ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 31 December 2014

DW Catalyst Master Fund, Ltd. (formerly Brevan Howard Credit Catalysts Master Fund Limited) (With Independent Auditors Report thereon) ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 31 December 2014 For the year ended 31 December 2014, Brevan Howard Capital Management LP was the commodity pool operator of Brevan Howard Credit Catalysts Master Fund Limited (the Master Fund ), and filed a claim of exemption with the Commodity Futures Trading Commission ( CFTC ) in respect of the Master Fund pursuant to Section 4.7 of the CFTC regulations. On 1 January 2015, the Master Fund changed its name to DW Catalyst Master Fund, Ltd. and DW Partners, LP (formerly known as DW Investment Management, LP) assumed the role of commodity pool operator of the Master Fund. DW Partners, LP has filed a claim of exemption with the CFTC in respect of the Master Fund pursuant to Section 4.7 of the CFTC regulations.

Contents 01 Independent Auditors Report 02 Consolidated Statement of Assets and Liabilities 03 Consolidated Condensed Schedule of Investments 08 Consolidated Statement of Operations 09 Consolidated Statement of Changes in Net Assets 10 Consolidated Statement of Cash Flows 11 Notes to the Consolidated Financial Statements 25 Affirmation of the Commodity Pool Operator IBC Management and Administration

Independent auditors report 1 Independent Auditors Report to the Directors and Shareholders on the Consolidated Financial Statements of DW Catalyst Master Fund, Ltd. (formerly Brevan Howard Credit Catalysts Master Fund Limited) We have audited the accompanying consolidated financial statements of DW Catalyst Master Fund, Ltd. (formerly Brevan Howard Credit Catalysts Master Fund Limited) (the Master Fund ), which comprise the consolidated statement of assets and liabilities, including the consolidated condensed schedule of investments as of 31 December 2014, and the related consolidated statements of operations, changes in net assets, and cash flows for the year then ended, and the related notes to the financial statements. This report is made solely to the Directors and Shareholders, as a body, in accordance with the terms of our engagement. Our audit work has been undertaken so that we might state to the Directors and Shareholders those matters we are required to state to them in an auditors report and for no other purpose. We do not accept or assume responsibility to anyone other than the Directors and Shareholders, for our audit work, for this report, or for the opinions we have formed. Management s Responsibility for the Consolidated Financial Statements Management is responsible for the preparation and fair presentation of these consolidated financial statements in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the consolidated financial statements. The procedures selected depend on the auditors judgment, including the assessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the consolidated financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the consolidated financial statements referred to above present fairly in all material respects, the consolidated financial position of the Master Fund as of 31 December 2014, and the results of its consolidated operations, the changes in its consolidated net assets and its consolidated cash flows for the year then ended in accordance with U.S. generally accepted accounting principles. KPMG George Town Grand Cayman 23 March 2015

2 CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES Consolidated Statement of Assets and Liabilities 31 December 2014 2014 US$ 000 Assets Investments at fair value (cost: US$6,621,442) (Note 3) 7,628,940 Cash (Note 2) 2 Investments purchased under agreements to resell (cost: US$943,194) (Note 6) 941,528 Dividends and interest receivable 43,592 Due from broker (Note 2) 1,305,293 Other assets 650 Total assets 9,920,005 Liabilities Investments sold short at fair value (proceeds: US$1,584,342) (Note 3) 1,983,838 Investments sold under agreement to repurchase (proceeds: US$2,962,440) (Note 6) 2,965,711 Accounts payable and accrued expenses (Note 4, 5) 1,571 Dividends and interest payable 4,806 Redemptions payable 523,733 Due to broker (Note 2) 271,389 Total liabilities 5,751,048 Net assets (Note 7, 12) 4,168,957 Net asset value per share US Dollar Class Ordinary US$251.69 Euro Class Ordinary 216.48 Sterling Class Ordinary 192.80 Yen Class Ordinary 17,995.53 Norwegian Krone Class Ordinary NOK 174.92 US Dollar Class P US$109.42 Cost and proceeds are presented in US$ 000. See accompanying notes to the Consolidated Financial Statements. Signed on behalf of the Board: Karla Bodden Director Dennis Hunter Director 23 March 2015

consolidated condensed schedule of investments 3 Consolidated Condensed Schedule of Investments 31 December 2014 Fair Value % of Net Cost is presented in US$ 000 US$ 000 Assets Long portfolio Equities Bermuda (cost US$3,031) Energy 2,183 0.05 Finland (cost US$7,918) Communications 7,990 0.19 United Kingdom (cost US$1,423) Consumer, Cyclical 2,612 0.07 Utilities 1,362 0.03 3,974 0.10 United States (cost US$311,972) Communications 74,379 1.79 Consumer, Cyclical 99,836 2.39 Energy 134 Anadarko Petroleum 11,135 0.27 Other 22,324 0.53 33,459 0.80 Financial 26,410 0.63 Industrial 36,632 0.88 Technology 52,986 1.27 323,702 7.76 Total equities (cost US$324,344) 337,849 8.10 Fixed income securities Australia (cost US$16,798) Industrial 2,676 0.07 Mortgage Backed Securities 3,893 0.09 6,569 0.16 Bermuda (cost US$8,943) Asset Backed Securities 3,374 0.08 Financial 7,633 0.18 11,007 0.26 Canada (cost US$66,903) Communications 66,149 1.58 Energy 688 0.02 66,837 1.60 Cayman Islands (cost US$112,053) Asset Backed Securities 58,803 1.42 Consumer, Cyclical 946 0.02 Mortgage Backed Securities 33,099 0.79 92,848 2.23

4 consolidated condensed schedule of investments Consolidated Condensed Schedule of Investments continued 31 December 2014 Fair Value % of Net Cost is presented in US$ 000 US$ 000 Assets Long portfolio (continued) Fixed income securities (continued) Denmark (cost US$48,437) Industrial 43,526 1.04 Dominican Republic (cost US$21,773) Industrial 23,911 0.57 Finland (cost US$15,036) Communications 15,553 0.37 Ireland (cost US$82,982) Asset Backed Securities 64,152 1.54 Mortgage Backed Securities 20,769 0.50 84,921 2.04 Jersey (cost US$7,134) Asset Backed Securities 10,664 0.26 Luxembourg (cost US$30,689) Asset Backed Securities 672 0.02 Communications 25,352 0.61 26,024 0.63 Marshall Islands (cost US$30,895) Energy 5,428 0.13 Industrial 26,767 0.64 32,195 0.77 Mexico (cost US$615) Mortgage Backed Securities Netherlands (cost US$54,564) Asset Backed Securities 15,943 0.38 Communications 17,178 0.41 Industrial 41,581 1.00 74,702 1.79 New Zealand (cost US$3,333) Mortgage Backed Securities 3,318 0.08 Portugal (cost US$5,542) Financial 5,022 0.12 Spain (cost US$3,290) Mortgage Backed Securities 6,556 0.16

consolidated condensed schedule of investments 5 Fair Value % of Net Cost is presented in US$ 000 US$ 000 Assets Long portfolio (continued) Fixed income securities (continued) United Kingdom (cost US$70,668) Asset Backed Securities 43,281 1.04 Consumer, Cyclical 283 0.01 Consumer, Non-Cyclical 14,012 0.34 Mortgage Backed Securities 25,674 0.62 Utilities 10,573 0.25 93,823 2.26 United States (cost US$5,478,593) Asset Backed Securities 1,430,383 34.31 Basic Materials 110,104 2.64 Communications 365,863 8.78 Consumer, Cyclical 537,182 12.89 Consumer, Non-Cyclical 148,035 3.55 Energy 900 Anadarko Petroleum 0% 10/10/2036 1,230 0.03 473,140 Anadarko Petroleum 6.45% 09/15/2036 182,159 4.37 27,130 Anadarko Petroleum 7.73% 09/15/2096 32,947 0.79 3,600 Anadarko Petroleum 7.95% 06/15/2039 4,337 0.10 Other 133,792 3.24 354,465 8.53 Financial 7,063 0.17 Government 400,000 B 0% 03/05/2015 399,996 9.57 300,000 B 0% 04/30/2015 299,765 7.17 190,000 B 0% 06/25/2015 189,947 4.56 250,000 B 0% 07/23/2015 249,865 5.99 100,000 B 0% 09/17/2015 99,899 2.40 100,000 B 0% 10/15/2015 99,874 2.40 300,000 B 0% 11/12/2015 299,579 7.19 100,000 B 0% 12/10/2015 99,814 2.39 82,000 T 1.0% 12/15/2017 81,785 1.96 4,350 T 1.5% 11/30/2019 4,318 0.10 50,000 T 1.625% 12/31/2019 49,885 1.20 73,000 T 2.125% 12/31/2021 73,656 1.77 41,048 T 2.25% 11/15/2024 41,314 0.99 Industrial 71,966 1.73 Mortgage Backed Securities 1,271,016 30.49 Technology 34,677 0.83 Utilities 9,747 0.23 6,330,198 151.84 Total fixed income securities (cost US$6,058,248) 6,927,674 166.18

