OR ANY INTEREST THEREIN AGREES TO TREAT THE NOTES AS EQUITY OF THE ISSUER FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. EACH INITIAL PURCHASER AND SUBSEQUENT TRANSFEREE OF THE NOTES OR ANY INTEREST OR PARTICIPATION IN THE NOTES WILL BE DEEMED TO REPRESENT THAT IT AGREES TO COMPLY WITH THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND WILL NOT TRANSFER THE NOTES OR ANY INTEREST OR PARTICIPATION HEREIN EXCEPT TO A TRANSFEREE WHO CAN MAKE THE SAME REPRESENTATIONS AND AGREEMENTS ON BEHALF OF ITSELF AND EACH ACCOUNT FOR WHICH IT IS PURCHASING. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE TRUSTEE NOR THE REGISTRAR WILL RECOGNISE ANY SUCH TRANSFER) IF SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE WHO IS (A) A US PERSON AND (B) NOT BOTH AN ACCREDITED INVESTOR AND A QUALIFIED PURCHASER. ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. THE ISSUER MAY REQUIRE ANY HOLDER OF THIS NOTE WHO IS DETERMINED TO HAVE BEEN (A) A US PERSON AND/OR (B) NOT BOTH AN ACCREDITED INVESTOR AND A QUALIFIED PURCHASER AT THE TIME OF ACQUISITION OF THIS NOTE TO SELL THIS NOTE TO A PERSON WHO IS (A) NOT A US PERSON AND (B) BOTH AN ACCREDITED INVESTOR AND A QUALIFIED PURCHASER. ANY TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE PURCHASER OR TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE OR ANY INTERMEDIARY. EACH PURCHASER OF THIS NOTE OR ANY INTEREST HEREIN AGREES THAT THE ISSUER MAY RECEIVE A LIST OF PARTICIPANTS HOLDING POSITIONS IN ITS SECURITIES FROM ONE OR MORE BOOK-ENTRY DEPOSITORIES AND THAT IT WILL DELIVER TO EACH PURCHASER OF THIS NOTE OR ANY INTEREST HEREIN A NOTICE SUBSTANTIALLY TO THE EFFECT OF THIS LEGEND. (m) that it, and each person or account for which it is purchasing or otherwise acquiring such Notes (or beneficial interest therein), will purchase, hold or transfer at least $200,000 of the Notes (or beneficial interests therein) and shall not sell participation interests in any Notes; 104

106 (n) (o) (p) that it is not a natural person and has the power and authority to enter into each agreement required to be executed and delivered by or on behalf of the purchaser in connection with its purchase of Notes and to perform its obligations thereunder and consummate the transactions contemplated thereby, and the person signing any such documents on behalf of the purchaser has been duly authorised to execute and deliver such documents and each other document required to be executed and delivered by the purchaser in connection with its purchase of Notes. Such execution, delivery and compliance by the purchaser does not conflict with, or constitute a default under, any instruments governing the purchaser, any applicable law, regulation or order, or any material agreement to which the purchaser is a party or by which the purchaser is bound; that it understands that the Issuer may require certification acceptable to it (i) to permit the Issuer to make payments to it without, or at a reduced rate of, withholding or (ii) to enable the Issuer to qualify for a reduced rate of withholding in any jurisdiction from or through which the Issuer receives payments on its assets. The purchaser agrees to provide any such certification that is requested by the Issuer; and that it acknowledges that the Issuer, the Portfolio Manager and others will rely upon the truth and accuracy of the foregoing acknowledgments, representations and agreements and agrees that, if any of the acknowledgments, representations or warranties made or deemed to have been made by it in connection with its purchase of the Notes are no longer accurate, the purchaser will promptly notify the Issuer and the Portfolio Manager. 105

107 CERTAIN TAX CONSIDERATIONS General The discussion below is a general summary of certain tax considerations currently applicable to the Issuer and the Asset Level Issuer, and to an investment in the Notes by certain prospective Note Holders. In view of the number of different jurisdictions where local laws may apply to a Note Holder, this Memorandum does not discuss the tax consequences (other than the tax consequences with respect to Ireland, the Cayman Islands and the United States) to a potential investor arising from the acquisition, holding or disposition of Notes. EACH PROSPECTIVE INVESTOR SHOULD CONSULT WITH AND MUST RELY UPON ITS OWN TAX ADVISOR REGARDING THE TAX CONSEQUENCES OF INVESTING IN THE NOTES. THIS DISCUSSION IS PROVIDED ONLY TO ASSIST THE PROSPECTIVE INVESTOR IN EVALUATING THE EXPECTED TAX CONSEQUENCES AND LIABILITIES RELATED TO AN INVESTMENT IN THE NOTES. A COMPLETE DISCUSSION OF ALL TAX ASPECTS OF AN INVESTMENT IN THE NOTES IS BEYOND THE SCOPE OF THIS MEMORANDUM. NO REPRESENTATIONS ARE MADE REGARDING THE PARTICULAR TAX CONSEQUENCES OR LIABILITIES RELATED TO AN INVESTMENT IN THE NOTES BY ANY PROSPECTIVE INVESTOR. IN PARTICULAR, NO REPRESENTATION IS MADE AS TO THE MANNER IN WHICH PAYMENTS UNDER THE NOTES WOULD BE CHARACTERISED BY ANY RELEVANT TAXING AUTHORITY. MOREOVER, THIS DISCUSSION IS NOT INTENDED TO PROVIDE TAX OR OTHER LEGAL ADVICE TO ANY PROSPECTIVE INVESTOR. 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. 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, an exemption from withholding on interest payments exists under Section 64 of the Taxes Consolidation Act, 1997 (the "1997 Act") for certain interest bearing securities issued by a body corporate (such as the Issuer) which are quoted on a recognised stock exchange (which would include the Main Securities Market of the Irish Stock Exchange) ("Quoted Eurobonds"). Any interest paid on such quoted Eurobonds can be paid free of withholding tax provided: (1) the person by or through whom the payment is made is not in Ireland; or (2) the payment is made by or through a person in Ireland, and either: (3) the quoted Eurobond is held in a clearing system recognised by the Irish Revenue Commissioners (e.g. Euroclear, Clearstream Banking SA and Clearstream Banking AG), or (4) the person who is the beneficial owner of the quoted Eurobond and who is beneficially entitled to the interest is not resident in Ireland and has made a declaration to the person by or through whom the payment is made in the prescribed form. So long as the Notes are quoted on a recognised stock exchange and are held in a recognised clearing system such as Euroclear, Clearstream Banking SA or Clearstream Banking AG (or, if not so held, payments on the Notes are made through a paying agent not in Ireland), interest 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. 106

108 If, for any reason, the quoted Eurobond exemption referred to above does not or ceases to apply, the Issuer can still pay interest on the Notes free of withholding tax provided it is a qualifying company within the meaning of Section 110 of the 1997 Act (a "Qualifying Company") and provided the interest is paid to a person resident in either (i) a member state of the European Union (other than Ireland) or (ii) a country with which Ireland has signed a comprehensive double taxation agreement (such a country mentioned in either (i) or (ii) being a "Relevant Territory"). For this purpose, residence is determined by reference to the law of the country in which the recipient claims to be resident. This exemption from withholding tax will not apply, however, if the interest is paid to a company in connection with a trade or business carried on by it through a branch or agency located in Ireland. Deductibility In certain limited circumstances a payment of interest by the Issuer which is considered dependent on the results of the Issuer's business or which represents more than a reasonable commercial return will not be deductible for tax purposes in the hands of the Issuer and can be re-characterised as a distribution subject to dividend withholding tax. A payment of profit dependent or excessive interest on the Notes will not be re-characterised as a nondeductible distribution where, broadly, the Note Holder is either: (i) (ii) (iii) (iv) an Irish tax resident person; a person subject to tax in a Relevant Territory which generally applies to profits, income or gains received from sources outside that territory without any reduction computed by reference to the amount of the payment; neither a person which is a company which directly or indirectly controls the Issuer or which is controlled by a third company which directly or indirectly controls the Issuer nor is a person (including any connected person) (a) from whom the Issuer has acquired assets, (b) to whom the Issuer has made loans or advances, or (c) with whom the Issuer has entered into a return agreement (as defined in section 110(1) of the 1997 Act) where the aggregate value of such assets, loans, advances or agreements represents 75% or more of the assets of the Issuer (such a person falling within this category of person being a "Specified Person"); or an exempt pension fund, government body or other resident in a Relevant Territory person (which is not a Specified Person). In certain circumstances, Irish tax will be required to be withheld at the standard rate from interest on any quoted Eurobond, where such interest is collected by a bank or other agent in Ireland on behalf of any Note Holder. 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. Interest paid on the Notes may have an Irish source and therefore be within the charge to Irish income tax and the universal social charge. Ireland operates a self-assessment system in respect of income tax and any person, including a person who is neither resident nor ordinarily resident in Ireland, with Irish source income comes within its scope. However, interest on the Notes will be exempt from Irish income tax if the recipient of the interest is resident in a Relevant Territory provided either (i) the Notes are quoted Eurobonds and are exempt from withholding tax as set out above and the recipient is not a resident of Ireland, (ii) in the event of the Notes not being or ceasing to be quoted Eurobonds exempt from withholding tax, if the Issuer is a Qualifying Company, or (iii) if the Issuer has ceased to be a Qualifying Company, the recipient of the interest is a company and the jurisdiction concerned imposes a tax that generally applies to interest receivable in that jurisdiction by companies from sources outside that jurisdiction. In addition, provided that the Notes are quoted Eurobonds and are exempt from withholding tax as set out above, the interest on the Notes will be exempt from Irish income tax if the recipient of the interest is (i) a company under the control, directly or indirectly, of persons who by virtue of the law of a relevant territory are resident in that country and that person or persons are not themselves under the control whether directly or 107

109 indirectly of a person who is not resident in such a country, or (ii) a company, the principal class of shares of such company, or another company of which the recipient company is a 75% subsidiary, is substantially and regularly traded on one or more recognised stock exchanges in Ireland or a relevant territory or a stock exchange approved by the Irish Minister for Finance. Notwithstanding these exemptions from income tax, a corporate recipient that carries on a trade in Ireland through a branch or agency in respect of which the Notes are held or attributed, may have a liability to Irish corporation tax on the interest. Note Holders receiving interest on the Notes which does not fall within any of the above exemptions may be liable to Irish income tax and the universal social charge on such interest. Capital Gains Tax A holder of Notes will not be subject to Irish tax on capital gains on a disposal of Notes unless such holder is resident or ordinarily resident in Ireland or carries on a trade in Ireland through a branch or agency in respect of which the Notes are used or held. Capital Acquisitions Tax A gift or inheritance comprising of Notes will be within the charge to capital acquisitions tax if either (i) the disponer or the donee/successor in relation to the gift or inheritance is resident or ordinarily resident in Ireland (or, in certain circumstances, if the disponer is domiciled in Ireland irrespective of his residence or that of the donee/successor) or (ii) if the Notes are regarded as property situate in Ireland. Bearer Notes are generally regarded as situated where they are physically located at any particular time. Registered Notes are generally regarded as situated where the principal register of Note Holders is maintained or is required to be maintained, but the Notes may be regarded as situated in Ireland regardless of their physical location or the location of the register as they secure a debt due by an Irish resident debtor and they may be secured over Irish property. Accordingly, if such Notes are comprised in a gift or inheritance, the gift or inheritance may be within the charge to tax regardless of the residence status of the disponer or the donee/successor. Stamp Duty Provided the Issuer remains a Qualifying Company no stamp duty or similar tax is imposed in Ireland on the issue, transfer or redemption of the Notes provided the money raised on the issue of the Notes is used in the course of the Issuer's business. 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 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 1 July 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 108

110 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. Information exchange and the implementation of FATCA in Ireland With effect from 1 July 2014 the Issuer may be obliged to report certain information in respect of U.S. investors (Note Holders) in the Issuer to the Irish Revenue Commissioners who will then share that information with the U.S. tax authorities. These obligations stem from FATCA which may impose a 30% US withholding tax on certain 'withholdable payments' made on or after 1 July 2014 unless the payee enters into and complies with an agreement with the IRS to collect and provide to the IRS substantial information regarding direct and indirect owners and account holders. Due to doubts as to whether FATCA could have extraterritorial effect certain countries, including Ireland, have entered into intergovernmental agreements with the U.S. regarding the implementation of FATCA. On 21 December 2012 Ireland signed an Intergovernmental Agreement (the "Model 1 IGA") with the United States to Improve International Tax Compliance and to implement FATCA. Under the Model 1 IGA Ireland agreed to implement legislation to collect certain information in connection with FATCA and the Irish and U.S. tax authorities have agreed to automatically exchange this information. The Model 1 IGA provides for the annual automatic exchange of information in relation to accounts and investments held by certain U.S. persons in a broad category of Irish financial institutions and vice versa. Under the Model 1 IGA and the irish Regulations implementing the information disclosure obligations Irish financial institutions, such as the Issuer, are required to report certain information with respect to U.S. account holders to the Revenue Commissioners. The Revenue Commissioners will automatically provide that information annually to the IRS. The Issuer must obtain the necessary information from investors required to satisfy the reporting requirements whether under the Model 1 IGA, the Irish Regulations or any other applicable legislation published in connection with FATCA and such information may be sought from each holder and beneficial owner of the Notes. It should be noted that the Irish Regulations require the collection of information and filing of returns with the Irish Revenue Commissioners regardless as to whether the Issuer holds any U.S. assets or has any U.S. investors. However, to the extent that the Notes are listed on a recognised stock exchange (which includes the Irish stock exchange), the Notes would not constitute reportable accounts and the Issuer will make a nil return for that year to the Irish Revenue Commissioners in respect of the Notes. While the Model 1 IGA and Irish Regulations should serve to reduce the burden of compliance with FATCA, and accordingly the risk of a FATCA withholding on payments to the Issuer in respect of its assets, no assurance can be given in this regard. As such, Note Holders should obtain independent tax advice in relation to the potential impact of FATCA before investing. Cayman Islands The Government of the Cayman Islands will not, under existing legislation, impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax upon the Intermediate Fund or the Note 109

