Deer Park Road Management Company, LP: investment adviser

Certain of the Private Funds are structured as “funds of one” wherein the Adviser’s services are tailored to the needs of a single investor in such Fund. Deer Park was founded in 2003 by Michael Craig-Scheckman, its current Chief Executive Officer and founder. Mr. Craig-Scheckman has been in the investment business for over 40 years and has over 30 years of experience in the distressed mortgage-backed and assetbacked securities field. Scott Burg joined the Adviser in 2010 and is currently the Chief Investment Officer and managing partner. Mr. Burg has over 20 years of experience in the MBS/ABS (each as defined below) market. Brad Craig has been with the Adviser since 2007 and currently serves as its Chief Operating Officer. Deer Park is owned and controlled by Michael Craig-Scheckman, Scott Burg and Brad Craig. Deer Park aims to identify potentially attractive investment opportunities primarily by exploiting trading and investment opportunities with a strong, but not exclusive, focus on mortgage-backed securities (“MBS”), asset-backed securities (“ABS”), corporate debt, and other credit investments. The Adviser has also taken significant equity positions in early stage and public companies that operate in the real estate, mortgage or mortgage service industry. Certain of these companies provide services to funds managed by the Adviser or its affiliates. The Adviser employs a fundamental research approach on security selection in the MBS/ABS market. Specifically with regard to ABS, security selection is based on a valuation process that seeks to exploit the disparity between the intrinsic and market value of these securities, capitalizing on the traditionally inefficient MBS/ABS marketplace. Portfolios also include long and short positions in derivatives, corporate debt and equities. For certain of the Private Funds, Deer Park also aims to identify potentially attractive investment opportunities in the single family residential real estate market by purchasing and offering properties to rent. The Adviser does not participate in any wrap fee programs. As of December 31, 2025, Deer Park managed approximately $2,679,000,000 on a discretionary basis.

Compensation received by the Adviser from the Private Funds also includes “Management Fees” and, in some cases, carried interest. The Adviser may, in its discretion, negotiate lower Management Fees or graduated Performance Allocations, or both, with individual investors or as a separate class or fund, in its sole discretion. The Adviser has discretion to waive, and with investor consent, modify or change the amount or calculation method for the Management Fee or Performance Allocation with respect to any Private Fund, class or individual investor including affiliates or employees of the Adviser. Management Fees will generally be paid quarterly in arrears and may be subject to high watermark. Deer Park’s fee schedule is omitted because this brochure is only being delivered to qualified purchasers as defined in the Investment Company Act of 1940, as amended. In addition to compensation payable to Deer Park described above, each Fund will typically bear its pro rata share of the following types of expenses: 

management fees;

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expenses related to initial and ongoing due diligence of investments and loan security, including outside legal and accounting services, title work and services, lien searches, travel (including airfare, lodging, ground transportation, and related fees and expenses);

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expenses related to the acquisition, holding, transfer and disposition of investments and other investments or assets, such as commissions, brokerage and prime brokerage fees, advisory fees, transfer fees, custodial fees, administration fees, exchange fees, clearing costs and bank service fees;

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investment-related expenses (including with respect to broken deals), including research expenses, the cost of software packages utilized in connection with the management of the Fund or any subsidiary thereof, market data and systems, and

the costs of any periodicals, subscriptions or other market intelligence services or publications; 

costs related to any borrowings, facilities or other indebtedness incurred by the Fund or any subsidiary thereof, including any interest, fees and expenses (including upfront fees, fees and expenses of counsel and other advisers, and other closing fees and expenses) payable with respect thereto;

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external transaction-related expenses, external legal fees, and third-party professional fees relating to investments or otherwise (including expenses of consultants and experts, if any);

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fees of any third-party administrator(s), and external accounting and investor reporting expenses, including the fees and expenses of the partnership representative;

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the cost of accounting, order management and portfolio management software packages;

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valuation expenses, including the fees and expenses of any third-party valuation firm;

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auditing and tax expenses, including any such expenses related to the Fund’s U.S. Foreign Account Tax Compliance Act and Common Reporting Standard compliance obligations and any taxes imposed on or payable by the Fund, a master fund or any subsidiary thereof (as determined by the General Partner);

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insurance expenses (including costs related to any retention or deductibles) for the Fund, a master fund and the General Partner (including D&O and E&O insurance);

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all expenses incurred in connection with organizing any subsidiary of the Fund or a master fund and obtaining any necessary regulatory registrations or authorizations;

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expenses relating to the registration and ongoing regulatory and compliance obligations (including legal fees, costs and expenses, regulatory filing or other expenses of the Fund, a master fund, their subsidiaries, a general partner or Deer Park, including Form PF, commodity pool operator (CPO) and commodity trading advisor (CTA) filings and any compliance or filings related to the European Union Alternative Investment Fund Managers Directive but not including Deer Park’s Form ADV filings);

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costs relating to the termination, winding-up and dissolution of the Fund, a master fund or any subsidiary thereof;

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other similar expenses related to the Fund, a master fund or any subsidiary thereof and all other normal operating expenses incurred by the Fund or any subsidiary thereof; and

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all extraordinary expenses (e.g., litigation expenses, costs or damages and indemnification obligations).

Deer Park (and any affiliate thereof) will be entitled to reimbursement from a Fund or any subsidiary thereof for any operating expenses or organizational expenses paid by such party on behalf of such Fund or any such subsidiary. The expenses of the Funds may be borne by any Fund or master fund and will generally be apportioned between onshore feeders and offshore feeders (if applicable) based on the relative capitalization of each or as otherwise determined by the Adviser or its Affiliate in good faith. However, if a certain Fund or master fund cost or expense relates solely to the onshore feeder or the offshore feeder, then Deer Park may, but is under no obligation to, allocate such cost or expense solely to the applicable feeder. Costs and expenses attributable to one or more limited partners, but not attributable to a Fund and any master fund as a whole, may in the Adviser’s or its Affiliates’ discretion be allocated only to the relevant limited partners. From time to time, a Fund will incur costs or expenses that are applicable to Deer Park or, the general partner or one or more other investment funds, client accounts, special purpose entities, co-investment vehicles, and other similar accounts that are sponsored, managed or advised, or may in the future be sponsored, managed or advised by the general partner, Deer Park or its or their respective affiliates. If an expense is properly allocable to more than one client of Deer Park, then the expense will be allocated in a manner that Deer Park deems to be fair and reasonable, depending on the circumstance of the expense and how it relates to such Fund and the other clients. Please refer to the applicable Fund’s Governing Documents for a detailed listing of the types of expenses that may be allocated to such Fund. Please also see “Item 12 – Brokerage Practices” below for additional information regarding Deer Park’s broker selection policies.

Additionally, Performance Allocation arrangements may create an incentive for the Adviser or its Affiliates to make investments that are riskier or more speculative than would otherwise be the case if such an arrangement were not in effect, particularly in any period after losses have been suffered since losses from prior periods must be recovered before any Performance Allocation is payable. The Adviser may also invest more heavily in one of its Funds than in others, which may also serve as an incentive to favor one Client over another. Management Fees for certain Clients that are higher than others may create similar incentives. Additionally, while the other Private Funds will not purchase the same assets as those purchased by a certain Private Fund (residential homes), they do purchase and hold shares in companies that provide essential services to such Private Fund. These holdings create conflicts of interest between the Private Funds, the Adviser, and the Adviser’s Affiliates. The Adviser has adopted and implemented policies and procedures intended to address conflicts of interest. Performance Allocations may create an incentive for Deer Park to make investments that are riskier or more speculative than would be the case if a performance-based compensation arrangement were not in effect. Due to the method of calculating the Performance Allocation for any Fund, compensation of Deer Park may be affected by the timing of dispositions and other factors that will be within the control of Deer Park or one of its Affiliates. Deer Park or its Affiliates operate multiple lines of business and engage in a wide variety of business transactions and business ventures. Deer Park has invested the assets of Client portfolios in companies, entities and other investments in which Deer Park or its Affiliates (including proprietary accounts set up for principals of Deer Park or its Affiliates) hold a financial interest or derive other financial benefits, and Clients may make such investments at a different price, on different terms or with different conditions than Deer Park or its Affiliates. Deer Park has previously recommended, and will under circumstances appropriate for each Client, recommend that Clients purchase or sell an investment that is being sold or purchased, respectively, at the same time by Deer Park or an Affiliate. Under such circumstances Deer Park will have conflicts of interest in effecting transactions for its Clients, including transactions in which Deer Park or certain of its Affiliates may have a greater financial interest than their financial interest in a Fund.

Allocation Policy In general, the decision to aggregate and allocate investments among Clients, or to source and execute trades separately for any one Client, will be made on a fair and equitable basis. The effect of these activities may, however, operate to the advantage or disadvantage of any specific Client. For example, if the Adviser decides to purchase securities in a block trade for more than one Client, but there is not a quantity of the security available in the market sufficient to satisfy the investment amount desired for each Client, then each Client will be allocated less of the security or pay a higher price than if it had acted alone. In this circumstance, the Adviser may not be able to execute an investment decision for each Client as effectively as it could have if it acted on behalf of each Client alone. The Adviser may also execute trades that are not aggregated but rather are executed for one Client even where such security is suitable for other Clients. This may occur when the portfolio managers of one Client source a bond that is illiquid or not available in sufficient quantity to allocate to other Clients, when existing positions of the other Clients are being added to, when a Client does not have sufficient cash to participate in a minimum size, or in other circumstances. There may be a conflict of interest in the allocation of investment opportunities among Clients, including proprietary accounts and other investment vehicles managed currently or in the future by the Adviser. The Adviser, its employees, and its Affiliates manage Clients that may have investment objectives, programs, strategies and positions substantially similar to or in conflict with those of other Clients, or that may compete with or have interests adverse to other Clients. Such conflicts could affect the prices and availability of securities in which each Client is invested. In addition, the Adviser may, because of differing investment objectives, programs, strategies or other factors, cause Clients to take different and even opposite positions in a particular security or other transaction or take different positions within an issuer’s capital structure, or may give advice or take action with respect to the investments held by, and transactions of, a Client that may differ from the advice given or the timing or nature of any action taken with respect to the investments held by, and transactions of, another Client due to a variety of reasons, including, without limitation, differences between the recommendations or research of the portfolio managers of the Client and the portfolio managers of the other Client, or differences between the investment strategy, financing terms, regulatory treatment and tax treatment of one Client and other Clients. The ability to allocate a portion of a trade to a proprietary investment vehicle creates a conflict of interest for the Adviser in that the Adviser will profit disproportionally if the trade is profitable. In order to mitigate this risk, the Adviser has instituted policies and procedures to safeguard against unfair allocations. These procedures include a requirement that the portfolio manager ensure that Clients participating in a bulk trade with a proprietary account receive a full allotment before the proprietary account receives an allocation.

In some cases, participation in specific opportunities may be appropriate, at times, for one or more Clients that may or may not have similar trading objectives. In such cases, the Adviser may have conflicts of interest with respect to the allocation of investments among the Clients, as well as the aggregation of trade orders, where the Adviser, to the extent legally permissible, is authorized to combine purchase or sale orders on behalf of a Client together with orders on behalf of other Clients managed by the Adviser or any of its Affiliates. To address this conflict of interest and minimize potential adverse effects to Clients, the Adviser has adopted policies and procedures regarding allocations of trades. Pursuant to these policies and procedures, each of the Adviser’s portfolio managers, associate portfolio managers and senior analysts (collectively, the “Traders” and individually, a “Trader”) with responsibility for one or more Clients may, in his or her discretion, share information and source and execute trades jointly or may source and execute trades separately, each for Clients for which such Trader has responsibility. Similarly, each Trader may, in his or her discretion, execute block trades for multiple Clients over which such Trader has responsibility or for one Client and not others. The decision to aggregate trades or place a particular security in one Client and not in another will be based on a number of factors, including but not limited to: which Trader sourced the trade, different investment guidelines or yield targets, different cash positions, expected cash flows, expected withdrawals and capital contributions, existing positions in the subject security, or risk parameters and sizing constraints. Accordingly, each Client may have substantially different portfolios and investment returns as compared to any other Client. The Adviser and each of its Traders will have no obligation to purchase or sell a security for, enter into a transaction on behalf of, or provide an investment opportunity to any Client solely because the Adviser or its Traders purchase or sell the same security for another Client. This may occur where such security or transaction is sourced or recommended by the portfolio managers of one Client and such recommendation is not allocated to another Client. Similarly, the portfolio managers with responsibility for a Client may source or recommend a security or transaction that is not allocated to other Clients. This may also occur if the security or transaction does not appear to be suitable, practicable or desirable for any specific Client. Conflicts of interest may also arise when the Adviser makes decisions on behalf of a Client with respect to matters where the interests of the Adviser or one or more Clients differs from the interests of a Client in which the Adviser or an Affiliate holds an interest. The Adviser may cause Clients to purchase the same securities but at different times for several reasons. Because some Clients may have a different hold period target than other Clients, their analysis and confirmatory due diligence may take longer or be shorter than that of another Client. It is often not possible to determine in the early stages of analysis the correct allocations among different Clients, and follow-on allocations may substantially differ at times. Also, different Clients may have a tendency to sell during general market downturns (during which other Clients might be buying the same securities, because of differing investment goals). In some cases, a Client may pay a higher price for certain securities than those of other Clients.

