Bayview Asset Management, LLC: investment adviser

David Ertel (the “Principal”) ultimately controls the Registrant through his indirect majority ownership interest in BAM Global. David Ertel also controls the Registrant’s affiliated general partner and management company entities that advise its Clients. B.

Description of Advisory Services

The Registrant and its affiliated general partner and management company entities (together with their controlled affiliates, “Bayview”) provide discretionary investment management services to private pooled investment vehicles, the securities of which are offered to investors on a private placement basis (each, a “Fund” and collectively, the “Funds”), and separately managed accounts of affiliated and unaffiliated insurance companies (the “SMAs”) that invest primarily in residential and commercial whole loans. Bayview Fund Management, LLC (the “Management Company”), a relying adviser and Delaware limited liability company that is a wholly-owned subsidiary of the Registrant, serves as the management company to the Funds and the unaffiliated SMAs. Oceanview Asset Management, LLC (“OAM”), a relying adviser and Delaware limited liability company that is a wholly-owned subsidiary of the Registrant, serves as the management company for certain Registrant-affiliated insurance and re-insurance company subsidiaries of Oceanview Holdings, Ltd. (collectively, the “Oceanview Group”), as well as certain accounts of unaffiliated insurance companies that are re-insurance clients of the Oceanview Group (with respect to investment accounts related to such reinsurance arrangements for which the Oceanview Group is the economic beneficiary). As of December 31, 2025, the Funds include: (i) Bayview Opportunity Domestic V, L.P. (“BOF-V Domestic”), Bayview Opportunity Offshore V, L.P. (“BOF-V Offshore”) and Bayview Opportunity Master Fund V, L.P. (“BOFV Master” and together with BOF-V Domestic and BOF-V Offshore, the “BOF-V Funds”). Bayview Capital GP V, LLC, a Delaware limited liability company, serves as the general partner of each of the BOF-V Funds.

(ii) Bayview Opportunity Domestic V AIV, L.P. (“BOF-V AIV Domestic”), Bayview Opportunity Offshore V AIV 1, L.P. (“BOF-V AIV 1 Offshore”), Bayview Opportunity Offshore V AIV 2, L.P. (“BOF-V AIV 2 Offshore”) Bayview Opportunity V Oceanview, L.P., and Bayview Opportunity V Oceanview II, L.P. (“BOF-V Oceanview” and together with BOFV AIV Domestic, BOF-V AIV 1 Offshore and BOF-V AIV 2 Offshore, the “BOF-V Oceanview Funds”). Bayview Capital GP V, LLC, a Delaware limited liability company, serves as the general partner of each of the BOF-V Oceanview Funds. (iii) Bayview Opportunity Domestic VI 1, L.P. (“BOF-VI Domestic 1”), Bayview Opportunity Domestic VI 2, L.P. (“BOF-VI Domestic 2”), Bayview Opportunity Domestic VI 3, L.P. (“BOF-VI Domestic 3”), Bayview Opportunity Offshore VI 2, L.P. (“BOF-VI Offshore 2”), Bayview Opportunity Offshore VI 4, L.P. (“BOF-VI Offshore 4”), Bayview Opportunity Offshore VI 5, L.P. (“BOF-VI Offshore 5”), and Bayview Opportunity Master Fund VI, L.P. (the “BOF-VI Master Fund”), collectively, the “BOF VI Funds.” Bayview Capital GP VI, LLC, a Delaware limited liability company, serves as the general partner of each of the BOF-VI Funds. (iv) Bayview Opportunity Domestic VIa 1, L.P. (“BOF-VIa Domestic 1”), Bayview Opportunity Domestic VIa 2, L.P. (“BOF-VIa Domestic 2”), Bayview Opportunity Domestic VIa 3, L.P. (“BOF-VIa Domestic 3”), Bayview Opportunity Offshore VIa 1, L.P. (“BOF-VIa Offshore 1”), Bayview Opportunity Offshore VIa 2, L.P. (“BOF-VIa Offshore 2”), Bayview Opportunity Offshore VIa 4, L.P. (“BOF-VIa Offshore 4”), and Bayview Opportunity Master Fund VIa, L.P. (the “BOF-VIa Master Fund”), collectively, the “BOF VIa Funds.” Bayview Capital GP VIa, LLC, a Delaware limited liability company, serves as the general partner of each of the BOF-VIa Funds. (v) Bayview MSR Opportunity Domestic, L.P. (“MSR Domestic”), Bayview MSR Opportunity Offshore, L.P. (“MSR Offshore”), Bayview MSR Opportunity (US) Intermediate Fund, LLC ("MSR Intermediate Fund 1"), Bayview MSR Opportunity (US) Intermediate Fund 2, LLC ("MSR Intermediate Fund 2"), Bayview MSR Opportunity (US) Master Fund, L.P. (“MSR US Master”), Bayview MSR Opportunity Master Fund, L.P. (“MSR Master” and together with MSR Domestic, MSR Offshore, MSR Intermediate Fund 1, MSR Intermediate Fund 2, and MSR US Master, the “MSR Funds”). Bayview Capital GP MSR, LLC serves as the general partner of MSR Domestic, MSR US Master and MSR Master. Bayview Capital GP MSR, Ltd., a Cayman Islands exempted company that is not affiliated with Bayview, serves as general partner of MSR Offshore and has delegated its authority to manage the affairs of MSR Offshore to the Management Company. (vi) Ivalo Fund, L.P. (“Ivalo Fund”). Ivalo GP, LLC serves as the general partner of Ivalo Fund. (vii) Koitere Fund, LP (“Koitere Fund”). Koitere GP, LLC serves as the general partner of Koitere Fund. (viii) Bayview Mortgage Securities Domestic, L.P., (“BMS Domestic”), Bayview Mortgage Securities Offshore, Ltd. (“BMS Offshore”) and Bayview Mortgage Securities Master Fund, L.P. (“BMS Master” and together with BMS Domestic and BMS Offshore, the “BMS Funds”). Bayview Mortgage Securities GP, LLC serves as the general partner of BMS Domestic and BMS Master. The directors of BMS Offshore are not affiliated with Bayview and have delegated authority to manage the affairs of BMS Offshore to the Management Company.

(ix) Bayview Liquid Credit Strategies Domestic, L.P. (“Liquid Credit Strategies Domestic”), Bayview Liquid Credit Strategies Offshore, L.P. (“Liquid Credit Strategies Offshore”) and Bayview Liquid Credit Strategies Master Fund, L.P. (“Liquid Credit Strategies Master” and together with Liquid Credit Strategies Domestic and Liquid Credit Strategies Offshore, the “Liquid Credit Strategies Funds”). Bayview Liquid Credit Strategies GP, LLC serves as the general partner of Liquid Credit Strategies Domestic and Liquid Credit Strategies Master. Bayview Liquid Credit Strategies Offshore GP, LLC, a Delaware limited liability company registered as a foreign company in the Cayman Islands, serves as general partner of Liquid Credit Strategies Offshore. (x) Seaview Strategic Fund, Ltd., (“Seaview Offshore”) and Seaview Strategic Master Fund L.P. (“Seaview Master,” and together with Seaview Offshore, the “Seaview Fund”). Seaview Strategic GP, LLC, a Delaware limited liability company, serves as the general partner of Seaview Master. The directors of Seaview Offshore are not affiliated with Bayview and have delegated authority to manage the affairs of Seaview Offshore to the Management Company. (xi) Bayview Opportunity Fund Domestic VII, L.P. (“BOF-VII Domestic”), Bayview Opportunity Fund Domestic (Employee) VII, L.P. (“BOF-VII Domestic (Employee)”), Bayview Opportunity Fund Offshore VII, L.P. (“BOF-VII Offshore”), Bayview Opportunity (US) Master Fund VII, L.P. (“BOF-VII Domestic Master Fund”), and Bayview Opportunity Master Fund VII, L.P. I (“BOF-VII Master Fund”), collectively the “BOF-VII Funds” and together with the BOF-V Funds, BOF-VI Funds, and BOF-VIa Funds, the “BOF Funds.” (xii) Suttons Bay Fund, L.P. (“Suttons Bays Fund”). Suttons Bay GP, LLC, a Delaware limited liability company, serves as the general partner of the Suttons Bay Fund. (xiii) Bayview Residential Mortgage Income Fund, L.P. (“Residential Mortgage Income Fund”). Bayview Residential Mortgage Income Fund GP, LLC, a Delaware limited liability company, serves as the general partner of the Residential Mortgage Income Fund. (xiv) Bayview Residential Loan Fund Domestic (Employee), L.P. (“Residential Loan Fund Domestic (Employee)”), Bayview Residential Loan Fund Domestic, L.P. (“Residential Loan Fund Domestic”), Bayview Residential Loan Fund Offshore, L.P. (“Residential Loan Fund Offshore”), Bayview Residential Loan Fund (US) Master Fund, L.P. (“Residential Loan Fund Domestic Master”) and Bayview Residential Loan Master Fund, L.P. (“Residential Loan Fund Offshore Master”), collectively the “Residential Loan Fund.” Bayview Residential Loan Fund GP, LLC, a Delaware limited liability company, serves as the general partner of the Residential Loan Fund. (xv) Pingora MSR JV I-A, LP (“Pingora JV I-A”), Pingora MSR JV I-B, LP (“Pingora JV IB”) and Pingora MSR JV Feeder I-B, LP (“Pingora JV Feeder I-B”), collectively the “Pingora Fund.” Pingora MSR JV I GP, LLC, a Delaware limited liability company, serves as the general partner of the Pingora Fund. (xvi) Bayview Commercial Real Estate Credit Fund Domestic, L.P. (“Commercial Real Estate Credit Domestic Fund”), Bayview Commercial Real Estate Credit Fund Offshore, L.P. (“Commercial Real Estate Credit Offshore Fund”), Bayview Commercial Real Estate Credit Fund Domestic (Employee), L.P. (“Commercial Real Estate Credit Domestic Employee Fund”), Bayview Commercial Real Estate Credit (US) Intermediate Fund, LLC (“Commercial Real Estate Credit Domestic Intermediate Fund”), Bayview Commercial Real Estate Credit

Intermediate Fund, L.P. (“Commercial Real Estate Credit Intermediate Fund”), Bayview Commercial Real Estate Credit Master Fund, L.P. ("Commercial Real Estate Credit Cayman Master Fund") and Bayview Commercial Real Estate Credit (US) Master Fund, L.P. ("Commercial Real Estate Credit Domestic Master Fund"), collectively the “Commercial Real Estate Credit Fund.” Bayview Commercial Real Estate Credit Fund GP, LLC, a Delaware limited liability company, serves as the general partner of the Commercial Real Estate Credit Fund. (xvii) Bayview Opportunity F1, L.P. (“F1 Fund”). Bayview Opportunity F1 GP, LLC, a Delaware limited liability company, serves as the general partner of the F1 Fund. As more fully set forth in Item 8, •

The BOF Funds invest across the entire value chain of lending and credit related financial instruments, assets and operating businesses. The BOF Funds invest globally. There are no substantive limits on the investment strategies, financial instruments, assets or jurisdictions that may be pursued by the BOF Funds. Bayview may emphasize or deemphasize certain strategies or instruments in its sole discretion based on its determination of relative value. The BOF Funds also invest in mortgage servicing rights (through an investment in the MSR Funds).

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The MSR Funds invest primarily in mortgage servicing rights (“MSRs”) and MSRassociated assets (e.g., repurchased agency whole loans, loans awaiting securitization, and credit risk transfer instruments). The MSR Funds also invest in other mortgagerelated and financial services-related investments, including, mortgage and assetbacked securities and public and private equity securities.