6 consolidated condensed schedule of investments Consolidated Condensed Schedule of Investments continued 31 December 2014 Fair Value % of Net Cost is presented in US$ 000 US$ 000 Assets Long portfolio (continued) Private placement United States (cost US$30,827) 73 Consumer, Cyclical 43,927 1.06 Consumer, Non-Cyclical 3,908 0.09 Financial 47,908 1.15 Total private placement (cost US$30,827) 47,908 1.15 Rights (cost US$3,244) 3,578 0.09 Credit Default Swaps (cost US$181,972) EUR termination dates through June 2024 28,830 0.69 USD termination dates through May 2063 218,366 5.24 247,196 5.93 Equity swaps 14,760 0.35 Exchange traded futures 163 Exchange traded options (cost US$8,378) 15,443 0.37 Equity options (cost US$202) 26 FX contracts 3,368 0.08 Interest rate swaps 4,922 0.12 Swaptions (cost US$14,227) 26,053 0.62 Total investment at fair value (cost US$6,621,442) 7,628,940 182.99 Fair Value % of Net Proceeds are presented in US$ 000 US$ 000 Assets Short portfolio Equities Switzerland (proceeds (US$2,967)) Energy (2,343) (0.05) United States (proceeds (US$207,783)) Communications (62,134) (1.49) Consumer, Cyclical (41,246) (0.99) Consumer, Non-Cyclical (8,995) (0.22) Energy (5,584) (0.13) Funds (62,851) (1.51) Industrial (16,311) (0.39) Technology (45,322) (1.09) (242,443) (5.82) Total equities (proceeds (US$210,750)) (244,786) (5.87) Fixed income securities Marshall Islands (proceeds (US$3,475)) Energy (3,550) (0.09)

consolidated condensed schedule of investments 7 Fair Value % of Net Proceeds are presented in US$ 000 US$ 000 Assets Short portfolio (continued) Fixed income securities (continued) United Kingdom (proceeds (US$4,380)) Communications (4,285) (0.10) United States (proceeds (US$942,029)) Communications (30,378) (0.73) Consumer, Cyclical (15,526) (0.37) Consumer, Non-Cyclical (4,331) (0.10) Energy (20,344) (0.49) Financial (3,292) (0.08) Government (50,000) T 1.25% 11/30/2018 (49,613) (1.19) (25,500) T 2.375% 08/15/2024 (25,952) (0.62) (41,667) T 2.5% 08/15/2023 (42,969) (1.03) (21,250) T 2.75% 02/15/2024 (22,341) (0.54) (17,896) T 2.75% 08/15/2042 (17,907) (0.43) (101,995) T 2.75% 11/15/2023 (107,250) (2.57) (25,105) T 3.0% 02/15/2044 (29,573) (0.71) (6,000) T 3.0% 11/15/2044 (6,308) (0.15) (52,700) T 3.125% 11/15/2041 (56,937) (1.37) (11,200) T 3.125% 02/15/2043 (12,037) (0.29) (13,476) T 3.125% 08/15/2044 (14,510) (0.35) (16,500) T 3.375% 05/15/2044 (18,593) (0.45) (10,000) T 3.625% 02/15/2021 (11,005) (0.26) (20,000) T 3.625% 08/15/2043 (23,541) (0.56) (38,000) T 3.75% 11/15/2043 (45,719) (1.10) (8,000) T 4.375% 05/15/2040 (10,528) (0.25) Mortgage Backed Securities (387,000) Fannie Mae with interest rates varying from 3.0% to 4.0% and maturity date of 01/14/2015 (402,360) (9.65) (971,014) (23.29) Total fixed income securities (proceeds (US$949,884)) (978,849) (23.48) Credit default swaps (proceeds (US$412,538)) EUR termination dates through June 2024 (71,145) (1.71) USD termination dates through May 2063 (598,784) (14.36) (669,929) (16.07) Equity swaps (6,163) (0.15) Exchange traded futures (17,411) (0.42) FX contracts (7,635) (0.18) Interest rate swaps (23,134) (0.55) Swaptions (proceeds (US$11,170)) (35,931) (0.87) Total investment sold short at fair value (proceeds (US$1,584,342)) (1,983,838) (47.59) See accompanying notes to the Consolidated Financial Statements.

8 CONSOLIDATED STATEMENT OF OPERATIONS Consolidated Statement of Operations For the year ended 31 December 2014 2014 US$ 000 Investment income Interest income 603,056 Dividend income (net of withholding tax of US$1,480) 6,216 Total income 609,272 Expenses Interest expense 62,722 Professional fees and other 2,783 Administration fee (Note 5) 6,812 Management fee (Note 4) 2,071 Commission for futures and options 64 Dividend expense on investments sold short 6,414 Total expenses 80,866 Net investment income 528,406 Net realised and unrealised gain/(loss) on investments Net realised gain on investments (Note 2) 78,415 Net change in unrealised depreciation on investments (Note 2) (253,343) Net realised and unrealised loss on investments (174,928) Net increase in net assets resulting from operations 353,478 Withholding tax is presented in US$ 000. See accompanying notes to the Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS 9 Consolidated Statement of Changes in Net Assets For the year ended 31 December 2014 2014 US$ 000 Net increase in net assets resulting from operations Net investment income 528,406 Net realised gain on investments 78,415 Net change in unrealised depreciation on investments (253,343) 353,478 Share capital transactions Issue of shares US Dollar Class Ordinary 920,364 Euro Class Ordinary 28,788 Sterling Class Ordinary 129,457 Norwegian Krone Class Ordinary 4,398 Yen Class Ordinary 14,586 US Dollar Class Y 108 Euro Class Y 11,605 Sterling Class Y 3,055 US Dollar Class P 37,318 Redemption of shares US Dollar Class Ordinary (1,163,964) Euro Class Ordinary (74,555) Sterling Class Ordinary (224,141) Singapore Dollar Class Ordinary (2,129) Australian Dollar Class Ordinary (278) Norwegian Krone Class Ordinary (1,636) Yen Class Ordinary (18,718) US Dollar Class Y (17,471) Euro Class Y (37,331) Sterling Class Y (108,902) US Dollar Class P (12,719) Profit allocation (Note 4) (35,068) Net decrease in net assets (193,755) Net assets beginning of year 4,362,712 Net assets end of year 4,168,957 See accompanying notes to the Consolidated Financial Statements.