The Adviser has in the past been aware, and in the future may become aware, of business opportunities in which a Client has not or will not be given an opportunity to participate. The Adviser may refer such business opportunities to its Affiliates or others and may receive a commission or other compensation in connection therewith. In certain cases, Clients may be competing for scarce or illiquid securities. For example, a Trader of one Client and the Trader of another Client may identify desirable but otherwise scarce or illiquid portfolio investments and purchase those securities for one or the other Client. In this case, a Client may not have the opportunity to purchase that specific security for its portfolio. The Adviser also manages three proprietary accounts that invest in securities that are also purchased or held by a Client. This creates the potential that the Adviser will seek to allocate to itself a security that it believes will be profitable, which could disadvantage Clients. As described above, the Adviser has instituted reasonably designed policies and procedures to mitigate these conflicts of interest. Side Letters In Private Funds, side letters or agreements with specific investors may be reached under which such investors may be granted preferential fee or liquidity terms, or other terms of such Private Fund may be waived or modified. Additionally, terms and conditions of Private Funds that are “funds of one” have been directly negotiated with the applicable investor. As a result, certain investors obtain additional benefits which other investors will not receive. Since a fund of one invests in many of the same securities as other Private Funds, there is the possibility that a fund of one could liquidate its holdings ahead of other Clients of the Adviser. Except as required by applicable law, in general, notification of other investors of such arrangements is not required nor is the Private Fund required to offer such additional and/or different rights and/or terms to any or all of the other investors.

With respect to the Private Funds, limited partnership interests in any domestic limited partnerships are offered on a private placement basis, and in reliance on Section 3(c)(7) of the 1940 Act, to persons who generally are “accredited investors” as defined under the 1933 Act, and “qualified purchasers” as defined under the 1940 Act, and who are subject to certain other conditions that are set forth in the offering documents for the applicable Fund. Shares in offshore Funds are generally offered to persons (x) who are not “U.S. Persons” as defined under Regulation S of the 1933 Act, or who are tax-exempt U.S. Persons (or entities substantially comprised of tax-exempt U.S. Persons) on a private placement basis and in reliance on Section 3(c)(7) as described above; and (y) who are subject to certain other conditions that are set forth in the offering documents for the applicable Private Funds. Investors in the Private Funds include some or all of the following: institutional investors, pension and profit-sharing plans, trusts, estates, charitable organizations, high net worth individuals, corporations or business entities other than those listed previously, private investment funds or other entities. Certain of the Private Funds are structured as standalone private investment vehicles, each for a single institutional investor. The mutual fund is registered under the 1940 Act and the 1933 Act. The mutual fund is advised by advisers that are not affiliated with Deer Park. These unaffiliated advisers contract with Deer Park to manage the investments of the mutual fund as a sub-adviser. The Adviser may manage separate accounts for institutional advisers from time to time.

These investments generally present a higher risk of default than securities rated as investment grade, but which the Adviser believes are undervalued. By using proprietary fundamental analysis and modeling key variables, the Adviser seeks investments expected to provide steady and substantial cash flows. The Adviser’s Risk Management Committee is part of the investment oversight process and is charged with identifying, assessing, monitoring and mitigating trading and investment risks. The Risk Management Committee sets hedging parameters for the portfolios, and therefore its decisions will impact the instruments used, and the extent to which they are used for hedging purposes in any portfolios managed by the Adviser. The Adviser will typically invest in fixed and floating rate securities, and securities that bear no interest. Investments include, among other permitted investments, deep value, high cash flow, short duration RMBS. The Adviser invests without restriction as to issuer capitalization, country, credit quality and maturity (for fixed income securities). The Adviser invests in discounted and deeply discounted, asset-backed debt, predominately backed by real estate, which the Adviser anticipates will provide steady and substantial cash flows. Although the Adviser actively trades Client portfolios on an opportunistic basis, the Adviser’s philosophy is based on buying securities that the Adviser is comfortable holding to term. The Adviser focuses on investing in securities backed by real estate or mortgages but will also take significant positions in equity and exchange-traded fund (“ETF”) securities (some of which are backed by gold, silver and/or mining companies), debt securities backed by corporate credit, derivatives and securities backed by other collateral, including, but not limited to, automobiles, boats, planes and credit cards. Investors in the mutual fund have the option to redeem their investments on a daily basis, while Private Fund interest holders have more limited redemption terms. Securities purchased for Private Funds are likely to have more limited liquidity characteristics than the mutual fund. The Adviser seeks to drive portfolio returns through fundamental analysis and security selection. However, depending on Client guidelines and regulatory restrictions, the Adviser will incur leverage from time to time for the purpose of enhancing returns or hedging against

volatility in Client portfolios. Leverage is defined differently for each Fund according to the terms of the governing documents for each Fund. Although the Adviser primarily follows a buy and hold approach to sourcing and managing the securities in the portfolios, the Adviser also uses a number of other investment strategies and techniques depending on market conditions and Client restrictions, including, without limitation, hedging, directional allocation, credit default swaps, shortterm trading and other investment techniques and strategies to capitalize on market movements. The Adviser takes long positions and short positions in portfolio securities. The Adviser also takes long or short positions in derivative instruments such as credit default swaps and options for hedging and speculative purposes. Current income is not a significant criterion in the selection of most investments, but the Adviser attempts to generate cash flow (including both the payment of interest and return of principal) each month. The Adviser will follow a general policy of seeking to spread a Fund’s capital among a number of investments; however, each Fund’s portfolio will not necessarily be diversified within the spectrum of investments described above. A Fund will not utilize a set formula to determine how its assets are allocated among different classes of investments. Through a certain Private Fund, the Adviser aims to identify potentially attractive investment opportunities in the single family residential real estate market by purchasing and offering properties to rent. In this section, the term “Adviser” is used in reference to activities undertaken by the Adviser on behalf of its Clients, including their underlying investors. The risks undertaken by the Adviser should be read to include risks undertaken by each investor in the Adviser’s products except where indicated otherwise. GENERAL RISKS General. Neither the Adviser nor any of its Affiliates makes any guarantee or representation that the Funds’ investment objectives will be achieved or that their investment approaches will be successful. As is true of any investment, there is a risk that an investment in a Fund will be lost entirely or in part. In particular, there is a risk that the Funds may be wound up earlier than anticipated if they fail to meet their investment objectives or for any other reason in the discretion of the respective general partners. Overall Investment Risk. All securities investments risk the loss of capital. The nature of the securities to be purchased and traded by the Adviser and the investment techniques and strategies to be employed in an effort to increase profits may increase this risk. Many unforeseeable events, including but not limited to actions by government agencies and domestic and international political events, may cause sharp market fluctuations. Investors must be able to sustain substantial or total losses on the value of their investment.

Interest Rate Risk. A change in interest rates can have a significant effect on any portfolio of fixed income assets. To the extent that the cash flow from a fixed income security is known in advance, the present value (i.e., discounted value) of that cash flow decreases as interest rates increase; to the extent that the cash flow is contingent, the dollar value of the payment may be linked to then-prevailing interest rates. RMBS may react very differently from other fixed income securities: their durations can vary dramatically as interest rates move, making them more difficult to hedge, and some may be “negatively convex,” meaning that price increases may be limited in relation to price declines. Some securities can have unusually high durations (rising dramatically in price when rates fall, and falling dramatically in price when rates rise); others can have highly negative durations (falling dramatically in price when rates fall, and rising dramatically in price when rates rise). For example, most RMBS, especially most fixed-rate RMBS and most RMBS backed by fixed rate mortgage loans, decline in value when long-term interest rates increase. Even in the case of agency RMBS, the guarantees provided by government-sponsored enterprises do not protect a Fund from declines in market value caused by changes in interest rates. In the case of RMBS backed by adjustable rate mortgages (“ARMs”), increases in interest rates can lead to increases in delinquencies and defaults as borrowers become less able to make their mortgage payments following interest payment resets. At the same time, an increase in short-term interest rates would increase the amount of interest owed on a Fund’s reverse repurchase agreements. Conversely, during periods of low interest rates, borrowers are likely to refinance their existing loans. This typically results in increased prepayments, which could result in a Fund receiving payments of principal of its RMBS investments earlier than anticipated, and the Fund may not be able to reinvest those funds in investments with similar yields. In addition, RMBS investments may be structured to use interest rate hedges and other financing techniques to reduce the risk of interest rate mismatches and exposures. This typically exposes the RMBS issuer to counterparty risk as well as to the risk that the hedging strategy or other financing technique is ineffective. If a swap counterparty defaults and cannot be replaced, amounts available to make payments on the related RMBS may be reduced (including as the result of a termination payment payable to the counterparty, if applicable), and the issuer may not have sufficient available funds on distribution dates to make required payments of interest or principal on RMBS. Likewise, if the hedging strategy is ineffective, the issuer may not have sufficient available funds on distribution dates to make required payments of interest or principal on RMBS. In particular during periods of changing interest rates, a failed hedging strategy with respect to an RMBS investment by a Fund, whether due to ineffectiveness or a counterparty default, could cause a Fund’s business to be materially and adversely affected or result in significant losses for a Fund. Custody Risk. Institutions, such as brokerage firms, banks and broker-dealers, generally have custody of portfolio assets managed by the Adviser and often hold such assets in “street name.” The Adviser is subject to the risk that these firms and other brokers, counterparties or clearinghouses with which it deals may default on their obligations. Any default by any of such parties could result in material losses to the investor. Bankruptcy or

fraud at one of these institutions could also impair the operational capabilities or the capital position of the Adviser. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of the Adviser, causing the Adviser to be exposed to a credit risk with regard to such parties. The Adviser generally will only be an unsecured creditor of its trading counterparties in the event of bankruptcy or administration of such counterparties. In some jurisdictions, the Adviser may also only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Adviser attempts to limit its brokerage and custody transactions to wellcapitalized and established banks and brokerage firms in an effort to mitigate such risks, but the collapse in 2008 of the seemingly well-capitalized and established banks demonstrates the limits on the effectiveness of this approach in avoiding counterparty losses. Cybersecurity Risk. The Adviser’s information and technology systems may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons and security breaches, usage errors by its respective professionals, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. The Adviser has implemented various measures to manage risks relating to these types of events. The failures of these systems or the disaster recovery plan for any reason could cause significant interruptions in the Adviser’s operations and result in a failure to maintain the security, confidentiality, or privacy of sensitive data, including private information relating to Clients. Such a failure could harm the Adviser’s reputation or subject it or its affiliates to legal claims and otherwise affect their business and financial performance. Additionally, any failure of the Adviser’s information, technology or security systems could have an adverse impact on its ability to manage the Fund. The Funds depend on the Adviser to develop and implement appropriate systems for their activities. The Funds will rely extensively on computer programs and systems to conduct their investment business. In addition, certain operations will interface with or depend on systems operated by third parties, and the Funds or the Adviser may not be in a position to verify the risks or reliability of such third-party systems. These programs or systems may be subject to certain defects, failures or interruptions. Any such defect, failure or interruption could have a material adverse effect on the Funds. The Adviser and any service providers hired by the Adviser to provide services to Clients, including counterparties and electronic communication networks, are susceptible to operational and information security risks. While third-party service providers have procedures in place with respect to information security, their technologies may become the target of cyberattacks or information security breaches that could result in the unauthorized gathering, monitoring, release, misuse, loss or destruction of the Adviser’s or the Funds’ confidential and other information, or otherwise disrupt the operations of the Funds or those of any third-party service providers. Disruptions or failures in the physical infrastructure or operating systems that third-party service providers, or cyberattacks or

security breaches of the networks, systems, or devices that third-party service providers use to service the Adviser’s or the Funds’ operations, could disrupt and impact the service providers’ and the Adviser’s or the Funds’ operations, potentially resulting in financial losses, the inability to process transactions, inability to calculate valuations, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. The thirdparty service providers’ policies and procedures with respect to information security have been established to seek to identify and mitigate the types of risk to which the Adviser, the Funds, and the third-party service providers are subject. As with any risk management system, there are inherent limitations to these policies and procedures as there may exist, or develop in the future, risks that have not been anticipated or identified. There can be no assurance that the Adviser, the Funds or the third-party service providers will not suffer losses relating to cyberattacks or other information security breaches in the future. Inflation. Inflation and rapid fluctuations in inflation rates, as has recently occurred in the U.S., have had in the past, and may in the future have, negative effects on economies and financial markets. Wage and price controls have been imposed at times in certain countries in an attempt to control inflation, which could significantly affect the operation of the issuers of securities or other investments in which the Funds invest. Governmental efforts to curb inflation often have negative effects on the level of economic activity. As such, inflation and rapid fluctuations in inflation rates can adversely affect the financial performance of the Funds. In addition, the market value of the Funds’ investments may decline in times of higher inflation rates given that the most commonly used methodologies for valuing investments (e.g., discounted cash flow analysis) are sensitive to rising inflation and real interest rates. There can be no assurance that inflation will not continue to be a serious problem and have an adverse impact on the performance of Funds and their investments. Were significant inflation to continue, the effect on the Adviser’s strategy could be materially adverse. INVESTMENT RELATED RISKS Long-Term Investments. Even if the Funds’ investments prove successful, they may not produce a realized return to investors in excess of their cost basis for a number of years. General Credit Market Risks. The Funds attempt to take advantage of dislocations in the credit markets stemming from a number of factors, including uncertainty with regard to the level and timing of delinquencies and losses on many types of mortgage loans. If the cash flows on the loans underlying RMBS or CMBS are not realized according to the Adviser’s expectations due to defaults on the underlying assets, the Funds’ strategy will fail. The identification of attractive investment opportunities in credit markets is difficult and involves a significant degree of uncertainty. The credit markets, and the RMBS and CMBS markets in particular, are, in general, highly susceptible to interest-rate movements, government interference, economic news and investor sentiment. The Funds’ profit potential may be adversely impacted by increases in market volatility.