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The BMS Funds, Ivalo Fund, and Seaview Fund invest primarily in asset-backed securities.

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The Liquid Credit Strategies Funds invest primarily, although not exclusively, in assetbacked securities, equity and debt securities of finance and mortgage related issuers, and derivatives related thereto.

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The BOF-V Oceanview Funds hold an equity interest in the Oceanview Group, a group of affiliated insurance and re-insurance companies owned in part by BAM Global that as part of its insurance operations invests its assets in a wide array of investments that includes mortgage loans, mortgage-backed securities, private funds, collateralized fund obligations, and corporate debt securities.

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The Residential Mortgage Income Fund invests primarily in first-lien, residential mortgage loans, but also in residential real estate-related investments, including MSRs, transitional loans and second-lien loans.

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The Residential Loan Fund invests primarily in performing residential loans and related assets and instruments.

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The Commercial Real Estate Credit Fund invests primarily in performing commercial real estate loans and related instruments.

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The Pingora Fund invested exclusively in securities arising from one or more specified pools of MSRs related to U.S. mortgage loans. The Pingora Fund is no longer in its investment period.

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The F1 Fund is a separately managed investment vehicle that invests in other Funds.

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The Suttons Bay Fund is a separately managed investment vehicle that invests in other Funds.

The Registrant also acts as a sub-adviser to the Blackstone Alternative Multi-Strategy Fund, an investment company registered under the Investment Company Act of 1940 (the “Company Act”) that trades under the ticker BXMIX (the “Blackstone Fund”) that is sponsored by another unaffiliated SEC-registered investment adviser. The Registrant has discretionary investment authority with respect to its sub-advised portion of the Blackstone Fund. The Blackstone Fund’s adviser seeks capital appreciation by allocating the fund’s assets among a variety of non-traditional or “alternative” investment strategies, and Bayview’s allocated portions of such fund invests primarily in asset-backed securities. C.

Availability of Customized Services for Individual Clients

While several Clients have similar and overlapping investment objectives and investment parameters, Bayview’s advice with respect to Clients is made in accordance with the investment objectives and guidelines set forth in each Client’s constituent and/or governing documents, which include any confidential private placement memoranda, organizational documents and/or investment management agreements. Bayview has the right to enter into agreements, such as side letters, with certain SMA Clients and underlying investors of the Funds that may, in each case, provide for terms of investment that are more favorable than the terms provided to other SMA clients and underlying investors of the Funds. D.

Wrap Fee Programs

Not applicable. E.

Assets Under Management

Bayview manages approximately $38,970,946,000 as of December 31, 2025 on a discretionary basis. This figure represents the unaudited net asset value of the Funds as of December 31, 2025, plus (i) any uncalled capital commitments for commitment-based Funds that are either still in their investment periods or subject to call to fund transactions committed to prior to the end of their investment periods, (ii) the investable assets managed by Bayview in SMAs, including accounts of the Oceanview Group, and (iii) Bayview’s allocated portion of the Blackstone Fund. While this figure includes the investable assets of the Oceanview Group, it excludes the Funds’ investments into the Oceanview Group to avoid double-counting. Similarly, the figure excludes Fund investments into other Funds. As of the date of this filing, Bayview manages no assets on a non-discretionary basis.

With respect to certain Funds, the Management Fee generally will be prorated for any capital contribution or withdrawal by an investor that is effective other than as of the first day of a quarter. With respect to certain Funds, in the event of a withdrawal by an investor other than as of the last day of the quarter, the Management Company will repay to the Fund a pro rata portion of the Management Fee, based on the actual number of days remaining in such quarter. In the sole discretion of the Management Company, the Management Fee may be waived, reduced or calculated differently with respect to certain investors. The Management Fee may be calculated differently with respect to certain Funds and SMAs that are set up for a single investor or a group of related investors, in accordance with the relevant Client’s constituent documents. Incentive Allocation The general partner of each Fund generally will receive an annual performance-based allocation (an “Incentive Allocation”) of a portion of the net capital appreciation allocated to each investor’s capital account, as more fully described below. Generally, at the end of each calendar year of the Funds, net capital appreciation, if any, allocated or apportioned to an investor’s capital account in such Fund will generally be reallocated or reapportioned by the Fund, as applicable, in the following order of priority (as more fully described in such Fund’s constituent documents): (i) first, to the investor until the investor has made up previous losses; (ii) second, to the investor until it has achieved a hurdle rate of return; (iii) third, to the general partner and the investor pursuant to a catch-up allocation until the general partner has received 15% of such net capital appreciation for such year; and (iv) fourth, an 85/15 split between the investor and the general partner, respectively, until the return equals a threshold amount. In the sole discretion of the relevant Bayview entity, the Incentive Allocation or Sub-Advisory Fee (as defined below) may be waived, reduced or calculated differently with respect to certain investors. With respect to certain Funds that are set up for a single investor or a group of related investors, the Incentive Allocation may be calculated differently, in accordance with the relevant Fund’s constituent documents.

Sub-Advisory Fee As a sub-adviser of BXMIX, the Registrant generally will receive an annual sub-advisory fee (a “Sub-Advisory Fee”) generally at a rate of 0.80% multiplied by the average daily net assets of the allocated portion of BXMIX’s assets. B.

Payment of Fees

Fees and compensation paid or allocated to the Management Company and the general partners by the Funds are generally deducted from the assets of such Funds (or reallocated from the investors’ capital accounts to the general partners’ capital accounts) at the times and in the manner discussed above. The investment adviser to the Blackstone Fund pays the Registrant’s Sub-Advisory Fee. For the SMAs, the Registrant issues invoices to the SMA investor for fees and expenses and does not deduct fees from the SMA assets. C.

Additional Fees and Expenses

Operational Fees and Expenses for Funds In addition to the fees described above, each Client will, to the extent not borne by an underlying portfolio investment, also bear all of the following operational and other fees, costs, liabilities, obligations and expenses and their pro rata share of any trading subsidiary’s (including BGOF (as defined below)) or special purpose vehicle’s costs, liabilities, obligations and expenses (collectively “costs”): (i) investment-related costs, including: (a) the costs associated with all investments and transactions considered, pursued, evaluated, owned, acquired and/or consummated by Clients, including but not limited to, costs associated with sourcing, negotiating, investigating, researching, diligencing (including, but not limited to, indexing of files, loan reviews, final collateral handling, fraud and compliance tools and quality assurance checks), financing, refinancing, structuring, acquiring, organizing, bidding-on, operating, holding, custodying, monitoring, hedging, shorting, restructuring, trading, selling, valuing, winding up, liquidating, dissolving or otherwise disposing of investments and potential investments (including followon investments), whether or not consummated or seeking to do any of the foregoing (including third-party research, data, analytics, modeling, structuring, pricing, execution and other third-party information systems, software, and service fees (including data feeds, subscriptions, periodicals, databases, reports and similar items)) related thereto; (b) costs incurred in the collection of monies owed to Clients; (c) travel and related costs associated with investments and potential investments and meals and entertainment relating to the foregoing, in each case, incurred in accordance with Bayview’s expense policies and procedures; (d) professional fees associated with investments and potential investments, including but not limited to accounting, consulting and appraisal, investment

banking, financing, commitment, legal, tax, expert networks, software and service providers, pricing and valuation related costs, and other advisory costs; (e) transaction fees, interest expenses and fees, broker, dealer, futures commission merchant, clearing and settlement charges, loan administration, private placement, sales, investment banker, finder and/or sourcing fees and similar services and similar costs associated with the acquisition, disposition and settling of investments and potential investments (including both commissions and discounts); (f) broken-deal, failed transaction, break-up and similar costs (including any portion thereof attributable to actual or potential co-investors); (g) costs of indebtedness, borrowings, guarantees, leverage and/or financing utilized, or proposed to be utilized by or on behalf of, Clients, including any working capital or credit facility, letter of credit, similar credit support, interest charges and fees; and (h) costs, fees and expenses of any Bayview affiliates (whether now existing or hereafter created) engaged to provide services by or on behalf of Clients, including any affiliates that are engaged to provide services pursuant to a BAM Agreement (as defined below); (ii) research and systems-related costs, including: (a) costs related to obtaining research and market data (including, without limitation, news and quotation equipment and services, market data services, fees to third-party providers of research and/or portfolio risk management services (including trade capture, inventory, order and execution management systems)); (b) any information-related expenses, including technology hardware, software or other technology incorporated into the cost of obtaining such research and market data, and including fees and expenses related to obtaining, processing and analyzing research or market data that may be considered “big data” or “alternative data”; (c) costs relating to information technology hardware, software, database packages or other technology (including, without limitation, costs of software licensing, implementation, data management and recovery services and custom development) used to research investments, evaluate and manage risk (including third-party risk management products and services, which may include the costs of risk management software or database packages), facilitate valuations and/or facilitate compliance with the rules of any self-regulatory organization or applicable law (including, without limitation, reporting obligations), facilitate and manage the order execution of investments or otherwise manage the Funds or SMAs or any trading subsidiary or special purpose vehicle; and

(d) certain other costs related to third-party technology to support the management and oversight of reconciliations, collateral management, remittances and position tracking; (iii) organizational and offering costs, including: (a) organizational and reorganizational costs, including all expenses relating to the offer and sale of interests and printing, communications, mailing, courier, marketing and publicity costs; (b) placement fees payable by the Funds in connection with the offering of interests (which placement fees, to the extent not related to an agent or service provider engaged to market in a non-U.S. jurisdiction where the use of such agent is required to comply with the laws of such jurisdiction, will offset management fees dollar-for-dollar to the extent borne by the Funds) and fund representative and paying agent fees; (c) costs (including taxes, fees or other governmental charges) associated with the formation of any subsidiary, intermediate funds, special purpose vehicle, alternative investment vehicle, including any real estate investment trust, holding company or similar entity formed with respect to investments, including costs associated with depositories, alternative investment fund managers and other service providers that are necessary and/or required to be engaged in order to comply with the laws of the jurisdiction in which any such entity may be formed or have operations; (d) costs incurred in connection with negotiating any Fund investor side letter agreement or governing documents (including subscription agreements); and (e) costs related to registration, qualification and/or exemption under any applicable Federal, state, local or non-U.S. laws, rules or regulations, including blue sky fees and other securities-related filing expenses; (iv) costs related to third-party professionals, including: (a) consultants, valuation service providers, attorneys, accountants, third-party administrative fees and costs, and the costs of advisors utilized in the procurement, review, maintenance and analysis of insurance; (b) a money laundering reporting officer, a deputy money laundering reporting officer and an anti-money laundering compliance officer, if applicable; and (c) the independent members of Funds’ advisory boards, trading subsidiary’s or special purpose vehicle’s directors (including, without limitation, director registration fees), if applicable; (v) ongoing operational and regulatory and compliance costs, including: (a) legal, auditing and accounting costs (including costs associated with the preparation of the Fund’s financial statements, regulatory reporting filings, tax returns, Fund Schedules K-1); and fees and costs of third-party professionals,

including, without limitation, consultants, investment bankers, attorneys and accountants in respect of the same; (b) costs of preparing and distributing reports and notices (and other investor communications) to existing and prospective investors (including, without limitation, all costs incurred to audit such reports, provide access to a database or other internet forum and any other operational, legal, secretarial or postage expenses associated with distribution of the same); (c) insurance costs, including, without limitation, premiums for cybersecurity insurance and liability insurance covering the Management Company and the Funds’ general partners and the members, partners, officers, employees and agents of any of them, and each member of any independent advisory board (including costs related to any retention or deductibles and broker costs and commissions) and the costs of a fidelity bond satisfying the requirements of Section 412 of ERISA (if applicable); (d) costs incurred in connection with complying with provisions of any side letter agreement (and any costs related to the disclosure of side letter agreements or the election by investors of any relevant terms therein), including the cost of third-party software and platforms related thereto; (e) costs incurred in connection with any transfers; provided that in the event that costs related to a transfer are in excess of the customary range of expenses, Bayview may, in its sole discretion, require the transferor or transferee to such transfer to pay for all or a portion of any such costs; (f) costs related to compliance with any law, rule, regulation, policy, directive or special measure of any regulatory or self-regulatory organization or applicable law in connection with the activities of Clients or any trading subsidiary or special purpose vehicle, including, without limitation, any governmental, regulatory, licensing, filing or registration fees or taxes (including, without limitation, fees and expenses incurred in connection with the preparation and filing of Form PF, Section 13 filings, Section 16 filings and other similar regulatory filings) and compliance with privacy, data protection, know-your-customer, anti-money laundering, sanctions or anti-terrorism considerations laws, including any legal, administrator, consulting or other third-party service provider costs related thereto, and any regulatory costs of the General Partner or any of its affiliates incurred in connection with the operation of the Fund and any costs related to compliance with any environmental, social or governance or other investment considerations and policies applicable to Clients, Bayview and/or any of their respective affiliates; (g) costs incurred in connection with any amendments, modifications, revisions or restatements to the constituent documents of Clients or any trading subsidiary or special purpose vehicle; and (h) expenses incurred in connection with meetings with investors in the Funds or independent advisory boards; and (vi) extraordinary costs, including:

(a) (x) the costs of any actual, threatened or otherwise anticipated litigation, mediation, arbitration, governmental or tax inquiry, examination, investigation or proceeding or other dispute resolution process, including the costs of discovery related thereto and (y) indemnification and contribution costs (including legal and any other costs incurred in connection with indemnifying any investor or other person pursuant to the terms of the Clients’ governing documents or otherwise and advancing costs incurred by any such person in defense or settlement of any claim that may be subject to a right of indemnification pursuant to such documents), including the amount of any judgment, fines, or other award or settlement paid in connection therewith; (b) costs associated with defaults by investors in the payment of any capital contributions; (c) costs incurred in connection with any tax audit by any tax authority, including, without limitation, any related administrative settlement and judicial review; and (d) costs incurred in connection with the reorganization, dissolution, windingup or termination of the Funds or any trading subsidiary or special purpose vehicle (including taxes, fees or other governmental charges). The MSR Funds also bear the expenses of entities owned directly or indirectly by the MSR Funds, or that are controlled or under common control with the MSR Funds, in each case that have been organized to carry out the business principally of and for the benefit of the MSR Funds (including, but not limited to, Lakeview Community Capital, LLC, Lakeview Household Insurance Solutions, HomeVestors of America, LKV Realty, Guild Mortgage (“Guild”), and Lakeview Loan Servicing, LLC (“Lakeview”) (each, a “MSR Fund Company”). For example, the MSR Funds bear expenses associated with Lakeview, including hedging and swap transactions to give the MSR Funds economic exposure to the MSRs owned by Lakeview, including loan portfolios in the pipeline or in inventory, and its operations, rent and overhead expenses, and the salary and benefits of its employees. The MSR Fund Companies include active operating businesses with extensive operations and employees. In an effort to seek to create efficiencies and lower costs among the MSR Fund Companies, the MSR Funds have created a shared services portfolio company that provides certain support functions (including, without limitation, back-office, administrative, human resources, accounting, software, information technology and similar services) across the MSR Fund Companies (rather than each portfolio company carrying out or supporting these services individually). Fees, costs and expenses incurred by such shared services portfolio company for the benefit of the MSR Funds and the MSR Fund Companies, including subsidiaries and portfolio companies, will be borne directly or indirectly by the MSR Funds. Lakeview and other MSR Fund Companies may lease office space from Bayview (and vice versa) at terms no less favorable than those on which the parties could have leased comparable office space from an unrelated party in an arm’s length transaction. Lakeview has assumed more of its own operations over time, particularly to the extent advisable from a strategic and regulatory perspective. As Lakeview continues to expand its originations and consumer-facing operations with the intent of generating economic benefits for the MSR Funds, the expenses of the MSR Funds are expected to increase significantly.

The BOF-V Oceanview Funds bear a proportion of the expenses associated with the Oceanview Group’s operations, rent and overhead expenses, and the salary and benefits of the Oceanview Group’s employees. The Oceanview Group may lease office space from Bayview at terms no less favorable than those on which the Oceanview Group could have leased comparable office space from an unrelated party in an arm’s length transaction. The SMAs generally bear all costs and expenses relating to the relevant account (“Account Expenses”). To the extent any Account Expenses benefit other Clients, the relevant Client is only responsible for its pro rata share of the benefits as reasonably determined by Bayview. The SMA Account Expenses are detailed in the constituent documents for each SMA. Affiliate Fees Certain Clients pay Bayview or its affiliates, including Bayview Commercial Mortgage Finance, LLC and Silver Hill Capital, LLC (formerly known as Community Loan Servicing, LLC and Bayview Loan Servicing, LLC) (“SHC”), additional fees, including for: (i) sourcing acquisition and disposition opportunities (the “Sourcing Fees and Commissions”); (ii) servicing, or overseeing the servicing of, loans in a Client’s portfolio (including trust management fees and modification fees, including modifications or refinancings that result in a new loan) (the “Servicing Fees”); and (iii) loan origination and related support services (including PACE loans or assessments and third-party origination support, such as sales support, underwriting, processing, capital markets support, credit policy/lender management, new loan set-up, and related information technology services) (the “Origination Fees”). These fees are in addition to management and incentive fees, are reflected in the Client’s net performance, and are described in more detail in the applicable Client’s confidential private placement memoranda and/or governing documents. Shared Expenses and Reimbursements Bayview from time to time incurs fees, costs, and expenses on behalf of one or more Clients. Bayview is entitled to reimbursement from a Client for any expenses incurred by the Client and paid in advance by Bayview on behalf of such Client. To the extent such fees, costs and expenses are incurred for the account of more than one Client, each Client bears a portion of any such fees, costs, and expenses generally in proportion to the size of the investment made by each in the activity or entity to which the expense relates, or based on their respective amounts of capital under management or aggregate capital commitments, or in such other manner as Bayview in its discretion, considers fair and equitable. To the extent Bayview initially pays or bears an expense that is otherwise attributable to a Client, such determination shall not require Bayview to continue to pay or bear such expense or forgo seeking reimbursement from the Client. Investment-related expenses that are common to more than one Client, such as broken-deal expenses, generally will be allocated pro rata in the same proportion that the investment is or would have been allocated to Clients. Bayview endeavors to allocate such fees, costs and expenses on a fair and reasonable basis pursuant to its expense allocation policy. When Bayview uses formulas and/or relies on informal estimates and projections with respect to the anticipated related benefits or usages (in determining how to allocate expenses), such formulas and estimates may not ultimately reflect the actual benefits or usages. Certain of Bayview’s determinations with respect to whether specific expenses should be borne by Bayview or by Clients require subjective judgments. Bayview has a conflict of interest when making such

judgments because it will bear the costs of any expenses not allocated to a Client. Bayview seeks to allocate expenses in a manner that it deems to be fair and equitable. See Item 12 for further discussion with respect to fees associated with brokerage practices. D.

Prepayment of Fees

Please see response to Items 5A and 5B above. E.

Additional Compensation and Conflicts of Interest

As described in Item 5.C, Bayview and its affiliates receive certain fees and commissions from certain Clients in connection with sourcing investment opportunities, underwriting and managing the purchase process for certain whole loan investments, and providing loan servicing and origination-related services. These fees include: (i) due diligence fees paid for loans reviewed (which include underwriting, appraisal review, title review, and transaction management); (ii) closing fees paid for loans closed; and (iii) commissions paid in connection with sourcing acquisitions and dispositions of certain assets. These fees give rise to conflicts of interest and Bayview may have an incentive to make investments, or to favor investments for which Bayview or its affiliates receive additional compensation, rather than solely based on a Client’s objectives and best interests. Bayview seeks to mitigate these conflicts through written fee schedules and disclosure in the applicable Fund’s confidential private placement memorandum and/or the applicable SMA’s governing documents, as well as internal review and oversight of the assessment of such fees. Additional details regarding these fees are provided in the applicable Fund offering documents and SMA governing documents.

To seek to mitigate this inherent conflict of interest, Bayview has implemented allocation policies and procedures (discussed more fully in Item 11D) that seek to ensure that strategy appropriate investments are allocated among the Clients (including where appropriate, the Blackstone Fund) on what Bayview deems to be an equitable basis.

Bayview may modify or waive such minimum investment requirements in a Fund from time to time; however, investors in each Fund and SMA must: (i) be “accredited investors,” as defined in Regulation D under the Securities Act; (ii) either a “qualified purchaser,”, as defined in the Company Act, or a “knowledgeable employee,” as defined under Rule 3c-5 of the Company Act; and (iii) meet other suitability requirements.

The securities, instruments, and other assets in which one or more of the Funds may invest include, but are not limited to debt or equity securities of any issuer (public or private), including capital stock; shares of beneficial interest; partnership interests and similar financial instruments; loans (including, without limitation, residential, commercial and consumer performing, non-performing and re-performing whole loans, agency, non-agency and commercial mortgage-backed securities, interest-only securities and inverse interest-only securities and real-estate owned (“REO”)) and loan participations; structured products; bonds, notes and debentures (whether subordinated, convertible or otherwise); currencies; interest rate, currency, commodity, equity and other derivative products including, without limitation: (i) futures contracts (and options thereon) relating to stock indices, securities, currencies, commodities, U.S. Government and foreign government securities and other financial instruments; (ii) swaps, options, swaptions, puts, calls, warrants, debt securities, caps, collars, floors and forward rate agreements; (iii) spot and forward currency transactions; and (iv) agreements relating to or securing such transactions; real estate securities; credit risk transfer agreements; mortgage-backed obligations issued or collateralized by Federal agencies (including, without limitation, fixed-rate pass-throughs, adjustable rate mortgages, collateralized mortgage obligations and stripped mortgage-backed securities); MSRs; equipment lease certificates; equipment trust certificates; credit paper; accounts and notes receivable and payable held by trade or other creditors; trade acceptances; choses in action; contract and any other claims; executory contracts; participations; mutual funds; exchangetraded funds; money market funds; obligations of the United States or any state thereof, foreign governments and instrumentalities of any of them; commercial paper certificates of deposit; banker’s acceptances; trust receipts; and other obligations and instruments or evidences of indebtedness of whatever kind or nature; in each case, of any person, corporation, government or other entity whatsoever, whether or not publicly traded or readily marketable; and real and personal property, including, without limitation, office, retail, industrial, hotel, residential, recreational, health care or mixed-use assets or land. The BOF Funds The investment objective of the BOF Funds is to generate attractive, risk-adjusted returns by investing across the entire value chain of lending and credit related financial instruments, assets and operating businesses. The BOF Funds invest globally. There are no substantive limits on the investment strategies, financial instruments, assets or jurisdictions that may be pursued by