111 Holders. Interest, dividends and gains payable to the Intermediate Fund and all distributions by the Intermediate Fund to its limited partners will be received free of any Cayman Islands income or withholding taxes. The Cayman Islands are not party to a double tax treaty with any country that is applicable to any payments made to or by the Intermediate Fund. The Intermediate Fund has registered as an exempted limited partnership under Cayman Islands law and the Intermediate Fund has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of 50 years from the date of the undertaking, no law which is enacted in the Cayman Islands imposing any tax to be levied on profits or income or gains or appreciations shall apply to the Intermediate Fund or to any partner thereof in respect of the operations or assets of the Intermediate Fund or the interest of a partner therein; and may further provide that any such taxes or any tax in the nature of estate duty or inheritance tax shall not be payable in respect of the obligations of the Intermediate Fund or the interests of the partners therein. Certain United States Federal Income Tax Considerations The following is a summary of certain aspects of the U.S. federal income taxation of the Issuer, the Asset Level Issuers and the Note Holders that should be considered by a prospective investor. This summary is based on the U.S. federal income tax laws, regulations, administrative rulings and judicial decisions in effect or available on the date of this Prospectus. No assurance can be given that administrative, judicial or legislative changes will not occur that would make the statements herein incorrect or incomplete. This summary does not discuss all of the tax consequences that may be relevant to a particular investor or to certain investors subject to special treatment under the U.S. federal income tax laws. In addition, this summary does not address the U.S. federal income tax considerations applicable to an investment in the Notes by persons other than foreign corporations. Each prospective investor should seek advice based on its particular circumstances from its own tax advisors regarding the U.S. federal income tax consequences of an investment in the Notes. The Issuer and the Asset Level Issuer * * * * The Asset Level Issuer and the Intermediate Fund each have elected to be classified as a partnership for U.S. federal income tax purposes. The Issuer will be classified as a corporation for U.S. federal income tax purposes. As a foreign corporation, the Issuer generally will not be subject to U.S. federal income taxation on income or gain realised by it from trading and investment activities provided that the Issuer is not engaged in, or deemed to be engaged in, a U.S. trade or business to which such income or gain is treated as effectively connected. If the Asset Level Issuer or the Intermediate Fund is engaged in, or deemed to be engaged in, a U.S. trade or business in any year, then that status will be imputed to the Issuer. The Asset Level Issuer, the Intermediate Fund and the Issuer should not be considered to be so engaged, so long as (i) neither the Asset Level Issuer, the Intermediate Fund nor the Issuer is considered a dealer in stocks, securities or commodities, and does not regularly offer to enter into, assume, offset, assign, or otherwise terminate positions in derivatives with customers, (ii) the US business activities of the Asset Level Issuer, the Intermediate Fund and the Issuer (if any) consist solely of investing in and/or trading stocks or securities, commodities of a kind customarily dealt in on an organised commodity exchange (if the transaction is of a kind customarily consummated at such place) and derivatives for their own account, and (iii) any entity in which the Asset Level Issuer, the Intermediate Fund or the Issuer invests that is classified as a disregarded entity or partnership for U.S. federal income tax purposes is not engaged in, or deemed to be engaged in, a U.S. trade or business. The Asset Level Issuer, the Intermediate Fund and the Issuer intend to conduct their affairs in a manner that meets such requirements. However, because neither the Asset Level Issuer, the Intermediate Fund nor the Issuer can give complete assurance that they will not be treated as conducting a trade or business within the United States, it should be noted that if the Issuer were engaged in, or deemed to be engaged in, a U.S. trade or business in any year, the Issuer (but not any of the its Note Holders) would be required to file a U.S. federal income tax return for such year and generally pay tax on its income and gain that is effectively connected with such U.S. trade or business at normal U.S. tax rates. In addition, the Issuer generally would be required to pay a branch profits tax equal to 30% of the earnings and profits of such U.S. trade or business that are not reinvested therein. Due to the pass-through nature of the Asset Level Issuer and the Intermediate Fund, the term "Issuer" (as used in the remainder of this summary) may include the Asset Level Issuer or the Intermediate Fund through which the Issuer trades as the context may require. The Issuer will also be subject to a 30% U.S. withholding tax on the gross amount of (i) any U.S. source interest income that falls outside the portfolio interest exception or other available exception to withholding tax, (ii) any 110

112 U.S. source dividend income or dividend equivalent payments, and (iii) any other U.S. source fixed or determinable annual or periodical gains, profits, or income, in each case to the extent such amounts are not effectively connected with a U.S. trade or business. For these purposes, interest will generally qualify for the portfolio interest exception if it is paid on an obligation issued after July 18, 1984, that (i) is in registered form, provided that the Asset Level Issuer and the Issuer provide certain required certifications or (ii) was issued on or before March 18, 2012, and meets certain requirements as a foreign-targeted obligation for U.S. federal income tax purposes. In addition, interest on an obligation will not qualify for the portfolio interest exception if (i) the Asset Level Issuer or the Issuer is considered a 10-percent shareholder of the issuer of the obligation, (ii) the Issuer is a controlled foreign corporation and is considered to be a related person with respect to the issuer of the obligation or (iii) such interest is determined by reference to certain financial information of the issuer of the obligation (e.g., the issuer's receipts, sales, income or profits) or is otherwise considered to be contingent interest. Non-U.S. Note Holders Note Holders that are foreign corporations (each a "Non-U.S. Note Holder") generally should not be subject to U.S. federal income taxation on gain realised from the sale, exchange, or redemption of Notes held as a capital asset unless such gain is otherwise effectively connected with a U.S. trade or business. Compliance with U.S. Withholding Requirements FATCA provides that a 30% withholding tax will be imposed on certain payments of United States source income and certain payments of proceeds from the sale of property that could give rise to United States source interest or dividends unless the Issuer enters into an agreement with the IRS to disclose the name, address and taxpayer identification number of certain United States persons that own, directly or indirectly, an interest in the Issuer, as well as certain other information relating to such interest. The IRS has released regulations and other guidance that provide for the phased implementation of the foregoing withholding and reporting requirements. On November 29, 2013, the United States Department of the Treasury signed a Model IGA with the Cayman Islands. Cayman Islands regulations have also been issued on 4 July 2014 to give effect to the Model 1 IGA. Pursuant to the regulations, the Cayman Island Tax Information Authority is expected to issue guidance on the application of the Model 1 IGA. The Model 1 IGA modifies the foregoing requirements but generally requires similar information to be disclosed to the Cayman Islands government and ultimately to the IRS. The Issuer will attempt to satisfy any obligations imposed on it to avoid the imposition of this withholding tax. The Issuer's ability to satisfy its obligations under FATCA will depend on each Note Holder providing the Issuer with any information, including information concerning the direct or indirect owners of such Note Holder, that the Issuer determines is necessary to satisfy such obligations. Each Note Holder agrees in its Subscription Agreement to provide such information upon request from the Issuer. If the Issuer fails to satisfy such obligations or if a Note Holder fails to provide the Issuer with the necessary information, payments of U.S. source income and payments of proceeds from the sale of property described in the previous paragraph will generally be subject to a 30% withholding tax. The Asset Level Issuer and the Intermediate Fund will be subject to similar requirements under FATCA. Failure by a Note Holder to provide the Issuer with the information it requests may result in the Issuer exercising its right to completely redeem the Notes of that Note Holder. Note Holders are encouraged to consult with their own tax advisors concerning the foregoing matters. Private Foundations, Endowment Funds and other Tax-Exempt Organisations Any potential investor that is tax-exempt under Section 501(c)(3) of the Code should carefully review the section of this Prospectus entitled "CERTAIN TAX CONSIDERATIONS Tax-Related Concerns of Exempt Organisations" and consult its tax advisor with regard to the fact that a purchase of the Notes might give rise to UBTI. In addition, private foundations and their managers are subject to a number of special excise taxes under Sections 4940 through 4944 of the Code, including taxes on imprudent investments, on net investment income, on the failure to make minimum annual distributions or payments for exempt purposes, on excess business holdings, and certain "self-dealing" transactions. ANY PRIVATE FOUNDATION CONTEMPLATING AN INVESTMENT IN THE NOTES SHOULD CONSULT WITH ITS OWN TAX ADVISORS REGARDING THE POTENTIAL APPLICATION OF THESE EXCISE TAXES TO AN INVESTMENT. Under certain state statutes, the acquisition of the Notes by an endowment fund or other charity is not legally permissible. Investment managers of endowment funds should thus consult with their legal counsel as to whether the acquisition of the Notes is appropriate. It should be noted, however, that the Uniform Management of Institutional Funds Act and its successor, the Uniform Prudent Management of Institutional Funds Act (adopted in various forms by a large number of states) allows participation in investment partnerships or similar 111

113 organisations in which funds are commingled even though investment determinations are made by persons other than the governing board of the endowment fund. THE TAX AND OTHER MATTERS DESCRIBED IN THIS PROSPECTUS DO NOT CONSTITUTE, AND SHOULD NOT BE CONSIDERED AS, LEGAL OR TAX ADVICE TO PROSPECTIVE INVESTORS. PROSPECTIVE INVESTORS SHOULD CONSULT LEGAL AND TAX ADVISORS IN THE COUNTRIES OF THEIR CITIZENSHIP, RESIDENCE AND DOMICILE TO DETERMINE THE POSSIBLE TAX OR OTHER CONSEQUENCES OF PURCHASING, HOLDING AND REDEEMING THE NOTES UNDER THE LAWS OF THEIR RESPECTIVE JURISDICTIONS. 112

114 SALE AND PURCHASE Pursuant to subscription agreements, dated 3 July 2014, subscription by the Initial Purchasers for USD 2,000,000,000 stated amount of the Notes in consideration for the Subscription Amount has been agreed with the Issuer. The Initial Purchasers may make additional instalment payments on the Notes by way of Principal Borrowings. In addition, the Issuer has agreed to bear certain costs incurred in connection with the issue of the Notes. The Initial Purchasers are entitled to be released and discharged from their obligation to subscribe in certain limited circumstances prior to the Closing Date. Selling Restrictions United States of America The Notes may not be offered, sold, distributed or transferred within the United States or to, or for the account or benefit of, United States persons. United Kingdom The Initial Purchasers have agreed that the Notes have been subscribed for on terms that: (a) (b) (c) (d) a Note Holder is a qualified investor (within the meaning of section 86 (7) of the Financial Services and Markets Act 2000) (the "FSMA"); 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 Purchasers have 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 2013 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 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. European Economic Area In relation to each Member State of the European Economic Area which has implemented the Prospectus Directive (each, a "Relevant Member State"), the Initial Purchasers have agreed that the Notes have been 113

115 subscribed for on terms that, with effect from and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the "Relevant Implementation Date") they have not made and will not make an offer of Notes to the public in that Relevant Member State except that they may, with effect from and including the Relevant Implementation Date, make an offer of such Notes to the public in that Relevant Member State otherwise than in conformity with the provisions of the Prospectus Directive and any relevant implementing measure in the Relevant Member State. General The Initial Purchasers have agreed that they will comply with all applicable securities laws and regulations in force in any jurisdiction in which they purchases, offers, sells or delivers Notes or possesses or distributes this Prospectus and will obtain any consent, approval or permission required by them for the purchase, offer, sale or delivery by them of Notes under the laws and regulations in force in any jurisdiction to which they are subject or in which they make such purchases, offers, sales or deliveries and the Issuer shall not have any responsibility therefor. The Issuer does not represent that Notes may at any time lawfully be sold in compliance with any applicable registration or other requirements in any jurisdiction, or pursuant to any exemption available thereunder, or assumes any responsibility for facilitating such sale. 114

116 GENERAL INFORMATION 1. LISTING Application has been made to list the Notes on the Irish Stock Exchange by the Issuer, through the Listing Agent, A&L Listing Limited (the "Irish Listing Agent"). The Irish Listing Agent is acting solely in its capacity as listing agent for the Issuer in relation to the Notes and is not itself seeking admission to the Official List or to trading on the Main Securities Market. It is expected that the listing of the Notes will be granted on or before 3 September. The Issuer estimates the amount of expenses related to the admission of the Notes to trading on the Irish Stock Exchange to be approximately EUR 5, 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 a resolution of the board of directors of the Issuer passed on 1 August NO SIGNIFICANT OR MATERIAL CHANGE There has been no material change in the financial or trading position or prospects of the Issuer since its incorporation on 27 May Since its incorporation, the Issuer has not commenced trading or established or created any accounts except, as described in this Prospectus, its entry into the Portfolio Management Agreement, the joinder to the Professional Services Agreement and the opening of an account with Northern Trust. 4. NO INDEBTEDNESS 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 Since incorporation, no material contract other than the Issuer 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. 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 (27 May 2014) 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) (b) the Memorandum and Articles of Association of the Issuer; the Trust Deed; 115

117 (c) (d) the Limited Partnership Agreement; and this Prospectus. This Prospectus will be published on the Central Bank's website ( 9. CLEARING SYSTEMS The Notes have been accepted for clearance through Euroclear and Clearstream, Luxembourg under ISIN: XS The Common Code of the Notes is The address of Euroclear is 1 Boulevard du Roi Albert II, B.1210 Brussels, Belgium. The address of Clearstream, Luxembourg is 42 Avenue J.F. Kennedy, L-1855 Luxembourg. 10. POST-ISSUANCE INFORMATION The Issuer does not intend to provide any post-issuance information in relation to the Notes or the Asset Level Notes. 116

118 ANNEX ASSET LEVEL NOTES LISTING PARTICULARS [Remainder of page intentionally left blank] 117

119 ICE GLOBAL CREDIT (DCAM) MASTER FUND LIMITED (a private company with limited liability incorporated under the Companies Acts 1963 to 2013 of Ireland under number ) USD 2,000,000,000 Asset-Backed Notes due 30 July This document comprises a listing particulars (the "Listing Particulars") for the purposes of giving information with regard to ICE Global Credit (DCAM) Master Fund Limited (the Issuer ) which, according to the particular nature of the Issuer and the Notes (as defined below), 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 2,000,000,000 Asset-Backed Notes due 30 July 2045 (the Notes ) issued by the Issuer on or about 27 August Interest (if any) on the Notes will accrue in respect of and throughout each Accrual Period (as defined below). Payment of 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 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), thereof. The Issuer may from time to time request that the holder of the Notes (the Note Holder ), or the Note Holder may so elect, to pay to the Issuer an additional instalment on the Notes in an amount up to the difference, if any, between (i) the Paid-Up Amount (as defined below) of the Notes and (ii) the Stated Amount of the Notes. (See Terms and Conditions of the Notes Form, Denomination and Title ). The Notes mature on 30 July 2045 but may be redeemed prior thereto at the option of the Issuer or the Note Holder. (See Terms and Conditions Redemption and Purchase ). Application has been made to the Irish Stock Exchange Plc (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 (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 22 August (i)

120 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 Portfolio Manager ) accepts responsibility for the information contained in the sections entitled The Portfolio Manager and The Portfolio. To the best of the knowledge and belief of the Portfolio 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 Portfolio Manager accepts responsibility accordingly. None of the Trustee (as defined below), the Paying Agent (as defined below), the Registrar (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, the Registrar 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 Registrar, 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 Portfolio 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 (ii)

121 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 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, "EUR" 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. (iii)

122 TABLE OF CONTENTS PAGE SUMMARY...2 RISK FACTORS...9 TERMS AND CONDITIONS OF THE NOTES...34 USE OF PROCEEDS...47 THE ISSUER...48 PORTFOLIO MANAGER...50 THE PORTFOLIO...52 THE PORTFOLIO MANAGEMENT AGREEMENT...62 PRIME BROKER AND PRIME BROKERAGE AGREEMENT...65 THE PORTFOLIO ADMINISTRATOR AND THE PROFESSIONAL SERVICES AGREEMENT...66 CERTAIN TAX CONSIDERATIONS...68 SUBSCRIPTION...71 GENERAL INFORMATION