General Real Estate Considerations. Transactions in the real estate sector are subject to varying degrees of risk. Values are affected by a number of factors, including changes in the general economic climate, local conditions (such as an oversupply of space or a reduction in demand for space), the quality of management, competition based on rental rates, attractiveness and location of the properties, financial condition of tenants, buyers and sellers of properties, quality of property maintenance, insurance and management services and changes in operating costs. Values are also affected by such factors as government regulations (including those governing usage, improvements, zoning and taxes), interest rate levels and the availability of financing and potential liability under changing environmental and other laws. While direct real estate investment is not intended to be the focus of the Adviser, these factors may influence the value of the real estate underlying the securities in which the Adviser invests. Debt Securities in General. Debt securities in general are subject to interest rate, market and credit risk. Interest rate risk relates to changes in a security’s value as a result of changes in interest rates generally. The prices of fixed-income securities are inversely affected by changes in interest rates. In general, the values of fixed-income securities increase when prevailing interest rates fall and decrease when interest rates rise. If held to maturity, the market value fluctuations of such securities during their term will not affect the ultimate return realized, but nevertheless incur the opportunity costs of allocating capital to fixed-income securities without obtaining any more than a market interest rate. Because they incorporate a resetting of interest rates, adjustable rate securities are less likely than fixed-income securities of comparable quality and maturity to increase or decrease significantly in value when market interest rates fall or rise, respectively. Market risk relates to the changes in interest rates as well as perception as to the credit strategy of a particular issuer or type of security. Credit risk relates to the ability of the issuer to make payments of principal and interest. The values of income securities may be affected by changes in the credit rating or financial condition of the issuing entities. Income securities denominated in foreign currencies are also subject to the risk of a decline in the value of the denominating currency relative to the U.S. dollar. The RMBS and MBS in which the Funds invest may trade at a significant discount to their principal as well as to the price at which the Funds acquired such securities. Additionally, the Funds may take positions in debt securities which rank junior to other outstanding securities and obligations of an issuer, all or a significant portion of which may be secured on substantially all of that issuer’s assets. The Funds may take positions in debt securities which are not protected by financial covenants or limitations on additional indebtedness. In addition, evaluating credit risk for debt securities of issuers in some jurisdictions involves uncertainty because credit rating agencies throughout the world have different standards, making comparison across countries difficult. Developments in Asset-Backed and Mortgage Credit Markets. Asset-backed and mortgage credit market illiquidity may make the analysis of issuer and servicer credit18

worthiness problematic. For example, many highly rated issuers depend on the assetbacked and mortgage credit markets to finance their longer-term debt obligations at shortterm rates. Ordinarily, this is a routine and ongoing refinancing process. However, during the Financial Crisis poor performance of subprime home equity loans and other asset-backed securities led to market turmoil and resulted in price volatility and ratings downgrades, a situation which may recur. As such, the credit worthiness and viability of the servicers of such mortgages are significant risks, and it is difficult if not impossible to predict the default rates on the assets underlying RMBS and MBS acquired by the Funds. Illiquidity and unpredictability in these markets make it difficult to determine whether such servicers have sufficient capital and adequate staffing levels to fulfill their servicing obligations and the extent to which such servicers are subject to regulatory risks and risk of error. A credit event or other failure by a servicer could result in losses to the Funds. Reliance on Mortgage Underwriters and Servicers. The likelihood of RMBS or MBS being paid is based entirely on payments being made on the underlying mortgages (the default rate) and the loss severity rate on foreclosed mortgages. The quality of the servicing, which will include modifying underlying mortgages in an effort to rehabilitate and resell them as well as foreclosing on the underlying collateral, can materially affect the amounts due on the Funds’ investments, and the performance of the Funds. The Adviser must rely on third parties to service the mortgages underlying the RMBS and MBS held by the Funds, and the Adviser will have no control over such services. Fund-Level Liquidity Risk. Liquidity risk exists when particular investments would be difficult to purchase or sell, possibly preventing the Adviser from selling such illiquid securities at an advantageous time or price, or possibly disposing of other investments at unfavorable times or prices in order to satisfy its requests for redemptions from investors. Investors may not be able to dispose of their interests except by means of the redemption privilege and may, in certain circumstances, receive securities rather than cash in exchange for their interests. Redemptions may be subject to an overall limit of the investor’s investment in a Fund on any redemption date, and redemptions are subject to additional restrictions as set forth in the offering documents of the applicable Fund. Additionally, certain classes of investors in a Fund may have greater or different redemption privileges than others and investors may have different redemption and liquidity terms than other investors in the same or different Funds, and therefore, in times of market stress and otherwise, such investor or investors would be able to redeem their interests at times when others cannot. Illiquidity of Investments. Certain investments typically will be assets or instruments for which no (or only a limited) liquid market exists or that are subject to legal or other restrictions on transfer. Lack of liquidity can make it difficult or impossible for a Fund to purchase or sell securities or other assets at desired prices or in desired quantities, as a result of which, among other things, it may be economically unfeasible for a Fund to recognize profits on open positions or to close out open positions against which the market is moving. In such instances, sales of illiquid instruments might only be possible at a

substantial discount. In addition, such instruments would be difficult to value, and illiquidity could disconnect market values from the historical pricing indicators used in a Fund’s investment analysis and determination of fair value pricing for NAV, as the fewer transactions that take place the greater the risk of market values not reflecting true pricing relationships or fair value. Many of the securities in which a Fund invests will be illiquid and not traded in any public market. Moreover, issuers whose securities are not publicly-traded may not be subject to public disclosure and other investor protection requirements applicable to publicly-traded securities. In addition, in times of extreme market disruption, there may be no market at all for one or more asset classes, potentially resulting in the inability to dispose of its assets for an indefinite period of time. The Funds primarily invest in unlisted or unregistered securities. Because of the absence of any substantial trading market for these investments and, as to unregistered securities, the imposition of restrictions on resale, the Funds might take longer to liquidate these positions than would be the case for publicly-traded securities and may not be able to do so at favorable prices or at the price at which the Funds carry the investment. Even though these securities may be resold in privately negotiated transactions, the prices on these sales could be less than those originally paid by the Funds. Moreover, the prices on these sales may be more or less than the most recent price at which the security was marked. Lack of an Active Trading Market. The discount rate used to calculate value is derived from trades executed under normal market conditions in the security to be priced or securities that are similar to the security in structure or issue date or both. However, trades in these securities occur infrequently, and, when they occur, execution prices may not be published widely to market participants, including the Funds. Moreover, many trades occur at prices that do not reflect normal market conditions. These may include sales by a distressed seller forced to liquidate its portfolio under duress, sales of small or odd lot securities where the price does not reflect what a round lot seller could expect to receive or other circumstances. The trading data used to determine the discount rate used in a pricing model is generally available to pricing agencies. However, the interpretation of this data and the motives for certain trades, whether they are under normal market conditions or executed under financial duress, may lead different market participants in general and different outside pricing services in specific to different conclusions about the discount rate to use in their pricing model. Different discount rates will lead different outside pricing sources to publish different prices for the same security as of the same date, in some cases significantly different. As a result, the value assigned to a security by the Funds may be less than or greater than the value that would have been assigned to such security had the Funds used a different outside pricing vendor. Leverage. The Funds may leverage their investments. Although the use of leverage may enhance returns and increase the number of investments that can be made, it may also substantially increase the risk of loss. Small hedging errors may be amplified by leverage into major duration imbalances that render a portfolio exposed to directional shifts in the

yield curve and may lead to a total loss of the leveraged investment. Hedges may fail to track target investments due to uncorrelated changes in spreads between various instruments, resulting in large, unexpected losses. Additionally, the debt financing the Funds anticipate obtaining will provide for mandatory repayments on the occurrence of certain events. The performance of the Funds will be adversely affected if the Fund has to make mandatory repayments at a time when alternative financing is not available or only available on unfavorable terms. The Funds may be required to sell investments at times it would not otherwise choose to do so in order to make mandatory repayments. However, the Funds seek to maintain excess borrowing capacity in order to avoid the occurrence of mandatory repayments and to provide liquidity in the event that certain assets become subject to such repayments. No restrictions have been imposed on the collateral and asset reuse arrangements that a Fund may employ as a means of reducing the cost of any counterparty providing leverage. A Fund may impose restrictions from time to time. Financing Arrangements; Availability of Credit. As the Funds utilize leverage, they depend on the availability of credit in order to finance their portfolios. There can be no assurance that the Funds 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 Funds 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. Investment-Grade and Non or Lower-Rated Securities. The Adviser invests in “high-yield” bonds and preferred securities which are rated in the lower rating categories by the various credit rating agencies or in comparable non-rated or unrated securities. Securities that are in the lower rating categories or unrated are subject to greater risk of loss of principal and interest than higher-rated securities and are generally considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal. They are also generally considered to be subject to greater risk than securities with higher ratings in the case of deterioration of general economic conditions. Because investors generally perceive that there are greater risks associated with the lower-rated or unrated securities, the yields and prices of such securities fluctuate more than those for higher-rated securities. The market for lower-rated or unrated securities is thinner and less active than that for higher-rated securities, which can adversely affect the prices at which these securities can be sold. In addition, adverse publicity, and investor perceptions about lowerrated or unrated securities, whether or not based on fundamental analysis, may be a contributing factor in a decrease in the value and liquidity of these securities.

Rating agencies may fail to make timely or accurate changes to credit ratings to reflect credit events occurring since a security was rated, so that outstanding ratings may not reflect the issuer’s current credit standing. Distressed Securities. Certain Funds purchase securities and other obligations of companies that are experiencing significant financial or business distress, including companies in weak and/or deteriorating financial condition, experiencing poor operating results, needing substantial capital investment, perhaps having negative net worth, facing special competitive or product obsolescence problems or involved in bankruptcy or other reorganization and liquidation proceedings. Although such purchases may result in significant returns, they involve a substantial degree of risk and may not show any return for a considerable period of time. In fact, many of these instruments ordinarily remain unpaid unless and until such companies reorganize and/or emerge from bankruptcy proceedings and, as a result, may have to be held for an extended period of time. The level of analytical sophistication, both financial and legal, necessary for successful investment in companies or sovereign issuers experiencing significant business and financial distress is unusually high. There is no assurance that the Adviser will correctly evaluate the nature and magnitude of the various factors that could affect the prospects for a successful reorganization or similar action. The completion of debt and/or equity exchange offers, restructurings, reorganizations, 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 certain Funds may decline sharply and result in losses which could have a material adverse effect on the performance of certain Funds. 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 certain Funds. Additionally, it is frequently difficult to obtain accurate information as to the condition of such entities. Securities issued by distressed companies or sovereign issuers may have a limited trading market, resulting in limited liquidity. As a result, certain Funds may have difficulties in valuing or liquidating positions. 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. Troubled company and other asset-based investments require active monitoring and may, at times, require participation in business strategy or reorganization proceedings by the Adviser. To the extent that the Adviser becomes involved in such proceedings, the Funds may have a more active participation in the affairs of the issuer than that assumed generally by an investor. In addition, involvement by the Adviser in an issuer’s reorganization proceedings could result in the imposition of restrictions limiting the Funds’ ability to liquidate their positions in issuers. Further, when trading distressed securities, litigation is

sometimes required. Such litigation can be time-consuming and expensive and can frequently lead to unpredicted delays or losses. “Principal Only” and “Interest Only” Securities. The Funds invest in derivative RMBS such as principal only securities (“POs”) and interest only securities (“IOs”) which are more exposed to mortgage repayments and which therefore generally involve a greater amount of risk than traditional debt securities. Small changes in the repayment rates can significantly impact the cash flow and the market value of these securities. The risk of faster than anticipated prepayments can significantly impact the cash flow and the market value of IOs. The risk of faster than anticipated prepayments generally adversely affects IOs, “super floaters” and premium priced RMBS. The risk of slower than anticipated prepayments generally adversely affects POs and floating-rate securities (subject to interest rate caps, support tranches and discount priced RMBS). Faster than anticipated prepayments threaten IOs with the risk that the underlying mortgages will be prepaid causing the IOs to cease paying any further interest and to become worthless. Slower than anticipated prepayments threaten POs with being outstanding for an unexpectedly long period and at an increasingly below-market interest rate. Inverse IOs, in addition to the aforementioned risks of traditional IOs, have coupon payments that vary inversely with short-term interest rates. Small rises in short-term interest rates may dramatically reduce or stop mortgage interest payments to these securities and thereby impair or extinguish their value. Pricing RMBS and other Structured Products. The Funds determine the fair value of all securities in their portfolios using various different techniques. The availability and practicality of valuation techniques and observable inputs can vary greatly from security to security and is affected by a wide variety of factors including, the type of security, size of the tranche outstanding and held by a Fund, availability of reliable trade information and other characteristics particular to the security. In many, but not all, instances, computer models (“Models”) are developed as an aid in determining valuation based on historical inputs, future projections and other market based data. Models are not, however, used to value all RMBS and MBS held by the Funds. RMBS and MBS positions may be priced by third party brokers or other outside pricing sources that may not run a Model in the manner described herein. Additionally, net asset value may be priced using the Adviser’s internal prices. The Adviser will generally not “model” all of the securities that it values because the securities may not have sufficient information available to make appropriate modeling assumptions, the securities may be too small or for other reasons. RMBS and MBS and other structured products are, however, often priced with the aid of sophisticated computer programs that predict the future cash flows of the security and discount those cash flows back to a net present value. The Models are developed to project the flow of cash into the deal from its collateral and out of the deal to its vendors and debtholders. In order to project the future cash flow, assumptions must be used to project