the BOF Funds. Bayview may emphasize or deemphasize certain strategies or instruments in its sole discretion based on its determination of relative value.. The BOF Funds will employ on occasion a credit facility (“Commitment Facility”) to finance certain investments. Borrowing capital from the Commitment Facility (instead of drawing down investors’ capital commitments) will increase the BOF Funds’ leverage and thus may shorten the period required to attain an investor’s hurdle amount and/or produce a higher internal rate of return (as these figures are based on net asset value) than if such figures were calculated based on the drawdown of capital commitments. The MSR Funds The investment objective of the MSR Funds is to generate attractive risk-adjusted returns by generating current income and capital appreciation through mortgage related and other investments. A substantial majority of the MSR Funds' assets are invested in mortgage servicing rights (“MSRs”) and MSR Associated Assets (as defined in the relevant PPM). While the MSR Funds focus primarily on investing in MSRs and MSR-related assets, the MSR Funds may also invest in other mortgage-related and financial services-related investments, including, without limitation, investments in public and private equities, asset-backed securities, other mortgage-related agency bonds (including first-loss tranches), interest-only securities and inverse interest-only securities, agency and non-agency mortgage-backed securities and mortgage-related credit, interest-only, and real estate derivatives, and real estate-backed residential and commercial loans. Bayview may emphasize or deemphasize different asset types, sectors and geographies (U.S. and non-U.S. jurisdictions) from time to time, depending on, among other things, the perceived opportunities, relative risk-adjusted expected returns and market cycles. The MSR Funds also will employ on occasion a Commitment Facility to finance certain investments. Borrowing capital from the Commitment Facility (instead of drawing down investors’ capital commitments) will increase the MSR Funds’ leverage and thus may shorten the period required to attain an investor’s hurdle amount and/or produce a higher internal rate of return (as these figures are based on net asset value) than if such figures were calculated based on the drawdown of capital commitments. The Securities Funds Bayview’s investment strategy with respect to the Liquid Credit Strategies Funds is to generate risk adjusted returns by employing a range of investment strategies globally, including investing in public and private securities and a broad array of other financial instruments and assets in both private and public markets. There are no substantive limits on the investment strategies that may be pursued by these Funds. The Liquid Credit Strategies Funds may invest in assets relating to the mortgage industry, including, mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, risk transfer securities, commercial mortgage-backed securities, asset-backed securities, interest-only securities and inverse interest-only securities, mortgage-related credit and real estate derivatives, interest rate derivatives and equity, debt or options in real estate related or mortgage-related companies, among other industry similar assets, including other assets secured by U.S. and non-U.S.

collateral. These Funds may also engage in short selling for both investment and hedging purposes. The Liquid Credit Strategies Funds generally do not invest directly in whole loans. Bayview’s investment strategy with respect to the BMS Funds, Ivalo Fund, and Seaview Fund is to generate risk-adjusted returns by investing globally primarily in primary and secondary market asset-backed securities and related derivatives and financial instruments. The Ivalo Fund may also invest in mortgage-related and financial services-related equity investments (e.g., equity investments in mortgage originators, servicers, lenders, mortgage insurers, banks and real estate investment trusts). BOF-V Oceanview The BOF-V Oceanview Funds hold an equity interest in the Oceanview Group, an affiliate of the Registrant. The Oceanview Group consists of certain insurance and re-insurance company subsidiaries of Oceanview Holdings, Ltd., as well as certain accounts of insurance companies that are re-insurance clients of the Oceanview Group (with respect to reinsurance arrangements for which the Oceanview Group is the economic beneficiary, “Cedent Accounts”), that focus primarily, although not exclusively, on residential and commercial whole loans, mortgagebacked securities, corporate debt securities, private funds, collateralized fund obligations, and other credit-sensitive financial instruments. Oceanview Asset Management, LLC, a relying adviser to the Registrant, acts as investment adviser for the Oceanview Group and the Cedent Accounts. Residential Mortgage Income and Residential Loan Funds Bayview’s investment strategy for the Residential Mortgage Income Fund and the Residential Loan Fund is to invest in, and manage, a portfolio of residential mortgage loans and obligations. These funds primarily invest in first-lien, residential mortgage loans. The Residential Mortgage Income Fund also invests in residential real estate-related investments, including, but not limited to, the MSR Funds, transitional loans (fix and flip), and second-lien loans. Second lien investments generally will not exceed 5% of the Residential Mortgage Income Fund's net assets (measured at the time of investment). The Residential Mortgage Income Fund generally will invest solely in the United States, but will have exposures to other jurisdictions and geographies due to its investment in the MSR Funds. The Residential Loan Fund has exposure to the vast and differentiated residential loan credit spectrum to seek to take advantage of dislocations and targeted credit exposures, which may be expressed through various forms of residential loans that will have varying levels of seniority. The Residential Loan Fund will also invest in interest only securities or inverse interest only securities, which often offer offsetting duration and implicit mortgage basis exposures in the whole loans. The Commercial Real Estate Credit Fund Bayview’s investment strategy for the Commercial Real Estate Credit Fund is to generate attractive, risk-adjusted returns, capital preservation, and current income by investing primarily in performing commercial real estate debt and securities and other related assets. The Commercial Real Estate Credit Fund primarily invests in the United States, Canada and Europe, but may pursue investments in other jurisdictions where the Management Company believes attractive opportunities exist.

The Blackstone Fund Bayview’s investment strategy with respect to its allocated portion of the Blackstone Fund is to generate capital appreciation by investing in certain residential mortgage-backed securities, commercial mortgage-backed securities, and consumer asset-backed securities within a defined investment mandate. The descriptions set forth in this Brochure of specific advisory services that Bayview offers to clients, and investment strategies pursued and investments made by Bayview on behalf of its clients, should not be understood to limit in any way Bayview’s investment activities. Bayview may offer any advisory services, engage in any investment strategy and make any investment, including any not described in this Brochure, that Bayview considers appropriate, subject to each client’s investment objectives and guidelines. There can be no assurance that the investment objectives of any Fund or SMA will be achieved. B.

Certain Risks Relating to Investment Strategies

The following risk factors do not purport to be a complete list or explanation of the risks involved with the activities of Bayview, the Funds, the SMAs, or the Blackstone Fund. These risk factors include only risks that Bayview believes to be material, significant or unusual based on information currently available, and relate to particular investment strategies employed by Bayview and client investments made pursuant thereto (some of which also apply to Bayview’s allocated portion of the Blackstone Fund, particularly those relating to certain ABS and MBS (defined below)), and do not address material, significant or unusual risks associated with other factors, including, without limitation certain instrument types, structural risks and certain market risks, or risks applicable to the Blackstone Fund beyond the portion allocated to Bayview. Overall Investment Strategy and Investment Risks Risks of Investments Generally. All investments risk the loss of capital. No guarantee or representation is made that Clients’ investment programs will be successful. Clients’ investment programs involve, without limitation, risks associated with limited diversification and concentration, leverage, investments in speculative assets and the use of speculative investment strategies and techniques, interest rates, currencies, volatility, tracking risks in hedged positions, credit deterioration or default or prepayment risks, systems risks and other risks inherent in the Clients’ and any controlled affiliates’ activities. Certain investment techniques (e.g., use of direct leverage or indirectly through leveraged investments) can, in certain circumstances, magnify the impact of adverse market moves to which the Clients may be subject. In addition, Clients’ investments may be materially affected by conditions in real estate markets, the financial markets and overall economic conditions occurring globally and in particular countries or markets where Clients and any controlled affiliates may invest their assets. Methods of minimizing such risks may not accurately predict future risk exposures. Risk management techniques are based in part on the observation of historical market behavior, which may not predict market divergences that are larger than historical indicators. Also, information used to manage risks may not be accurate, complete or current, and such information may be misinterpreted.

Debt Instruments Generally. Clients may invest in private and government debt securities and instruments. It is likely that many of the debt instruments in which Clients invest may be unrated, and whether or not rated, the debt instruments may have speculative characteristics. The issuers of such instruments (including sovereign issuers) may face significant ongoing uncertainties and exposure to adverse conditions that may undermine the issuer’s ability to make timely payment of interest and principal. Such instruments are regarded as predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal in accordance with the terms of the obligations and involve major risk exposure to adverse conditions. In addition, an economic recession could severely disrupt the market for most of these instruments and may have an adverse impact on the value of such instruments. It also is likely that any such economic downturn could adversely affect the ability of the issuers of such instruments to repay principal and pay interest thereon and increase the incidence of default for such instruments. Equity Securities Generally. Clients may invest in public and/or private equity and equityrelated securities of U.S. and non-U.S. companies. Equity securities fluctuate in value in response to many factors, including the activities, results of operations and financial condition of individual companies, the business market in which individual companies compete, industry market conditions, interest rates and general economic environments and movements in the equity markets in general. As a result, Clients may suffer losses if they invest in equity instruments of issuers whose performance diverges from expectations or if equity markets generally move in a single direction and Clients have not hedged against such a general move. In addition, Clients may invest in equity securities of companies that they do not control. Such securities will be subject to the risk that the issuer may make business, financial or management decisions with which Clients do not agree or that the majority stakeholders or the management of the issuer may take risks or otherwise act in a manner that does not serve Clients’ interests, which could have a material adverse effect on Clients. In addition, events such as domestic and international political instability, terrorism and natural disasters may be unforeseeable and contribute to market volatility in ways that may adversely affect investments made by Clients. Hedging Generally. Clients may invest in various securities, derivatives, indexes and cash equivalents and related instruments both to hedge their portfolio positions and to seek to meet Clients’ investment objectives opportunistically as more fully described above. The success of Clients’ hedging strategy is subject to the ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolios being hedged. Since the characteristics of many instruments change as markets change or time passes, the success of the instances when Clients hedge portfolio positions is also subject to the ability for hedges to be continually recalculated, readjusted and executed in an efficient and timely manner While Clients may enter into certain hedging transactions to seek to reduce risk, such transactions may result in a poorer overall performance for Clients than if they had not engaged in any such hedging transactions. For a variety of reasons, a perfect correlation may not be established between such hedging instruments and the portfolio holdings being hedged. Such imperfect correlation may prevent Clients from achieving the intended hedge or expose Clients to risk of loss. Moreover, the portfolio will always be exposed to certain risks that may not be hedged. The successful utilization of hedging and risk management transactions requires skills complementary to those needed in the selection of Clients’ portfolio holdings. Clients will not be required to hedge any particular risk in connection with a particular transaction or their portfolio generally.