123 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 (DCAM) Master Fund Limited, a private company with limited liability having its registered office at Fitzwilliam Business Centre, Office G03, 77 Sir John Rogerson's Quay, Dublin 2, Ireland and incorporated under the Companies Acts 1963 to 2013 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 Form of the Notes The Trustee The Paying Agent Pursuant to the Trust Deed (as defined below) the Issuer issued the USD 2,000,000,000 Notes on or about 27 August 2014 (the Issue Date ) in consideration for payment of the Subscription Amount and for deferred payment by way of Principal Borrowings (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 5.3 (Redemption Amount)), after payments in respect of the Senior Obligations. The Notes are in definitive registered form. A definitive certificate will be issued in respect of the Notes (a "Certificate"). BNY Mellon Corporate Trustee Services Limited (the Trustee ), acting through its office at One Canada Square, London, E14 5AL, United Kingdom has been appointed as trustee of the Note Holder and the other creditors pursuant to a trust deed dated on or about 27 August 2014 (the Trust Deed ). The Trust Deed is governed by Irish law. The Bank of New York Mellon (London Branch) (the "Paying Agent"), with registered office at One Canada Square, London E14 5AL, United Kingdom has been appointed as paying agent with respect to the Notes pursuant to an agency agreement dated on or about 27 August 2014 (the "Agency Agreement"). The Agency Agreement is governed by Irish law. 2

124 The Registrar The Portfolio Manager Portfolio Administrator Prime Broker The Bank of New York Mellon (Luxembourg) S.A. (the "Registrar" and together with the Paying Agent, the "Agents"), with registered office at Vertigo Building Polaris, 2-4 rue Eugene Ruppert, L-2453 Luxembourg, Grand Duchy of Luxembourg, has been appointed as registrar of the Notes pursuant to the Agency Agreement. The Agency Agreement is governed by Irish law. The Issuer has engaged the services of ICE Canyon LLC (the Portfolio 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 24 June 2014, as amended and restated on or about 27 August 2014, between the Issuer and the Portfolio Manager (the Portfolio Management Agreement ). The Portfolio Management Agreement is governed by the laws of the State of Delaware, United States of America. The Issuer has engaged Northern Trust Hedge Fund Services LLC (the Portfolio Administrator ) pursuant to a joinder to a professional services agreement effective 1 July 2014 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. The Issuer has engaged Credit Suisse Securities (USA) LLC ( Credit Suisse ) as prime broker (the Prime Broker ), pursuant to a prime broker customer agreement (the Prime Brokerage Agreement ) dated 26 June 2014 between the Issuer and the Prime Broker, to provide certain prime brokerage and custodial services in respect of the Portfolio Assets. The Issuer granted security to the Prime Broker over, inter alia, 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 ). Custodian Use of Proceeds The Issuer has engaged The Northern Trust Company ( Northern ) to establish and maintain a custody account in the name of the Issuer (the "Custody Account") pursuant to a global master custody agreement (the Custody Agreement ) dated 23 June 2014 between the Issuer and the Northern. The initial net proceeds from the issuance of the Notes is USD 181,100,000 being the amount of the Subscription Amount (the "Initial Proceeds"). The Issuer may raise up to the USD 2,000,000,000 Stated Amount of the Notes provided that the Note Holder makes 3

125 additional instalment payments on the Notes by way of Principal Borrowings in accordance with Condition 9 (Principal Borrowings) (the "Deferred Proceeds"). The Issuer will apply the Initial Proceeds and the Deferred Proceeds (together the "Proceeds") (after payment of applicable fees and expenses and less the Profit Reserve Amount) 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 ). Portfolio and Portfolio Assets The Issuer (or the Portfolio 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 Portfolio Manager as further described in the section entitled The Portfolio. The Portfolio Assets will include a diversified portfolio of credit assets consisting principally of bonds, loan obligations and participations in loan obligations. The Portfolio Assets in aggregate are the Portfolio". (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: a) an ISDA Master Agreement and Credit Support Annex each dated 7 August 2014 with Deutsche Bank AG; b) an ISDA Master Agreement and Credit Support Annex each dated 5 August 2014 with Citibank, N.A. (the ISDA Agreements"). 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 Portfolio 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 The return on the Notes (the "Interest") in respect of any Accrual Period (as defined below) will be the Available Amount (as defined below). Interest, if any, on the Notes will accrue in respect of, and throughout, each Accrual Period. If the Interest on the Notes in respect of an Accrual Period is: (a) a positive amount, the Paid-Up Amount of the 4

126 Notes will be increased by that amount; or (b) a negative amount, the Paid-Up Amount of the Notes will be decreased by that amount, and in each case the increase or decrease of the Paid-Up Amount under Condition 4.2 (Accrual Period) will be effective as of the Accrual Date (as defined below) for that Accrual Period. If the Interest on the Notes in respect of an Accrual Period is zero, no adjustment will be made to the Paid-Up Amount of the Notes in respect of that Accrual Period. Interest will be reflected in an adjustment to the Paid-Up Amount of the Notes and will not be paid or payable (other than in connection with a permitted redemption or on the Maturity Date). "Accrual Date" means the last day of each Financial Year, each Redemption Date and the day immediately preceding each Principal Borrowing Date. "Accrual Period" means the period from and excluding an Accrual Date to and including the next following Accrual Date, and, in the case of the first accrual period, means the period from and including the Closing Date (as defined below) to and including the next following Accrual Date (the "First Accrual Period"). "Available Amount" means an amount equal to all income and gains (including deemed gains) arising from, earned by or attributed to the Issuer from or in respect, of the Portfolio Asset or related arrangements, for the Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Asset 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) accrued or attributable to the Issuer in that Accrual Period and which are allowable as deductions for Irish tax purposes and (ii) the Profit Reserve Amount (as defined below) for that Accrual Period. 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 27 May 2014 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 Holder from time to time, for each Financial Year, provided that a profit was made by the Issuer. Final Maturity The Notes will mature on 30 July 2045 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 (increased or decreased to the extent that the amount of Interest accrued on the Notes for 5

127 the relevant Accrual Period is a positive amount or a negative amount respectively) (the Final Redemption Amount ), the Final Redemption Amount of the Notes 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 Holder in respect of the Notes will be extinguished. Issuer Account Transaction Account 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 in the Issuer s name with the Prime Broker or, if the Issuer enters into prime brokerage or account arrangements with another service provider, that other service provider. Stated Amount The Stated Amount of the Notes is USD 2,000,000,000 (see Terms and Conditions of the Notes Form, Denomination and Title ). Principal Borrowing The Issuer may from time to time make a request to the Note Holder to pay an additional instalment on the Notes (a "Principal Borrowing") and any amounts received by the Issuer from the Note Holder shall constitute a Principal Borrowing. The Issuer may make a Borrowing Request on more than one occasion provided that each such Borrowing Request is for a minimum amount of USD 200,000 on the date that the Borrowing Request is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed aggregate Principal Borrowing, does not exceed the Stated Amount. Lending Request The Note Holder may from time to time make a request to the Issuer (a "Lending Request") to pay to the Issuer a Principal Borrowing. The Note Holder may make this request on more than one occasion provided that each such Principal Borrowing is for a minimum amount of USD 200,000 on the date that the Principal Borrowing is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed Principal Borrowing, does not exceed the Stated Amount of the Notes. The Note Holder, when making a Lending Request, shall notify the Issuer and the Agents of (i) the amount of the proposed Principal Borrowing and (ii) the date falling not more than 30 days or not less than 1 day following the date of such notice on which date the Note Holder will pay the proposed Principal Borrowing. Paid-Up Amount The Notes will be issued on a partly-paid basis. On the Closing Date the Initial Purchaser will subscribe for an amount (the "Subscription Amount") that is less than the Stated Amount. Payment of such Subscription Amount will be notified by the Issuer to, in accordance with the terms of the Agency Agreement, the Paying Agent, the Trustee and the Registrar, who will record details of the aggregate of such Subscription Amounts on the Register and the Certificate. The "Paid Up Amount" of the Notes at any time 6

128 is (x) the sum of (i) the Subscription Amount, (ii) all Principal Borrowings paid on the Notes at that time and (iii) all amounts of Interest added to the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date less (y) all Redemption Amounts and all amounts of negative amounts of Interest deducted from the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date. "Register" means the register in respect of the Notes maintained by the Registrar in accordance with the terms of the Agency Agreement and the Conditions. Withholding Tax The Offering 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 Issuer may from time to time with the consent of the Note Holder 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 Portfolio 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 Listing Agent Tax Status Transaction Documents Neither the Issuer nor the Notes will be rated. The Notes are governed by Irish law. Application has been made to have the Notes admitted to the Official List of the Irish Stock Exchange and trading on its Global Exchange Market. (See General Information ). A&L Listing Limited. See Certain Tax Considerations. The Trust Deed, the Subscription Agreement, the Portfolio Management Agreement, the Professional Services 7

129 Agreement, the Prime Brokerage Agreement, the Agency Agreement, the Corporate Services Agreement, the Custody Agreement, the Swap Agreements and all agreements incidental to the issue of the Notes (the Transaction Documents ). 8

130 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, securities 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 its investment objectives will be achieved, that the Note Holder 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. The Note Holder may not have sufficient historical information to serve as a basis for making a more informed investment decision. Past Performance Past results of the Portfolio 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 and is suitable only for persons who have limited need for liquidity of their investment and no need for regular current income. Risks Related to the Issuer Issuer is a special purpose entity The Issuer is a special purpose entity with no employees and is therefore dependent on third parties to carry out on its behalf, inter alia, administrative functions and actions relating to the Notes. These third parties include the Portfolio Manager, the Agents and the Corporate Services Provider. Failure of any of these third parties to discharge their functions on behalf of the Issuer could adversely affect the interests of the Note Holder. 9

131 Absence of Certain Regulatory Protection Since the Issuer is not required to be registered as an investment company, certain protections of the Investment Company Act will not be available to the Issuer or the Note Holder. In addition, because the Issuer is exempt from registration with the Commodity Futures Trading Commission (the "CFTC") as a commodity pool operator and as a commodity trading advisor, the Note Holder will not have the benefit of CFTC regulatory oversight. Notwithstanding the foregoing, the recently enacted Reform Act and EMIR (as defined below) imposes burdensome reporting requirements on the Issuer. The Issuer intends to trade with dealers who will undertake to fulfill the Issuer s Reform Act and EMIR mandated reporting requirements. The costs associated with such compliance may result in certain investment strategies in which the Issuer engages or may have otherwise engaged becoming non-viable or non-economic to implement. Registration as an investment advisor does not imply a certain level of skill or training. Alternative Investment Fund Managers Directive The Issuer does not believe that it is an alternative investment fund for the purposes of the European Union Alternative Investment Fund Managers Directive. If there is a change in regulation which would require the Issuer to register as an alternative investment fund, this could expose the Portfolio Manager and/or the Issuer to conflicting regulatory requirements in the United States, Cayman Islands and the EU and its member states. Examinership 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 Holder 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 Holder; 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 Holder. 10

132 Preferred Creditors under Irish Law Under Irish law, upon an insolvency of an Irish company such as the Issuer, when applying the proceeds of assets, the claims of a limited category of preferential creditors will take priority over the claims of both secured and unsecured creditors. These preferred claims include the remuneration, costs and expenses properly incurred by any examiner of the company (which may include any borrowings made by an examiner to fund the company's requirements for the duration of his appointment) which have been approved by the Irish courts. (See "Examinership" above). Risks Relating to the Notes Limited Resources of the Issuer; Ability of the Issuer to Meet its Obligations under the Notes 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 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 Redemption Amounts. None of the Trustee, the Portfolio 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 Holder must rely solely upon distributions the Issuer receives in respect of the Portfolio for the payment of the Redemption Amounts 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. 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. Interest on the Notes is dependent on the performance of the Portfolio; Interest may be negative The Interest on the Notes will be directly dependent on the performance of the Portfolio. Gains on the Portfolio will accrue as interest on the Notes, subject to certain deductions for fees, expenses of, and the profit amount due to, the Issuer. Accordingly, the accrual of Interest on the Notes will be directly dependent on the performance of the Portfolio. Furthermore, Interest may be a negative amount, in that losses on the Portfolio will be reflected in a reduction of the Paid-Up Amount of the Notes. Interest added to Paid-Up Amount It is intended that Interest accrued on the Notes will be added to the Paid-Up Amount of the Notes rather than paid to the Note Holder in cash. Accordingly, the Note Holder will be required to redeem the Notes in part or in whole if it wishes to receive a payment in respect of the Notes. 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 Holder in respect of the payment of Redemption 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 11

133 passu with all other unsecured and unsubordinated claims against the Issuer. Instalment Payments on the Notes In order to fund the ongoing activities of the Issuer, the Issuer may make further borrowing requests in respect of the unpaid Stated Amounts of the Notes. If the Note Holder is not able or refuses to meet such request the Issuer may not be able to complete a transaction that it wishes to enter into. The Note Holder is not obliged to, and there is no guarantee that the Note Holder will, make further instalment payments on the Notes. Illiquid Investment There is currently no secondary market for the Notes and there is no guarantee that such a market for the Notes will develop. In addition, the Notes are subject to certain restrictions on transfer and redemption. Hence, an investment in the Notes is a relatively illiquid investment. An investment in the Notes 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. 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 Holder, 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 Holder. 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. Interest added to Paid-Up Amount It is intended that Interest accrued on the Notes will be added to the Paid-Up Amount of the Notes rather than paid to the Note Holder in cash. Accordingly, the Note Holder will be required to redeem the Notes in part or in whole if they wish to receive a payment in respect of the Notes. Parallel Funds The Portfolio Manager may cause the Issuer to invest, directly or indirectly, together with one or more investment vehicles ( Parallel Funds ) structured to invest substantially in parallel with the Issuer. In order to ensure that the investments of the Issuer and those of any of the Parallel Funds are ultimately made on a pro rata basis, the Portfolio Manager may seek to effect transfers of investments between and among the Issuer and any such related Parallel Funds. No assurance can be given that the necessary consents for such transfers will be granted, and the Portfolio Manager cannot ensure that investments held by both the Issuer and any related Parallel Funds will ultimately be held on a fully pro rata basis. No trustee or agency relationship with the Agents In acting under the Agency Agreement and in connection with the Notes, the Agents act solely as agents of the Issuer and (to the extent provided therein) the Trustee and do not assume any obligations towards or relationship of agency or trust for or with the Note Holder. The Agents are entitled to be indemnified and relieved from certain responsibility in certain circumstances as set out in the Agency Agreement. Risks Relating to the Portfolio and Portfolio Assets Investments of the Issuer The Issuer may invest in a broad array of credit related financial instruments, including 12