the performance of the collateral including defaults, delinquencies, foreclosure rate, loss severities and other variables. These assumptions are derived from a study of the past performance of the security (as released by the securities “trustee”) and from a study of the performance of securities similar in either structure or issue date or both. Once a cash flow is generated by the Model, a discount rate is used to calculate a net present value, which is then used to determine price and the market value of the security held by the portfolio. The discount rate is the rate of interest that the market uses to clear trades in the security or in securities that are similar to the security either in structure, issue date or both. The discount rate is determined by reviewing trades in both the subject security and similar securities executed in the relevant time frame and in relevant amounts under normal market circumstances. The data relating to the past performance of the collateral underlying the securities that is used to determine the assumptions that are used to run the pricing Models is available to all market participants for most RMBS and MBS held by the Funds. For these securities, there is a large amount of historical data available for the security and other securities of a similar character. However, while this data is “observable” within the meaning of Accounting Standards Codification Topic No. 820, market participants in general and outside pricing vendors in specific, will have differing views on the import of the data and may come to significantly different conclusions relating to the assumptions used in their Model. Different assumptions will lead different outside pricing sources to publish different prices for the same security as of the same date, in some cases significantly different. As a result, the value assigned to a security by the Funds may be less than or greater than the value that would have been assigned to such security had the Funds used a different outside pricing vendor. Investments Subject to Gapping Risk. Certain of the Funds’ investments may be subject to a material and abrupt adjustment to their valuation (a “gapping” net asset value) due to litigation with a binary outcome, changes in assumptions relating to the underlying collateral of the securities, macro-economic factors and other reasons. The outcome of litigation or other significant events is usually unpredictable, and such proceedings or actions may continue without resolution for long periods of time. While the market prices of such investments may be affected by the perceived change in probability of a certain outcome, until there is a final resolution, there is a material potential uncertainty in the net asset values as currently determined. Additionally, many of the Funds’ portfolio investments are generally sensitive to changes in the assumptions regarding performance of the pool of mortgages collateralizing the security in response to fundamental or macroeconomic factors. The change in these assumptions can unfold over long periods of time or can change suddenly over relatively short periods of time. Market participants may incorporate such changes slowly over time, or suddenly, over relatively short periods of time. When buyers and sellers incorporate such changes over short periods of time, there may potentially be a material and abrupt adjustment to net asset value that can also cause a “gapping” net asset value.

Asset-Backed Securities/Mortgage-Backed Securities. The Adviser invests primarily in MBS, a type of ABS, and other ABS. ABS, including MBS, are obligations or debt securities that entitle the holders thereof to receive payments that depend primarily on the cash flow from underlying financial assets. Holders of the ABS, including MBS, bear various risks, including credit risks, liquidity risks, interest rate risks, market risks, operations risks, structural risks and legal risks. In addition, concentration of ABS of a particular type, such as MBS, as well as concentrations of ABS issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject the investors to additional risk. Investing in MBS/ABS involves the general risks typically associated with investing in traditional fixed-income securities (including interest rate and credit risk), and certain additional risks and special considerations, including the risk of principal prepayment and defaults as well as the risk of investing in real estate and other asset-backed categories. MBS/ABS generally provide for the payment of interest and principal on the MBS/ABS on a frequent basis, and there also exists the possibility that principal may be prepaid at any time due to, among other reasons, prepayments on the underlying mortgage loans or other assets. As a result of prepayments, the Adviser may reinvest assets at an inopportune time, which may expose the Funds to a lower rate of return. The rate of prepayments on underlying mortgages or other assets affects the price and volatility of an MBS/ABS and may have the effect of shortening or extending the effective maturity beyond what was anticipated. Further, different types of MBS/ABS are subject to varying degrees of prepayment risk. The rate of principal payments on mortgage loans is influenced by a wide variety of economic, geographic, social and other factors, including general economic conditions, the level of prevailing interest rates, the availability of alternative financing and homeowner mobility. Finally, the risks of investing in such instruments reflect the risks of investing in real estate securing the underlying loans, including the effect of local and other economic conditions, the ability of tenants to make payments and the ability to attract and retain tenants. Increasing rates of delinquencies, foreclosures and other losses on mortgages could, in turn, adversely affect certain securities in which the Adviser invests. During periods of market disruption, investments in the credit markets have historically incurred, and are likely in the future to incur, major losses. Residential Mortgage-Backed Securities. The Funds’ portfolios will be concentrated in RMBS. Investing in RMBS involves the general risks typically associated with investing in traditional fixed-income securities (including interest rate and credit risk), as well as additional risks particular to the mortgages underlying such RMBS. RMBS generally provide for the payment of interest and principal on a monthly basis, and there also exists the possibility, particularly with respect to RMBS, that principal may be prepaid at any time due to, among other reasons, prepayments on the underlying mortgage loans or other assets. The rate of prepayments on underlying mortgages affects the price and volatility of RMBS and may have the effect of shortening or extending the effective maturity beyond what was anticipated. Further, different types of RMBS are subject to varying degrees of prepayment risk. Finally, the risks of investing in such instruments reflect the risks of investing in real estate securing the underlying loans, including the effect of local and other economic

conditions, the ability of tenants to make payments and the ability to attract and retain tenants. Prepayments of the mortgage loans underlying RMBS may be affected by any number of factors. In general, any factors that increase the attractiveness of selling a mortgaged property or refinancing a mortgage loan or enhance a borrower’s ability to sell or refinance, could be expected to cause the rate of prepayment in respect of such mortgage loans to accelerate. In addition, any factors that increase the likelihood of default under a mortgage loan or increase the likelihood of a foreclosure or other liquidation could be expected to cause the rate of prepayment in respect of such mortgage loans to accelerate. Portfolios of RMBS may be backed by residential mortgage loans located in only a few states or regions and be subject to geographic risks relating to such areas. In addition, there have been and continue to be severe disruptions in the mortgage market in the U.S. Many of the residential mortgages originated in recent years were sold to the capital markets through securitizations, resulting in the originators of these mortgages transferring the originators’ exposure to the credit risk of the mortgage borrowers to the investors in these securitizations. As a result, it is reasonable to assume that the originators could have financial incentives to maximize the amount of loans originated irrespective of the credit quality of the borrowers. The underwriting standards for “sub-prime” and “Alt-A” loans are more flexible than the standards generally used by lenders for borrowers with unblemished credit histories with regard to the borrower’s credit standing and repayment ability. Borrowers who qualify generally have impaired credit histories, which may include a record of major derogatory credit items such as outstanding judgments or prior bankruptcies. In addition, they may not have the documentation required to qualify for a standard mortgage loan. A sharp increase in the rate of delinquencies amongst subprime, Alt-A and some prime loans began in 2007 and contributed to the general crisis in the credit and general financial markets. A significant amount of RMBS continue to trade at prices that represent a substantial discount to their outstanding principal amount. The underwriting guidelines pursuant to which the RMBS were originated do not prohibit a borrower from obtaining, at the time of origination of the first-lien mortgage loan, additional financing which is subordinate to that first-lien mortgage loan. High loan-to-value ratios may make it more difficult for a borrower to make payments under the related mortgage loans. Historically, periods of falling U.S. housing values have been accompanied by widespread defaults on home mortgages and the related RMBS. In such cases, several residential mortgage loan originators have experienced serious financial difficulties and, in some cases, bankruptcy. Numerous laws, regulations and rules apply to the lenders and servicers of mortgage loans. Enforcement actions and other litigation have been brought against numerous mortgage lenders and servicers, resulting in materially increased restrictions on their activities and an

environment that may make it more difficult for creditors to collect or foreclose on mortgages in their portfolios. In addition, numerous laws, regulations and rules related to the servicing of mortgage loans, including foreclosure actions, have been proposed and/or enacted recently by federal, state and local governmental authorities, and certain major mortgage loan originators have recently voluntarily imposed moratoriums on foreclosures to reassess whether the foreclosure process has been properly followed. Such laws, regulations and rules, as well as voluntary foreclosure moratoriums, may delay the foreclosure process, reduce payments by borrowers or increase reimbursable servicing expenses, all of which are likely to result in delays and reductions in the payments on the RMBS to be made to the Funds. The Funds and other similarly-situated investors bear the risk that such, and future, developments will result in losses on their investments, whether due to delayed or reduced distributions or reduced market value. Moreover, the RMBS market has been historically opaque meaning that trades in RMBS are not widely reported or known by other market participants, including the Funds. Tranche size can be very small which means that few if any trades in a particular security may occur during a period in which the Funds must value the position for purposes of determining net asset value. Those trades that do occur may not be reliable indications of market activity because of the size of the trade, circumstances under which the trade was executed, or other reasons. This will create difficulty in valuing positions at any point in time. The Adviser will use its best judgment in pricing securities and reviewing the pricing of independent third party pricing sources. It is possible, however, that valuations could be higher or lower than those used to determine net asset value or those ultimately received in a sale of the security. During periods of market disruption, investments in the credit markets have historically incurred, and are likely in the future to incur, major losses. Commercial Mortgage-Backed Securities. CMBS represent interests in (or are secured by) commercial mortgage loans. CMBS are directly affected by payments, defaults and losses on the underlying commercial mortgage loans. Mortgage loans on commercial properties often are structured so that a substantial portion of the loan principal is not amortized over the loan term but rather is payable at maturity (as a “balloon payment”). Consequently, repayment of the loan principal often depends upon the future availability of refinancing from existing or alternative lenders and/or upon the current value and salability of the real estate. Commercial mortgage loans underlying CMBS are generally secured by income producing property, such as multi-family housing or commercial property. The ability of a borrower to repay a loan secured by an income producing property typically depends primarily upon the successful operation of the property rather than upon the existence of independent income or assets of the borrower. In the case of certain commercial mortgage loans, repayment of loans secured by commercial and multi-family properties depends upon the ability of the related real estate project to generate income sufficient to pay debt service, operating expenses and leasing commissions and to make necessary repairs, tenant improvements

and capital improvements, and in the case of loans that do not fully amortize over their terms, to retain sufficient value to permit the borrower to pay off the loan at maturity through a sale or refinancing of the mortgaged property. In general, incremental risks of delinquency, foreclosure and loss with respect to an underlying commercial mortgage loan pool may be greater than those associated with residential mortgage loan pools. CMBS may be backed by an underlying mortgage pool of only a few mortgage loans. Commercial real estate lending generally is viewed as exposing a lender (and the related CMBS) to a greater risk of loss than certain other forms of lending because it typically involves making larger loans to single borrowers or groups of related borrowers. Commercial mortgage-backed transactions resemble traditional non-recourse secured loans. The value of the income producing property underlying CMBS is directly related to the net operating income derived from such property. If a commercial mortgage loan is in default, foreclosure on such commercial mortgage loan is usually a lengthy and difficult process and may involve significant expenses. Furthermore, the market for defaulted commercial mortgage loans or foreclosed properties is very limited. Additional risks may be presented by the type and use of the particular commercial property underlying the CMBS acquired. Many of such properties are regulated or subject to contractual arrangements which could be terminated, in each case, substantially reducing the value of the property. A commercial property may not be readily convertible to an alternative use if the operation of such property for its original purpose becomes unprofitable. CMBS purchased by the Adviser may from time to time be backed by mortgage loans with disproportionately large aggregate principal amounts secured by properties in only a few states or regions. Such CMBS are highly susceptible to geographic as well as overall market risk. Certain of the mortgage loans underlying the CMBS are made to borrowers organized outside of the United States and/or secured by property located outside the United States. The bankruptcy and foreclosure procedures under the laws of such countries may be materially less protective of the CMBS holder than those applicable in the United States. Most commercial mortgage loans underlying CMBS are effectively nonrecourse obligations of the borrower, meaning that there is no recourse against the borrower’s assets other than the collateral. If borrowers are not able or willing to refinance or dispose of encumbered property to pay the principal and interest owed on such mortgage loans, payments on the subordinated classes of the related CMBS are likely to be adversely affected. The ultimate extent of the loss, if any, to the subordinated classes of CMBS may only be determined after a negotiated discounted settlement, restructuring or sale of the mortgage note, or the foreclosure (or deed-in-lieu of foreclosure) of the mortgage encumbering the property and

subsequent liquidation of the property. Foreclosure can be costly and delayed by litigation and/or bankruptcy. Factors such as the property’s location, the legal status of title to the property, its physical condition and financial performance, environmental risks and governmental disclosure requirements with respect to the condition of the property may make a third-party unwilling to purchase the property at a foreclosure sale or to pay a price sufficient to satisfy the obligations with respect to the related CMBS. Revenues from the assets underlying such CMBS may be retained by the borrower, and the return on investment may be used to make payments to others, maintain insurance coverage, pay taxes or pay maintenance costs. Such diverted revenue is generally not recoverable without a court-appointed receiver to control collateral cash flow. Certain of the risks described above under “Residential Mortgage-Backed Securities” above also apply to CMBS because of their impact on real estate, servicers and originators generally. Collateralized Loan Obligation Investment-Related Risks. The market value of collateralized loan obligations (“CLOs”) will generally fluctuate with, among other things, the financial condition of the obligors on the underlying debt obligations or, with respect to synthetic securities, of the obligors on or issuers of the reference obligations, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. Prospective investors must understand that certain investments (e.g., bank loans and highyield and mezzanine debt securities) may constitute all or a significant portion of the underlying securities held by a CLO, synthetic security or other investments and that CLOs are therefore subject to risks particular to such securities. CLOs are subject to credit, liquidity and interest rate risks. In particular, investment-grade CLOs will have greater liquidity risk than investment-grade governmental or corporate bonds. There is no established, liquid secondary market for many of the CLO securities the Adviser purchases. The lack of such an established, liquid secondary market may have an adverse effect on the market value of such CLO securities and the Adviser’s ability to sell them. Further, CLOs will be subject to certain transfer restrictions that will further restrict liquidity. Therefore, no assurance can be given that if the Adviser wished to dispose of a particular CLO, it could dispose of such an investment at the previously prevailing market price. In fact, the CLO market saw significant disruptions and reduced liquidity in the Financial Crisis and the Adviser expects to see further disruptions in this market. The performance of CLOs will be adversely affected by macroeconomic factors, including: (i) general economic conditions affecting capital markets and participants therein; (ii) economic downturns and uncertainties affecting economies and capital markets worldwide; (iii) the effects of, and disruptions and uncertainties resulting from, terrorist attacks; (iv) recent concern about financial performance, accounting and other issues relating to various publicly traded companies; (v) recent and proposed changes in