10 CONSOLIDATED STATEMENT OF CASH FLOWS Consolidated Statement of Cash Flows For the year ended 31 December 2014 2014 US$ 000 Cash flows from operating activities Net increase in net assets resulting from operations 353,478 Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: Increase in investments at fair value (720,684) Increase in investments purchased under agreement to resell (22,000) Increase in dividends and interest receivable (3,462) Increase in other assets (615) Increase in due from broker (598,165) Increase in investments sold short at fair value 323,484 Increase in due to broker 123,982 Increase in accounts payable and accrued expenses 740 Decrease in dividends and interest payable (2) Net cash used in operating activities (543,244) Cash flows from financing activities: Proceeds on issue of shares 1,149,479 Payment on redemption of shares (1,303,009) Equalisation factor (490) Profit allocation (35,068) Decrease in investments purchased under agreement to resell 85,270 Increase in investments sold under agreement to repurchase 646,787 Net cash provided by financing activities 542,969 Net decrease in cash (275) Cash beginning of year 277 Cash end of year 2 Supplemental disclosure of non-cash financing activities: Increase in redemptions payable 358,835 Decrease in subscriptions in advance (200) See accompanying notes to the Consolidated Financial Statements.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 11 Notes to the Consolidated Financial Statements 31 December 2014 1. Organisation DW Catalyst Master Fund, Ltd. (formerly Brevan Howard Credit Catalysts Master Fund Limited) (the Master Fund ) is an exempted limited liability company which was incorporated under the Companies Law of the Cayman Islands on 1 April 2009 and commenced trading on 1 June 2009. The Master Fund registered under the Mutual Funds Law of the Cayman Islands on 13 March 2012. The Master Fund seeks to employ a multi-strategy approach to investing in order to generate attractive risk-adjusted returns via careful investment selection, portfolio construction, and risk management. Throughout the year ended 31 December 2014, Brevan Howard Capital Management LP acting through its sole general partner, Brevan Howard Capital Management Limited, ( BHCM ) was the manager of the Master Fund. With effect from 1 January 2015, DW Partners, LP (the Investment Manager and formerly known as DW Investment Management, LP) assumed management responsibilities in respect of the Master Fund, in addition to its investment management role it carries out for the Master Fund. The feeder funds comprise of DW Catalyst Offshore Fund, Ltd. (formerly Brevan Howard Credit Catalysts Fund Limited), DW Catalyst Onshore Fund, LP (formerly Brevan Howard Credit Catalysts Fund L.P.) and DW Catalyst Fund Limited (formerly BH Credit Catalysts Limited) (together the Feeder Funds ). The registered office of the Master Fund is at Maples Corporate Services Limited, P.O. Box 309, Ugland House, Grand Cayman KY1-1104, Cayman Islands. 2. Significant accounting policies Basis of preparation The accompanying Consolidated Financial Statements are prepared in accordance with accounting principles generally accepted in the United States of America ( US GAAP ). The Consolidated Financial Statements are presented in US Dollars ( US$ ). The Directors determined that the Master Fund satisfied the necessary criteria in accordance with Accounting Standard Update 2013-08 Financial Services Investment Companies (Topic 946): Amendments to the scope, measurement and disclosure requirements ( ASU 2013-08 ). They have therefore applied Accounting Standards Codification ( ASC ) Topic 946 (AICPA Investment Company Guide), fair value accounting, in the preparation of the Master Fund s consolidated financial statements. The Master Fund did not provide financial support to any related parties or investee entities during the current period. Basis of consolidation The Master Fund has consolidated the following entities (the Subsidiaries ) as at 31 December 2014: BHCC Investments II Limited, a company incorporated on 10 May 2010; BHCC LC Investments Limited, a company incorporated on 2 April 2013; SPR 1 Limited, a company incorporated on 1 April 2014; BHCC Investments III Limited, a company incorporated on 18 September 2014; and Optium Investments CC I Limited, a company incorporated on 17 September 2014. The Master Fund owns 100% of the Subsidiaries. The Consolidated Financial Statements include full consolidation of the Subsidiaries. Transactions between the Master Fund and the Subsidiaries have been eliminated on consolidation. Security transactions and valuation Security transactions are accounted for on a trade date basis. Most positions of the Master Fund and its Subsidiaries are priced at the same time each day. This provides reliable comparative pricing of positions which are traded in different markets. A snap shot of all markets is made at 4:00 pm GMT. Pacific Rim and Australasia positions are generally priced as at the local end-ofday mid market levels. Instruments with directly observable prices are priced to independent external data sources (e.g. exchange traded futures, options, equities, government and corporate debt securities). Fair value estimates for financial instruments for which no or limited observable market data is available are based on judgments regarding current economic conditions, liquidity discounts, currency, credit, and interest rate risks, loss experience and other factors. These estimates involve significant uncertainties and judgments and cannot be determined with precision. As a result, such calculated fair value estimates may not be realisable in a current sale or immediate settlement of the instrument. In addition, changes in the underlying assumptions used in the fair value measurement technique, including discount rates, liquidity risks and estimates of future cash flows, could significantly affect these fair value estimates. Estimates of the fair value of Level 3 assets and liabilities, as defined by ASC 820, of the Master Fund and its Subsidiaries financial instruments are disclosed in Note 3.

12 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 2. Significant accounting policies (continued) Security transactions and valuation (continued) Some instruments may be priced using models in which some or all parameters are not directly driven by market-observable levels (e.g. unlisted securities, multi factor options or private placements). Over the counter ( OTC ) swap, forward and option values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates. Realised gains and losses on investments are calculated using the specific identification method. Realised and unrealised gains and losses are recorded at the reporting date in the Consolidated Statement of Operations. Income and expense recognition Interest income and expense including prime broker and ISDA/ISMA interest is recognised in the Consolidated Statement of Operations on an accruals basis. Interest income and expense includes the amortisation of any discount or premium or other differences between the initial carrying amount of an interest-bearing instrument and its amount at maturity calculated on an effective interest rate basis. Dividend income on long positions is recognised on the ex-dividend date and dividends declared on short positions existing on the record date are recognised on the ex-dividend date as an expense in the Consolidated Statement of Operations. Investments purchased under agreements to resell and investments sold under agreements to repurchase The Master Fund and its Subsidiaries enter into investment purchases under agreements to resell and investment sales under agreements to repurchase. These agreements are accounted for as collateralised investments and are recorded at amortised cost using the effective interest rate method. The Investment Manager monitors the market value of the Master Fund and its Subsidiaries underlying contract amounts, including accrued interest, and requests or provides additional collateral where deemed appropriate. Interest on investments purchased under agreements to resell and investments sold under agreements to repurchase is accrued on a daily basis. Asset-Backed Securities The Master Fund and its Subsidiaries may invest in asset-backed securities. These securities include mortgage backed securities, collateralised debt obligations ( CDOs ) and other asset-backed securities representing interests in pools of loans or other receivables. Mortgage backed securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. The rate of pre-payments on underlying assets will affect the price and volatility of an asset backed security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. CDOs include Collateralised Bond Obligations, Collateralised Loan Obligations and other similarly structured securities. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which the Master Fund and its Subsidiaries invest. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the quality of the collateral may decline in value or default, (iii) the Master Fund and its Subsidiaries may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may produce disputes with the issuer or unexpected investment results. Derivative financial instruments The Master Fund and its Subsidiaries use derivative financial instruments such as foreign exchange contracts and swaps, which are recorded at fair value at the reporting date. Realised and unrealised changes in fair values are included in realised and unrealised gains and losses on investments in the Consolidated Statement of Operations in the period in which the changes occur. The fair value of derivative financial instruments at the reporting date generally reflects the amount that the Master Fund and its Subsidiaries would receive or pay to terminate the contract at the reporting date. Many derivative financial instruments are exchange traded or are traded in the OTC market where market values are normally readily obtainable. Where such market prices are not readily available, fair values will be determined using commercial products which utilise valuation models that are consistent with market pricing methods. When the Master Fund and its Subsidiaries purchase a put or a call option, an amount, equal to the premium paid by the Master Fund and its Subsidiaries, is recorded as an investment and is subsequently adjusted to the current fair value of the option purchased on the reporting date.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 13 2. Significant accounting policies (continued) Derivative financial instruments (continued) Premiums paid for purchasing options that expire unexercised are treated by the Master Fund and its Subsidiaries on the expiration date as realised losses from investments. The difference between the premium and the amount received on writing an option to effect a closing transaction, including brokerage commissions, is also treated as a realised loss, or, if the premium is less than the amount received from the closing transaction, as a realised gain. If a call option is exercised, the premium is added to the cost from the purchase of the underlying security or currency in determining whether the Master Fund and its Subsidiaries have realised a gain or loss. If a put option is exercised, the premium reduces the proceeds of the securities sold by the Master Fund and its Subsidiaries. Unrealised gains or losses on open foreign exchange contracts and forward rate agreements represent the Master Fund and its Subsidiaries net equity therein and are calculated as the present value of the difference between the contract date rate and the applicable forward rate at the reporting date, applied to the face amount of the forward contract. The unrealised gain or loss at the reporting date is included in the Consolidated Statement of Assets and Liabilities. Unrealised gains or losses on open futures contracts are calculated as the difference between the contract price at trade date and the contract s revaluation price. Any payments made to satisfy initial and variation margin are reflected as due to and due from broker balances on the Consolidated Statement of Assets and Liabilities. Unrealised gains or losses on swap agreements represent the cumulative fair value change since the last reporting date and are calculated as the present value of the future net cash flows to be received and paid under the agreement. The following table sets forth the fair value of the Master Fund and its Subsidiaries derivative contracts by certain risk types as of 31 December 2014. The values in the table below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Master Fund and its Subsidiaries net exposure. The derivative assets and derivative liabilities are included in Investments at fair value and Investments sold short at fair value, respectively, in the Consolidated Statement of Assets and Liabilities. Derivative Derivative Open Positions Transactions VaR* Assets Liabilities Derivative contracts for trading activities at year end during year US$ 000 US$ 000 US$ 000 Credit contracts 478 1,452 10,830 247,196 669,929 Equity contracts 8 790 5,803 14,786 23,404 Foreign exchange contracts 55 516 3,368 7,635 Interest rate contracts 80 316 4,957 46,581 59,235 Gross fair value of derivative contracts 311,931 760,203 * VaR calculated using a two year historical simulation, based on a one day time horizon, at a 95% confidence interval. The VaR shown in the table above is for derivatives only, excluding treasury positions. Total VaR for the derivatives contracts above is US$15,431,630. Total VaR for the Master Fund and its subsidiaries, derivatives and non-derivatives, is US$20,235,366. The following table sets forth by certain risk types the Master Fund and its Subsidiaries gains/ (losses) related to derivative activities for the year ended 31 December 2014 in accordance with ASC 815. These gains/ (losses) should be considered in the context that derivative contracts may have been executed to economically hedge certain securities and accordingly, certain gains or losses on derivative contracts may offset certain gains or losses attributable to securities. These gains/ (losses) are included in Net realised and unrealised loss on investments in the Consolidated Statement of Operations. Change in Realised Unrealised Gains/ (Losses) Gains/ (Losses) Year Ended Year Ended 31 December 2014 31 December 2014 Derivative contracts for trading activities US$ 000 US$ 000 Credit contracts 46,082 (58,476) Equity contracts (94,870) (22,435) Foreign exchange contracts (42,683) (12,109) Interest rate contracts 2,969 (26,993) Total (88,502) (120,013)