134 senior, mezzanine and junior loan obligations, participations in loan obligations and debt securities. These financial instruments will include 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 (and as detailed further below), such investments may also involve the risks associated with currency fluctuations and various political factors, as also described below. The Issuer may also invest in treasury securities and other cash equivalents when attractive opportunities for capital appreciation appear to be limited. Due Diligence May Not Reveal All Relevant Facts Before making an investment on behalf of the Issuer, the Portfolio 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 Portfolio 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 Portfolio 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 organised 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 Issuer's 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 which could then have an adverse effect on the value of the Notes. Possibility of Losses 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 Portfolio 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. Non-Investment Grade Investments The Issuer may purchase financial instruments of, or may make direct loans to, companies that are not of investment grade. The Issuer may purchase loans that are in default or are from issuers in financial distress. The Issuer may also purchase trade or other claims against credit impaired companies, which generally represent money owed 13

135 by the company 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 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 with respect to participations. In analysing each bank loan or participation, the Portfolio 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 Portfolio 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. Corporate Debt Obligations and High-Yield Securities The Issuer will invest in corporate debt obligations, including, without limitation, "higher yielding" (and, therefore, higher risk) debt securities, when the Portfolio Manager believes that 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 and exposure to adverse business, financial, or economic conditions and the 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. The market value of debt securities generally tends to decline as interest rates increase and, conversely, tends to 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 14

136 fluctuate more than those for higher-rated instruments and the market for lower-rated securities is less liquid and less active. 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. 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. 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. 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 15

137 characterised by limited liquidity, which can make it difficult as well as costly to close out open positions in order either to realise 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 programme. A Swap is an individually negotiated, non-standardised 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 Portfolio 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 The Issuer may invest in CDS 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 collateralised 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 organised or will not be successful. In certain instances of issuer defaults or restructurings (for those credit default swaps for which restructuring is 16

138 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 maximise 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). 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 17

139 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 unfavourable 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 unfavourable position and the Issuer would remain obligated to meet margin requirements until the position is closed. The CFTC and the United States commodities exchanges impose 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. For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities (e.g., corn, oats, wheat, soybeans and cotton) and United States commodities exchanges currently impose speculative position limits on many other commodities. The Reform Act significantly expands the CFTC's authority to impose position limits with respect to futures contracts and options on futures contracts, swaps that are economically equivalent to futures or options on futures, and swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function. In response to this expansion of its authority, in 2012, the CFTC proposed a series of new speculative position limits with respect to futures and options on futures on so-called "exempt commodities" (which includes most energy and metals contracts) and with respect to agricultural commodities. Those proposed speculative position limits were vacated by a United States District Court, but the CFTC has again proposed a new set of speculative position rules which are not yet finalised (or effective). If the CFTC is successful in this second try, the counterparties with which the Issuer deals may further limit the size or duration of positions available to the Issuer. All accounts owned or managed by the Portfolio Manager are likely to be combined for speculative position limit purposes. The Issuer could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Issuer. 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 Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager must buy those underlying securities, the 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 nonperformance by the obligor on an option may be greater and the ease with which the Portfolio Manager can dispose of such an option may be less than in the case of an exchange traded option. The Portfolio 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 Portfolio 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. 18

140 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 reorganise 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 Portfolio 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 the Note Holder. 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 the Note Holder. 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 the Note Holder. Troubled company and other asset-based investments require active monitoring and may, at times, require participation in business strategy or reorganisation proceedings by the Portfolio Manager. To the extent that the Portfolio 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. 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. 19

141 The Issuer will make certain investments in securities which the Portfolio 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 realising their anticipated value. Acquisition of Illiquid Securities Investments made by the Issuer may include significant amounts of rated and unrated debt and listed and unlisted equity securities and other financial instruments for which no market or only a limited market exists (and which may even be restricted as to transferability under federal or state securities laws), and the disposition of such investments in the event of an unsuccessful outcome may be possible only at substantial discounts from their purchase price or intrinsic business value. The Issuer's holding of illiquid securities may adversely affect the ability of the Note Holder to receive redemption proceeds. Moreover, investments held by the Issuer, a percentage of which may be issued by companies or governments in emerging markets which have relatively less stable governments and economies (as discussed below under "Emerging Markets", could become subject to sanctions or other governmental restrictions on transferability or ownership imposed with little or no advance warning. Leverage of entities whose obligations are included in the Portfolio 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 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. 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 20

142 and other expenses in attempting to do so. The Issuer may also be subject to various trading or confidentiality restrictions. If the Portfolio Manager concludes that the Issuer s membership on a creditors committee entails obligations or restrictions that conflict with the duties the Issuer owes to the Note Holder, the Issuer will not seek membership in, or will resign from, that committee. In addition, the Issuer and some of the Portfolio 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 from that in the United States, resulting in greater uncertainty as to the rights of creditors, the enforceability of such rights, reorganisation timing, and the classification, seniority and treatment of claims. In certain developing countries, although bankruptcy laws have been enacted, the process for reorganisation remains highly uncertain. Short Sales The Issuer may make short sales in any type of securities, provided that any such short sales are in compliance with Regulation (EU) No 236/2012 of the European Parliament and the Council of 14 March 2012 on short selling and certain aspects of credit default swaps, 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 utilise 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 utilise short selling. 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 Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager may choose not, or may determine that it is 21

143 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 Portfolio Manager may rely on diversification to control such risks to the extent that the Portfolio 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 Portfolio Manager to predict pertinent market movements, which cannot be assured. The Portfolio 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. Possible Ineffectiveness of Risk Reduction Techniques The Portfolio Manager may employ various risk reduction strategies designed to minimise 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 Portfolio Manager analyses 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 Portfolio 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. Currency and Foreign Risks The Notes are denominated in US Dollars. The Issuer may, from time to time, invest in non-dollar denominated debt instruments or in securities of companies domiciled or operating outside of the United States. Investing in these securities involves considerations and possible risks not typically involved in investing in securities of companies domiciled and operating in the United States, 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 applicable outside the United States (e.g., the imposition of withholding taxes on interest and dividend payments, income taxes and excise taxes) 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 not present in the United States, 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 22

144 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 anti-insider trading legislation, and the concept of fiduciary duty, may be less developed or limited compared to those in more developed markets. 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. 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 reorganisation 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. 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 nationalisation 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, nationalisation, 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 23

145 of securities that is customary in more developed markets and there is a risk that the Issuer will not be recognised 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 behaviour at the level of individual economic factors; (iii) the 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 Portfolio 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 effect 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. The Note Holder should exercise particular care in evaluating the risks involved and must decide for itself whether, in light of those risks, its investment is appropriate. 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 Portfolio 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. 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 24

146 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 of , the US Dodd Frank Wall Street Reform and Consumer Protection Act (the Reform Act ) was enacted 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 ultimate impact of the Reform Act on the Issuer, the Portfolio 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 noneconomic 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. Over-the-Counter Derivatives Markets The Reform Act, enacted in July 2010, includes provisions that comprehensively regulate the OTC derivatives markets for the first time. The Reform Act will ultimately mandate that a substantial portion of OTC derivatives must be executed in regulated markets and be 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 CFTC-mandated margin requirements. OTC derivatives dealers typically 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. OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their customers trades instead of using such margin in their operations, as was widely permitted before the Reform Act. This has and will continue to increase the OTC derivative dealers costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and mark-to-market margin, less favourable trade pricing, and the imposition of new or increased fees, including clearing account maintenance 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. The SEC and CFTC will 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. Certain CFTCregulated derivatives trades are expected to be subject to these rules starting in early to mid It is not yet clear when the parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for certain entities, including the Issuer, to enter into highly tailored or customised 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. If the Issuer decides to become a direct member of one or more of these exchanges or execution facilities, the Issuer would be subject to all of the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential additional regulatory requirements. OTC derivative dealers are now required to register with the CFTC and will ultimately be 25

147 required to register with the SEC. Dealers are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements further increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants as market changes continue to be implemented. The overall impact of the Reform Act on the Issuer remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-united States regulators. Regulation 648/2012 on OTC Derivatives, Central Counterparties and Trade Repositories ("EMIR") regulates OTC derivatives in the European Union. The Issuer will be subject to EMIR, including the requirement to have in place trade reporting, portfolio reconciliation and dispute resolution arrangements. The Issuer may also be required to have OTC derivative cleared where the notional amount of such derivatives exceeds the thresholds set out by EMIR and implementing legislation. Failure by the Issuer to comply with the provisions of EMIR and implementing legislation could result in the Issuer being exposed to sanctions by the Central Bank. Regulatory Developments Related to Commodities Trading The Issuer s trading activities may be impacted by regulatory developments related to commodities trading. For example, recent joint rulemaking by the CFTC and the SEC (required under the Reform Act) has broadened the definition of commodities positions to include certain types of swaps, including some foreign exchange trades, that were previously not regulated as commodities. The precise contours of the SEC and CFTC rules remain somewhat uncertain and may change in unpredictable ways over time. As of the date of this Listing Particulars, the Portfolio Manager is exempt from registration with the CFTC as a commodity pool operator ( CPO ) pursuant to CFTC Rule 4.13(a)(3) which imposes certain quantitative limits on the size of commodities positions (including positions in swaps regulated as commodities) that the Issuer may take. Continued reliance on CFTC Rule 4.13(a)(3) may cause the Issuer to forego certain investment opportunities that might otherwise be suitable investments for the Issuer. In order to avoid the trading limitations imposed by CFTC Rule 4.13(a)(3), the Portfolio Manager may seek to rely on other exemptions from registration that do not impose such limitations, or it may elect to register as a CPO with the CFTC. However, even if the Portfolio Manager does register as a CPO, it expects that it may nevertheless be able to avoid certain disclosure, recordkeeping and reporting requirements that would otherwise apply to it (in reliance on CFTC Rule 4.7). 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 Portfolio 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 Holder. Availability of Suitable Investments While the Portfolio 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 26

148 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 Portfolio 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 realised due to economic, legal, political or other factors. Adherence to ESG Criteria In determining appropriate investments for the Issuer, the Portfolio 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 (as defined below). 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 Portfolio Manager, do not meet such criteria. Investments in Restricted Securities The Issuer may be prevented from buying or selling certain publicly traded securities if the Portfolio 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 Portfolio Manager and will not be traded until the non-public material information becomes public or is no longer material. 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. Financing Arrangements; Availability of Credit To the extent the Issuer utilises 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. 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 their own name. Bankruptcy or 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 27

149 well capitalised and established banks and brokerage firms in an effort to mitigate such risks, but the collapse of the seemingly well capitalised 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. Other Business Activities of the Portfolio Manager Neither the Portfolio 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 Portfolio Manager or its principals or employees to favour such other clients. However, the Portfolio 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 Portfolio Manager. The Portfolio Manager will seek the most favourable terms for each Portfolio transaction. Investment Restrictions The Portfolio Manager is subject to certain investment restrictions (see "The Portfolio Investment Restrictions") below. As a result the Portfolio Manager may not be able to make an investment that might ultimately prove profitable to the Note Holder. Danske Capital The Portfolio Manager consulted with Danske Capital, a division of Danske Bank A/S ("Danske Capital") during the initial formation and structuring of the transaction and agreed to provide Danske Capital a notice and consent right in connection with certain of the Issuer's investment restrictions (as described below in "The Portfolio"). Danske Capital may refuse (or, by failing to affirmatively respond to the Portfolio Manager's request, may be deemed to have refused) to provide consent to an investment by the Issuer that is otherwise prohibited by the investment restrictions but that may ultimately prove profitable to the Note Holder. 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 Portfolio Manager s time and attention, and that time and the devotion of 28

150 these resources to litigation may, at times, be disproportionate to the amounts at stake in the litigation. Reliance on Portfolio Manager and Nathan B. Sandler The success of the Portfolio depends upon the ability of the Portfolio Manager (acting as such) to develop and implement investment strategies that achieve the Portfolio's investment objectives. If the Portfolio 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 Portfolio Manager s investment activities. If Mr. Sandler is not available to the Portfolio Manager, this could adversely affect the Portfolio s performance. Limited Liability and Indemnification of ICE Canyon Persons ICE Canyon Persons (as defined below) have limited liability to the Issuer and the Note Holder. The Issuer (and indirectly, the Note Holder) have agreed to indemnify and hold each ICE Canyon Person harmless against any losses except to the extent such losses result from an ICE Canyon Person's violation of the Standard of Care (as defined below). Therefore, the Issuer will not be able to recover from ICE Canyon Persons for losses that arise from such ICE Canyon Persons' actions or inactions absent a violation of the Standard of Care. Furthermore, the Issuer may be required to bear, or reimburse ICE Canyon Persons for, potentially unlimited amounts, which could result in a material adverse effect on the Issuer. Conflicts of Interest The Portfolio Manager has certain conflicts of interest in its management of the Portfolio. These conflicts arise primarily from the involvement of the Portfolio Manager and its affiliates in other activities that may conflict with those of the Issuer and will also arise whenever the Portfolio Manager or any of its affiliates is engaged to perform for compensation any services for the Issuer. The directors, the Portfolio 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. Portfolio Concentration and Ongoing Monitoring of the Portfolio The Portfolio 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 Portfolio 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 Portfolio 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 Portfolio 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. 29

151 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 and the claims of the Note Holder in respect of payment of Redemption Amounts will be subordinated to such claims. Investment Risks 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. Trade Error Policy The Portfolio Manager attempts to minimise trade errors by taking the utmost care in making and implementing investment decisions on behalf of client accounts. The Portfolio Manager has controls and procedures in place designed to detect and correct in a timely manner any trade errors that may occur. Trade errors are documented and reported to the Portfolio Manager s supervisory personnel, and trade errors are reviewed to assess whether an error was a result of a weakness in internal procedures and controls. If it is determined that a weakness in internal controls caused or contributed to the error, mitigating controls are established to rectify the identified control weakness. It is the Portfolio Manager s policy generally not to reimburse clients for any errors or mistakes with respect to the Portfolio Manager s placing or executing trades for the client, as such errors are considered by the Portfolio Manager to be a cost of doing business. However, pursuant to the Portfolio Management Agreement s exculpation of liability and indemnification provisions, the Portfolio Manager will be obligated to reimburse the client for any trade error finally and judicially determined to be on account of a direct result of the Portfolio Manager s violation of the Standard of Care (as defined in "The Portfolio Management Agreement" below). The Portfolio Manager, subject to its fiduciary obligations, will determine whether or not any trade error is required to be reimbursed in 30

152 accordance with this policy. Any positive trade errors will be for the benefit of the client and not retained by the Portfolio Manager. Mark-to-Market The Portfolio Manager may, in its sole discretion, mark to market certain investments. Tax Risks 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 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 Portfolio Manager who may appoint sub- Portfolio 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 Holder 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 tax 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 recognised stock exchange (which would include the Global Exchange Market of the Irish Stock Exchange) 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 which does not have a presence 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 the 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 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 the universal social charge. 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 Holder. In addition, if 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 tax, 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 33% 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 31