Limited Diversification. In the normal course of making investments on behalf of Clients, Bayview may be concentrated within the mortgage and consumer credit sectors. In addition, it is possible that Bayview may select investments that are concentrated in a limited number or type of financial instruments or assets. From time to time, a Client’s portfolio may consist of a significant portion of either loans or securities. Such concentration of risk may increase the losses suffered by the Clients or reduce their ability to hedge their exposure and to dispose of depreciating assets. Limited diversification could expose Clients to losses disproportionate to market movements in general if there are disproportionately greater adverse price movements in those financial instruments or assets. For Clients that are concentrated in a limited number or type of financial instruments (such as MSRs), the overall adverse impact of adverse movements in the value of their portfolios will be considerably greater than if those Clients were not permitted to concentrate their investments in such manner. Leverage. The Funds generally intend to lever their assets through various types of financings, including seller financing, and through various securitization vehicles. Bayview may also cause the Funds to leverage their investment returns with options, short sales, swaps, forwards and other derivative instruments. While leverage presents opportunities for increasing Clients’ total returns, it has the effect of potentially increasing losses as well. Accordingly, any event that adversely affects the value of an investment by Clients would be magnified to the extent the Clients are leveraged. The cumulative effect of the use of leverage by Clients in a market that moves adversely to the Clients’ investments could result in a substantial loss to Clients, which would be greater than if Clients were not leveraged. Leverage will increase the exposure of Clients to adverse economic factors such as significantly rising interest rates, severe economic downturns or deterioration in the condition of Clients’ investments or their corresponding markets. Clients may engage in portfolio financings where several investments are cross-collateralized, pursuant to which multiple investments may be subject to the risk of loss. As a result, Clients could lose their interests in performing investments in the event such investments are crosscollateralized with poorly performing or non-performing investments. In addition, recourse debt, which Clients reserve the right to obtain, may subject other assets of the Clients’ investments to risk of loss. Illiquidity. A substantial portion of Clients’ portfolios may consist of loans, derivatives, MSRs or other financial instruments that are not actively or widely traded and Clients may invest in illiquid securities, or securities that become illiquid after Clients’ investments in such securities. Mortgage/real-estate-backed loans and asset-backed securities are generally less liquid than other securities (e.g., stocks or bonds). Certain securities and other investments held by Clients may also be illiquid because, for example, they are subject to legal or other restrictions on transfer. Valuation of Clients’ investments may be difficult or uncertain, including with respect to securities, because there may be limited information available about the issuer. In addition, the sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Clients may not be able to readily dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified period of time. Even those markets which are expected to be liquid can experience periods, possibly extended periods, of illiquidity. Occasions have arisen in the past where previously liquid investments have rapidly become illiquid. Consequently, it may be relatively difficult

for Clients to dispose of certain investments rapidly and at favorable prices in connection with withdrawal requests, adverse market developments or other factors. Investments Longer than Term. Clients may make investments which may not be advantageously disposed of prior to the date that the Client will be dissolved, either by expiration of the Client’s term or otherwise. The Client may have to sell, distribute or otherwise dispose of investments at a disadvantageous time as a result of dissolution. There can be no assurances with respect to the time frame in which the winding up and the final distribution of proceeds to the investors will occur. General Economic and Market Conditions. The success of Clients’ activities will be affected by general economic and market conditions, such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, rules and regulations (including laws relating to taxation of Clients’ investments), trade barriers, currency exchange controls, national and international political circumstances (including wars, terrorist acts or security operations). These factors may affect the level and volatility of securities prices and the liquidity of Clients’ investments. Volatility or illiquidity could impair Clients’ profitability or result in losses. Force Majeure Events. Clients’ investments may be affected by force majeure events (i.e., events beyond the control of the party claiming that the event has occurred, including, without limitation, acts of God, fire, flood, earthquakes, outbreaks of an infectious disease, pandemic or any other serious public health concern, war, terrorism, labor strikes, major plant breakdowns, pipeline or electricity line ruptures, failure of technology, defective design and construction, accidents, demographic changes, government macroeconomic policies, social instability, etc.). Long-Term. The success of Clients’ long-term investment strategy depends upon Bayview’s ability to identify and purchase investments that are undervalued and hold such investments so as to maximize value on a long-term basis. In pursuing any long-term strategy, certain Clients may forego value in the short-term or temporary investments in order to be able to avail themselves of additional and/or longer term opportunities in the future. Consequently, certain Clients may not capture maximum available value in the short-term, which may be disadvantageous, for example, for investors who withdraw all or a portion of their capital accounts before such long-term value may be realized by such Clients. Investments in Undervalued Instruments. Clients may invest in undervalued instruments. The identification of investment opportunities in undervalued instruments is a difficult task, and there are no assurances that such opportunities will be successfully recognized or acquired. While investments in undervalued instruments offer the opportunity for above-average capital appreciation, these investments involve a high degree of financial risk and can result in substantial losses. Returns generated from the Clients’ investments may not adequately compensate for the business and financial risks assumed. Relative Value. The success of certain Clients’ relative value investment strategy depends upon Bayview’s ability to identify and exploit perceived inefficiencies in the pricing of securities, financial products, or markets. Identification and exploitation of such inefficiencies involve uncertainty. There can be no assurance that Bayview will be able to locate investment opportunities or to exploit pricing inefficiencies in the securities markets. Mispricings, even if correctly identified, may not be corrected by the market, at least within a timeframe over which

it is feasible for Bayview to maintain a position. Even pure arbitrage positions can result in significant losses if Bayview is not able to maintain both sides of the position until expiration/maturity. A reduction in the pricing inefficiency of the markets in which Bayview seeks to invest will reduce the scope for Clients’ investment strategies. In the event that the perceived mispricings underlying Clients’ positions were to fail to converge toward, or were to diverge further from, relationships expected by Bayview, Clients may incur losses. Co-Investments. Clients may co-invest with one or more investors and/or other third parties (including affiliates of the Registrant) or one or more Other Accounts (as defined below), through joint ventures or other structures, and in particular, Bayview may co-invest with Clients whether or not the particular co-investment opportunity is offered to investors or other third-party investors. Third-party involvement with an investment may negatively impact the returns of such investment if, for example, the third-party co-investor has financial difficulties, has economic or business interests or goals that are inconsistent with those of Clients or is in a position to take (or block) action in a manner contrary to Clients’ investment objective. In circumstances where such third parties involve a management group, such third parties may enter into compensation arrangements relating to such investments, including incentive compensation arrangements. Such compensation arrangements will reduce the returns to participants in the investments. Co-investments could also involve certain other risks. For example, in certain circumstances, Clients could be liable for the actions of its co-investors, e.g., if a co-investor fails to fund its portion of the co-investment, and co-investors may not bear (or may bear less than their proportionate share of) expenses incurred in relation to the sourcing, due diligence or negotiation of a co-investment, whether or not such co-investment is consummated. In addition, expenses (e.g., broken deal expenses) associated with potential co-investment opportunities that are ultimately not consummated, are unlikely to be borne by contemplated co-investors (including co-investors that are Other Accounts), unless a binding commitment has been obtained from such co-investors (including co-investors that are Other Accounts); rather they will generally be borne Clients. Such expenses that will generally be borne by Clients may involve expenses that are particularly attributable to co-investors, including co-investors that are Other Accounts. Global Investments. Clients may invest a portion of their assets outside the United States. In addition to business uncertainties, such investments may be affected by political, social and economic uncertainty affecting a country or region. Many financial markets are not as developed or as efficient as those in the United States, and as a result, liquidity may be reduced and price volatility may be higher. The legal and regulatory environment may also be different, particularly as to bankruptcy and reorganization. Financial accounting standards and practices may differ, and there may be less publicly available information in respect of such non-U.S. issuers. Clients may be subject to additional risks, which include possible adverse political and economic developments, possible seizure or nationalization of non-U.S. deposits and possible adoption of governmental restrictions which might adversely affect the payment of principal and interest to investors located outside the country of the issuer, whether from currency blockage or otherwise. Furthermore, some of the assets may be subject to brokerage taxes levied by governments, which have the effect of increasing the cost of such investments and reducing the realized gain or increasing the realized loss on such securities at the time of sale. Income earned, and gross sale or disposition proceeds received, by Clients from sources within some countries may be reduced by withholding and other taxes imposed by such countries.

Any such taxes paid by the Funds will reduce their net income or returns (or increase their net loss) from such investments. Laws that govern private and non-U.S. investment and transactions in financial instruments in non-U.S. countries may be relatively new and untested. As a result, Clients may be subject to a number of unusual risks, including inadequate investor protection, contradictory legislation, incomplete, unclear and changing laws, ignorance or breaches of regulations on the part of other market participants, lack of established or effective avenues for legal redress, lack of standard practices and lack of enforcement of existing regulations. Furthermore, it may be difficult to obtain and enforce a judgment in certain non-U.S. countries in which assets of Clients may be invested. There can be no assurance that this difficulty in protecting and enforcing rights will not have a material adverse effect on Clients and their operations. Furthermore, it may be difficult to obtain and enforce a judgment in a court outside of the United States. Commitment Facilities. Certain Funds are expected to borrow funds or incur indebtedness in the form of a Commitment Facility, which may include the grant of security interests in investors’ unfunded capital commitments. Such facilities (sometimes referred to as subscription credit lines, or capital call facilities) are utilized by private funds to bridge the time between the closing of an investment and the calling of capital, or the time between the acquisition of an asset and its financing, or for broader cash management purposes. From the investor’s perspective, such facilities can smooth cash flows and ease the administrative burden of responding to capital calls. In addition, Bayview is expected to use Commitment Facilities to permit the Funds to have ready access to cash in the event short-term funding obligations (e.g., margin requirements) arise, which Bayview believes allows for more efficient cash management as opposed to holding larger cash reserves. However, certain bodies, including the SEC and the Institutional Limited Partners Association (“ILPA”), have suggested that investors, and the private equity industry generally, take into account a number of matters when considering the use of such facilities. In guidelines released by ILPA, some of the concerns and risks that are noted regarding such facilities include the following: (i) the use of such facilities can impact IRR (i.e., if such facilities are drawn upon, the delay in calling capital can distort returns by condensing the period in respect of which the IRR is calculated); (ii) drawdowns from a Commitment Facility may delay or reduce the drawdown of capital contributions from Limited Partners and will not be subject to a preferred return; (iii) because the use of such facilities is not universal among fund managers, the use of such facilities makes it more challenging for investors to compare reported returns across funds; (iv) the use of such facilities creates the potential for general partners to receive carried interest in cases where an unlevered IRR may not meet a preferred return hurdle; (v) such facilities give rise to partnership-level expenses, which can limit any positive leverage impacts on IRR and decrease multiples on invested capital to investors; and (vi) the terms and provisions that may apply to such facilities may pose legal risks for investors, including, without limitation, transfer restrictions, documentation requests and other requirements of lenders. Notwithstanding the foregoing, Bayview believes that the Funds’ use of Commitment Facilities will be in the best interests of the Funds and consistent with Bayview’s fiduciary duties to the Funds. Long/Short. The success of certain Clients’ long/short investment strategy depends upon Bayview’s ability to identify and purchase investments that are undervalued and identify and sell short investments that are overvalued. The identification of investment opportunities in the implementation of the Clients’ long/short investment strategies is a difficult task, and there are no assurances that such opportunities will be successfully recognized or acquired. In the event

that the perceived opportunities underlying Clients’ positions were to fail to converge toward, or were to diverge further from values expected by Bayview, Clients may incur a loss. In the event of market disruptions, significant losses can be incurred which may force Clients to close out one or more positions. Furthermore, the valuation models used to determine whether a position presents an attractive opportunity consistent with Bayview’s long/short strategies may become outdated and inaccurate as market conditions change. Necessity for Counterparty Trading Relationships; Counterparty Risk in General. Clients may establish relationships to obtain financing, derivative intermediation and prime brokerage services that permit them to trade in any variety of markets or asset classes over time. In addition, with regard to the MSR Funds, certain of the MSR Fund Companies’ business is relationship driven. For example, Lakeview may work with various approved mortgage lenders, but these lenders may not be contractually obligated to do business with Lakeview, and Lakeview’s competitors may also have relationships with these lenders and actively compete with Lakeview in its efforts to expand its network of approved mortgage lenders. There can be no assurance that Clients or the MSR Fund Companies will be able to maintain such relationships or establish such relationships. An inability to establish or maintain such relationships would limit Clients’ trading activities and the MSR Fund Companies’ business and could create losses, preclude Clients and/or the MSR Fund Companies, as applicable, from engaging in certain transactions, financing, loan origination, derivative intermediation and prime brokerage services and prevent Clients and/or the MSR Fund Companies from trading at optimal rates and terms. Moreover, a disruption in the financing, loan origination, derivative intermediation and prime brokerage services provided by any such relationships before Clients or the MSR Fund Companies establishes additional relationships could have a significant impact on Clients’ and/or the MSR Fund Companies’ business, as applicable, due to Clients’ and/or the MSR Fund Companies' reliance on such counterparties. Some of the markets in which Clients may effect transactions are “over-the-counter” or “interdealer” markets. The participants in such markets are typically not subject to credit evaluation and regulatory oversight as are members of “exchange-based” markets. This exposes Clients to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing Clients to suffer a loss. In addition, in the case of a default, Clients could become subject to adverse market movements while replacement transactions are executed. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where Clients have concentrated their transactions with a single counterparty or small group of counterparties. Furthermore, there is a risk that any of Clients’ counterparties could become insolvent and/or the subject of insolvency proceedings. If one or more of Clients’ counterparties were to become insolvent or the subject of insolvency proceedings in the United States (either under the Securities Investor Protection Act or the United States Bankruptcy Code), there exists the risk that the recovery of Clients’ securities and other assets from prime brokers or broker-dealers will be delayed or be of a value less than the value of the securities or assets originally entrusted to such prime broker or broker-dealer. In addition, Clients may use counterparties located in jurisdictions outside the United States. Such local counterparties are subject to the laws and regulations in foreign jurisdictions that are designed to protect their customers in the event of their insolvency. However, the practical