14 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 2. Significant accounting policies (continued) Derivative financial instruments (continued) Foreign exchange contracts include foreign exchange futures, forwards, swaps, options and any other derivative contract in which the reference asset is a foreign exchange rate. Credit contracts include credit default swaps, credit index options and any other derivative contract in which the reference asset is a credit event or other credit risk on an underlying entity, financial asset or a credit index. Equity contracts include equity futures, forwards, options, swaps, contracts for difference and any other derivative contract in which the reference asset is an equity price or index. Interest rate contracts include interest rate futures, forwards, swaps, options, caps and floors, swaptions, forward rate agreements and any other derivative contract in which the reference asset is an interest rate or debt security. The Master Fund and its Subsidiaries enter into derivative contracts that meet the definition of a credit derivative as defined by ASC 815. These contracts are primarily written and purchased credit default swaps on single issuers, asset-backed securities, credit indices and index or CDO tranches. The following tables relate to the Master Fund and its Subsidiaries written credit derivatives as at 31 December 2014: Maximum payout/ Notional amount by period of expiration 0-2 2-5 5 Years Years Years or Greater Total Contract Type US$ 000 US$ 000 US$ 000 US$ 000 Bespoke CDO tranches 60,548 45,792 106,340 Corporates 73,500 55,038 128,538 Credit index mortgage backed 155,365 155,365 Credit index tranche corporate 153,329 153,329 Mortgage backed 139,901 139,901 Total 134,048 254,159 295,266 683,473 Maximum payout/ Notional amount Offsetting Net of Offsetting Purchased Purchased Written Credit Written Credit Credit Credit Derivative at Derivative Derivative Derivative Fair Value Contract Type US$ 000 US$ 000 US$ 000 US$ 000 Bespoke CDO tranches 106,340 106,340 (5,089) Corporates 240,964 (112,426) 128,538 2,884 Credit index mortgage backed 231,450 (76,085) 155,365 (88,769) Credit index tranche corporate 169,669 (16,340) 153,329 (60,371) Mortgage backed 139,975 (74) 139,901 (106,552) Total 888,398 (204,925) 683,473 (257,897) The Master Fund and its Subsidiaries may execute these types of credit derivatives as it seeks to increase its total return or as a means of hedging credit exposure. Period of expiration, contract type, maximum payout and fair value are indicators of payment/ performance risk. As a provider of credit protection, the Master Fund and its Subsidiaries receive a stream of payments from the counterparty representing the premium on the contract in exchange for guaranteeing the principal payment on a reference security or obligation upon the issuer s default. Upon the occurrence of a specified credit event, as a seller of credit protection, the Master Fund and its Subsidiaries are entitled to take possession of the defaulted underlying security and pay the buyer an amount equal to the notional amount of the swap. It may alternatively pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 15 2. Significant accounting policies (continued) Investments sold short The Master Fund and its Subsidiaries may sell a security it does not own in anticipation of a decline in the market value of that security. When the Master Fund and its Subsidiaries sell a security short, it must borrow the security and deliver it to the brokerdealer through which it made the short sale. The Master Fund and its Subsidiaries are required to maintain collateral with the brokerdealer from which the security was borrowed. A gain, limited to the value at which the Master Fund and its Subsidiaries sold the security short, or a loss, unlimited in size, will be recognised upon the termination of a short sale and recorded as a net realised gain or loss on investments in the Consolidated Statement of Operations. Investments sold short are recorded as liabilities on the Consolidated Statement of Assets and Liabilities. Foreign currency translation Investment securities and other assets and liabilities denominated in foreign currencies are translated into US Dollar amounts at the prevailing exchange rates at the reporting date. Purchases and sales of investment securities in foreign currencies and income and expense items denominated in foreign currencies are translated into US Dollar amounts at the prevailing exchange rate on the respective dates of such transactions. The Master Fund and its Subsidiaries do not isolate that portion of the results of operations resulting from changes in currency exchange rates on investments from the fluctuations arising from changes in market prices of securities held. All foreign currency gains and losses are included in net realised and unrealised gain or loss from investments in the Consolidated Statement of Operations. Use of estimates The preparation of Consolidated Financial Statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Consolidated Financial Statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates. In particular, valuation models used to determine the fair value of unlisted derivative instruments require the use of a number of assumptions. Cash Cash consists of bank balances. Due from and to brokers Amounts receivable from and payable to brokers include settlement of trades along with deposits held as collateral. As at 31 December 2014, deposits held as collateral amounted to US$44,483,101 and amounts pledged as collateral amounted to US$348,519,261. Allocation of income and expenses between share classes Income and expenses that are identifiable with a particular class are allocated to that class in computing its net asset value ( NAV ). Income and expenses that are common to all classes are allocated between classes based on their monthly NAVs. 3. Fair value measurements The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). The fair value hierarchy under ASC 820 prioritises the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below: Level 1 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 Quoted prices for instruments that are identical or similar in markets that are not active and model-derived valuations for which all significant inputs are observable, either directly or indirectly in active markets; and Level 3 Prices or valuations that require inputs that are both significant to the fair value measurement and are unobservable. Netting Financial assets and liabilities are offset and the net amount presented in the Consolidated Statement of Assets and Liabilities, when and only when, the Master Fund and its Subsidiaries have a legal right to offset the amounts and they intend either to settle on a net basis or to realise the asset and settle the liability simultaneously. Income and expenses are presented on a net basis only when permitted under US GAAP.