153 in Irish law. If the effective tax burden the Issuer suffers in Ireland increases above its anticipated level, returns to Note Holder will decrease. There can be no guarantee that such changes will not be introduced. United States Source Payments May Be Subject to Withholding Under FATCA The Foreign Account Tax Compliance Act ("FATCA"), enacted as part of the Hiring Incentives to Restore Employment Act, provides that a 30% withholding tax will be imposed on certain payments of United States source income and certain payments of proceeds from the sale of property that could give rise to United States source interest or dividends unless the Issuer enters into an agreement with the United States Internal Revenue Service ("IRS") to disclose the name, address and taxpayer identification number of certain United States persons that own, directly or indirectly, an interest in the Issuer, as well as certain other information relating to any such interest. The IRS has released regulations and other guidance that provide for the phased implementation of the foregoing withholding and reporting requirements. On November 29, 2013, the United States Department of the Treasury signed a Model 1 non-reciprocal intergovernmental agreement ("Model 1 IGA") with the Cayman Islands. Cayman Islands regulations have also been issued on July 4, 2014 to give effect to the Model 1 IGA. Pursuant to the regulations, the Cayman Islands Tax Information Authority is expected to issue guidance on the application of the Model 1 IGA. The Model 1 IGA modifies the foregoing requirements but generally requires similar information to be disclosed to the Cayman Islands government and ultimately to the IRS. Although the Issuer will attempt to satisfy any obligations imposed on it to avoid the imposition of this withholding tax, no assurance can be given that the Issuer will be able to satisfy these obligations. If the Issuer becomes subject to a withholding tax as a result of FATCA, the return of all Note Holders may be materially affected. Moreover, the Issuer may reduce the amount payable on any distribution or redemption to a Note Holder that fails to provide the Issuer with the requested information. The Issuer will be subject to similar requirements under FATCA. Prospective investors are encouraged to consult with their own tax advisors regarding the possible implications of FATCA on their investments in the Issuer. Ireland entered into a Model 1 IGA with the United States on 21 December Under the terms of that Model 1 IGA the Issuer is not required to enter into an agreement with the IRS, instead, pursuant to the Financial Accounts Reporting (United States of America) Regulations 2014 (the Irish Regulations), introduced into law in Ireland with effect from 1 July 2014, it is required to register with the IRS to obtain a Global Intermediary Identification Number, and then comply with the aforementioned Irish legislation giving effect to the Model 1 IGA. The Issuer is obliged to register with the IRS under the irish Regulations by no later than 31 December Under the terms of the Model 1 IGA, withholding will not be imposed on payments made to the Issuer, or on payments made by the Issuer to the Note Holders (other than perhaps certain passthru withholding), unless the IRS has specifically listed the Issuer as a non-participating financial institution, or the Issuer has otherwise assumed responsibility for withholding under United States tax law. To the extent that the Notes are listed on a recognised stock exchange (which includes the Irish Stock Exchange) the Notes will not constitute reportable accounts and the Issuer will make a nil return for that year to the Irish tax authorities in respect of the Notes. The Issuer May Mandatorily Redeem any Note Holder that Fails to Cooperate with the Issuer's Efforts to Comply with FATCA The Issuer's ability to comply with FATCA will depend on each Note Holder providing the Issuer with information that the Issuer requests concerning the direct and indirect owners of such Note Holder. If a Note Holder fails to provide the Issuer with any information the Issuer requests, the Issuer may exercise its right to mandatorily redeem such Note Holder and/or create a separate group of Notes for such Note Holder and charge such Note Holder for any withholding attributable to such Note Holder's failure to provide the requested information. 32

154 Tax Audits The Issuer may be audited by Irish or U.S. federal, state or other tax authorities. An income tax audit may result in an increased tax liability of the Issuer, including with respect to years when the Note Holder did not hold the Notes, which could reduce the net asset value of the Issuer and affect the return of the Note Holder. Accounting for Uncertainty in Income Taxes Accounting Standards Codification Topic No. 740, "Income Taxes" (in part formerly known as "FIN 48") ("ASC 740"), provides guidance on the recognition of uncertain tax positions. ASC 740 prescribes the minimum recognition threshold that a tax position is required to meet before being recognised in an entity's financial statements. It also provides guidance on recognition, measurement, classification and interest and penalties with respect to tax positions. A prospective investor should be aware that, among other things, ASC 740 could have a material adverse effect on the periodic calculations of the net asset value of the Issuer, including reducing the net asset value of the Issuer to reflect reserves for income taxes (such as U.S. and foreign withholding taxes and income taxes payable on income effectively connected with a trade or business) that may be payable by the Issuer. This could cause benefits or detriments to the Note Holder, depending upon the timing of its entry and exit from the Issuer. Certain Activities of the Issuer May Cause it to be Treated as Engaged in a Lending Business within the United States for United States Federal Income Tax Purposes It is intended that the Issuer's affairs generally will be conducted such that no income realised by the Issuer will be effectively connected with the conduct of a U.S. trade or business or otherwise subject to regular U.S. federal income taxation on a net basis. As a result, it is anticipated that gains realised by the Issuer will generally not be subject to U.S. federal income taxation. However, because the law is unclear as to what activities constitute an active lending business, it is possible that the Issuer may engage in certain activities that may later be considered by the IRS to be a lending business if, among other facts, such activity is regularly carried on by the Issuer during a taxable year. If, contrary to the intended method of operation, the Issuer were engaged in, or deemed to be engaged in, a U.S. trade or business in any year, the Issuer (but not the Note Holder) would be required to file a U.S. federal income tax return for such year and generally pay tax on its income and gain that is effectively connected with such U.S. trade or business at normal U.S. tax rates. In addition, the Issuer generally would be required to pay a branch profits tax equal to 30% of the earnings and profits of such U.S. trade or business that are not reinvested therein. 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. 33

155 TERMS AND CONDITIONS OF THE NOTES The up to USD 2,000,000,000 asset-backed notes due 30 July 2045 (the Notes ), of ICE Global Credit (DCAM) Master Fund Limited (the Issuer ) are (a) constituted by, subject to and have the benefit of a trust deed dated on or about 27 August 2014 (the Closing Date ) (as amended or supplemented from time to time, the Trust Deed ) between the Issuer and BNY Mellon Corporate Trustee Services Limited as trustee (the Trustee, which expression includes all persons for the time being appointed as trustee or trustees under the Trust Deed) and (b) the subject of an agency agreement dated the Closing Date (as amended or supplemented from time to time, the Agency Agreement ) between the Issuer, The Bank of New York Mellon (London Branch) as paying agent (the Paying Agent which expression includes any successor paying agent appointed from time to time in connection with the Notes), The Bank of New York Mellon (Luxemburg) SA as registrar (the "Registrar" which expression includes any successor registrar 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 Agency Agreement and are subject to their detailed provisions. The holder of the Notes (the "Note Holder", which expression shall be construed in accordance with Condition 1.2 (Title)) is bound by, and is deemed to have notice of, all the provisions of the Trust Deed and those provisions of the Agency Agreement applicable to them. Copies of the Trust Deed and the Agency Agreement are available for inspection by the Note Holder during normal business hours at the Specified Offices (as defined in the Agency Agreement) of the Issuer and the Paying Agent, the initial Specified Offices of which are set out below. In connection with the issuance of the Notes, the Issuer entered into the Trust Deed, the Agency Agreement, a portfolio management agreement 24 June 2014, as amended and restated on or about 27 August 2014, (the "Portfolio Management Agreement") between the Issuer and ICE Canyon LLC (the "Portfolio Manager", which expression includes any successor Portfolio Manager appointed from time to time in connection with the Notes,) and certain other documents (together, the "Transaction Documents"). 1. Form, Denomination and Title 1.1. Form and Denomination The Notes are in definitive registered form and are issued and transferable in minimum denominations of USD 200,000 and integral multiples of USD 1,000 in excess thereof. Definitive certificates (each a Certificate ) will be issued in respect of the Notes. Each Certificate so issued shall be numbered and shall be in respect of Notes in minimum denominations of USD 200,000 and integral multiples of USD 1,000 in excess thereof Title Subject as set out below, title to the Notes will pass upon registration in the register (the "Register"). The Issuer and any Agent will (except as otherwise required by law) deem and treat the registered holder of the Notes as the absolute owner thereof (whether or not overdue and notwithstanding any notice of ownership, trust or any other interest or writing on, or notice of any previous loss or theft of, any Certificate) for all purposes, without prejudice to the provisions set out in the next paragraph below, and no person shall be liable for so treating the holder Transfers of Notes Upon the terms and subject to the conditions set forth in the Agency Agreement, the Notes may be transferred in whole or in part (in the authorised denominations set out in Condition 1.1 (Form and Denomination)). In order to effect any such transfer (i) the holder or holders must (A) surrender the Certificate for registration of the transfer of the Notes (or the relevant part of the Notes) at the specified office of the Registrar, with the form of transfer thereon duly executed by the holder or holders thereof and the transferee or transferees thereof or, in either case, his or their attorney or attorneys duly authorised in 34

156 writing and (B) complete and deposit such other certifications as may be required by the Registrar and (ii) the Registrar must, after due and careful enquiry, be satisfied with the documents of title and the identity of the person making the request. Any such transfer will be subject to such reasonable regulations as the Issuer and the Registrar may from time to time prescribe. Subject as provided above, the Registrar will, within 3 business days (being for this purpose a day on which banks are open for business in the city where the specified office of the Registrar) of the request (or such longer period as may be required to comply with any applicable fiscal or other laws or regulations), authenticate and deliver, or procure the authentication and delivery of, at its specified office to the transferee or (at the risk of the transferee) send by uninsured mail, to such address as the transferee may request, a new Certificate of a like aggregate nominal amount to the Notes (or the relevant part of the Notes) transferred. In the case of the transfer of part only of the Notes, a new Certificate in respect of the balance of the Notes not transferred will be so authenticated and delivered or (at the risk of the transferor) sent to the transferor Registration of transfer upon partial redemption In the event of a partial redemption of Notes under Condition 5 (Redemption and Purchase), the Issuer shall not be required to register the transfer of the Notes, or part of the Notes, called for partial redemption Costs of registration The Note Holder (as defined below) will not be required to bear the costs and expenses of effecting any registration of transfer as provided above, except for any costs or expenses of delivery other than by regular uninsured mail and except that the Issuer may require the payment of a sum sufficient to cover any stamp duty, tax or other governmental charge that may be imposed in relation to the registration Title Interest in the Notes will be shown on, and transfers thereof will only be effected through, the Register (as defined in Condition 6 (Register) below) maintained by the Registrar in accordance with Condition 6 (Register). Each person whose name is for the time being entered in the Register as being the holder of the Notes shall be treated by the Issuer, the Trustee and the Agents as the holder of the Paid-Up Amount of such Notes (and the expression Note Holder and references to holding of Notes and to holder of Notes shall be construed accordingly), for all purposes (whether or not such Notes is overdue and regardless of any notice of ownership, trust or any interest in it) and no person will be liable for so treating such person as the holder of the Notes Paid-Up Amount On the Closing Date the initial purchaser of the Notes will subscribe for an amount (the Subscription Amount ) that is less than the amount expressed as the Stated Amount of the Notes (the Stated Amount ). Payment of such Subscription Amount will be notified by the Issuer in accordance with the terms of the Agency Agreement to the Trustee and the Registrar, who will record details of such Subscription Amount on the Register and the Certificate. The "Paid Up Amount" of the Notes at any time is (x) the sum of (i) the Subscription Amount, (ii) all Principal Borrowings (as defined in Condition 9 (Principal Borrowings) below) paid on the note at that time and (iii) all amounts of Interest added to the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date less (y) all Redemption Amounts and all amounts of negative amounts of Interest deducted from the Paid-Up Amount in accordance with Condition 4 (Interest) as of the last Accrual Date. 2. Status and Ranking 2.1. Status and Ranking The Notes constitute direct, unsecured, unconditional and subordinated obligations of the 35

157 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 5.3 (Redemption Amount) after payment in respect of the Senior Obligations. 3. Covenants So long as the Notes remain outstanding, save with the prior written consent of the Trustee given on 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: carry on any business other than the acquisition, 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 a diversified portfolio of financial assets (the "Portfolio Assets", being in aggregate the "Portfolio") 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 and its interest therein and performing its obligations in respect of the Notes and 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 3.1.1(1) to 3.1.1(6) above in accordance with applicable laws 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 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 (provided that it may have a shareholding or interest in other entities in connection with the Portfolio); 36

158 4. Interest 4.1. Interest issue any shares in the Issuer (other than such shares as are in issue at the date hereof); or release any party to any Transaction Document from any of its material obligations thereunder or amend, supplement or otherwise modify any Issuer 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 Holder. The return on the Notes (the Interest ) in respect of any Accrual Period (as defined below) will be the Available Amount Accrual Period Interest, if any, on the Notes will accrue in respect of, and throughout, each Accrual Period. If the Interest on the Notes in respect of an Accrual Period is: a positive amount, the Paid-Up Amount of the Notes will be increased by that amount; or a negative amount, the Paid-Up Amount of the Notes will be decreased by that amount, and in each case the increase or decrease of the Paid-Up Amount under this Condition 4.2 (Accrual Period) will be effective as of the Accrual Date for that Accrual Period. If the Interest on the Notes in respect of an Accrual Period is zero, no adjustment will be made to the Paid-Up Amount of the Notes in respect of that Accrual Period. Interest will be reflected in an adjustment to the Paid-Up Amount of the Notes and will not be paid or payable (other than in connection with a redemption) Determination of Accrual Period by the Note Holder The Note Holder may at any time determine an Accrual Period and may notify the Issuer, the Portfolio Manager and the Trustee of such determination. Following such notice, the Portfolio Manager shall calculate the amount of any Interest accrued in respect of such Accrual Period and notify the Issuer, the Trustee, the Agents and the Note Holder in accordance with Condition 16 (Notices) of the results of such determination Determination of Accrual Period and Calculation of Interest by the Portfolio Manager on behalf of the Issuer The Portfolio 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 4.3 (Determination of Accrual Period by the Note Holder), calculate the amount of any Interest accrued in respect of such Accrual Period and notify the Issuer, the Trustee, the Agents and the Note Holder in accordance with Condition 16 (Notices) of the results of such determination. The address of the Portfolio 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: "Accrual Date" means the last day of each Financial Year, each Redemption Date and the day immediately preceding each Principal Borrowing Date. "Accrual Period" means the period from and excluding an Accrual Date to and including 37