accounting and reporting standards and bankruptcy legislation; and (vi) legislative and regulatory actions by the U.S. federal government or any U.S. regulatory body. Synthetic Securities. A “Synthetic Security” is any derivative financial instrument with respect to a debt instrument, in the form of a swap transaction or other form of derivative purchased or entered into, by the Funds with or from a synthetic security counterparty, which investment contains similar probability of default, recovery upon default (or a specific percentage thereof) and expected loss characteristics as those of the related Reference Obligation (without taking account of such considerations as they relate to the counterparty), but which will contain maturity, interest rate and other non-credit characteristics that may be different from the Reference Obligation to which the credit risk of the Synthetic Security relates. “Reference Obligation” means a debt security or other obligation upon which a Synthetic Security is based. Exposure to such Reference Obligations through Synthetic Securities presents risks in addition to those resulting from direct purchases of the assets referenced. A Fund would have a contractual relationship only with the Synthetic Security counterparty, and not with the issuer(s) (the “Reference Obligor”) of the Reference Obligations unless a credit event occurs with respect to any such Reference Obligation, physical settlement applies and the Synthetic Security counterparty delivers the Reference Obligation to the Fund. Other than in the event of such delivery, a Fund generally would have no right directly to enforce compliance by the Reference Obligor with the terms of any such Reference Obligation and the Fund will not have any rights of set-off against the Reference Obligor. In addition, the Fund generally would not have any voting or other consensual rights of ownership with respect to the Reference Obligation. The Fund also would not directly benefit from any collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally be available to a holder of such Reference Obligation. The Fund would be subject to the credit risk of the Synthetic Security counterparty, as well as that of the Reference Obligor, as well as the documentation risk associated with these instruments. In the event of the insolvency of the Synthetic Security counterparty, the Fund would be treated as a general creditor of such counterparty, and will not have any claim of title with respect to the Reference Obligation. Consequently, the Fund would be subject to the credit risk of the Synthetic Security counterparty, as well as that of the Reference Obligor. As a result, concentrations of Synthetic Securities entered into with any one Synthetic Security counterparty will subject such Synthetic Securities to an additional degree of risk with respect to defaults by such Synthetic Security counterparty as well as by the respective Reference Obligors. While Deer Park expects that returns on a Synthetic Security may reflect those of each related Reference Obligation, as a result of the terms of the Synthetic Security and the assumption of the credit risk of the Synthetic Security counterparty, a Synthetic Security may have a different expected return, a different (and potentially greater) probability of default and different expected loss and recovery characteristics following a default.

Collateralized Debt Obligations. The market value of collateralized debt obligations (“CDOs”) fluctuates with, among other things, the financial conditions of the obligors on the underlying debt obligations or, with respect to Synthetic Securities, of the obligors on or issuers of the Reference Obligation, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. CDOs are subject to credit, liquidity and interest rate risks. There is no established, liquid secondary market for many CDO securities, and CDOs may be subject to certain transfer restrictions. The lack of such an established, liquid secondary market and the restrictions on transfer may have an adverse effect on the market value of such CDO securities and a market participant’s ability to sell them. For example, in recent years, the liquidity of many CDO securities has been substantially reduced compared to prior periods. No assurance can be given that, if a market participant were to dispose of a particular CDO it holds, it could dispose of such investment at the previously prevailing market price. The performance of CDOs will be adversely affected by macroeconomic factors, including (i) general economic conditions affecting capital markets and participants therein; (ii) the economic downturns and uncertainties affecting economies and capital markets worldwide; (iii) recent concern about financial performance, accounting and other issues relating to various publicly traded companies and (iv) recent and proposed changes in accounting and reporting standards and bankruptcy legislation. If a court in a lawsuit brought by an unpaid creditor or representative of creditors of a U.S. issuer of a CDO were to find that the issuer did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting the CDO and, after giving to such indebtedness, the issuer (i) was insolvent; (ii) was engaged in a business for which the remaining assets of such issuer constituted unreasonably small capital; or (iii) intended to incur, or believed that it could incur, debts beyond its ability to pay such debts as they matured, such court could determine to invalidate, in whole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the issuer or to recover amounts previously paid by the issuer in satisfaction of such indebtedness. In addition, in the event of the insolvency of an issuer of a CDO, payments made on such CDO could be subject to avoidance as a preference if made within a certain period of time (which may be as long as one year) before insolvency. In general, if payments on a CDO are voidable, whether as fraudulent conveyances or preferences, such payments can be recaptured. Short Sales. Short sales by the Adviser create opportunities but, at the same time, involve special risk considerations and may be considered a speculative technique. Short sales theoretically involve unlimited loss potential, as the market price of securities sold short may increase continuously, although the Adviser may mitigate such losses by replacing the securities sold short before the market price has increased significantly. Under adverse market conditions the Adviser 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 favor such sales. Short sales may be used with the intent of hedging against the risk of declines in the market value of the Adviser’s long portfolio, but there can be no assurance that such hedging operations will be successful. The U.S. government and certain non-U.S. jurisdictions have at times taken measures to impose restrictions on the ability of investors to enter into short sales, including a complete prohibition on taking short positions in respect of certain issuers. Such restrictions may negatively affect the ability of the Adviser to implement its strategies. It cannot be determined how future regulations may limit the Adviser’s ability to engage in short selling and how such limitations may impact performance. Hedging. For certain Clients, the Adviser may utilize financial instruments to hedge the interest rate on certain of the Funds’ liabilities or assets. The success of the Adviser’s hedging strategy will depend, in part, upon the Adviser’s ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the portfolio investments being hedged. Since the characteristics of many securities change as markets change or time passes, the success of the hedging strategy will also be subject to the Adviser’s ability to continually recalculate, readjust and execute hedges in an efficient and timely manner. While some Funds may enter into hedging transactions to seek to reduce risk, such transactions may result in a poorer overall performance for such Fund than if it had not engaged in such hedging transactions. For a variety of reasons, the Adviser may not seek to establish a perfect correlation between the hedging instruments utilized and the portfolio holdings being hedged. Such an imperfect correlation may prevent some Funds from achieving the intended hedge or expose such Fund to risk of loss. The Adviser may not hedge against a particular risk, including, without limitation, because it does not regard the probability of the risk occurring to be sufficiently high as to justify the cost of the hedge, or because it does not foresee the occurrence of the risk. The use of certain hedging strategies may also become difficult or impractical due to factors including, without limitation, increased hedging costs, reduced availability of hedging counterparties and reduced market liquidity. The successful utilization of hedging and risk management transactions requires skills complementary to those needed in the selection of the Fund’s portfolio holdings. Hedging also involves other risks, including the possible default by the counterparty to the transaction and illiquidity of an agreement in the event that the need arises to close the agreement before its forward date. With regard to the risk of failure or default by the counterparty to such a transaction, a Fund will have contractual remedies pursuant to the agreements related to the transaction (which may or may not be meaningful depending on the financial position of the defaulting counterparty). Foreign Currencies and Investments. The Funds may make investments outside the United States. With any investment in a foreign country, there exist certain economic, political and social risks that might not be found in a similar investment in the United States. The Funds’ assets generally are denominated in the currency of the jurisdiction in which

investments are located. Any fluctuation in currency exchange rates or costs of conversion and any changes in exchange control regulations will affect the value of investments in foreign assets. Moreover, a Fund may incur costs when converting from one currency to another. In addition, laws, regulations and conditions in foreign countries may impose restrictions or risks that would not exist in the United States and may require financing and structuring alternatives that differ from those customarily used in the United States. Foreign countries also may impose taxes on a Fund. As a general matter, investments in foreign countries pose numerous risks, some of which do not exist in the case of investments in the United States. The Adviser analyzes risks in the applicable foreign countries before making such investments, but no assurance can be given that a political or economic climate, or particular legal or regulatory risks, might not adversely affect an investment by a Fund. Credit Default Swap Agreements. The Adviser’s investment program includes credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event means bankruptcy, failure to pay or obligation acceleration. If a credit event occurs, the seller typically must pay the contingent payment to the buyer, which is typically the “par value” (full notional value less any recovery) of the reference obligation. The contingent payment may be a cash settlement or physical delivery of the reference obligation in return for payment of the face amount of the obligation. The Adviser may be either the buyer or seller in the transaction. If the Adviser is a buyer and no credit event occurs, the Adviser may lose its investment (or premium) and recover nothing. However, if a credit event occurs, the buyer typically receives full notional value less any recovery for a reference obligation that may have little or no value. As a seller, the Adviser receives a fixed rate of income throughout the term of the contract, which typically is between one month and five years, provided that no credit event occurs. If a credit event occurs, the seller may pay the buyer the full notional value less any recovery of the reference obligations. Credit default swaps involve greater risks than if the Adviser had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and credit risk. A buyer also may lose its investment and recover nothing should no credit event occur. If a credit event were to occur, the value of the reference obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value (less any recovery) it pays to the buyer, resulting in a loss of value. 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 Adviser’s ability to otherwise productively deploy any capital that is committed with respect to such contracts. Credit default swaps have synthetic leverage, meaning that their value is highly sensitive to changes in the value of the underlying debt. In other words, credit default swap values move

significantly more than traditional bond prices in response to credit market fluctuations. Accordingly, the disproportionate impact of the credit default swap exposure may cause the Adviser’s investment program to take on the profile of a much more highly leveraged investment program and change its focus from long credit to short derivative for a period of time. Because of the inherent synthetic leverage, a credit default swap position can amplify profits and losses and increase volatility. Options. The Adviser buys and sells (writes) both call options and put options on either a covered or an uncovered basis. The value of options is materially affected by market volatility. Specific market movements of the instruments underlying an option cannot accurately be predicted. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option, the strike price of the option and the price of the instrument underlying the option which the writer must purchase or deliver upon exercise of the option. Were the Adviser to incorrectly forecast near-term market volatility, substantial losses could be incurred on the options. The seller of an uncovered call option bears the risk of an increase in the market price of the underlying security above the exercise price, which risk is theoretically unlimited. OTC options also involve counterparty solvency risk. Futures Contracts. The Adviser may trade futures contracts, primarily for hedging purposes. Trading in futures contracts is a specialized activity that may entail greater than ordinary investment risks. Futures markets are volatile and are influenced by factors, such as changing supply and demand relationships, governmental programs and policies, national and international political and economic events and changes in interest rates. In addition, because of the low margin deposit normally required in futures trading, a high degree of embedded leverage is typical of a futures trading account. Consequently, a relatively small price movement in a futures contract may result in substantial losses to the Trader. Futures trading may also be illiquid because certain futures exchanges do not permit trading in a particular type of future beyond certain set limits. If prices fluctuate during a single day’s trading beyond those limits, which conditions have in the past sometimes lasted for several days in certain contracts, the Adviser could be prevented from promptly liquidating unfavorable positions and thus be subject to substantial losses. Forward Trading. The Adviser may enter into deliverable forward contracts for the trading of certain commodity interests, such as currencies, with U.S. and foreign banks. A forward contract is a contractual obligation to buy or sell a specified quantity of a commodity at or before a specified date in the future at a specified price and, therefore, is similar to a futures contract. However, deliverable forward contracts are not traded on exchanges and, as a result, are not afforded the regulatory protections provided by such exchanges; rather, banks and dealers act as principals in such markets. The CFTC regulates non-deliverable forwards (including many deliverable forwards where the parties do not take delivery). Changes in the forward markets may entail increased costs and result in burdensome reporting requirements. There are no limitations on daily price moves in such forward

contracts. The principals who deal in the forward contract market are not required to continue to make markets in such contracts. There have been periods during which certain participants in forward markets have refused to quote prices for forward contracts or have quoted prices with unusually wide spreads between the prices at which they are prepared to buy and those at which they are prepared to sell. With respect to foreign currency forward trading in particular, the imposition of credit controls by governmental authorities might limit such forward trading to less than that which the Adviser would otherwise recommend. Financial Relationships between the Adviser and Private Fund Clients. The Adviser has entered into financial relationships with certain Private Fund investors. These relationships include an investor in one Fund providing seed capital for a new line of business and retaining a financial interest in the Adviser and the General Partner. Such financial relationships create a conflict in that the Adviser is incented to provide preferential treatment to such investor. The Adviser has instituted policies and procedures to mitigate this risk including its Code of Ethics. Financial Relationships between the Adviser and Service Providers. The Adviser, its affiliates, and proprietary accounts of the Adviser have made equity investments, both through its Clients’ and proprietary accounts, in companies that provide services to the Funds. These companies may provide some or all of the assets purchased by the Funds, control the management of the assets purchased by the Funds, or provide services that are integral to the operation of the Funds. These relationships create a conflict in that the Adviser is incented to benefit the service to the detriment of the Funds in order to help the company increase its profits. The Adviser and an investor in one of the Private Funds also retain a financial interest in a service provider, creating a conflict of interest in that the Adviser is incentivized to provide benefits to the service provider that may disadvantage the Funds. The Adviser has instituted policies and procedures to mitigate this risk including its Code of Ethics. Portfolio Company Directorships. Certain Deer Park employees, including Portfolio Managers, serve on boards of directors or in other management capacities at companies (including public companies) in which a Fund invests, either directly or indirectly. In their capacity as directors of portfolio companies, these employees will be subject to fiduciary and other duties to the portfolio companies on whose boards they serve, which duties may on occasion conflict with the interests of one or more of the Funds. For example, a Fund’s ability to sell the publicly-traded securities of a portfolio company may be limited if the applicable Deer Park party is in possession of material nonpublic information relating to such portfolio company. The employees may receive compensation from portfolio companies, which may include cash or a meaningful equity position in such companies. Any compensation received or earned by Deer Park parties from their service on a board of directors or in a different management capacity at a portfolio company will be contributed to a Fund that holds equity in such company.