16 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 3. Fair value measurements (continued) The hierarchy requires the use of observable market data when available. As required by ASC 820, investments are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The following is a summary of the levels within the fair value hierarchy for the Master Fund and its Subsidiaries investments as of 31 December 2014: Assets Level 1: Level 2: Level 3: Total Fair value measurement at reporting date: US$ 000 US$ 000 US$ 000 US$ 000 Equity securities 336,008 1,841 337,849 Private placement 47,908 47,908 Rights 3,578 3,578 Fixed income securities Asset backed securities 1,481,254 146,018 1,627,272 Corporate debt securities 1,150,458 411,816 110,851 1,673,125 Mortgage backed securities 1,175,928 188,397 1,364,325 Other debt obligations 179,633 93,622 273,255 US Government securities 1,989,697 1,989,697 Derivatives Credit contracts 247,196 247,196 Equity contracts 26 14,760 14,786 Foreign exchange contracts 3,368 3,368 Interest rate contracts 163 30,975 15,443 46,581 Total assets 3,479,930 3,544,930 604,080 7,628,940 Liabilities Level 1: Level 2: Level 3: Total Fair value measurement at reporting date: US$ 000 US$ 000 US$ 000 US$ 000 Equity securities 244,786 244,786 Fixed income securities Corporate debt securities 71,506 10,200 81,706 Mortgage backed securities 402,360 402,360 US Government securities 494,783 494,783 Derivatives Credit contracts 664,218 5,711 669,929 Equity contracts 17,241 6,163 23,404 Foreign exchange contracts 7,635 7,635 Interest rate contracts 170 59,065 59,235 Total liabilities 828,486 1,149,641 5,711 1,983,838

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 17 3. Fair value measurements (continued) The fair value of equity securities by industry type is presented in the Consolidated Condensed Schedule of Investments. The Master Fund and its Subsidiaries policy is to recognise transfers in and transfers out of each level as of the end of each month. There were no significant transfers between Level 1 and Level 2 during the year ended 31 December 2014. The Master Fund and its Subsidiaries held no investments measured at fair value on a non-recurring basis during the year ended 31 December 2014. Transfers in and transfers out of Level 3 have occurred due to the change in availability of observable market data. The following table presents additional information about Level 3 assets measured at fair value. Both observable and unobservable inputs may be used to determine the fair value of positions that the Master Fund and its Subsidiaries have classified within the Level 3 category. As a result, the unrealised gains and losses for assets within the Level 3 category in the table below may include changes in fair value that were attributable to both observable (e.g. changes in market interest rates) and unobservable (e.g. changes in unobservable long-dated volatilities) inputs. Level 3 Assets Mortgage Equity Private Asset Backed Corporate Backed Other Debt Securities Placements Securities Debt Securities Obligations Derivatives Total Investments US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 Beginning balance as of 1 January 2014 220,276 50,248 138,506 409,030 Purchases 20,283 8,621 14,266 52,564 57,865 117,733 271,332 Sales (73,850) (40,866) (44,472) (27,112) (5) (186,305) Transfer in to Level 3 244 23,049 221,410 96,863 162,359 12,807 516,732 Transfer out of Level 3 (18,696) (294,749) (42,461) (158,004) (513,910) Realised gain/ (loss) (18,806) 25,420 (1,760) 12,076 1,416 5 18,351 Change in unrealised gain/ (loss) 18,816 16,238 33,245 (3,737) 20,067 1,585 2,636 88,850 Ending balance as of 31 December 2014 1,841 47,908 146,018 110,851 188,397 93,622 15,443 604,080 Liabilities Derivatives Total Investments US$ 000 US$ 000 Beginning balance as of 1 January 2014 Purchases Sales Transfer in to Level 3 (5,737) (5,737) Transfer out of Level 3 Realised gain/ (loss) Change in unrealised gain/ (loss) 26 26 Ending balance as of 31 December 2014 (5,711) (5,711) The change in the unrealised movement for the year ended 31 December 2014 for Level 3 investments still held at 31 December 2014 amounted to a gain of US$88,876,096 which is reflected in Net change in unrealised depreciation on investments in the Consolidated Statement of Operations.

18 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 3. Fair value measurements (continued) The following table presents quantitative information about the Master Fund and its Subsidiaries Level 3 inputs: Fair Value US$ 000 Valuation Technique Unobservable Input Range Asset Backed Securities & Mortgage Backed Securities 334,415 Discounted Cashflow Constant default rate 0% 12% Conditional prepayment rate 7% 26% Loss severity 27% 96% Discount rate 1% 24% Deal loss 1% 10% Bond loss 0% 78% Spread to swaps 3% 26% Corporate Debt 110,851 Similar instrument Spread to similar instrument (1)% 1% Equity Securities 1,841 Broker quote Liquidity discount 0% 40% Private Placements 47,908 Broker quote Liquidity discount 0% 40% Derivatives 9,732 Counterparty valuation/ Broker quote Liquidity discount 0% 40% Other Debt Obligations 93,622 Similar instrument Spread to similar instrument (5)% 5% The significant unobservable inputs used in the fair value measurement of Level 3 asset backed securities and mortgage backed securities are constant default rates, conditional prepayment rates, loss severity deal loss, bond loss, spread to swaps and discount rates. Increases in any of the constant default rates, loss severity deal loss, bond loss, spread to swaps or discount rates in isolation would result in a lower fair value for the asset, and vice versa. Increases in conditional prepayment rates could result in a higher or lower fair value depending on the quality of the securities. Level 3 corporate debt is valued at a spread to the yield on similar Level 1 or Level 2 instruments. An increase in the spread would result in a lower fair value and vice versa. Level 3 equity, derivatives and private placement securities are valued by reference to single broker quotes, counterparty valuations, or infrequent market levels on illiquid listed securities. Level 3 other debt obligations are valued at a spread to the yield on similar Level 1 or Level 2 instruments. An increase in the spread would result in a lower fair value and vice versa. 4. Management fees and profit allocation Prior to 1 January 2015 BHCM received from the Master Fund a management fee of 1/12 of 2% (or a pro rata proportion thereof) per month of the NAV (before deduction of that month s management fee and before making any deduction for any accrued performance allocation) as at the last valuation day in each month, paid monthly in arrears on Class Y shares. The outstanding management fee at 31 December 2014 is US$Nil. The Master Fund made profit allocations ( Profit Allocations ) to the Class P Shares Class Account in respect of each Class of Class A Master Fund Shares, part of the ordinary shares, calculated annually in respect of each period of twelve months ending on 31 December in each year (each twelve month period being a Calculation Period ) and accrued on a monthly basis as at each Valuation Day. For each Calculation Period, the Profit Allocation borne by each Class A Share was equal to 20% of the appreciation in the aggregate NAV per share of the relevant Class during the Calculation Period above the aggregate Base NAV per share of that Class A Share. The Base NAV per share was the greater of the NAV per share of the relevant Class at the time of issue of that share and the highest NAV per share achieved as at the end of any previous Calculation Period (if any) during which such share was in issue. The Profit Allocation in respect of each Calculation Period was calculated by reference to the NAV before making any deduction for accrued Performance Allocation in the NAV of the corresponding Class A Master Fund Share. The Profit Allocation was normally allocated in arrears within 14 calendar days of the end of each Calculation Period. However, in the case of Shares redeemed during a Calculation Period, the accrued Profit Allocation in respect of those Shares was allocable within 14 days after the date of redemption. In the event of a partial redemption, Shares were treated as redeemed on a first in, first out ( FIFO ) basis.