159 the next following Accrual Date, and, in the case of the first accrual period, means the period from and including the Closing Date to and including the next following Accrual Date (the "First Accrual Period"). "Available Amount" means an amount equal to all income and gains (including deemed gains) arising from, earned by or attributed to the Issuer from or in respect, of the Portfolio Asset or related arrangements, for the Accrual Period, less any losses suffered by the Issuer from or in respect of the Portfolio Asset 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) accrued or attributable to the Issuer in that Accrual Period and which are allowable as deductions for Irish tax purposes and (ii) the Profit Reserve Amount (as defined below) for that Accrual Period. "Business Day" means a day on which commercial banks and foreign exchange markets are open in the place of presentation. "Closing Date" means the date of issue of the Notes. "IFRS" means International Financial Reporting Standards. 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 17 May 2014 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 Holder from time to time, for each Financial Year provided 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 Unless purchased and cancelled or previously redeemed, the Notes will be redeemed on 30 July 2045 (the Maturity Date ) or, if such day is not a Business Day, the immediately following Business Day Optional Redemption The Issuer may at its option, at any time, having given not less than 15 days' notice to the Trustee, the Paying Agent, the Registrar and the Note Holder in accordance with Condition 16 (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. The Note Holder may at its option, having given not less than 15 days' notice to the Issuer, the Trustee, the Registrar and the Paying Agent in accordance with Condition 16 (Notices) (which notice shall be irrevocable), require the Issuer to redeem the Notes in whole or in such part as it may in its absolute discretion elect and specify in such notice Redemption Amount The redemption amount of the Notes redeemed: in whole shall be an amount equal to the Paid-Up Amount of the Notes, increased or decreased to the extent that the amount of Interest accrued on the Notes for the relevant Accrual Period is a positive amount or a negative amount respectively (the " Redemption Amount"); or in part shall be an amount equal to the Paid-Up Amount of such part of the Notes, increased or decreased to the extent that the amount of 38

160 Interest accrued in respect of such part of the Notes for the relevant Accrual Period is a positive amount or a negative amount respectively (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 Redemption Amount, the Redemption Amount shall be deemed reduced to an amount equal to the Relevant Proportion, measured as of the date of such redemption (the "Redemption Date"), or, in respect of a Final Redemption, the Maturity Date, of the Net Recourse Assets and any claims of the Note Holder otherwise outstanding shall be extinguished. For the purpose of calculating a Redemption Amount in respect of the Notes or part of the Notes, any Interest shall be determined on the basis that the relevant Accrual Period is the period from and excluding the immediately preceding Accrual Date to and including the relevant Redemption or, in the case of a redemption on the Maturity Date, to and including the Maturity Date 5.4. 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 5.4 (Purchase) will be cancelled and may not be re-issued or resold. All Certificates in respect of Notes which are redeemed in whole or purchased pursuant to Condition 5.1 (Final Redemption), 5.2 (Optional Redemption) and 5.4 (Purchase) shall be sent to the Registrar for cancellation and, if applicable, destruction in accordance with the terms of the Agency Agreement Other Redemption The Notes may not be redeemed at the option of the Issuer or the Note Holder other than in accordance with this Condition 5 (Redemption and Purchase) Suspension of Redemptions The Issuer, acting on the advice of the Portfolio Manager, may in its discretion suspend redemptions in such circumstances as the Issuer in good faith deems appropriate to protect the interests of the Note Holder, except to the extent prohibited by any applicable laws. 6. Register The Registrar shall at all times maintain a register (the Register ) and enter in it: (i) (ii) (iii) (iv) (v) (vi) the name, address and address of the Note Holder; the date on which each person was registered as the Note Holder; the Subscription Amount and any Principal Borrowing and/or Redemption Amount in respect of the Notes; the Paid-Up Amount of the Notes held by the Note Holder, any change to such Paid-Up Amount and any Interest accrued to the Notes held by the Note Holder following notification to the Registrar; the serial number of any Certificate issued, the date of its issue and (if applicable) the date of cancellation; and the date on which a person ceased to be the Note Holder. 39

161 The Registrar shall notify the Note Holder of each payment made on the Notes 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. The Note Holder may inspect the Register from 9.00 a.m. to 5.00 p.m. on any day that is a business day in Luxemburg and may require a copy of it or any part of it at the cost of the Issuer. 7. Valuation 7.1. A valuation of Notes (a "Valuation") will occur no less frequently than at the end of each calendar month (each a Valuation Day ). After each Valuation Day, the Administrator, in consultation with the Portfolio Manager, will determine the value of the Notes. For the purposes of a Valuation, the value of the Portfolio Assets will be computed in accordance with the Portfolio Manager s pricing policy, as amended from time to time, a copy of which is available upon reasonable request (the Pricing Policy ) The Issuer may declare a suspension of Valuation for the whole or any part of any period during which: (a) any stock exchange or over-the-counter market on which any significant portion of the Portfolio Assets are listed, quoted, traded or dealt in is closed (other than customary weekend and holiday closings) or trading on such stock exchange or market is suspended or restricted; or (b) circumstances exist as a result of which, in the reasonable opinion of the Issuer, acting on the advice of the Portfolio Manager, it is not reasonably practicable for the Portfolio Manager to dispose of Portfolio Assets, or as a result of which any such disposal will be materially prejudicial to the Note Holder; or (c) a breakdown occurs (including communications disruptions) in any of the means normally employed in ascertaining the value of Portfolio Assets; or (d) for any other reason the value of any of the Portfolio Assets cannot reasonably or fairly be ascertained; or (e) any transfer of funds involved in the realisation or acquisitions of Portfolio Assets or payments due on redemptions of Notes cannot, in the opinion of the Issuer, be effected at normal rates of exchange Such suspension will take effect at such times as the Issuer will specify but not later than the close of business of the Business Day next following the declaration and thereafter there will be no Valuation until the Issuer declares the suspension at an end, except that the suspension will terminate in any event on the day following the first Business Day on which: (i) the condition giving rise to the suspension will have ceased to exist and (ii) no other condition under which suspension is authorised under this Condition will exist. Each declaration by the Issuer pursuant to this Condition will be consistent with such official rules and regulations, if any, relating to the subject-matter thereof as will have been promulgated by any authority having jurisdiction over the Issuer or the Portfolio Manager and as will be in effect at the time. To the extent not inconsistent with such official rules and regulations, the determination of the Issuer will be conclusive. Whenever the Issuer will declare a suspension of Valuation under this Condition, then as soon as may be practicable after any such declaration, the Issuer will cause a notice (in such manner as it may determine) to be given to the holders of Notes stating that such declaration has been made, and at the end of any period of suspension, the Issuer will cause another notice to be given to the holders of Notes stating that the period of suspension has ended. Notice for the purpose hereof will be sufficient if made in accordance with Condition 16 (Notices). 8. Payments 8.1. Method of Payment Payments of Redemption Amounts 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 40

162 payee (a Payment System ). Any such payment or accrual in respect of Notes will be notified to the Registrar by the Paying Agent and the Registrar shall amend the Register and, if requested by the Note Holder, the relevant Certificate accordingly 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 Holder in respect of such payments Payments on Business Days Payments on the Notes may only be made on a day which is a Business Day Paying Agent The initial Paying Agent and its initial specified offices are listed below. The Issuer has the right to vary or terminate the appointment of any Paying Agent and appoint additional or other Paying Agents in accordance with the terms of the Agency Agreement Specified Office of Paying Agent The specified office of the Paying Agent is One Canada Square, London, E14 5AL, United Kingdom (the Specified Office ). 9. Principal Borrowings 9.1. Borrowing Request The Issuer may from time to time elect that the Note Holder pays an additional instalment on the Notes (a "Principal Borrowing") which amount shall not exceed the stated amount of the Notes less the Paid-Up Amount of such Notes. The Issuer may make a Borrowing Request on more than one occasion provided that each such Borrowing Request is for a minimum amount of USD 200,000 on the date that the Borrowing Request is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed aggregate Principal Borrowings, does not exceed the Stated Amount of the Notes Lending Request The Note Holder may from time to time make a request to the Issuer (a "Lending Request") to pay to the Issuer a Principal Borrowing. The Note Holder may make this request on more than one occasion provided that each such Principal Borrowing is for a minimum amount of USD 200,000 on the date that the Principal Borrowing is made, and that the sum of (x) the aggregate Paid-Up Amount of the Notes outstanding and (y) the proposed Principal Borrowing, does not exceed the Stated Amount of the Notes. The Note Holder, when making a Lending Request, shall notify the Issuer and the Agents of (i) the amount of the proposed Principal Borrowing and (ii) the date falling not more than 30 days or not less than 1 day following the date of such notice on which date the Note Holder will to pay the proposed Principal Borrowing if the Lending Request is accepted by the Issuer Notice of Paid-Up Amounts following receipt of Principal Borrowing The Issuer shall, as soon as reasonably practicable following receipt of a Principal Borrowing (a "Principal Borrowing Date"), notify such amount to the Trustee, the Paying Agent, the Registrar and the Note Holder. From the time of receipt of a Principal Borrowing by the Issuer it shall be deemed to be added to the Paid-Up Amount of the Notes. Following receipt of notice of a Principal Borrowing, the Registrar shall amend the Register (and, if requested by the Note Holder, the relevant Certificate) accordingly. 41

163 10. Taxation All payments of Redemption Amounts in respect of the Notes shall be made free 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. 11. Events of Default Events of Default The Trustee if so directed by a Written Direction shall (subject in each case to being indemnified and/or secured and/or prefunded to its satisfaction) give notice to the Issuer that the Notes are, and they shall accordingly forthwith become, immediately due and repayable, if any of the following events occur and are continuing (each such event an "Event of Default") (i) Non-Payment the Issuer fails to pay the required amount on the Maturity Date, or fails to pay any other amount due in respect of the Notes within 90 days of such payment becoming due for payment; 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 Holder 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 42

164 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; then the Notes shall, by notice in writing given to the Issuer by the 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 the Note Holder otherwise outstanding shall be extinguished Priority of Payments before the occurrence of an Event of Default Prior to the occurrence of one of the circumstances set out in Condition 11.1 (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 Redemption Amounts 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: (i) (ii) (iii) (iv) (v) (vi) first, in or towards payment of any tax payable by the Issuer to any relevant tax authority; secondly, in payment or satisfaction of all fees, costs, expenses and liabilities 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 pursuant to any other Transaction Document; thirdly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Agents under the Agency Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to any of the Agents (including, but not limited to, any legal or professional fees and other costs and expenses of any of the Agents) pursuant to the Agency Agreement or pursuant to any other Transaction Document; fourthly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Administrator under the Professional Services Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to the Administrator (including, but not limited to, any legal or professional fees and other costs and expenses of the Administrator) pursuant to the Professional Services Agreement or pursuant to any other Transaction Document; fifthly, 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); sixthly, in or towards payment pari passu and rateably of all costs, charges, expenses and liabilities properly incurred and owing to all the 43

165 creditors of the Issuer other than any amounts due and payable to the Note Holder; and (vii) (viii) seventhly, in or towards payment pari passu and rateably of all Redemption Amounts remaining unpaid in respect of the Notes; and eighthly, the balance (if any) in payment to the Issuer Priority of Payments after the occurrence of an Event of Default After the occurrence of one of the circumstances set out in Condition 11.1 (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 Redemption Amounts 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: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) first, in or towards payment of any tax payable by the Issuer to any relevant tax authority; secondly, in payment or satisfaction of all fees, costs, expenses and liabilities 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 pursuant to any other Transaction Document; thirdly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Agents under the Agency Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to any of the Agents (including, but not limited to, any legal or professional fees and other costs and expenses of any of the Agents) pursuant to the Agency Agreement or pursuant to any other Transaction Document; fourthly, in payment or satisfaction of all fees, costs, expenses and liabilities and other remuneration payable to the Administrator under the Professional Services Agreement and all costs, charges, expenses and liabilities properly incurred by or to be incurred by or payable to the Administrator (including, but not limited to, any legal or professional fees and other costs and expenses of the Administrator) pursuant to the Professional Services Agreement or pursuant to any other Transaction Document; fifthly, 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); sixthly, 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 Note Holder; and seventhly, in or towards payment pari passu and rateably of all Redemption Amounts remaining unpaid in respect of the Notes; and eighthly, the balance (if any) in payment to the Issuer 44

166 12. Prescription Claims in respect of Redemption Amounts will become prescribed unless presentation for payment is made within a period of 10 years of such Redemption Amount falling due for payment. 13. Replacement of Certificates If any Certificate is lost, stolen, mutilated, defaced or destroyed it may be replaced by the Registrar 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. 14. Written Directions and Modification The Trust Deed contains provisions relating to Written Directions with respect to matters affecting the interests of the Note Holder, 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 Holder. 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. 15. Further Issues The Issuer may from time to time with the consent of the Note Holder 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 Portfolio 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. 16. Notices Notices to the Note Holder will be valid and deemed to have been made to the Note Holder 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 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, the Registrar and the Portfolio Manager will be valid and deemed to have been made if sent in accordance with the provisions of the Trust Deed, the Agency Agreement or the Portfolio Management Agreement as applicable. 45

167 17. 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. 18. Trustee and Paying Agent Under the Trust Deed, the Trustee is entitled to be indemnified, pre-funded, secured and relieved from any loss, damage, cost, charge, claim, demand, expense, judgment, action, proceeding or other liability in certain circumstances and to be paid its costs, fees, expenses and liabilities in priority to the claims of the Note Holder. 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 acting under the Agency Agreement and in connection with the Notes, the Agents act solely as agents of the Issuer and (to the extent provided therein) the Trustee and do not assume any obligations towards or relationship of agency or trust for or with any of the Note Holder. The Agents are entitled to be indemnified and relieved from certain liabilities in certain circumstances as set out in the Agency Agreement and to be paid their costs, fees, expenses and liabilities in priority to the claims of the Note Holder. The Issuer reserves the right (with the prior approval of the Note Holder and Trustee acting pursuant to a Written Direction) to terminate the appointment of the Agents in accordance with the provisions of the Agency Agreement. 19. Limited Recourse and Non Petition The Note Holder 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 Holder 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 Holder), neither the Note Holder nor anyone acting on its 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 Holder 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 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 Holder 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 2 years and a day after the latest Maturity Date on which the Notes are due to mature. 46

168 USE OF PROCEEDS The initial net proceeds from the issuance of the Notes is USD 181,100,000 being the amount of the Subscription Amount (the "Initial Proceeds"). It is expected that the Issuer will raise up to USD 2,000,000,000 in aggregate from time to time following issuance of the Notes provided that the Note Holder will, as necessary, (i) elect, from time to time, to pay Principal Borrowings to the Issuer, and/or (ii) comply with any Borrowing Request from the Issuer, each in accordance with Condition 9 (Principal Borrowings) (the Principal Borrowings ). The Initial Proceeds and the Principal Borrowings (other than the Profit Reserve Amount) (together the Proceeds ) will be credited to the Transaction Account. The Profit Reserve Amount will be credited to the Issuer 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 ). 47

169 THE ISSUER The Issuer is a private company with limited liability incorporated in Ireland on 27 May 2014 under the Companies Acts, 1963 to 2013 with registered number The registered office of the Issuer is Fitzwilliam Business Centre, Office G03, 77 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 and purchasing the Portfolio Assets. 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 the Notes are 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 1.7 (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 (f) above in accordance with applicable law and in accordance with the Memorandum and Articles of Association of the Issuer; 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 EUR 20,000 (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 release any party to any Transaction Document from its obligations thereunder or amend supplement or otherwise modify any Transaction Documents to which it is a party if such a change might reasonably be expected to materially adversely affect the rights and obligations of the Note Holder. The Issuer currently has no subsidiaries. The Issuer entered into a corporate services agreement dated 25 July 2014, pursuant to which Sanne Corporate Services (Ireland) Limited acts as corporate services provider to 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 Rory Williams, members of the board of directors of the Issuer, are also directors of the Corporate Services Provider. 48