INVESTMENT RELATED INVESTMENT STRATEGY RISKS – Residential Real Estate Through a certain Private Fund, Deer Park aims to identify potentially attractive investment opportunities in the single family residential real estate market by purchasing and offering properties to rent. Such Funds focus on acquiring, holding, managing, leasing, operating, maintaining, improving, developing, constructing, redeveloping, renovating, remediating, financing, refinancing, transferring and disposing of single family residential real estate, using technological innovation provided by third party service providers in order to enhance purchasing and renting efficiencies. Certain risks discussed above can be applicable to Deer Park’s Funds generally; however, the following risks are presented with respect to the nature of a specific Fund. Regulatory and Legislative Risks Relating to Institutional Ownership of Single-Family Residential Properties. The Fund’s investment strategy is premised on the ability of the Fund and its subsidiaries to acquire, hold, operate, lease and dispose of single-family residential properties. In recent years, there has been a significant increase in legislative and regulatory activity at the federal, state and local levels directed at limiting or restricting the ability of institutional investors, including private investment funds such as the Fund, to purchase and own single-family residential properties, including executive orders and proposed legislation that would impose potential prohibitions on certain categories of institutional purchases, limitations on the number or concentration of properties that may be owned by a single entity or its affiliates in a given market, imposition of additional taxes, transfer fees or surcharges on institutional acquisitions or holdings of single-family homes, requirements to divest existing properties or offer them for sale to owner-occupant purchasers on a priority basis, and restrictions on rental pricing or lease terms applicable to institutionally owned properties. The adoption or expansion of such laws, regulations, executive orders or other governmental actions could materially and adversely affect the Fund’s investment strategy, including by limiting the Fund’s ability to identify, acquire and close on new single-family residential properties in its target markets, reducing the pool of properties available for acquisition by the Fund, increasing acquisition, holding and operating costs, imposing mandatory holding periods or disposition requirements inconsistent with the Fund’s investment objectives, and subjecting the Fund to additional regulatory compliance obligations and associated costs. If the Fund is unable to acquire properties on favorable terms or in sufficient quantities to execute its investment strategy as a result of such regulatory developments, the Fund’s ability to deploy committed capital, achieve its target returns and generate rental income could be materially impaired. The regulatory and legislative environment applicable to institutional ownership of singlefamily residential properties is rapidly evolving and subject to significant uncertainty. In addition, such regulatory developments could adversely affect the liquidity and valuation of the Fund’s existing portfolio by reducing the universe of potential purchasers for the Fund’s properties upon disposition, thereby limiting the Fund’s exit strategies and potentially requiring the Fund to sell properties at prices below their current carrying values or below what would otherwise be achievable in an unrestricted market. Any mandatory disposition

or divestiture requirements could further depress property values in the markets in which the Fund operates and result in losses to the Fund. The perception or anticipation of such regulatory action, even in the absence of enacted legislation, could contribute to increased market uncertainty and volatility in the single-family residential sector, which could have a material adverse effect on the value of the Fund’s investments and the returns realized by the limited partners. Third-Party Litigation. The Fund’s investment activities subject it to the normal risks of becoming involved in litigation by third parties. The expense of defending against claims by third parties and paying any amount pursuant to settlement or judgments would, except in certain circumstances, be borne by the Fund and would reduce net assets. The Adviser, the General Partner and others are indemnified in connection with such litigation, subject to certain conditions. Fund Costs. Borrowings will be subject to interest, transaction and other costs, and other types of leverage also involve transaction and other costs. Any such costs may or may not be recovered by the return on the Fund’s portfolio. Real Estate Title. Disputes over ownership of land sometimes occur. While title insurance is readily available to cover this risk, typical exclusions from policies may render them ineffective in certain cases. In situations where the Fund does not obtain title insurance, the Fund could rely on opinions of title from lawyers or other professionals, which may prove inaccurate. Finally, in some jurisdictions, a purchase of real property can be attacked as not meeting “true sale” requirements and recharacterized as secured financing in the event the seller becomes insolvent. If any of these events occurs in relation to any of the Fund’s interests or properties, the Fund could lose certain of its rights in relation thereto. Potential Environmental Liability. Under various U.S. federal, state, and local laws, ordinances and regulations, a current or previous owner, developer or operator of real estate may be liable for the costs of removal or remediation of certain hazardous or toxic substances at, on, under or in its property. The costs of removal or remediation of such substances could be substantial. Such laws often impose liability without regard to whether the owner or operator knew of, or was responsible for, the release or presence of such hazardous substances. The Fund will attempt to assess such risks as part of its due diligence activities but cannot give any assurance that such conditions do not exist or may not arise in the future. The presence of such substances on the Fund’s real estate investments could adversely affect its ability to sell such investments or to borrow using such investments as collateral. Newly-Completed Properties and Properties Under Construction; Risk of Fraud. The Fund may invest in land intended to be developed and in properties under development. Purchase of property prior to completion of development and construction, or making loans relating to properties under development, is subject to greater risks than purchasing properties with operating histories. In connection with the purchase of properties under development and construction, the Fund will be subject to certain risks, including the risks

of unanticipated delays in, or increases in the cost of, development and construction as a result of factors beyond the control of the General Partner or the Adviser. These factors may include strikes, adverse weather, material shortages, building restrictions, clearances, environmental impact studies, solvency of the contractor or subcontractors and increases in the cost of labor and materials. In addition, the contractor may not be able to build in conformity with plans and specifications, and the property may not be rented for the amounts or within the time projected. Additional risks may be incurred where the Fund makes periodic progress payments or other advances to contractors prior to completion. The Fund may be unable to recover such payments subsequent to any such contractor’s default. Such factors can result in increased costs, delay in completion, loss of anticipated rental revenues and corresponding depletion of the Fund’s working capital and reserves or loss of the Fund’s investment. Furthermore, the price paid for a property upon which improvements are to be constructed or completed must of necessity be based upon projections of rental income and expenses or fair market value of the property upon completion of construction. Whether the property will operate at such projected income and expense levels or achieve such projected fair market value cannot be determined in most cases until after completion of construction and a number of months of actual operation. Furthermore, investments in new development activities could be more susceptible to irregular accounting or other fraudulent practices. In the event of fraud in connection with any property in which the Fund invests, the Fund may suffer a partial or total loss of capital invested in that property. There can be no assurance that any such losses will be offset by gains (if any) realized on the Fund’s other investments. Acquisition of Existing Properties. The Fund acquires existing properties to the extent that they can be acquired on advantageous terms and meet the Fund’s investment criteria. The success of the Fund depends, in large part, on the availability of a sufficient number of investment opportunities that fall within the Fund’s investment objectives and the ability of the General Partner and the Adviser (in conjunction with any property manager) to identify, negotiate, close, manage and exit those investment opportunities. Acquisitions of properties also entail general investment risks associated with any real estate investment. See also “General Real Estate Considerations” above. The Fund’s acquisition activities and their success may be exposed to certain risks, including: •

The General Partner or the Adviser (in conjunction with any property manager) may not be able to locate and complete investments which enable the Fund to invest all of its committed capital in opportunities that satisfy the Fund’s investment objectives, realize the value of these investments or fully invest the Fund’s capital commitments;

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The Fund may incur significant expenses in connection with the identification of investment opportunities and the investigation of other potential investments that are ultimately not consummated; The Fund may be unable to acquire a desired property, or to acquire such property on desirable terms, because of competition from other wellcapitalized real estate investors, including other real estate investment vehicles, publicly-traded REITs, public and private investment funds, hedge funds and other institutional investors, specialty investors (such as mortgage banks, pension funds, sovereign wealth funds and real estate operating companies), various types of financial institutions and their affiliates, family groups and wealthy individuals, some of which may have greater resources than the Fund; Even if the Fund enters into an acquisition agreement for a property, such an agreement would typically be subject to customary conditions to closing, including satisfactory completion of due diligence investigations, which may be costly; Even if the Fund is able to acquire a desired property, competition from other real estate investors may significantly increase the purchase price paid; The Fund may be unable to finance acquisitions on favorable terms; Once acquired, a property may fail to perform as the Fund projected when analyzing its investments; and The Fund’s estimates of the costs of repositioning, re-tenanting or refurbishing acquired properties may be inaccurate.

The Fund may also acquire properties subject to known or unknown liabilities and with limited or no recourse. As a result, if liability were asserted against the Fund based upon such properties, the Fund might have to pay substantial sums to dispute or remedy the matter, which could adversely affect the Fund’s cash flow and returns. Unknown liabilities with respect to properties acquired could include, for example: liabilities for clean-up of undisclosed environmental contamination; claims by tenants, vendors or other persons relating to the former owners of the properties; liabilities incurred in the ordinary course of business; and claims for indemnification by general partners, directors, officers and others indemnified by the former owners of the properties. See also “Potential Environmental Liability” above. As a result of the foregoing, even if suitable investments are made, the Fund’s financial condition and results of operations could be materially and adversely affected, and the objective of the Fund may not be achieved. Investment in Certain Types of Real Estate. The Fund expects to invest in various types of real estate assets, namely single family rental homes and build-for-rent properties, and land for the development of build-for-rent communities, all of which are subject to the general risks associated with owning and operating real estate described in “General Real Estate Considerations” above. In addition, other factors that may adversely affect the value and successful operation of, and income generated from, these types of investments include: the physical attributes of a property used to generate income, such as its age, condition,

design, appearance, access to transportation and construction quality; location of the property, for example, a change in neighborhoods over time or desirability of the area to the target tenant population; ability of management to provide adequate maintenance and insurance; the types of services or amenities that the property provides; the property’s reputation; competition from other real estate investors, which may affect the number of similar properties available; the level of mortgage interest rates, which may encourage tenants to purchase rather than lease property; presence or construction of competing properties; the quality of tenants and tenant mix, such as the tenant population being heavily dependent on specific industries or businesses or being predominantly students; adverse local, regional or national economic conditions, which may limit the amount of rent that may be charged and may result in a reduction of timely rent payments or a reduction in occupancy levels; and federal, state and local regulations, which may affect the building owner’s ability to increase rent to market rent for an equivalent property. Any of the foregoing could have a material adverse effect on the performance of the Fund’s investments. Single-Family Rental Homes. At present, the institutional single family rental industry is still evolving, with few participants, and its long-term viability has not yet been fully demonstrated. Rental housing properties are part of a market that, in general, is characterized by low barriers to entry. Thus, a particular rental housing property market with historically low vacancies could experience substantial new construction and a resultant oversupply of rental units within a relatively short period of time. Because rental housing properties are typically leased on a short-term basis, the tenants residing at a particular property may easily move to alternative properties with more desirable amenities or locations, or available for lower rent. Lower occupancy rates, turnover of tenants, reductions in rents, uncollectible rent, and increasing costs of improvements and other economic concessions will impair the value of the Fund’s investments. Ownership of Rental Real Estate Properties. The yields available from rental property ownership depend on the amount of rental income earned by, and appreciation in the value of, the related properties as well as the expenses incurred in connection therewith. If any of the Fund’s properties do not generate income sufficient to meet operating expenses, including debt service and capital expenditures, the value of the Fund’s investments could be adversely affected. There can be no assurance that any property in which the Fund invests will be able to generate income sufficient to meet operating expenses. The successful operation of rental properties is also dependent upon, among other things: (i) the degree to which each property competes with other available properties in the area; (ii) timely collection of rent and other charges payable by tenants; (iii) timely renewal or replacement of existing tenants and leases; (iv) operating costs; (v) increases in rents and charges to cover increases in operating expenses (including taxes, utility rates and maintenance costs) and the costs of required repairs resulting from reasonable wear and tear and casualties; (vi) the impact of applicable federal, state and local laws; and (vii) the performance of the property manager.

Many of the costs associated with the ownership of an equity interest in real estate, such as debt service, real estate taxes and assessments, maintenance expenses and certain operating costs, are relatively fixed and payable, whether or not cash flow from such real estate is sufficient for such payments. In addition, many of such costs are beyond the control of the owner or management agent of the property and may increase over time, whether or not rents and other charges payable by tenants may be increased. There may also be shortages of or delays in obtaining the supplies and materials needed to operate a project, such as heating fuels, gasoline, electrical power or other supplies and materials. In addition to the general types of risks identified above, certain types of income-producing projects may be subject to specific risks. Concentration of Portfolio Investments. Investments are concentrated in the single family rental and build-for-rent sectors of the real estate industry, which are susceptible to seasonal fluctuations in rental demand and downturns in markets. A downturn or slowdown in the rental demand for single-family or build-for-rent housing caused by adverse economic, regulatory or environmental conditions, or other events in the single-family real estate markets may have a greater impact on the value of the Fund’s properties than if it had more fully diversified its investments. In addition to general, regional, national and international economic conditions, the Fund’s operating performance will be impacted by the economic conditions in the target markets identified by the Adviser. The Fund has based a substantial part of its business plan on a belief that rental income and property values for single family rental and build-for-rent properties in such target markets will increase over time. However, these markets have experienced substantial economic downturns in recent years and could experience similar or worse economic downturns in the future. The Fund can provide no assurance as to the extent rental income and property values in these markets will improve, if at all. Capital Intensive. Real estate investing is capital intensive. The Fund could acquire investments that have defects, and normal wear and tear on the Fund’s investments necessitate repairs. The Fund may acquire an investment with a capital expenditure plan, but the conditions of the investment may cause the capital requirements to exceed expectations. Additionally, the Fund may, in certain instances, be responsible for structural repairs, improvements and general maintenance of real property. Thus, the cost of operating a property may exceed the rental income thereof, and the Fund may be required to (i) advance funds to protect an equity investment or (ii) dispose of investments on disadvantageous terms to raise needed funds. Furthermore, the Fund may be required to expend funds to correct defects or to make improvements before an investment in an asset can be sold. Certain expenditures associated with real estate equity investment, such as property taxes, utility costs, debt service, maintenance costs and insurance, tend to increase and generally do not decrease as a result of events adversely affecting rental revenues. No assurance can be given that the Fund will have the necessary funds available to meet the capital requirements of any particular asset or that any such efforts or expenditures will be successful.