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 19 4. Management fees and profit allocation (continued) Prior to 1 January 2015 (continued) The Master Fund also made a Profit Allocation to the Class P Shares Class Account in respect of each class of Class X Shares and Class Y Shares calculated on a Share-by-Share basis (the MF Profit Allocation ). The MF Profit Allocation was calculated in respect of each calendar year except that the first Master Fund Calculation Period (a MF Calculation Period ) in respect of a Class of Class X Shares and a Class of Class Y Shares, respectively, was the period beginning on the date on which the shares of the relevant class were first issued and ending on 31 December of the same calendar year. The MF Profit Allocation was deemed to accrue on a monthly basis as at each Valuation Day. For each MF Calculation Period, the MF Profit Allocation in respect of each Class X Share and each Class Y Share was equal to 20% of the appreciation in the NAV per share of the relevant Class during that MF Calculation Period above the Base NAV per share of that Class. The Base NAV per share is the greater of the NAV per share of the relevant Class at the time of issue of that Share and the highest NAV per share achieved as at the end of any previous MF Calculation Period (if any) during which such Share was in issue. The MF Profit Allocation in respect of each MF Calculation Period was calculated by reference to the NAV before making any deduction for accrued MF Profit Allocations. The MF Profit Allocation was normally allocable in arrears within 14 days of the end of each MF Calculation Period. However, in the case of Class X Shares and Class Y Shares redeemed during a MF Calculation Period, the accrued MF Profit Allocation in respect of those Shares was allocable within 14 days after the date of redemption. In the event of a partial redemption, shares were treated as redeemed on a FIFO basis. There were no Class X Shares in issue during the year. Management fees and Profit Allocation were also paid to BHCM by the Feeder Funds. With effect from 1 January 2015 The management fee percentage remains unchanged. However, the management fee is now paid to the Investment Manager and/or its designee, instead of to BHCM. In addition, the management fee is calculated and paid at the Master Fund level for Master Fund investments and at the level of any investment vehicle for certain specific investments. Such calculations and payments are also made on a net basis, as discussed below with respect to performance allocations. The Investment Manager has the right to change the manner and method in which the management fee is paid, including charging such fee at the level of certain feeder funds. The performance allocation percentage remains unchanged. However, the entire performance allocation is allocated to an entity designated by the Investment Manager (the Performance Allocation Entity ). In addition, the performance allocation is generally calculated and allocated at the Master Fund level for Master Fund investments and at the level of any investment vehicle for certain specific investments. The foregoing calculations and allocations by the Master Fund and such investment vehicles are made on a net basis (including for purposes of any loss carryover), taking into account the value of the entire investment portfolio at such levels. The Performance Allocation Entity has the right to change the level at which the performance allocation is made in its sole and absolute discretion. 5. Administration fee Under the terms of the Administrative Services Agreement, dated 25 February 2013 as amended, between International Fund Services (Ireland) Limited ( IFS ) and the Master Fund, IFS receives a fee based on the month-end NAV of the Master Fund calculated and payable monthly in arrears. The administration fee, payable on a monthly basis is 1/12 of 14 basis points of the Master Fund s month end NAV. The administration fee payable at 31 December 2014 is US$556,631. 6. Investments purchased under agreements to resell and investments sold under agreements to repurchase At 31 December 2014, investments with a fair value of US$948,323,458 were pledged to the Master Fund and its Subsidiaries as collateral (investments purchased under agreements to resell) and investments with a fair value of US$4,087,097,712 were pledged by the Master Fund and its Subsidiaries as collateral (investments sold under agreements to repurchase). All agreements to repurchase mature by 25 September 2015 and all agreements to resell mature by 12 March 2015. 7. Share capital As at 31 December 2014, the Master Fund had an authorised share capital of: 100,000 divided into 10,000,000 ordinary shares of 0.01 par value each; US$400,000 divided into 40,000,000 ordinary shares of US$0.01 par value each; 100,000 divided into 10,000,000 ordinary shares of 0.01 par value each; 10,000,000 divided into 10,000,000 ordinary shares of 1.00 par value each; SGD400,000 divided into 40,000,000 ordinary shares of SGD0.01 par value each; AUD400,000 divided into 40,000,000 ordinary shares of AUD0.01 par value each; CAD400,000 divided into 40,000,000 ordinary shares of CAD0.01 par value each; NOK400,000 divided into 40,000,000 ordinary shares of NOK0.01 par value each;

20 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 7. Share capital (continued) BRL400,000 divided into 40,000,000 ordinary shares of BRL0.01 par value each; and CHF400,000 divided into 40,000,000 ordinary shares of CHF0.01 par value each. With effect from 1 January 2015, the Master Fund has an authorised share capital of: 500,000 divided into 50,000,000 Participating Shares of 0.01 par value each; US$1,000,000 divided into 100,000,000 Participating Shares of US$0.01 par value each; 500,000 divided into 10 Management Shares of 1.00 par value each and 49,999,000 Participating Shares of 0.01 par value each; 50,000,000 divided into 50,000,000 Participating Shares of 1.00 par value each; SGD1,000,000 divided into 100,000,000 Participating Shares of SGD0.01 par value each; AUD1,000,000 divided into 100,000,000 Participating Shares of AUD0.01 par value each; CAD1,000,000 divided into 100,000,000 Participating Shares of CAD0.01 par value each; NOK1,000,000 divided into 100,000,000 Participating Shares of NOK0.01 par value each; BRL1,000,000 divided into 100,000,000 Participating Shares of BRL0.01 par value each; and CHF1,000,000 divided into 100,000,000 Participating Shares of CHF0.01 par value each. Shares in Shares in issue Shares issued Shares redeemed issue at the 2014 Shares start of year during the year during the year end of year US Dollar Class Ordinary 14,035,223 3,765,268 (4,663,042) 13,137,449 Euro Class Ordinary 966,322 100,389 (274,057) 792,654 Sterling Class Ordinary 2,036,417 392,952 (704,822) 1,724,547 Singapore Dollar Class Ordinary 15,623 (15,623) Yen Class Ordinary 258,848 89,093 (107,415) 240,526 Australian Dollar Class Ordinary 1,966 (1,966) Norwegian Krone Class Ordinary 59,991 161,382 (60,094) 161,279 US Dollar Class Y 103,408 654 (104,062) Euro Class Y 111,165 53,509 (164,674) Sterling Class Y 375,627 11,031 (386,658) US Dollar Class P 660,212 341,199 (122,378) 879,033 It is envisaged that no income or gains are to be distributed by way of dividend. 8. Taxes Under current Cayman Islands laws, the Master Fund is not required to pay any taxes in the Cayman Islands on either income or capital gains. The Master Fund has received an undertaking from the Governor in Cabinet in the Cayman Islands exempting it from any such taxes at least until 2029. The only taxes payable by the Master Fund on its income are withholding taxes applicable to certain income. Accordingly, no provision for taxes is recorded in these Consolidated Financial Statements. ASC 740, Income Taxes, established financial accounting and disclosure requirements for recognition and measurement of tax positions taken or expected to be taken on a tax return. BHCM has reviewed the Master Fund s tax positions for all open tax years and has concluded that no provision for income tax is required in the Master Fund s Consolidated Financial Statements. The Master Fund is subject to potential examination by certain taxing authorities in various jurisdictions. The tax liability is also subject to ongoing interpretation of laws by taxing authorities. The tax years under potential examination vary by jurisdiction. 9. Financial instruments with off-balance sheet risk or concentration of credit risk Derivative financial instruments may result in off-balance sheet market, credit and liquidity risk. Market risk is the possibility that future changes in market price may make a financial instrument less valuable or more onerous. If the markets should move against one or more positions that the Master Fund and its Subsidiaries hold, the Master Fund and its Subsidiaries could incur losses greater than the