170 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 Sanne Nominees Limited, a private company with limited liability registered in Jersey as nominee and on behalf of Sanne Corporate Services (Ireland) Limited (the "Share Trustee") under the terms of a declaration of trust (the Share Trust Agreement ) under which 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 addresses, their positions within the Issuer and their other principal activities are as follows: Name Address Position with the Issuer Occupation Peter O'Leary 15 Farney Park Director Company Director Sandymount Dublin 4 Ireland Rory Williams 17 Seven Oaks Director Company Director Drumcondra Dublin 9 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 27 May 2014, 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. 49

171 PORTFOLIO MANAGER ICE Canyon LLC, a Delaware limited liability company, is the Portfolio Manager of the Issuer (the Portfolio Manager ). The Portfolio Manager was formed in October 2006 as an investment management company specialising 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 July 2014, the Portfolio Manager had approximately $3.8 billion under management. In addition to the Portfolio, the Portfolio Manager currently manages the portfolios of other companies similar to the Issuer. The Portfolio Manager may organise other partnerships or funds in the future having similar or different investment objectives than those of the Portfolio. The Portfolio 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 Portfolio Manager s appointment, resignation of the Portfolio Manager and appointment of a successor to the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager. Mr. Sandler is the key person at the Portfolio Manager responsible for the investment activities of the Issuer as well as the Portfolio Manager s research strategy and firm management. Nathan B. Sandler (age 53) is co-founder, Chief Executive Officer and Managing Partner of the Portfolio Manager. Prior to the formation of the Portfolio 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 specialised 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 58) is a founding Managing Partner of Canyon and a cofounder of the Portfolio 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 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 50

172 Economics, Marshall Scholar), Harvard Law School (J.D., magna cum laude) and Harvard Business School (M.B.A., Baker Scholar). Mitchell R. Julis (age 59) is a founding Managing Partner of Canyon and a co-founder of the Portfolio 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, reorganisations 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). 51

173 Description of the Portfolio Assets THE PORTFOLIO The Portfolio Manager s View of Global Investment Opportunities The Portfolio Manager believes that there are significant opportunities in the global and EM credit universe. There are three key forces driving the scale and timeliness of the market opportunity: Significant market dislocations in global credit. The Portfolio Manager believes that the normalisation of developed market ( DM ) monetary policies, DM financial sector restructuring and re-regulation, combined with late stage EM credit cycles, are the structural underpinnings to tightening financial conditions constraining the supply of capital and credit to EM companies. Capital outflows from the EM will leave current account deficit countries most vulnerable. With the normal channels of credit intermediation impaired, global credit assets will re-price leading to higher credit spreads and risk premiums, tighter underwriting standards, and a more favourable risk profile for creditors. Widening demand/supply imbalances in EM credit. The demand for capital and credit in the EM significantly exceeds the supply from traditional financing sources (i.e., international capital markets and bank loans). The Portfolio Manager believes that the EM credit cycle is entering its late stages. Credit growth is decelerating and the largest EM multinational banks are pulling back from the primary financing markets. Diverging EM growth and credit cycles. The Portfolio Manager believes that EM growth and credit cycles are diverging, leading to differentiated market outcomes, widening market inefficiencies, and mispriced risk. Country and company differentiation is key. The Portfolio Manager believes that beta is out and alpha is in and differentiation and structural reforms will be the linchpin to medium term outcomes. Structural reforms will make differentiation across the emerging markets more important than ever. Structural reforms will be one of the primary drivers for investment alpha generation via an expanding investment universe, lower risk from downside loss mitigation, and higher risk-adjusted total returns. Countries with the strongest political will to push these reforms will be the winners. Countries with the weakest political will to push these reforms, or countries that push alternative development models (e.g., socialist, populist, state-dominated) will be the losers. Emerging market credit valuations are compelling in absolute and relative expected returns. The Portfolio Manager believes that EM credit offers attractive opportunities to generate attractive risk-adjusted valuations, tight underwriting criteria, and long-term value creation via strategic investments in infrastructure, energy, housing, and other industry sectors most closely leveraged to the right country-specific dynamics. The Portfolio 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 Portfolio 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. The Portfolio Manager s Investment Philosophy The Portfolio Manager seeks to employ a disciplined bottom-up, research-driven, value seeking investment approach to the emerging and global credit markets. The Portfolio Manager s investment philosophy is designed to exploit asymmetrical market opportunities, inefficiencies, and mispriced risk. The Portfolio Manager s investment process integrates fundamental sovereign and corporate research; scenario analysis and stress testing and dynamic portfolio risk management. The Portfolio Manager s emphasis is on bottom-up, value-based fundamental fixed income and credit analysis (rather than 52

174 high-volume trading strategies or indexed-based strategies). The Portfolio Manager s investment strategy targets core value, deep value, and eventdriven 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 near-term credit fundamentals and investment outcomes are driven by exogenous or endogenous performance catalysts. The Portfolio Manager s investment mandates seek to maximize risk-adjusted total returns from income and capital appreciation. The Portfolio Manager s Investment Process The Portfolio Manager s strategic investment process is designed to maximise high riskadjusted total returns from income and capital appreciation, and to minimise portfolio exposure to permanent capital losses. The Portfolio Manager s investment process aligns long-term value creation in global investing to the leading drivers of economic growth, corporate earnings, and expanding market opportunities. Financial sector dislocations, de-leveraging and re-regulation have only reinforced the value proposition of the asset class and the Portfolio Manager s competitive position. The Portfolio Manager s investment process is actively managed and seeks to optimise the mix between the Issuer s sub-strategies to exploit market inefficiencies, dislocations, and opportunistic investment and will shift depending on market conditions. Additionally, the Portfolio Manager s scenario analysis based risk management framework is the cornerstone to the Portfolio Manager s credit analysis and risk management. This analysis regularly analyses actual versus expected outcomes; new information versus expected outcomes; trajectory of investment fundamentals. The scenario analysis establishes the dynamic link between investment fundamentals, key risks, market valuations, and investment strategy. The analysis enables the identification of key performance catalysts, which serve as key inputs to construct base case, best case, and worst case scenarios. Stress testing is a key factor of this scenario analysis where each credit is stressed to identify the loss analysis under the worst case scenario, versus current market valuations. 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 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 liberalisation, structural reforms, and geopolitical position. The Portfolio 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. 53

175 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 Portfolio Manager s investment approach to determine its portfolio construction, which is derived from a bottom-up asset allocation emphasising 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 Portfolio Manager s exit strategy (portfolio rotation and sell discipline) is defined by the following inputs: changing market conditions, changing credit fundamentals, changing valuations, realisation of targeted returns, relative quality swaps, and duration management. 6) Principles for Responsible Investment. In determining appropriate investments for the Issuer, the Portfolio Manager intends to integrate 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 recognised, voluntary project finance guidelines that establish social and 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 their ability to take advantage of certain investment opportunities that, in the determination of the Portfolio Manager, do not meet such criteria. Using this disciplined investment approach, the Portfolio Manager seeks to: (i) preserve capital, (ii) maximise risk-adjusted returns, (iii) minimise downside credit risks, (iv) ensure adequate liquidity, and (v) lower portfolio volatility through correlation and duration management. In managing the Issuer's debt investments, the Portfolio Manager, as agent for and on behalf of the Issuer, will arrange to acquire the debt obligations on the most favourable pricing and other terms, whether or not the obligations are secured or guaranteed. Accessing Market Information and Origination Ideas are generated as portfolio managers and analysts follow sovereign, local, corporate and capital markets developments among their geographical regions, industry sectors, and macroeconomic trends that may impact their coverage universe (positively or negatively). The Portfolio Manager s portfolio managers and analysts regularly reassess the assumptions made in the original scenario analysis to determine whether and to what 54

176 degree assets are mispriced and risk profiles remain asymmetrical. This requires a deep knowledge base of sovereign, corporate, interest rate, and exchange rate fundamentals, the capital structure of all relevant companies within an industry sector, the price of risk across various capital structures, and evolving industry and competitive dynamics. Information Sources. The Portfolio Manager s investment team travels regularly and the Portfolio Manager uses primary information sources to build country and companyspecific analysis, and to closely evaluate macro and micro fundamentals, risk factors, and other investment catalysts. These information sources include: company management teams; private equity sponsors; local and regional leading government policy experts; consultants; legal teams; international and local banks; academics; local advisors; think tanks; business leaders; official creditors (e.g., IMF, World Bank). Global relationships are key to ensuring full coverage in today s 24-hour markets, and are integral to generating local information and intelligence. Extensive Relationship Network. Nathan Sandler and his investment team have developed an extensive relationship network that is in line with the Portfolio Manager's expertise investing in the emerging markets. The Portfolio Manager s research team has access to a global infrastructure for investment, information, trading, and risk management. The Portfolio Manager believes its industry relationships give it an important competitive advantage with respect to sourcing investment opportunities. The Portfolio Manager sources and originates new investment opportunities from a global network of international banks, private equity or major project sponsors, and other proprietary relationships. The Portfolio Manager utilises a three-tiered sourcing strategy that allows for a targeted screening process designed to maximise access to deal flow: Strong relationships with international and local banks (e.g., syndication desks, specialised lending groups). Strong relationships with global private equity and project sponsors: the Portfolio Manager is often the first call for proprietary investment opportunities due to its long-term relationships with some of the largest private equity sponsors. Strong strategic and co-investment relationships: the Portfolio Manager seeks to form strong, long-term investing partnerships with its clients. These relationships are highly proprietary and are generating an increasing share of the Portfolio Manager s most attractive investment opportunities. The Issuer s Investment Strategy The Issuer will employ an investment strategy designed generally to market dislocations in global credit. The normal channels of capital and credit intermediation are impaired, leading to tighter financial conditions and widening imbalances in credit supply/demand. The Issuer will target investments in: (i) primary and secondary market credit opportunities driven by scarcity of alternative credit providers, or poor market liquidity that causes EM high yield bond prices to overshoot; (ii) acquisition financing and other types of subordinated, mezzanine, or early stage project financing justifying higher financing spreads, enhanced with other yield or equity-type kickers to produce higher expected returns; (iii) growth capital financing to small and medium sized companies or standalone project financing with attractive growth and value prospects but with limited access to traditional financing sources (capital markets or banks), or requiring customised financing terms and structures that traditional credit sources will not or cannot provide; and (iv) rescue financing and distressed opportunities in the form of bridge financing, corporate restructuring and recapitalisation, or purchase of stressed or defaulted assets trading at attractive discounts to expected recovery valuations. The compelling value proposition in the global and EM credit markets can be exploited in two distinctive areas: (A) via the public and liquid bank debt markets and (B) via less liquid and higher alpha generating opportunities. These areas correspond to the investment strategies of the Issuer: both liquid strategies, less liquid opportunities. These strategies are designed to address the issue of how to best optimise the deployment of scalable capital to EM and global credit to achieve the highest risk adjusted total returns and to take advantage of opportunistic 55

177 market dislocations in the public and private markets. Each of these investment strategies focus on global opportunistic credit and are a direct play on long-term value creation and alpha generation. 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 will be long-biased and will only employ hedges to mitigate foreign exchange and interest rate risk. Where the Issuer enters into financial derivatives for the purposes of hedging, the Issuer will take counterparty risk and the ratings of any proposed counterparty into consideration. In order to mitigate counterparty risk, the Issuer will employ counterparty diversification, comprehensive document negotiation (including, where possible, using industry standard documents such as ISDA documentation) and daily marking to market of the financial derivative. The Issuer will also develop an understanding of the particular legal jurisdiction of the counterparty and the applicable insolvency regime in that jurisdiction, which will include reviewing industry legal opinions (such as those produced for ISDA) for that jurisdiction. 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. Hedging strategies consistent with the investment restrictions described below may use interest rate swaps, currency forwards, options or other strategies deemed applicable by the Portfolio Manager. The Issuer's Investment Objective The Issuer's investment objective is to generate attractive risk-adjusted returns from income, enhanced income and medium-term capital appreciation. The Issuer will draw on investment opportunities in acquisition financing, growth financing, rescue capital, infrastructure and project finance, among others. The Portfolio Manager believes that EM credit valuations are extremely compelling offering high absolute yields, the potential for medium-term capital appreciation, and a risk premium to mitigate potential downside risks. It is the Portfolio Manager's continuing view that EM and global credit will generate equity-like returns from income and capital appreciation for the next three years or more, or until the ongoing process of financial sector recapitalization and normalization has played out. The linchpin to this medium-term value proposition is the squeeze created from tightening financial conditions in a zero interest rate environment. Financial sector capitalization is weak and is being rapidly eroded by legacy losses from the "Great Collapse," increasing losses from Europe's sovereign debt crisis and deleveraging pressures from Basel III. The Issuer will attempt to exploit these tightening financial conditions to achieve its investment objective. The Issuer will employ the following sub-portfolio strategies: (a) (b) Core Value Opportunities. Long portfolio positions taken to generate high current income and the potential for capital appreciation. The Portfolio Manager will target leading EM companies operating in strategic industry sectors with stable to improving investment fundamentals. Event Driven Opportunities. Long or short portfolio positions where near-term credit fundamentals and investment outcomes are driven by exogenous or endogenous performance catalysts. 56

178 (c) (d) Special Situations. Special situations credit opportunities in EM bank loans and bonds trading at deep valuation discounts or direct purchase of interests in bank loan or other asset portfolios. Hedging. Short positions designed to provide low-cost, asymmetrical downside protection against foreign exchange and interest rate risk. Investment Universe of the Issuer The investment universe for the Issuer will encompass all sectors of EM and global credit opportunities, including liquid syndicated bank loans, publicly traded bonds, special situations, and credit derivatives. Specifically, the eligible investments for the Issuer include: (a) (b) (c) (d) (e) (f) (g) (h) (i) (j) (k) Investment Grade Bonds. Investment grade credit fundamentals trading at or below investment grade valuations. High Yield Bonds and Private Placements. High-yield bond opportunities trading at deep discounts, with stable to improving credit fundamentals and the opportunity for capital appreciation from upward ratings migration or normalizing credit valuations. Syndicated Bank Loans. Market opportunities in bank loans: (i) senior secured loans trading at deep discounts with solid credit fundamentals and low relative default risks; and (ii) subordinated loans trading at deep discounts and equity-like valuations. Special Situation Financings. Special situations develop from special situations financing with attractive pricing, covenant structure, and collateral protection. Local Currency Credit Opportunities. Local currency financings offering attractive risk/reward over the U.S. dollar, or U.S. dollar-hedged comparables. Publicly Listed Equities. Long or short positions in listed equities, equity indices, or exchange traded funds. Sovereign. Full faith and credit government guaranteed debt obligations, or debt obligations of state-owned government entities with strongly implied government support. Debt/Equity Conversions. Rescue financing for companies undergoing financial restructuring, including debt for equity exchanges to create deeply discounted shareholder equity at low EBITDA multiples. Restructuring/Recapitalizations. Restructuring and recapitalizations executed in the form of balance sheet re-optimization or new money financing. Special Situations. Credit opportunities to earn higher than market total returns from income, capital appreciation, and other total return enhancements (e.g., equity kickers). 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. Distressed. Credit opportunities to earn higher than market total returns from income, capital appreciation, and other total return enhancements (e.g., equity kickers). Secondary market distressed credit opportunities in EM bank loans and bonds trading at deep 57