Competition for Residents. The Fund’s rental and build-for-rent properties are expected to compete with numerous housing alternatives in attracting residents, including other singlefamily homes and multi-family housing options (including owner-occupied single- and multi-family homes), apartment communities and condominiums. Some of the Fund’s competitors may offer more attractive properties or lower rents than the Fund does. Competitive housing in a particular area and the relative affordability of owner occupied, single- and multifamily homes in the same area (whether caused by declining mortgage interest rates, government programs to promote home ownership or otherwise) could adversely affect the Fund’s ability to retain residents, lease homes and increase or maintain rents. Furthermore, some competing housing options may qualify for governmental subsidies that may make such options more affordable and therefore more attractive than the Fund’s properties. These competing housing options may attract the high-quality tenants to whom the Fund’s subsidiaries seek to lease their properties. Dependence on Residential Tenants. The Fund and its subsidiaries depend on the residents of their properties and such residents’ willingness to meet their lease obligations and renew their leases, and the Fund and its subsidiaries will depend on rental income for substantially all of their revenues. Poor resident selection and defaults and non-renewals by the residents of the Fund’s investments may adversely affect the reputation of the Fund’s properties and their property managers, financial performance and ability to make distributions. Any defaults on rent payment obligations by a tenant will cause the Fund to lose the revenue associated with the relevant lease. As a result, the Fund’s success depends in large part upon its ability to attract and retain qualified residents for its properties. For example, residents may default on rent payments, make unreasonable and repeated demands for service or improvements, make unsupported or unjustified complaints to regulatory or political authorities, use the properties for illegal purposes, damage or make unauthorized structural changes to the Fund’s properties that are not covered by security deposits, refuse to leave the property upon termination of the lease, engage in domestic violence or similar disturbances, disturb nearby residents with noise, trash, odors or eyesores, fail to comply with homeowner association (“HOA”) regulations, sublet to less desirable individuals in violation of the lease or permit unauthorized persons to live with them. Damage to the Fund’s properties may delay re-leasing after eviction, necessitate expensive repairs or impair the rental income or value of the property, resulting in a lower than expected rate of return. Increases in unemployment levels and other adverse changes in economic conditions could result in substantial resident defaults. If such defaults become significant, the Fund will be forced to use other funds to make payments on the mortgage indebtedness secured by the impacted property to avoid foreclosure. In the event of a resident default or bankruptcy, the Fund may experience delays in enforcing its rights as a landlord and will incur substantial costs in protecting its investments. Tenant Bankruptcy Risks. There can be no assurance that any tenant that files for bankruptcy protection will continue to pay rent. In addition, the Fund and its subsidiaries cannot evict a tenant solely because of bankruptcy. The bankruptcy of a tenant or lease guarantor could delay efforts to collect past due balances under the relevant leases, unless

the Fund or its subsidiaries receive an order permitting the Fund or its subsidiaries to do so from the bankruptcy court and could ultimately preclude collection of these sums. If a lease is assumed by the tenant in bankruptcy, all pre-bankruptcy balances under the lease must be paid in full. If, however, a lease is rejected by a tenant in bankruptcy, the Fund and its subsidiaries would have only a general, unsecured claim for damages. An unsecured claim would only be paid to the extent that funds are available and only in the same percentage as is paid to all other holders of general, unsecured claims. Restrictions under the bankruptcy laws further limit the amount of any other claims that the Fund can make if a lease is rejected. As a result, it is likely that the Fund and its subsidiaries would recover substantially less than the full value of the remaining rent during the term. Tenant Relief Laws. As the landlord of numerous properties, the Fund and its subsidiaries will be involved from time to time in evicting residents who are not paying their rent or who are otherwise in material violation of the terms of their lease. Adverse changes in general or local economic conditions may result in increased defaults under the Fund’s and its subsidiaries’ leases. Eviction activities impose legal and managerial expenses that raise costs and expose the Fund and its subsidiaries to potential negative publicity. The eviction process is typically subject to legal barriers, mandatory “cure” policies, internal policies and procedures and other sources of expense and delay, each of which may delay the Fund’s and its subsidiaries’ ability to gain possession and stabilize the property. Additionally, state and local landlord-tenant laws may impose legal duties to assist residents in relocating to new housing or restrict the landlord’s ability to remove the resident on a timely basis or to recover certain costs or charge residents for damage residents cause to the landlord’s premises. Because such laws vary by state and locality, the Fund and its subsidiaries must be familiar with and take all appropriate steps to comply with all applicable landlord-tenant laws and need to incur supervisory and legal expenses to ensure such compliance. To the extent that the Fund and its subsidiaries do not comply with state or local laws, the Fund and its subsidiaries may be subjected to civil litigation filed by individuals, in class actions or actions by state or local law enforcement and its reputation and financial results may suffer. The Fund and its subsidiaries may be required to pay their adversaries’ litigation fees and expenses if judgment is entered against it in such litigation or if the Fund and its subsidiaries settle such litigation. Furthermore, state and local governmental agencies may introduce rent control laws or other regulations that limit the ability to increase rental rates, which may affect rental income. Especially in times of recession and economic slowdown, rent control initiatives can acquire significant political support. To the extent that any of the Fund’s investments are located in a state with tenant protection and rent control laws, such laws may negatively affect the rental income from such investments. If tenant protection or rent controls unexpectedly became applicable to certain of the Fund’s and its subsidiaries’ properties, its revenue from and the value of such properties could be adversely affected. Inability to Pass On Operating Expense Increases to Tenants. Operating expenses, such as expenses for fuel, utilities, labor, building materials, taxes, including real estate and income taxes, insurance, and other real estate-related costs are not fixed and may increase in the future. There is no guarantee that the Fund will be able to pass these increases on to

its tenants. Unless the Fund or its subsidiaries are able to offset any unexpected costs with sufficient revenues through new or renewed leases at higher rental rates, any increases of such operating expenses would cause the Fund’s or its subsidiaries’ cash flow and operating results to decrease. HOA Fees. A portion of the Fund’s properties may be located within HOAs and be subject to HOA rules and regulations. HOAs have the power to increase monthly charges and make assessments for capital improvements and common area repairs and maintenance. HOA fees are subject to significant increases, which can be outside of the Fund’s and the General Partner’s control. The Fund will be negatively affected if these costs rise significantly and the Fund is unable to increase rental rates due to rent control laws or other regulations to offset such increases. Additionally, several states have enacted laws that provide that a lien for unpaid monies owed to an HOA may be senior to or extinguish mortgage liens on properties. Such actions, if not cured, may give rise to events of default under the Fund’s indebtedness, which could have a material adverse impact on the Fund. Dependence on Public Utilities and Services. Public utilities, especially those that provide water and electric power, will be fundamental for the sound operation of the Fund’s real estate assets. The delayed delivery or any material reduction or prolonged interruption of these services could allow certain tenants to terminate their leases or result in an increase in the Fund’s costs or its inability to fully operate its facilities and provide services. Accordingly, any interruption or limitation in the provision of these essential services may adversely affect the Fund. Vacant Properties. The properties that the Fund may acquire may be vacant at the time of closing, and the Fund may acquire multiple vacant properties in close geographic proximity to one another. The Fund may not be successful in locating residents to lease the individual properties that it acquires as quickly as the Fund had expected or at all. Even if the Fund is able to place residents as quickly as expected, the Fund may incur vacancies in the future and may not be able to re-lease those properties without longer-than-assumed delays, which may result in increased renovation and maintenance costs and opportunity costs from lost revenues. Vacant homes may also be at risk for fraudulent activity, which could impact the ability to lease a home. If tenants are unwilling or unable to pay increased rents or if local businesses transfer or lay off their workers, vacancies may increase. In addition, the value of a vacant property could be substantially impaired, and the Fund will continue to incur the costs of maintenance, insurance, taxes and other expenses on its vacant properties. The Fund may, upon expiration of leases at its properties, be required to make rent or other concessions to tenants, accommodate requests for renovations and other improvements, or provide additional services to the Fund’s tenants. As a result, the Fund may have to make significant capital or other expenditures in order to retain tenants whose leases expire and to attract new tenants in sufficient numbers. Additionally, the Fund may need to raise capital to make such expenditures. If the Fund is unable to do so or capital is otherwise unavailable, the Fund may be unable to make the required expenditures, which could result in non-renewals by tenants upon expiration of their leases, which could

materially and adversely affect the Fund’s financial performance. If vacancies continue for a longer period of time than expected or indefinitely, the Fund may suffer reduced revenues, incur additional operating expenses and capital or other expenditures, and the Fund’s investments could be substantially impaired. Dependence on Third-Party Property Managers. Although the Fund and/or a subsidiary thereof retains a property management company to broker, monitor and manage the properties of the Fund or its subsidiaries, when entering a new market the Fund or its subsidiaries may also retain local third-party brokers or managers to manage the properties on a day-to-day basis until the Fund has reached sufficient scale in a particular market. When third-party managers are retained, the Fund’s or its subsidiaries’ results of operations, including the Fund’s or its subsidiaries’ ability to make payments on any indebtedness, will depend on the ability of these third-party managers to operate and lease the properties on economically favorable terms. The Fund or its subsidiaries may also retain local third-party managers to assist with acquisitions of real estate. There can be no assurance that the management teams of the third-party management firms employed by the Fund, or its subsidiaries will be able to operate each of the real estate investments successfully. Additionally, such management firms can lose employees, as the market for highperforming executive talent is competitive. There can be no assurance that such management firms will be able to attract, develop and retain suitable employees over the life of the Fund. Property managers may also provide management and leasing services to properties owned by others that compete with one or more of the Fund’s investments. As a result, these property managers may at times face conflicts of interests in the management and leasing of Fund properties and non-Fund properties managed by such managers. Third-Party Involvement. Some of the Fund’s investments may be made as a co-venturer or partner with the seller of the property, an affiliate of the seller, an investor unaffiliated with the Adviser, the General Partner, the Fund or other persons. Such investments may involve risks not inherent in other types of investment vehicles, including, for example, the possibility that such persons might become bankrupt, have economic or business interests or goals inconsistent with those of the Fund or otherwise be in a position to take action inconsistent with the Fund’s desires, policies or objectives. Action taken by such persons might subject the property to liabilities in excess of, or other than, those contemplated by the Fund. The Fund may also be liable for actions of its co-venturers or partners. In addition, the Fund may rely upon the abilities and management expertise of the co-venturer or partner. It may also be more difficult for the Fund to sell its interest in any joint venture, partnership or entity with other owners than to sell its interest in other types of investments. The Fund may grant co-venturers or partners veto powers with respect to major decisions concerning the management and disposition of the investment, which would increase the risk of deadlocks. A deadlock could adversely affect investment return or value or require the Fund to use its assets to purchase the interest of the co-venturer or partner under agreements providing for the forced sale of such interest.

Eminent Domain Risks. Municipalities and other government entities may, in certain circumstances, seek to acquire certain assets of the Fund through eminent domain proceedings. While the Fund may seek to contest these proceedings which may be costly and may divert the attention of management from the operation of the Fund, there can be no assurance that a municipality or other government entity will not succeed in acquiring assets of the Fund. In such event, there is a risk that the Fund will not receive adequate compensation for the assets acquired, or that the Fund will not be able to recover all charges associated with divesting these assets. Investments Involving Multiple Properties. Investments involving multi-property acquisitions are often more complex and expensive than single-property acquisitions and may place additional demands on the Adviser and its service providers. Where multiple properties are acquired as a group, the Fund may be required to purchase all properties as a package rather than declining the properties it does not want. If the Fund is required to purchase one or more properties that it does not wish to acquire as part of a multi-property transaction, it may not be able to identify a buyer to acquire such properties, and thus may be required to operate or attempt to dispose of those properties. The Fund may also be required to accumulate a large amount of cash to fund such acquisitions. Because of the foregoing, acquiring multiple properties in a single transaction may reduce the overall yield on the Fund’s portfolio. Contingent Liabilities on Disposition of Investments. In connection with the disposition of an investment, the Fund may be required to make representations about such investment. The Fund also may be required to indemnify the purchasers of such investment in case any such representations are inaccurate. These arrangements may create contingent liabilities for which the general partner may establish reserves or escrow accounts.