effect of these laws and their application to Clients’ assets are subject to substantial limitations and uncertainties. Because of the large number of entities and jurisdictions involved and the range of possible factual scenarios involving the insolvency of a counterparty, it is impossible to generalize about the effect of their insolvency on Clients and their assets. Clients are not restricted from dealing with any particular counterparty or from concentrating any or all of their transactions with one counterparty. Moreover, the Bayview internal credit function, which evaluates the creditworthiness of Clients’ counterparties, may prove insufficient. The ability of Clients to transact business with any one or more counterparties, the lack of complete and “foolproof” evaluation of the financial capabilities of Clients’ counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by Clients. Joint Ventures. To the extent an investment is structured as a joint venture, Clients’ ability to manage the joint venture will depend upon the nature and terms of the joint arrangements with the co-investors and Clients’ relative ownership stake in the investment, each of which will be determined by negotiation at the time of the investment and the determination of which is subject to the discretion of Bayview. Depending on Bayview’s perception of the relative risks and rewards of a particular investment, Bayview may elect to invest in structures that afford relatively little or no operational and/or management control to Clients. Bayview may enter into such arrangements on terms that restrict Clients’ ability to dispose of their investments for potentially significant periods of time. A Client may invest under circumstances where it does not control the investment and where a third party does control, or have veto rights over, the investment. Such arrangements present risks not present with wholly-owned investments, such as the possibility that a co-investor becomes bankrupt, develops business interests or goals that conflict with the Client’s interests and goals in respect of the investment, or acts in a way that results in the triggering of a buy/sell or other governance provision at an inopportune time. Investments with Third Parties. Clients are permitted to partner with third parties to make investments through joint ventures or other entities, including through pooled vehicles managed by strategic partners, and co-investments with investors. Such investments may involve risks not present in investments where third parties are not involved, including the possibility that any such third party experiences financial, legal or regulatory difficulties, may at any time have economic or business interests or goals which are inconsistent with those of Clients, may take a different view from Bayview’s as to the appropriate strategy for an investment or disposition of an investment, or may be in a position to prevent Clients from taking action in a manner that is contrary to Clients’ investment objectives. In addition, Clients’ investment through third party-managed pooled vehicles or joint ventures may be subject to a third-party management fee or performance-based allocation or fee at the level of the pooled vehicle or joint venture, which will be borne indirectly by Clients and will not offset Bayview’s management or incentive fees. Investments Through Pooled Vehicles. Clients may invest through pooled vehicles with third parties or which aggregate the investments of Clients and certain Other Accounts. Such vehicles may be structured with a “series” or “umbrella” structure, such that the assets and liabilities of Clients are segregated from those of the investors and Other Accounts investing in such vehicle. If an aggregator vehicle or other pooled investment vehicle is instead structured with a “class” structure, Clients may bear cross-class liability relating to investments made by the third-party investors and Other Accounts in such entity. In the event that such entity were involved in litigation (e.g., in relation to an underlying investment) and an investor Other

Account were insolvent or unable to meet its liabilities, all of the assets of the entity attributable to the other classes could be applied to cover the liabilities of the insolvent class (including the assets of Clients). Clients may be subject to various costs relating to such ventures or investments through pooled vehicles, including additional fixed asset-based fees or performance-based fees or allocations payable or allocable to the promoters, managers and subadvisors of such ventures. Compensation (including, without limitation, management and other fees, carried interest, profit participation and reimbursement of operating and other expenses) to third parties will be borne indirectly by Clients and will not offset Bayview’s management or incentive fees. Investment Acquisition Vehicles; Allocation/Transfer Mechanics. For operational efficiency, Bayview may cause certain investments to be acquired or disposed of through one or more acquisition or holding vehicles, including vehicles that are jointly owned by multiple Clients, with the intent that such investments are subsequently allocated among participating Clients (including at cost, where applicable) or transferred among Clients at fair value consistent with applicable policies and governing documents. These practices involve operational, legal, and allocation risks, including the risk of delays or complexity in effecting allocations or transfers, valuation or pricing uncertainties in connection with transfers, and the risk that certain Clients may not participate in an opportunity (or may participate on different terms) depending on timing, eligibility, or other factors. Significant Positions in Securities; Regulatory Requirements. In the event Clients acquire a significant stake in certain issuers of securities and such stake exceeds certain percentage or value limits, Clients may be subject to regulation and regulatory oversight that may impose notification and filing requirements or other administrative burdens on Clients and Bayview. Any such requirements may impose additional costs on Clients and may delay the acquisition or disposition of the securities or Clients’ ability to respond in a timely manner to changes in the markets with respect to such securities. In addition, “position limits” may be imposed by various regulators that may limit Clients’ ability to effect desired trades. Position limits are the maximum amounts of gross, net long or net short positions that any one person or entity may own or control in a particular issuer’s securities. All positions owned or controlled by the same person or entity, even if in different accounts, may be aggregated for purposes of determining whether the applicable position limits have been exceeded. To the extent that Clients’ position limits were aggregated with an affiliate’s position limits, the effect on Clients and resulting restriction on their investment activities may be significant. If at any time positions managed by Bayview were to exceed applicable position limits, Bayview would be required to liquidate positions, which might include positions of Clients, to the extent necessary to come within those limits. Further, to avoid exceeding any position limits, Clients might have to forego or modify certain of their contemplated trades. In addition, if a Client, acting alone or as part of a group, acquires beneficial ownership of more than 10% of a certain class of securities of a public company or places a director on the board of directors of such a company, under Section 16 of the Exchange Act, such Client may be subject to certain additional reporting requirements and may be required to disgorge certain short-swing profits arising from purchases and sales of such securities. Furthermore, in such circumstances Clients will be prohibited from entering into a short position in such issuer’s securities, and therefore limited in their ability to hedge such investments. Similar restrictions and requirements may apply in non-U.S. jurisdictions.

Clients, acting either alone or as part of a group, may acquire a “control” position in an issuer’s securities. This may subject Clients to additional risks of liability for environmental damage, product defects, failure to supervise management, violation of governmental regulations and other types of liability in which the limited liability generally characteristic of business operations may be ignored. Systemic Risk. Credit risk may also arise through a default by one of several large institutions that are dependent on one another to meet their liquidity or operational needs, so that a default by one institution causes a series of defaults by the other institutions. This is sometimes referred to as a “systemic risk” and may adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges, with which Clients interact on a daily basis. Volatility Risk. Clients’ investment programs may involve the purchase and sale of relatively volatile instruments such as derivatives, which are frequently valued based on implied volatilities of such derivatives compared to the historical volatility of underlying financial instruments. Fluctuations or prolonged changes in the volatility of such instruments, therefore, can adversely affect the value of investments held by Clients. In addition, many non-U.S. financial markets are not as developed or as efficient as those in the U.S., and as a result, price volatility may be higher for Clients’ investments. Interest-Rate and Foreign Exchange-Rate Risks. The prices of assets held by Clients may be sensitive to interest-rate and foreign exchange-rate fluctuations. Such fluctuations could cause the U.S. dollar value of long and short positions to move in unanticipated directions. To the extent that interest-rate and foreign exchange-rate assumptions underpin the hedging of a particular position, fluctuations in rates could invalidate those underlying assumptions and expose Clients to losses. Clients are not obligated to hedge their exposure to interest-rate and foreign exchange-rate risks, or any other risks. The value of the fixed rate securities in which Clients invest generally will have an inverse relationship with interest rates. Current economic conditions may result in a rise in interest rates. If interest rates rise, the value of Clients’ fixed rate securities may decline. Furthermore, the higher a fixed rate security’s duration, the greater its price sensitivity to changes in interest rates. In addition, to the extent that the receivables or loans underlying specific securities are prepayable without penalty or premium, the value of such securities may be negatively affected by increasing prepayments, which generally occur when interest rates decline. In addition, if mortgage loan interest rates fall, an increasing number of homeowners will seek to refinance and prepay their mortgage loans. When a mortgage loan is prepaid, it will no longer produce any MSR-related revenue for the MSR Funds. Therefore, a sustained decline in mortgage loan interest rates will generally result in a reduction in servicing income to the MSR Funds. Because the value of MSRs is a function of the anticipated stream of revenues generated by servicing the mortgage loans, the value of MSRs will decline as mortgage loan interest rates fall and more prepayments are anticipated. Conversely, an increase in mortgage loan interest rates is likely to result in a decreased number of refinancings. The MSR Funds may attempt to hedge against the risks involved from interest rate changes by purchasing and/or selling certain financial instruments. While the MSR Funds may hedge against any losses of servicing income and loss of value of the MSRs that may be incurred from interest rate fluctuations, there can be no assurance that such actions will be effective.

Competition; Availability of Investments. The markets in which Clients invest are extremely competitive for attractive investment opportunities and, as a result, there may be reduced expected investment returns. There can be no assurance that Clients will be able to identify or successfully pursue attractive investment opportunities in such environments. Among other factors, competition for suitable investments from other pooled investment vehicles, independent mortgage loan servicers, large financial institutions, the public equity markets and other investors may reduce the availability of investment opportunities. Competitive investment activity by other firms and institutions will reduce Clients’ opportunity for profit by generally increasing price pressure on desired assets, reducing mispricings in the market as well as the margins available on those mispricings that can still be identified. Repurchase and Reverse Repurchase Agreements. Certain Clients may enter into repurchase agreements and reverse repurchase agreements as a form of financing, liquidity management, or investment technique. These transactions involve the risk that the counterparty may fail to perform its obligations (including due to bankruptcy or insolvency), which could delay or impair a Client’s ability to recover, dispose of, or otherwise realize on the securities subject to such arrangements and could result in losses. In addition, financing counterparties may apply discretionary margin, “haircut,” financing, and collateral valuation policies. If a counterparty determines that pledged collateral has declined in value (or is perceived to have declined in value), a Client may be subject to margin calls requiring it to post additional cash or securities, reduce positions, or otherwise meet collateral requirements. Failure to meet margin calls or comply with applicable covenants (which may include covenants tied to declines in net asset value over a given period) may permit the counterparty to liquidate collateral or require repayment, potentially forcing the Client to sell assets at disadvantageous times or prices and increasing losses. Non-U.S. Taxation. With respect to certain countries, there is a possibility of expropriation, confiscatory taxation, imposition of withholding or other taxes on dividends, interest, capital gains, other income or gross sale or disposition proceeds, limitations on the removal of funds or other assets of Clients, political or social instability or diplomatic developments that could affect investments in those countries. An issuer of securities may be domiciled in a country other than the country in whose currency the instrument is denominated. The values and relative yields of investments in the securities markets of different countries, and their associated risks, are expected to change independently of each other. Identity and Reporting of Beneficial Ownership; Withholding on Certain Payments. In order to avoid a U.S. withholding tax of 30% on certain payments (including payments of gross proceeds) made with respect to certain actual and deemed U.S. investments, the Funds generally will be required to timely register with the Internal Revenue Service and generally will be required to identify, and report information with respect to, certain of their direct and indirect U.S. account holders (including debtholders and equityholders). Investors should consult their own tax advisors regarding the possible implications of these rules on their investment in the Funds. Small Companies. Clients may invest in small and/or unseasoned public or private companies. While smaller companies generally have potential for rapid growth, they often involve higher risks because they may lack the management experience, operating history, financial resources, product diversification and competitive strength of larger companies. In addition, in many instances, the frequency and volume of their trading may be substantially less than is typical of securities issued by larger companies. As a result, the securities of smaller companies may be