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 21 9. Financial instruments with off-balance sheet risk or concentration of credit risk (continued) unrealised amounts recorded in the Consolidated Statement of Assets and Liabilities. The principal credit risk is that the counterparty will default and fail to fulfill the terms of the agreement. Investments sold short have market risk to the extent that the Master Fund and its Subsidiaries, in satisfying its obligation, may have to purchase securities to cover a short position at a higher value than that recorded on the Consolidated Statement of Assets and Liabilities. Futures contracts expose the Master Fund and its Subsidiaries to credit, market and liquidity risks. The Master Fund and its Subsidiaries are exposed to market risk such that changes in the market values of the securities or indices underlying the contract may exceed the amount recognised in the Consolidated Statement of Assets and Liabilities. Liquidity risk represents the possibility that the Master Fund and its Subsidiaries may not be able to rapidly adjust the size of its futures positions in times of high volatility and financial stress at a reasonable price. Forward contracts expose the Master Fund and its Subsidiaries to market and liquidity risks. The Master Fund and its Subsidiaries are exposed to market risk to the extent that adverse changes occur in the rate of the underlying asset. Liquidity risk represents the possibility that the Master Fund and its Subsidiaries may not be able to rapidly adjust the size of its forwards positions in times of high volatility and financial stress at a reasonable price. As a purchaser of an option contract, the Master Fund and its Subsidiaries are subject to credit risk since the counterparty is obliged to make payments under the terms of the option contract if the Master Fund and its Subsidiaries exercise the option. As a purchaser of an option contract, the Master Fund and its Subsidiaries are only subject to market risk to the extent of the premium paid. The Master Fund and its Subsidiaries purchase both exchange traded and OTC options. For exchange-traded option contracts, the stock exchange acts as the counterparty to specific transactions and therefore, bears the risk of delivery to and from counterparties of specific positions. OTC option contracts are not guaranteed by any regulated stock exchange. In connection with investments sold under agreements to repurchase, it is the Master Fund and its Subsidiaries policy that its prime broker takes possession of the underlying collateral securities. If the seller defaults and the fair value of the collateral declines, realisation of the collateral by the Master Fund and its Subsidiaries may be delayed or insufficient. The Master Fund and its Subsidiaries invest in fixed income securities and bank loans. Until such investments are sold or mature, the Master Fund and its Subsidiaries are exposed to credit risk relating to whether the issuer will meet its obligation as it comes due. Entering into credit default swap agreements and contracts for difference expose the Master Fund and its Subsidiaries to market risks equivalent to actually holding securities of the notional value but typically involve little capital commitment relative to the exposure achieved. The gains or losses of the Master Fund and its Subsidiaries may therefore be significantly greater than this initial commitment. In accordance with ASC 815, the Master Fund and its Subsidiaries record its trading-related derivative activities on a fair value basis (as described in Note 2). Assets and liabilities included in the table in Note 2 represent the fair value of the Master Fund and its Subsidiaries holdings at the year end. These assets and liabilities are not representative of the outstanding credit risk to the Master Fund due to the existence of master netting agreements. The gross fair value of the Master Fund and its Subsidiaries derivative instruments is shown in Note 2. The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). The Master Fund and its Subsidiaries maintain trading relationships with counterparties that include domestic and foreign brokerdealers and financial institutions; these relationships could result in the concentration of the credit risk if counterparties fail to fulfil their obligation or the value of any collateral becomes inadequate. Throughout the year ended 31 December 2014, BHCM or its affiliates maintained credit review policies to control credit risk by following an established credit approval process, daily monitoring of net exposure to individual counterparties, requiring the segregation of collateral where possible, and using master netting agreements whenever possible. Liquidity risk The Master Fund and its Subsidiaries investment portfolio is leveraged and is actively managed to ensure there is sufficient liquidity to meet collateral calls, shareholder redemption requests and trading and other liabilities as they become due. The Master Fund and its Subsidiaries seek to trade mainly in investments that are sufficiently liquid and readily realisable at close to fair value in order to meet any potential liquidity requirement. To this end, the Master Fund and its Subsidiaries monitor the speed at which the portfolio can be liquidated under ordinary market conditions and further monitors liquidity by a number of additional measures. Deteriorating market conditions, however, may hamper the ability of the Master Fund and its Subsidiaries to liquidate its investments in an orderly manner.

22 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 9. Financial instruments with off-balance sheet risk or concentration of credit risk (continued) Liquidity risk (continued) From time to time, market participants with which the Master Fund and its Subsidiaries effect transactions might cease making markets or quoting prices in certain instruments, may only continue to do so in limited size, or may widen the spreads at which they are prepared to transact. In such instances, the Master Fund and its Subsidiaries might be unable to enter into desired transactions, or close out existing transactions, at normal market levels, which might adversely affect its performance. The Master Fund and its Subsidiaries liquidity risk is monitored on a daily basis using measures of risk and unencumbered cash and cash equivalents, and includes an escalation process in circumstances where liquidity approaches tolerance levels. 10. Offsetting assets and liabilities The Master Fund is required to disclose the impact of offsetting assets and liabilities represented in the Consolidated Statement of Assets and Liabilities to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognised assets and liabilities. These recognised assets and liabilities are financial instruments and derivative instruments that are subject to either an enforceable master netting arrangement or a similar netting agreement in certain circumstances, for example in the event of default. The following table provides disclosure regarding the potential effect of offsetting of recognised assets presented in the Consolidated Statement of Assets and Liabilities: As of 31 December 2014 Offsetting of Financial Assets and Derivative Assets: (i) (ii) (iii)=(i)-(ii) (iv) (v)=(iii)-(iv) Net Amounts of Gross Amounts Assets Gross Amounts, not Offset in the Offset in the Presented in the Consolidated Statement of Gross Consolidated Consolidated Assets and Liabilities Amounts of Statement Statement Recognised of Assets of Assets Financial Cash Collateral Assets and Liabilities and Liabilities Instruments Held Net Amount Description US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 Derivatives 311,931 311,931 261,679 18,650 31,602 Repurchase agreements 1,185,946 244,418 941,528 919,752 21,776 Total 1,497,877 244,418 1,253,459 1,181,431 18,650 53,378 The following table provides disclosure regarding the potential effect of offsetting of recognised liabilities presented in the Consolidated Statement of Assets and Liabilities: As of 31 December 2014 Offsetting of Financial Liabilities and Derivative Liabilities: (i) (ii) (iii)=(i)-(ii) (iv) (v)=(iii)-(iv) Net Amounts of Gross Amounts Liabilities Gross Amounts, not Offset in the Offset in the Presented in the Consolidated Statement of Gross Consolidated Consolidated Assets and Liabilities Amounts of Statement Statement Recognised of Assets of Assets Financial Cash Collateral Liabilities and Liabilities and Liabilities Instruments Pledged Net Amount US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 US$ 000 Derivatives 760,203 760,203 261,679 332,592 165,932 Repurchase agreements 3,210,129 244,418 2,965,711 919,752 25,663 2,020,296 Total 3,970,332 244,418 3,725,914 1,181,431 358,255 2,186,228

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS 23 11. Financial Highlights The following tables include selected data for share classes outstanding throughout the year and other performance information derived from the Consolidated Financial Statements. The per share amounts and ratios which are shown reflect the consolidated income and expenses of the Master Fund and its Subsidiaries. Singapore Japanese Australian Norwegian US Dollar US Dollar Euro Euro Sterling Sterling Dollar Yen Dollar Krone Ordinary Class Y Ordinary Class Y Ordinary Class Y Ordinary Ordinary Ordinary Ordinary Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Per Share Operating Performance US$ US$ SGD AUD NOK Net Asset Value, beginning of year 231.68 157.49 200.56 157.00 176.54 158.30 167.37 16,470.83 159.01 157.23 Income from investment operations Net investment income 27.41 9.82 24.05 9.39 21.03 9.90 3.32 1,962.47 1.53 19.09 Profit allocation (1.82) (2.69) (2.82) (3.11) (0.65) (2.75) Net realised and unrealised gain/ (loss) on investments (5.58) 3.62 (5.31) 6.15 (4.12) 3.84 2.60 (437.77) 1.27 (1.40) Total income from investment operations 20.01 10.75 15.92 12.43 16.26 10.99 5.92 1,524.70 2.80 17.69 Net asset value redeemed during year (168.24) (169.43) (169.29) (173.29) (161.81) Net asset value, end of year 251.69 216.48 192.80 17,995.53 174.92 Total return before profit allocation 9.42% 8.53% 9.34% 9.90% 9.58% 8.68% 3.54% 9.26% 1.76% 11.25% Profit allocation (0.78%) (1.70%) (1.40%) (1.98%) (0.37%) (1.74%) Total return after profit allocation 8.64% 6.83% 7.94% 7.92% 9.21% 6.94% 3.54% 9.26% 1.76% 11.25% Supplemental Data US$ 000 US$ 000 000 000 000 000 SGD 000 000 AUD 000 NOK 000 Net Assets 31 December 2014 3,329,208 174,294 333,558 4,328,389 28,210 Average net assets for 2014 3,695,062 16,162 212,381 26,658 355,689 62,761 2,492 3,828,229 318 24,648 Ratio to average net assets Operating expense 0.20% 2.20% 0.21% 2.19% 0.19% 2.20% 0.14% 0.19% 0.08% 0.21% Commissions on futures and options 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Interest and dividend expense 1.45% 1.49% 1.48% 1.48% 1.44% 1.49% 1.31% 1.43% 1.39% 1.47% Total expenses 1.65% 3.69% 1.69% 3.67% 1.63% 3.69% 1.45% 1.62% 1.47% 1.68% Profit allocation 0.74% 1.67% 1.30% 1.89% 0.32% 1.68% Net investment income 11.12% 9.03% 11.36% 9.85% 11.10% 8.96% 11.60% 11.23% 11.37% 11.14% Operating expenses are total expenses from the Consolidated Statement of Operations, less interest and dividend expense, commissions on futures and options and profit allocation. Operating expenses, interest and dividend expense, commissions on futures and options and net investment income/ (loss) are annualised. Total returns and ratios on profit allocation are not annualised.