179 valuation discounts, where prices are substantially cheap to normalised or expected post-restructuring valuations. Formal Credit Review Process Every investment is evaluated using a formal analysis and review. Analysis and due diligence is presented to the Portfolio 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 Portfolio Manager s strategy is to manage its position to minimise the permanent loss of capital and maximise 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 Portfolio Manager will undertake a work-out procedure that maximises 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 Portfolio 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-authorised by Mr. Sandler, and trading is centralised to mitigate the risk of unauthorised trading. Monitoring of Positions The Portfolio Manager has an active database of approximately 500 companies. The Portfolio Manager will typically hold between 40 and 80 positions in an investment strategy, depending on the mandate and investment guidelines of the strategy. The Portfolio Manager monitors over 20 industry sectors and over 70 countries with tradeable 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 Portfolio 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 Portfolio Manager stress tests for changes in interest rates, credit spreads and volatility, and for bankruptcies. The Portfolio 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 Portfolio 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 real-time basis. 58

180 Investment Restrictions Other than with the consent of Danske Capital, the Issuer will not make any investment if, as of immediately following the making of that investment: (1) more than 10% of the Issuer s NAV (as defined below) is invested in instruments denominated by the currency of any single emerging market country; (2) more than 50% of the Issuer s NAV is invested in distressed investments (with the understanding that, for this purpose, a "distressed investment" means an investment in the securities of an issuer that, at the time of the investment is experiencing financial or business distress (including companies involved in bankruptcy or other reorganisation and liquidation proceedings) as reasonably determined by the Portfolio Manager in good faith); (3) more than 20% of the Issuer s NAV is invested in government bonds; (4) more than 5% of the Issuer s NAV is invested in any single issuer; provided, that the Issuer may select two issuers at any given time in which up to 7.5% of the Issuer s NAV may be invested; (5) more than 10% of the Issuer s NAV is invested in any single country; provided, that the Issuer may select two countries at any given time in which up to 15% of the Issuer's NAV may be invested; (6) more than 30% of the Issuer s NAV is invested in issuers of any single industry group (based on a generally recognised industry classification scheme); or (7) more than 5% of the Issuer s NAV is invested in credit linked notes ( CLNs ) or CDS. All of the investment restrictions set forth above will be tested solely at the time of incurrence. If, as of any month end, any of the percentage thresholds set forth above are exceeded due to changes in the Issuer s NAV, the Portfolio Manager will provide notice of the same to Danske Capital no later than the 15th calendar day of the following month. The Issuer will not be required to take any action (other than providing the aforementioned notice) if the Issuer no longer complies with the thresholds set forth above due to changes in market conditions, realisations of investments or other circumstances. In addition to the foregoing, other than with the consent of Danske Capital: (1) The Issuer will not employ leverage and will only employ hedges to mitigate foreign exchange and interest rate risk. (2) The Issuer will not invest in any debt securities with a stated maturity date later than 10 years from the date on which the Issuer acquired those securities. (3) The Issuer will not invest in any debt security with an interest rate and spread duration (expressed in years) in excess of 5 years. (4) The Portfolio Manager will not designate an investment at the time of the Issuer s acquisition of such investment as a Designated Investment if doing so would cause the aggregate carrying cost of such investment and all other Designated 59

181 Investments in the Issuer s portfolio that were designated as such upon acquisition to exceed 33% of the Issuer s NAV. (5) The Issuer will not invest in debt or equity tranches of any collateralized loan obligations ( CLO ). (6) The Issuer will only invest in CDS as a tool to hedge counterparty exposure and not for making speculative investments. (7) The Issuer will not invest in (a) any securities issued by a company that is on the Danske Bank Group s publically available list of excluded companies ( and (b) a sovereign bond issued by a country that is on the Danske Bank Group s publically available lists of excluded countries ( (an investment described in this subparagraph 7 being referred to herein as a Prohibited Investment ). If the Portfolio Manager becomes aware that the Issuer has directly invested in a Prohibited Investment, the Portfolio Manager will use commercially reasonable efforts to so notify Danske Capital and the Portfolio Manager will consult with Danske Capital in good faith to agree upon a suitable resolution, which could include the Portfolio Manager using commercially reasonable efforts to cause the Issuer to exit such direct or indirect position in such a Prohibited Investment in accordance with the Portfolio Manager's fiduciary duties to the Issuer and the Note Holders. The Issuer and the Portfolio Manager have acknowledged that Danske Capital s written investment policy may be modified from time to time and the Issuer and the Portfolio Manager have agreed to cooperate in good faith with Danske Capital to negotiate appropriate modifications to the investment restrictions applicable to the Issuer from time to time as may be reasonably necessary to comply with such policy. "NAV" means the net asset value of the Portfolio. Other Philosophies and Techniques The investment objectives and strategies summarised in this Listing Particulars represent the Portfolio Manager s current intentions. Nevertheless, depending on conditions and trends in securities, industries and trading markets and the economy generally, the Portfolio Manager may pursue any objectives or employ any philosophy or techniques that the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio 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 60

182 manner consistent with the description of the Portfolio as set out in this Listing Particulars, the Portfolio 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 the Note Holder who has identified itself as such and, if and to the extent required, have provided reasonable evidence to the effect that they are the Note Holder. 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, Office 603, Fitzwilliam Business Centre, 77 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 Portfolio Manager (or on its behalf). Acquisition of Portfolio Assets is expected to commence as soon as reasonably practicable after the Closing Date. 61

183 THE PORTFOLIO MANAGEMENT AGREEMENT The Portfolio management functions described herein are subject to the terms of, and will be performed by the Portfolio Manager pursuant to authority granted to the Portfolio Manager by the Issuer under, the Portfolio Management Agreement. The Portfolio Management Agreement provides that the Portfolio Manager will act on behalf of the Issuer in relation to the composition and management of the Portfolio (as defined below). Allocation of Investments The Portfolio 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 Portfolio 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 Portfolio Manager pays bundled commission rates and receives proprietary research from many of its executing and prime brokers, the Portfolio 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 Portfolio Manager will endeavour to do so in accordance with Section 28(e) of the Securities Exchange Act of Aggregation of Orders The Portfolio 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 minimise transaction costs. The Portfolio Manager receives no additional compensation or remuneration for such aggregation. In such situations, the Portfolio Manager is authorised to place orders for the Portfolio and each such Other Account simultaneously. The Issuer and Other Accounts of the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager may use information which may have become known to the Portfolio Manager by virtue of its services thereunder; provided, however, that the Portfolio Manager shall not, without the consent of the Issuer, cause the Issuer to purchase any asset from or sell any asset to the Portfolio 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 Portfolio Manager represents that any and all material conflicts of interest relating to the management and trading of the Portfolio involving the Portfolio 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. 62

184 The Portfolio 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 Portfolio Manager decides to engage in any such principal transaction in the future, it will (a) refrain from engaging in such transactions without the prior written consent of Danske Capital and (b) comply with Clause 13(d) 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 Portfolio Manager shall include in such disclosure: (i) its capacity as principal; (ii) the price of the security to the Portfolio 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 Portfolio Manager. Calculation of Interest on the Notes The Portfolio Manager will, on the Issuer's behalf, in accordance with the Conditions, determine, or procure to be determined, for each Accrual Period, the amount of any Interest accrued in respect of such Accrual Period (other than an Accrual Period determined pursuant to Condition 4.3 (Determination of Accrual Period by the Note Holder) and notify the Issuer, the Trustee, the Agents and the Note Holder in accordance with Condition 16 (Notices) of the results of such determination. Following notice of a determination of an Accrual Period by the Note Holder in accordance with Condition 4.3 (Determination of Accrual Period by the Note Holder), the Portfolio Manager shall calculate the amount of any Interest accrued in respect of such Accrual Period and shall notify the Issuer, the Agents and the Note Holder in accordance with Condition 16 (Notices) of the results of such calculation. Termination Automatic Termination: The Portfolio Management Agreement shall continue until the repayment in full of all amounts owing under or in respect of the Notes and all other amounts owing to the Note Holder unless it is terminated upon 90 days' prior written notice by one party to the other party. Removal of the Portfolio Manager: Under the Portfolio Management Agreement, the Portfolio Manager may be removed upon written notice by the Issuer if (i) the Portfolio Manager materially breaches the Portfolio Management Agreement which breach is not cured after reasonable notice, (ii) the Portfolio Manager becomes insolvent, (iii) the Portfolio 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 Portfolio 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 Portfolio Manager is appointed. Replacement Portfolio Manager No termination of the Portfolio Management Agreement shall be effective unless an Eligible Successor has agreed to assume all the duties and obligations of the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio Manager in the assumption of all of the responsibilities, duties and obligations of the Portfolio Manager; (iii) will perform its duties as Portfolio Manager without causing 63

185 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 Portfolio 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 Portfolio Manager by the Issuer Pursuant to the terms of the Portfolio Management Agreement, the Issuer will indemnify and hold the Portfolio Manager, its affiliates, and their respective owners, directors, officers, trustees, employees, agents and representatives (each an "ICE Canyon Person") harmless from and against, and shall reimburse such ICE Canyon 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 ICE Canyon 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 ICE Canyon Person's wilful misconduct, gross negligence, fraud or criminal wrongdoing in or about the conduct of the Issuer's business or affairs or in the execution or discharge of its duties, powers, authorities or discretions (the "Standard of Care"). No ICE Canyon 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 ICE Canyon Person provided that such claims, losses, costs, indebtedness, liabilities, settlements and expenses are not as a result of the ICE Canyon Person's violation of the Standard of Care. Governing Law The Portfolio Management Agreement is governed by, and construed in accordance with, the laws of the State of Delaware. 64

186 PRIME BROKER AND PRIME BROKERAGE AGREEMENT Prime Broker and Custodian Credit Suisse Securities (USA) LLC ("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 and the claims of the Note Holder in respect of Redemption Amounts will be subordinated to such claims. 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. 65

187 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 the 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 the 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 2014 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 (DCAM) Holdings, L.P., an exempted limited partnership formed under 66

188 the laws of the Cayman Islands, 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 ). 67

189 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 the Notes. Potential purchasers who are in any doubt about their tax position on purchase, ownership, transfer or exercise of the Notes 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 tax 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 which does not have a presence in Ireland). If this is the case, Redemption Amounts 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 Redemption Amounts, where such amount is collected by a bank or other agent in Ireland on behalf of the Note Holder. In certain limited circumstances a payment of interest by the Issuer which is considered dependent on the results of the Issuer's business or which represents more than a reasonable commercial return will not be deductible for tax purposes in the hands of the Issuer and can be re-characterised as a distribution subject to dividend withholding tax. A payment of profit dependent or excessive interest on the Notes will not be recharacterised as a non-deductible distribution where, broadly, the Note Holder is neither: (i) a person which is a company which directly or indirectly controls the Issuer or which is controlled by a third company which directly or indirectly controls the Issuer; nor (ii) a person (including any connected person): (a) from whom the Issuer has acquired assets, (b) to whom the Issuer has made loans or advances, or (c) with whom the Issuer has entered into a return agreement (as defined in section 110(1) of the 1997 Act) where the aggregate value of such assets, loans, advances or agreements represents 75% or more of the 68

190 Taxation of Note Holder assets of the Issuer. Notwithstanding that the 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 universal social charge. 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. Capital Gains Tax The Note Holder will not be subject to Irish tax on capital gains on a disposal of Notes unless the Note Holder is resident or ordinarily resident in Ireland or carries on a trade in Ireland through a branch or agency in respect of which the Notes are used or held. Capital Acquisitions Tax A gift or inheritance comprising of Notes will be within the charge to capital acquisitions tax if either (i) the disponer or the donee/successor in relation to the gift or inheritance is resident or ordinarily resident in Ireland (or, in certain circumstances, if the disponer is domiciled in Ireland irrespective of his residence or that of the donee/successor) or (ii) if the Notes are regarded as property situate in Ireland. Registered Notes are generally regarded as situated where the principal register of Note Holders is maintained or is required to be maintained, but the Notes may be regarded as situated in Ireland regardless of the location of the register as they secure a debt due by an Irish resident debtor and they may be secured over Irish property. Accordingly, if such Notes are comprised in a gift or inheritance, the gift or inheritance may be within the charge to tax regardless of the residence status of the disponer or the donee/successor. 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 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. 69

191 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. 70

192 SUBSCRIPTION Pursuant to a subscription agreement between the Initial Purchaser and the Issuer dated the Closing Date (the "Subscription Agreement"), subscription by the Initial Purchaser for USD 181,100,000 Stated Amount of the Notes in consideration for the Subscription Amount and future Principal Borrowings 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) the 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) the 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; the 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; the 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) the 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 including, without limitation, Regulations 7 and 152 thereof or any codes of conduct issued in connection therewith, and the provisions of the Investor Compensation Act 1998 (as amended); the 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 2013 and any rules issued under Section 51 of the Irish Investment Funds, Companies and Miscellaneous 71

193 Provisions Act 2005 by the Central Bank; and (c) the Note Holder will not place or otherwise act in Ireland in respect of the 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. 72

194 GENERAL INFORMATION 1. Listing Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List of the Irish Stock Exchange and trading on its Global Exchange Market. All expenses related to such admission will be met by the Portfolio 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 1 August 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 27 May 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 IE00BP4K0H Accounts So long as the Notes remain 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 (27 May 2014) 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; 73

195 (b) (c) (d) (e) (f) (g) (h) (i) the Trust Deed; the Subscription Agreement; the Portfolio Management Agreement; the Professional Services Agreement; the Prime Brokerage Agreement; the Agency Agreement; the Swap Agreements; the Corporate Services Agreement; and (j) any future information memoranda, prospectuses, listing particulars and supplements. 10. Post-Issuance Information The Issuer does not intend to provide post-issuance information on the Notes or on the Portfolio Assets. 74

196 THE ISSUER ICE Global Credit (DCAM) Fund Limited Office G03, Fitzwilliam Business Centre 77 Sir John Rogerson's Quay Dublin 2 Ireland TRUSTEE BNY Mellon Corporate Trustee Services Limited One Canada Square London E14 5AL England PORTFOLIO MANAGER ICE Canyon LLC 2000 Avenue of the Stars 11 th Floor, Los Angeles, CA 90067, USA REGISTRAR The Bank of New York Mellon (Luxembourg) S.A. Vertigo Building - Polaris 2-4 rue Eugène Ruppert L-2453 Luxembourg PAYING AGENT The Bank of New York Mellon (London Branch) One Canada Square London E14 5AL England 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 Portfolio 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 Matheson 70 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 Sanne Corporate Services (Ireland) Limited Office G03, Fitzwilliam Business Centre 77 Sir John Rogerson's Quay Dublin 2 Ireland