subject to wider price fluctuations, reduced liquidity, losses and risks of insolvency or bankruptcy. Research resources, third-party analysis and information relating to smaller companies may be less available than that in respect of larger companies, making it more difficult to research an investment and make an informed investment decision. Litigation Risk. Some of the tactics that Bayview may use involve litigation. A Client could be a party to lawsuits either initiated by it, or by a company in which the Client invests, other shareholders of such company, or U.S. federal, state and non-U.S. governmental bodies. There can be no assurance that any such litigation, once begun, would be resolved in favor of the Client. Exposure to Material Non-Public Information. From time to time, Bayview may, in the course of its activities with respect to Clients, or in the course of its activities with respect to Other Accounts or other investment activities, receive material non-public information with respect to an issuer of publicly traded securities. In addition, during the course of the research process (which may include multiple investment teams at Bayview conducting competing due diligence and research processes with respect to a single issuer or potential portfolio investment), Bayview may share and receive information from other market participants, which could increase the likelihood that Bayview will receive material non-public information and be required to restrict trading in an issuer’s securities. In such circumstances, Bayview may restrict Clients, or Clients may be prohibited, by law, policy or contract, for a period of time from (i) unwinding a position in such issuer, (ii) establishing an initial position or taking any greater position in such issuer and (iii) pursuing other investment opportunities related to such issuer. If these restrictions or prohibitions apply to securities in which Clients are considering making an investment, such restrictions or limitations could prevent Clients from accessing a profitable investment opportunity. If such restrictions or limitations apply to securities in which Clients have an existing investment, then such restrictions or limitations could give rise to substantial investment losses, which losses, in the case of a security in which Clients have a short position, are theoretically unlimited. Further, Bayview personnel may serve as directors of, or in a similar capacity with, issuers of financial instruments or portfolio companies held by Clients or one or more Other Accounts. Bayview and its affiliates may also advise one or more clients that are not private funds that may invest available capital in one or more third-party private funds. In the event that material nonpublic information is obtained with respect to such issuers or unaffiliated private funds through which a Client or Other Account invests, Clients or Other Accounts could be prohibited by law or otherwise from purchasing or selling such financial instruments of such issuers for a period of time, and such prohibitions may have an adverse effect on Clients. Uncertain Exit Strategies. Due to the illiquid nature of many of the positions which Clients have or are expected to acquire, as well as the uncertainties of the reorganization and active management process, Bayview is unable to predict with confidence what the exit strategy will ultimately be for any given investment, or that one will definitely be available. Exit strategies which appear to be viable when an investment is initiated may be precluded by the time the investment is ready to be realized due to economic, legal, political or other factors. No Material Limitation on Strategies. Clients will opportunistically implement whatever strategies or discretionary approaches they believe from time to time may be best suited to prevailing market conditions. There can be no assurance that Bayview will be successful in applying any strategy or discretionary approach to Clients’ trading.

Cybersecurity Risk. As part of its business, Bayview processes, stores and transmits large amounts of electronic information, including information relating to the transactions of Clients and personally identifiable information of borrowers and investors. Similarly, service providers of Bayview or Clients, especially the Administrator, may process, store and transmit such information. Bayview has procedures and systems in place that it believes are reasonably designed to protect such information and prevent data loss and security breaches. However, such measures cannot provide absolute security. The techniques used to obtain unauthorized access to data, disable or degrade service, or sabotage systems change frequently and may be difficult to detect for long periods of time. Hardware or software acquired from third parties may contain defects in design or manufacture or other problems that could unexpectedly compromise information security. Network connected services provided by third parties to Bayview may be susceptible to compromise, leading to a breach of Bayview’s network. Bayview’s systems or facilities may be susceptible to employee error or malfeasance, government surveillance, or other security threats. Online services provided by Bayview or the Administrator to Clients or investors may also be susceptible to compromise. Breach of Bayview’s or the Administrator’s information systems may cause information relating to the transactions of Clients and personally identifiable information of borrowers or investors to be lost or improperly accessed, used or disclosed. The service providers of Bayview and Clients are subject to the same electronic information security threats as Bayview. If a service provider fails to adopt or adhere to adequate data security policies, or in the event of a breach of its networks, information relating to the transactions of Clients and personally identifiable information of borrowers or investors may be lost or improperly accessed, used or disclosed. The loss or improper access, use or disclosure of Bayview or Clients’ proprietary information may cause Bayview or Clients to suffer, among other things, financial loss, the disruption of their business, liability to third parties, regulatory intervention or reputational damage. Any of the foregoing events could have a material adverse effect on Clients and investors’ investments therein. Risks Related to Separately Managed Account Guidelines and Client Approval Rights. Bayview manages certain SMAs pursuant to client-specific investment guidelines and other contractual requirements. These guidelines and requirements may restrict the types of investments an SMA may hold and may limit Bayview’s ability to respond promptly to market developments. In addition, certain SMA arrangements may require the client’s prior approval for specified actions, which may include entering into or modifying financing transactions, granting security interests, entering into hedging or swap transactions, effecting certain securitization-related transactions, or taking certain litigation, settlement, or disposition actions. The need to obtain client approvals may delay or prevent risk-management actions that Bayview would otherwise take, including actions intended to manage interest rate exposure, liquidity needs, financing availability, or loss mitigation, which could adversely affect performance and increase losses. Insurance Regulatory and Admitted-Asset Constraints. Certain SMAs are sponsored by insurance companies or other regulated institutions and may be managed to satisfy regulatory investment limitations or accounting/classification objectives (including treatment as “admitted assets” and/or intended NAIC reporting classifications). Changes in applicable laws, regulations, regulatory interpretations, or client policies, or a determination that particular assets do not qualify as expected, may reduce the available investment universe, require asset

sales or portfolio repositioning at disadvantageous times or prices, increase portfolio turnover and transaction costs, and/or contribute to concentration or cash-drag, any of which could adversely affect returns. Strategy Concentration and Eligibility Risks for SMAs. Client-imposed guidelines may limit SMAs to particular asset types, lien positions, underwriting characteristics, or eligibility requirements (for example, first-lien residential mortgage loans and/or loans intended to meet specified “qualified mortgage” or similar criteria at origination). Such constraints may limit diversification, reduce flexibility in changing market conditions, and increase the risk that the SMA will be concentrated in certain borrower profiles, originator channels, geographies, or property types. If supply of eligible assets is limited or market conditions change, the SMA may be required to hold higher cash balances, accept lower expected returns, or assume greater concentration risk, any of which could adversely affect performance. Short Selling. Short selling involves selling securities which may or may not be owned by the short seller and borrowing them for delivery to the purchaser, with an obligation to replace the borrowed securities at a later date. Short selling allows the investor to profit from a decline in market price to the extent such decline exceeds the transaction costs and the costs of borrowing the securities. The extent to which Clients engage in short sales will depend upon Clients’ investment strategy and opportunities. A short sale creates the risk of a theoretically unlimited loss, in that the price of the underlying security could theoretically increase without limit, thus increasing the cost to Clients of buying those securities to cover the short position. There can be no assurance that Clients will be able to maintain the ability to borrow securities sold short. In such cases, Clients can be “bought in” (i.e., forced to repurchase securities in the open market to return to the lender). There also can be no assurance that the securities necessary to cover a short position will be available for purchase at or near prices quoted in the market. Purchasing securities to close out a short position can itself cause the price of the securities to rise further, thereby exacerbating the loss. Risks Related to Investments in the U.S. Mortgage Market Conditions in the U.S. Residential Mortgage Market May Adversely Affect the Performance of Clients. Clients intend to invest in assets involving the U.S. residential mortgage market, including in subprime or non-qualified (under the Qualified Mortgage Rule (as described below)) mortgage loans, securities and derivatives backed directly or indirectly by subprime or non-qualified mortgage loans and MSRs of subprime or non-qualified mortgage loans, and equity, debt or options in real estate-related or mortgage-related companies. The performance of residential mortgage loans and the performance of associated derivative securities (such as mortgage-backed securities (“MBS”) or credit risk transfer securities) are 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 behavior. It is possible that delinquencies, defaults and foreclosures on residential mortgage loans will increase in the future. The increase in delinquencies, defaults and foreclosures may significantly affect (although not be limited to) “subprime” mortgage loans, which generally refers to loans made to borrowers with impaired credit, and may also affect “alt-A” mortgage loans, which generally refers to loans made to borrowers with good credit but for which limited documentation or no documentation of borrower income and/or assets was required in connection with their loan application, and even “prime” mortgage loans, which generally

refers to loans made to borrowers with excellent credit who provide full documentation. Compared with prime loans, subprime and alt-A loans typically have higher loan-to-value ratios, reflecting the greater difficulty that these borrowers have in making down payments and the propensity of these borrowers to extract equity during refinancing. Historically, these borrowers pay higher rates of interest, go into delinquency more often and have their properties foreclosed on at a higher rate than prime borrowers. In addition, losses related to defaulted loans with higher initial loan-to-value ratios are generally higher than losses related to defaulted loans with lower initial loan-to-value ratios. As Clients may invest in one or more of these types of mortgage loans and securities backed by such mortgage loans, the performance of Clients may be sensitive to the same economic factors that affect these types of mortgage loans. Market conditions may impair borrowers’ ability to refinance or sell their residential properties, which may contribute to higher delinquency and default rates. These risks could be exacerbated to the extent that prevailing mortgage interest rates increase from current levels. If there is significant home price depreciation, it may also leave borrowers with insufficient equity in their homes to enable them to refinance. Borrowers who are unable to make the minimum monthly payments on their mortgage loans and intend to sell their homes may find that they cannot sell their properties for an amount equal to or greater than the unpaid principal balance of their mortgage loans. While some mortgage loan originators and servicers have created or otherwise are participating in modification programs in order to assist borrowers with refinancing or otherwise meeting their payment obligations, not all borrowers will qualify for or will take advantage of these opportunities. Unfavorable economic conditions could increase the likelihood of delinquencies and defaults. A general unavailability of credit also affects the overall economy in ways that could result in increased delinquencies and defaults on residential mortgage loans. Another factor that may in the future result in, higher delinquency rates in residential mortgage markets is the increase in monthly payments on adjustable-rate mortgage loans (“ARMs”) and/or pay option ARMs, each of which presents special default and prepayment risks. Borrowers with ARMs are exposed to increased monthly payments (1) when the related mortgage interest rate adjusts upward from the then-current rate to the rate computed in accordance with the applicable index and margin, (2) if interest rates rise significantly, (3) in the case of interest-only mortgage loans that are still in an interest-only period, from the large increases in monthly payments when the interest-only terms expire and the monthly payments on these loans are recalculated to amortize the outstanding principal balance over the remaining term and/or (4) in the case of loans with negative amortization features, from the large increases in monthly payments when the payments are recalculated to amortize the outstanding principal balance, including amounts of deferred interest on such loans. Regulation of the Mortgage Industry. Securities, futures and credit markets, and originators and servicers of residential mortgage loans are subject to comprehensive statutes and extensive regulation by federal, state and local governmental authorities. Loans, and their related origination and servicing practices, are highly regulated consumer finance products and are subject to federal, state and local laws. Violations or alleged violations of federal, state or local laws could result in a reduction in the amount available from a mortgage loan, and as a result its related MSRs, and could otherwise affect the performance of Clients’ other investments. In addition, violations, or even alleged violations, by loan servicers of laws or regulations applicable to mortgage loan origination and servicing, could adversely affect any such entity’s ability to continue its performance of its obligations with respect to the mortgage loans.