24 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS Notes to the Consolidated Financial Statements continued 31 December 2014 12. Related party transactions BHCM was the manager of the Master Fund throughout the year ended 31 December 2014. The transactions with manager, Investment Manager and Performance Allocation Entity, and fees payable at the year end are disclosed in Note 4. BH Global Limited ( BHG ) is a Guernsey incorporated closedended investment company listed on the London Stock Exchange that previously invested all of its assets in Brevan Howard Global Opportunities Master Fund Limited ( BHGOMF ). BHCM is also the manager of BHG and BHGOMF. BHGOMF was permitted to invest in any investment funds of which one or more of the Brevan Howard group of affiliated entities is the manager or investment manager. BHGOMF disposed of its holding in the Master Fund during the year. Brevan Howard Multi-Strategy Master Fund Limited ( BHMS ) is a Cayman incorporated limited liability company that is permitted to invest its assets in investment funds. BHCM is also the manager of BHMS. BHMS held 12.02% (US$501,256,486) of the net assets of the Master Fund and its Subsidiaries as at 31 December 2014. During 2014, BHCM paid the management fees of the Investment Manager out of the management fee incurred by the Master Fund. 13. Equalisation and Series accounting Prior to 1 January 2015 Where Shares were subscribed for at a time when the NAV per share was greater than the peak NAV per share of the relevant Class, the investor was required to pay an amount in excess of the then current NAV per share of that Class equal to the Relevant Percentage of the difference between the then current NAV per share of that Class (before accrual for the Profit Allocation) and the peak NAV per share of that Class (an Equalisation Credit ). At the date of subscription the Equalisation Credit equalled the Profit Allocation per share accrued with respect to the other Shares of the same Class in the Master Fund (the Maximum Equalisation Credit ). The Equalisation Credit was payable to account for the fact that the NAV per share of that Class had been reduced to reflect an accrued Profit Allocation to be borne by existing Shareholders of the same Class and served as a credit against Profit Allocation that might otherwise have been payable by the Master Fund but that should not, in equity, be charged against the Shareholder making the subscription because, as to such Shares, no favourable performance had yet occurred. The Equalisation Credit ensured that all holders of Shares of the same Class have the same amount of capital at risk per share. The additional amount invested as the Equalisation Credit was at risk in the Master Fund and therefore appreciated or depreciated based on the performance of the relevant Class subsequent to the issue of the relevant Shares but never exceeded the Maximum Equalisation Credit. In the event of a decline as at any Valuation Day in the NAV per share of those Shares, the Equalisation Credit was also reduced by an amount equal to the Relevant Percentage of the difference between the NAV per share (before accrual for the Profit Allocation) at the date of issue and as at that Valuation Day. Any subsequent appreciation in the NAV per share of the relevant Class resulted in the recapture of any reduction in the Equalisation Credit but only to the extent of the previously reduced Equalisation Credit up to the Maximum Equalisation Credit. Where shares were subscribed for at a time when the NAV per share is less than the peak NAV per share of the relevant Class, the investor was required to pay a Profit Allocation with respect to any subsequent appreciation in the value of those shares. With respect to any appreciation in the value of those shares from the NAV per share at the date of subscription up to the peak NAV per share, the Profit Allocation was charged at the end of each Calculation Period by redeeming at par value (which was retained by the Master Fund) such number of the investor s shares of the relevant Class as had an aggregate NAV (after accrual for any Profit Allocation) equal to the Relevant Percentage of any such appreciation (a Profit Allocation Redemption ). An amount equal to the aggregate NAV of the shares so redeemed was paid to BHCM as a Profit Allocation. The Master Fund was not required to pay to the investor the redemption proceeds of the relevant shares being the aggregate par value thereof. Profit Allocation Redemptions ensured that the Master Fund and its Subsidiaries maintained a uniform NAV per Share of each Class. At the year end the equalisation factor accrued but not crystallised was US$Nil. With effect from 1 January 2015 With effect from 1 January 2015, equalisation accounting has been replaced by series accounting and appropriate adjustments have been made to the high water mark for those Shares that have an unapplied equalisation credit with effect from 1 January 2015. 14. Subsequent events For the year ended 31 December 2014, the Master Fund and its Subsidiaries evaluated subsequent events through 23 March 2015. On 1 January 2015, the Master Fund changed its name to DW Catalyst Master Fund, Ltd from Brevan Howard Credit Catalysts Master Fund Limited. The Investment Manager also assumed management responsibilities in respect of the Master Fund and its feeder funds, in addition to its investment management role it carries out for the Master Fund. With effect from 1 January 2015, the assets of DW Catalyst Fund Limited (net of short-term working capital) were invested in DW Catalyst Offshore Fund, Ltd.

AFFIRMATION OF THE COMMODITY POOL OPERATOR 25 Affirmation of the Commodity Pool Operator 31 December 2014 To the best of my knowledge and belief, the information detailed in these Annual Audited Consolidated Financial Statements is accurate and complete. By: Name: David Barton Title: Head of Legal and Authorised Signatory Brevan Howard Capital Management Limited as general partner of Brevan Howard Capital Management LP, the manager and commodity pool operator of Brevan Howard Credit Catalysts Master Fund Limited as at 31 December 2014. To the best of my knowledge and belief, the information detailed in these Annual Audited Consolidated Financial Statements is accurate and complete. By: Name: Andrew Rosenthal Title: Chief Operating Officer DW Partners, LP, acting by its general partner DW Investment Partners, LLC, the manager and commodity pool operator of DW Catalyst Master Fund Limited 23 March 2015

26 Notes

27 Notes

28 Notes

Management and Administration Directors Karla Bodden Dennis Hunter Philippe Lespinard (resigned 13 March 2015) Andrew Rosenthal (appointed 1 January 2015) Phil Schmitt Risto Silander James Vernon (resigned 31 December 2014) Registered Office c/o Maples Corporate Services Limited PO Box 309 Ugland House Grand Cayman KY1-1104 Cayman Islands Manager (for the year ended 31 December 2014) Brevan Howard Capital Management LP 6th Floor 37 Esplanade St. Helier Jersey JE2 3QA Channel Islands Investment Manager DW Partners, LP 590 Madison Avenue 9th Floor New York NY 10022 Administrator International Fund Services (Ireland) Limited 78 Sir John Rogerson s Quay Dublin 2 Ireland Auditors KPMG Chartered Accountants PO Box 493 Century Yard Grand Cayman KY1-1106 Cayman Islands U.S. Legal Counsel Proskauer Rose LLP 11 Times Square New York NY 10036 Cayman Islands Legal Counsel Maples and Calder PO Box 309 Ugland House Grand Cayman KY1-1104 Cayman Islands Designed and produced by Fin International