In accordance with GAAP, the Adviser’s valuation policy included a requirement to maximize the use of relevant observable inputs, however, during the Relevant Period the Adviser failed to ensure that certain RMBS were valued in accordance with GAAP. Specifically, the Adviser may have undervalued certain assets by failing to maximize relevant observable inputs, such as trade prices. The SEC found that Mr. Burg was a cause of the Adviser’s failure to implement the valuation policy that required maximizing observable inputs. The SEC censured the Adviser and ordered the Adviser and Mr. Burg to cease and desist from committing or causing any violations of Section 206(4) of the Advisers Act and Rule 206(4)-7 thereunder. The SEC fined the Adviser $5 million and Mr. Burg $250,000. To the best of the Adviser’s knowledge, there are no other legal or disciplinary events that would be material to an advisory client or prospective advisory client’s evaluation of the Adviser’s advisory business or the integrity of the Adviser’s management. As part of the Adviser’s routine compliance training and monitoring program, all employees are asked to certify upon hire, and annually thereafter, whether they have been the subject of any disciplinary actions.

Each quarterly installment of the Management Fee borne by the Fund investors participating in the investment to which any such fees relate will be reduced by such investor’s pro rata share of Ancillary Fees received by the Adviser; provided, however, that the Management Fee will not be reduced in circumstances set forth in the governing documents of the Funds (e.g., not in excess of the Management Fees earned in that period). Deer Park (through its Funds or their subsidiaries) has and may in the future engage portfolio companies of its Funds, or their affiliates, to provide various services relating to the analysis, acquisition, ownership and management of the Funds’ investments. Such portfolio companies or their affiliates may receive fees and compensation for the services provided to the Funds and their subsidiaries. In addition, Deer Park, its affiliates, or other Funds managed by Deer Park or its affiliates may have an ownership interest in such portfolio companies or their affiliates. Such an arrangement may create an incentive for Deer Park to engage such portfolio companies or their affiliates with more frequency than it otherwise would have and/or to agree to greater fees to be paid to them. Furthermore, such portfolio companies’ or their affiliates’ entitlement to certain fees related to the investments of the Funds may encourage them to make investment decisions or take other actions in respect of their services to the Funds and their subsidiaries that increase the total value of the investments held by the Funds. The fees earned by such portfolio companies or their affiliates in respect of services provided to the Funds and their subsidiaries, as well as any equity that Deer Park and its affiliates receive from them, will not reduce the Management Fees payable to Deer Park by the Funds. Deer Park is exposed to a conflict of interest in that Deer Park is incentivized to engage such portfolio companies or their affiliates over more qualified service providers due to Deer Park’s interest in them. There is a possibility that the Funds’ general partners, because of such incentive or for other reasons (including whether the use of such persons or entities could establish, recognize, strengthen or cultivate relationships that have the potential to provide longer-term benefits to the Funds’ general partners, and the Funds), may favor such retention or continuation even if a better price and/or quality of service provider could be obtained from another person or entity. Whether or not the Funds’ general partners have a relationship with or receive financial or other benefit from retaining such

portfolio companies or their affiliates or a particular service provider, there can be no assurance that no other service provider is more qualified to provide the applicable services or could provide such services at lesser cost. Deer Park may, in its sole discretion, determine to engage such portfolio companies or their affiliates to provide services in addition to those described in the Funds’ offering materials and, in such event, will determine the compensation to be paid to them and will generally have the authority to negotiate any services agreements entered into between them, on the one hand, and the Funds, on the other hand. Such service agreements will not be subject to review or consultation by any third party. Deer Park will have a conflict of interest in determining the costs of such services that will be charged to the Funds. In addition to determining the amount of compensation payable to such portfolio companies or their affiliates, Deer Park will have the authority to determine other key terms of the service arrangement, including terms relating to expense reimbursement, termination fees, indemnification payable to them and exculpation provided to them. While Deer Park will seek to ensure that the terms of the transactions and arrangements with such portfolio companies or their affiliates will contain terms at least as favorable to the Funds as are generally obtainable on an arm’slength basis from unrelated third parties and will provide for compensation that is competitive with the compensation paid to third parties for comparable services which could reasonably be made available to the Funds, there is no guarantee that such compensation will be consistent with market terms or that a third party would not have provided the same services at more favorable rates.

Certify to the Adviser on an annual basis acknowledgement of the policies and procedures referred to in this Code and agreement to abide by them.

The Adviser’s Code of Ethics also places restrictions on the personal trading activities of employees. The Code of Ethics requires employees to register all personal trading accounts (and certain trading accounts in which the employee has a substantial interest or over which the employee has discretion) with the Adviser’s Compliance Department. Employees are required to report all transactions in securities and all positions in securities to the Compliance Department within 10 days after becoming an employee of the Adviser and thereafter at least once per calendar year. Employees are also required to report on a quarterly basis to the Compliance Department all transactions in securities within 30 days after the end of each calendar quarter. Additionally, the Code of Ethics requires that all employees receive written approval from the Chief Compliance Officer prior to investing in any limited or restricted securities offerings and/or MBS/ABS transactions. The Adviser maintains an approved list of securities that Employees may purchase and sell for their personal accounts. Employees are prohibited from purchasing securities (or derivatives thereof) that are not on this list, with the exception of certain broad-based ETFs, managed accounts by independent third-party investment advisers and other securities. The Adviser requires that all individuals must act in accordance with all applicable federal and state regulations governing registered investment advisory practices. The Code of Ethics includes the Adviser’s policy prohibiting the use of material non-public information. Any individual not in observance of the above may be subject to discipline or termination.

An affiliate of the Adviser acts as general partner to the Private Funds that are managed by the Adviser. Additionally, Affiliates and employees of the Adviser have invested substantial amounts in the Private Funds and therefore have a financial interest in the Private Funds. Investments made by the Adviser and its employees are generally made on the same terms as other investors in the Funds; however, fees, investment minimums and redemption restrictions may be waived or reduced for them. The Adviser does not believe that this arrangement presents any material conflicts of interest because the Adviser’s financial interests are aligned with the interests of Clients. Deer Park’s Code of Ethics may be obtained by Clients or prospective Clients upon request.

It is the obligation of all investment advisers to obtain “Best Execution” of securities transactions for their clients. Best Execution is not defined in securities laws or regulations, but it is generally understood to require the adviser to obtain the most favorable total cost or proceeds in a securities transaction for its clients under the circumstances. The Adviser’s duty is not necessarily to find the best price or lowest cost, but rather to achieve the best qualitative execution for the Client. In doing this, the Adviser may take into consideration such factors as knowledge of the counterparty, speed of execution, confidentiality, market depth, capital commitment and recent order flow. A periodic and systematic assessment of execution services is important to the Adviser meeting its Best Execution obligation. Best Execution in fixed income markets is difficult to exactly define. Limited transparency, liquidity, size and other factors relating to the market for MBS and ABS securities make trading these instruments difficult and not subject to an exacting review of trading alternatives on either a pre-trade or post-trade basis. Cross Trades. Section 206(3) of the Investment Advisers Act of 1940, as amended, contains strict rules related to several types of transactions between different clients of an investment adviser. An adviser that arranges for a security to be purchased from or sold to a client from its own account – as opposed to purchasing or selling the security in the secondary markets – is engaging in a “Principal Trade.” An “Agency Cross Trade” occurs when an adviser arranges for a trade to be executed between a client and another party, and a “Cross Trade” occurs when an adviser effects a trade between accounts of two or more of its advisory clients but does not charge a fee for effecting the transaction. Principal Trades, Agency Cross Trades and Cross Trades can benefit Clients in a number of ways, including, but not limited to: 1) enabling the transfer of securities among Clients without having to expose the security to the market; 2) eliminating counterparty risk; and 3) providing the Adviser with added flexibility when dealing with an illiquid asset. Although Principal Trades, Agency Cross Trades and Cross Trades can be appropriate in many circumstances, they can also create the potential for conflicts of interest for the Adviser (i.e. the better price an adviser obtains for the selling client, the worse it can be for the purchasing client).

As is consistent with its duty to seek to obtain best execution, occasionally the Adviser may execute cross trades for Client accounts. Deer Park utilizes “cross” trades when it specifically deems the practice to be advantageous for each participant. In no instance does Deer Park receive additional compensation when crossing trades for Client accounts. Deer Park will seek to ensure that the terms of the transaction, including the consideration to be paid or received, are fair and reasonable, and the transaction is done for the sole benefit of the Clients. The Adviser will not affect Principal or Agency Cross Trades involving ERISA clients. Trade Errors. The Adviser may, on occasion, experience “Trade Errors” with respect to trades made on behalf of Clients. A Trade Error occurs when a transaction is not executed according to the Adviser’s intent and instructions. Trade Errors can result from a variety of situations, including, but not limited to, when the wrong security is purchased or sold, when the wrong amount is purchased or sold, when a security is purchased when it was meant to be sold or vice versa or when the same trade is executed twice. Not all errors are properly classified as Trade Errors. Certain errors in booking transactions are not considered Trade Errors, nor are mistakes in calculating NAV for a Fund. If an error is identified and corrected before any Client books or settles the position in their account or incurs a loss as a result, the error is not considered a Trade Error. If the error occurs as a result of the actions of a third party (such as a broker/dealer) then it is not considered a Trade Error. Clients will be reimbursed for any material loss realized as a result of a Trade Error. Any gains will be for the benefit of the Account. The Adviser may take such other action as is reasonable under the circumstances. Soft Dollars. In selecting any broker-dealer and in determining the reasonableness of brokerage commissions charged, the Adviser may take into account the fact that a brokerdealer has furnished or will furnish the Adviser or its Affiliates, without charge, with statistical, research or other information or services which may enhance its services generally, whether or not such services, in any particular instance, are of any benefit to the Adviser’s Clients. Such services may take the form of research services, special execution capabilities, clearance, settlement, net price, online pricing, block trading and block positioning capabilities, economic and market information, portfolio strategy advice, industry and company comments, technical data, recommendations and general reports. Accordingly, the Clients may be deemed to be paying for research and such other services with “soft” or commission dollars. The Adviser will only enter into such “soft dollar” arrangements where it reasonably believes that they will be within the “safe harbor” of Section 28(e) of the Securities Exchange Act of 1934, as amended. The Adviser does not currently pay and does not anticipate the need or desire to pay, for research or other services with “soft dollar” arrangements. Nonetheless, in the future, the Adviser may choose to pay for research or other services through “soft dollar” arrangements. In such case, even though the Adviser believes that a Client will benefit from many of the services obtained with “soft” dollars generated by trades, each affected Client

will likely pay higher transaction costs than it would in the absence of such arrangements and may not benefit from all of these “soft dollar” services or one Client may benefit disproportionally to other Clients. Furthermore, the Adviser and its Affiliates and other funds or accounts that they may manage may also derive substantial direct or indirect benefits from these services, particularly to the extent that any of them uses “soft” or commission dollars to pay for expenses that it would otherwise be required to pay itself. If the Adviser does choose to pay for research or other services through “soft dollar” arrangements, broker-dealers may provide research and brokerage services directly or by paying service providers engaged by the Adviser. In connection with any receipt of products or services under “soft dollar” arrangements, the Adviser will determine in good faith that the amount of commissions charged is reasonable in relation to the value of the products or services provided by the broker-dealer. Where a product or service provided has both “eligible” uses under Section 28(e), i.e., uses related to the Adviser’s investment decisionmaking process, but also has other uses, then the Adviser will make a reasonable allocation between the eligible and non-eligible uses and use soft dollars only for the eligible portion. It should be noted that the investment information received from broker-dealers, irrespective of whether such investment information was received complimentary or through “soft dollar” arrangements, may be used by the Adviser or its Affiliates in servicing various Clients regardless of the amount of “soft dollar” commissions contributed by that Client. The Adviser believes that such an allocation of brokerage business will help each Client to obtain research and execution capabilities and will provide other benefits to the Clients. The Adviser may, but is not obligated to, enter into arrangements under which certain direct expenses of a Client are paid with soft dollars. The Adviser will enter into such arrangements where it believes that it is administratively or operationally expedient to do so or where the Adviser believes it is more favorable to than an arrangement under which a Client pays for the products or services in question with cash. However, such arrangements make it more difficult for investors to evaluate the cost structure of a fund because the costs of such products or services are not broken out separately. In addition to any “soft dollar” arrangements that the Adviser enters into with brokerdealers, broker-dealers may provide certain research or other products or services to all of their customers, including the Adviser, without being requested to do so. Similarly, brokerdealers may refer investors to the Adviser. The Adviser may take advantage of the products or services provided rather than producing or paying for them from another provider. Similarly, the Adviser may accept investor referrals from broker-dealers in appropriate circumstances. In these situations, the Adviser receives a benefit because it does not have to pay for the products or services, such as research, or because it will receive additional compensation if a Client accepts new investments. The Adviser has an incentive to recommend broker-dealers based on benefits that it receives from broker-dealers, whether or not pursuant to “soft dollar” arrangements, rather

than the interests of a Fund in receiving the most favorable execution. Any products or services that the Adviser receives from broker-dealers may be used in connection with its management of more than one Client. The Adviser assumes no responsibility for the actions or omissions of any broker-dealer or dealer selected by the Adviser in good faith.

The Adviser’s general policy is to vote proxy proposals, amendments, consents or resolutions relating to securities, including interests in pooled investment vehicles, if any (collectively, “proxies”), in a manner that serves the best interests of the Clients, as determined by the Adviser in its discretion, taking into account the following factors: (i) the views of management; (ii) the impact on the value of the investments; (iii) the continued or increased availability of portfolio information; and (iv) industry and business practices. In addition, the Adviser may not vote proxies in certain situations where the associated costs outweigh the anticipated benefits to Clients. If a material conflict of interest exists between the interests of the Adviser and those of the relevant Client with respect to any issue to be voted on, the Adviser will base its voting decision exclusively on the Adviser’s judgment of what will best serve the financial interests of the Client that beneficially owns the securities that are the subject of the vote. Investors in a Private Fund may request a copy of the proxy voting policies and the proxy voting record relating to the relevant Private Fund by contacting the Adviser.