In addition, the Dodd-Frank Act included extensive changes to the laws regulating financial services firms, which included the creation of (1) the Consumer Financial Protection Bureau (the “CFPB”) within the Federal Reserve to regulate consumer financial services and products and (2) the Financial Stability Oversight Council to identify, monitor and address emerging systemic risks posed by the activities of financial services firms and make recommendations to the Federal Reserve to alleviate those risks. The CFPB has sole rulemaking and interpretive authority under existing and future consumer financial services laws and supervisory, examination and enforcement authority over institutions subject to its jurisdiction. The law also provided for enhanced regulation of derivatives and securitization transactions (including the addition of risk retention requirements, third-party due diligence disclosure requirements, expanded asset-level data requirements and new standards relating to eligibility of securities as “mortgage-related securities” under the Exchange Act), and enhanced oversight of credit rating agencies. In addition, the law provided for the elimination of prepayment penalties for mortgage loans and expanded consumer protection in respect of high-cost loans. Lakeview and any of its subservicers may incur significant ongoing costs to comply with laws and governmental regulation of their residential mortgage servicing businesses. Further, if any new or more restrictive requirements increase the cost of servicing mortgage loans, then the subservicing fees subservicers will require are likely to increase, which could limit Lakeview’s ability to purchase MSRs if it cannot engage subservicers at servicing fee rates that are consistent with the MSR Funds’ investment objectives. Actions that have been taken and may be taken in the future by the U.S. government or by state or municipal governments may have the effect of encouraging, or may require, that the terms of residential mortgage loans be modified in order to reduce the applicable interest rate, reduce the outstanding principal amount, extend the term to maturity or otherwise benefit the borrower to the detriment of the holder of the mortgage loan and the owner of the MSRs. These loan modifications may affect only residential mortgage loans that are in default or may also affect other loans as to which the borrower has negative equity in the mortgaged property or is otherwise considered to be disadvantaged or deserving of assistance. Investments held by Clients could be adversely affected, resulting in decreased yield or losses to investors. With regard to the MSR Funds, while certain loan modifications may be beneficial to the owner of MSRs (e.g., in the case of certain non-performing agency mortgage loans where owners of the MSRs may not be entitled to servicing fees or modifications in lieu of foreclosure), modifications that facilitate prepayment or reduce principal and interest can have an adverse effect on Lakeview’s net cash flows from servicing fees and result in losses to the MSR Funds. Similarly, programs designed to facilitate refinancings by current borrowers who would not otherwise qualify also could have such an adverse effect. There can be no assurance that governmental actions and regulations will have a beneficial impact on the financial markets. To the extent the market does not respond favorably to these initiatives or these initiatives do not function as intended, Clients may not receive a positive impact. It is also possible that competitors may utilize the programs, which would provide them with attractive debt and equity capital funding from the U.S. government. In addition, the U.S. government, the Federal Reserve, the U.S. Treasury and other governmental and regulatory bodies may consider taking other actions that affect the mortgage industry. Bayview cannot predict whether or when such actions may occur, and such actions could have a dramatic impact on the business, results of operations and financial condition of Clients.

Risks Associated with Foreclosure and Bankruptcy. In addition to the procedural delays and uncertainties generally incident to the mortgage foreclosure process in various jurisdictions, several courts and state and local governments and their elected or appointed officials also have taken unprecedented steps to slow the foreclosure process or prevent foreclosures altogether. Several laws have been enacted for these purposes, including in California. It has been widely reported that irregularities in foreclosure processes have been discovered with respect to certain servicers of residential mortgage loans. The existing “right of redemption” in certain states may limit the ability of servicers to sell (or cause the sale of), or prevent a servicer from selling (or causing the sale of), an REO at what would otherwise be an appropriate time for sale. In some states, after a sale pursuant to a deed of trust or foreclosure of a mortgage, the borrower and foreclosed junior lienors are given a statutory period in which to redeem the property from the foreclosure sale. In other states, including California, this right of redemption applies only to sales following judicial foreclosure, and not to sales pursuant to a non-judicial power of sale. In most states where the right of redemption is available, statutory redemption may occur upon payment of the foreclosure purchase price, accrued interest and taxes. In other states, redemption may be authorized if the prior borrower pays only a portion of the sums due. The effect of a statutory right of redemption is to diminish the ability of the lender to sell the foreclosed property. The exercise of a right of redemption would defeat the title of any purchaser from the lender subsequent to foreclosure or sale under a deed of trust. Consequently, the practical effect of the redemption right is to force the lender to retain the property and pay the expenses of ownership until the redemption period has run. Similar to foreclosure considerations, bankruptcy proceedings that involve a mortgage loan could impede the related servicer’s ability to take actions that are necessary or appropriate to preserve the value of the mortgage loan. The bifurcation of mortgage loans into secured and unsecured portions and the resulting “cramdown” of secured portions of mortgage loans subject to Chapter 13 proceedings to newly established market values could have a negative impact on the value of mortgage loans if this results in losses on the related mortgage loans higher than those which would have occurred pursuant to traditional loss mitigation and loan modification procedures. Any such cram-down modification by a bankruptcy judge could have a significant impact on the principal and interest collections on the related loans, and therefore may have a significant impact on payments to the owner of the mortgage loans and Clients. Lack of Information Regarding Underwriting Standards; Higher Expected Delinquencies in Payment. Certain Funds may acquire mortgage or consumer loans or non-agency MSRs from unaffiliated institutions, finance companies and other sellers. When investing in such mortgage and consumer loans and MSRs, from time to time, the seller will not have information available to it as to the underwriting standards that were applied in originating the loans, and such mortgage loans may have been originated in accordance with standards less strict than those of the agencies. Similarly, when acquiring loans through third-party origination (“TPO”), Clients may not be underwriting the loan and may have limited information on the underwriting standards that were applied in originating such loan. As a result, certain mortgage loans underlying the MSR Funds’ MSRs and certain mortgage and consumer loans owned by Clients may experience higher than expected rates of delinquency and defaults, which could result in losses to Clients.

Global Privacy and Data Protection Regulation. The global data privacy landscape continues to evolve. Fines and liability relating to data privacy and data breaches are becoming increasingly common and will likely become more significant over time as new laws take effect and regulators, and the competent data protection supervisory authorities in particular, increase their enforcement efforts. The E.U. General Data Protection Regulation 2016/679 (“GDPR”) came into effect in 2018. GDPR was designed to provide greater protection to personal data of identified or identifiable natural persons in the E.U. by imposing extended obligations on firms involved in the processing of such data. GDPR significantly expands the territorial applicability of the E.U. data privacy laws. GDPR also strengthens the conditions for consent in regard to processing personal data, creates direct obligations and liability for firms processing such data, and imposes significantly increased penalties for non-compliance. Also, the Data Protection Law (as amended) of the Cayman Islands (the “DPL”) became effective in 2019. Under the DPL, certain Funds are characterized as a data controller in respect of personal data and subject to certain obligations. The Funds’ affiliates and/or delegates, such as the Funds’ administrator and Bayview may act as data processors (or data controllers in their own right in some circumstances) and investors have data rights in this respect. Furthermore, other data privacy regulations have been introduced in the U.S., such as the California Consumer Privacy Act (“CCPA”) which took effect in 2020. Changes to privacy laws in the U.S. and outside of the U.S. are expected to increase legal, financial and reputational risk for the Funds. European Union Risk Retention. Risk retention rules promulgated under the Dodd-Frank Act require that, among other conditions, sponsors of ABS transactions (including, without limitation, securitizations of mortgage loans) or their majority-owned affiliates retain a minimum of 5% of the credit risk of the assets collateralizing such ABS (the “U.S. Retained Interests” ) for, in the case of RMBS, a minimum of five years from the date of the transaction, or, in the case of other ABS, a minimum of two years from the date of the transaction (the “Dodd-Frank RR Rules”). Similarly, the European Union adopted the European risk retention rules (the “EU CRR Rules” and, together with the Dodd-Frank RR Rules, the “Risk Retention Rules”), with respect to ABS activities in Europe, requiring, among other conditions, that the originator or sponsor of any securitization retain a material net economic interest of not less than 5% of certain specified credit risk tranches or securitized exposures (the “EU Retention Interests” and collectively with the U.S. Retained Interests, the “Retention Interests”) in an entity of economic and operational substance for the life of the securitization. Failure by Bayview to comply with the Risk Retention Rules, where applicable, may result in investors that are required to comply therewith being subject to increased regulatory capital charges and decreased liquidity for the securities that they own. Risks Related to Investments in Mortgage Loans Residential Loan Acquisition, Origination and Non-Qualified Mortgage Regulatory Risks. Certain Clients may source residential loans through TPO channels, including “flow” acquisitions and “bulk” acquisitions, as well as secondary market purchases and originations (directly or through third parties). These sourcing channels may involve heightened operational and counterparty risks, including incomplete or inaccurate loan-level information, documentation or collateral deficiencies, errors in loan boarding/servicing transfer, and the risk that contractual protections (including representations, warranties, cures, repurchase or indemnities) are unavailable, delayed or not honored, which could increase delinquencies, losses or illiquidity. In addition, certain residential loans (including non-qualified mortgage loans and other loans with non-traditional underwriting or documentation features) may be subject to extensive federal, state and local consumer finance and mortgage origination

requirements, including “ability-to-repay” and related requirements under Regulation Z/TILA and evolving “qualified mortgage” frameworks. Actual or alleged non-compliance—whether arising at origination or discovered after acquisition—could subject originators, servicers and/or subsequent holders to claims, defenses, rescission/cancellation rights in limited circumstances, damages (including statutory or punitive damages), attorneys’ fees, civil or criminal penalties, and could impair enforceability, collections, recoveries or marketability of affected loans, including in securitization or financing transactions. Certain strategies may include investments in loan categories such as investor/business-purpose loans (including debtservice-coverage-ratio loans), bank-statement or other limited-documentation loans, home equity lines of credit, and junior-lien or otherwise subordinated loans. These loan types may exhibit higher credit volatility, greater loss severity, and increased sensitivity to borrower cash flows, property values, and lien priority/structural considerations, and may be more difficult to refinance, modify, finance or liquidate in adverse market conditions. Re-performing Mortgage Loans. Certain Clients may invest in mortgage loans that have previously been in default or delinquent in payment and that, at the time such mortgage loans are acquired by Clients, are in compliance with the terms of the related mortgage loan documents and are no longer delinquent. While these mortgage loans may have been acquired at a price that reflects the fact that the mortgage loans are re-performing at the time of acquisition, there can be no assurance that such mortgage loans will continue to be current and/or in compliance with the terms of the related mortgage loan document during the time period in which Clients own such mortgage loans. It is therefore possible that re-performing loans may become non-performing loans and be subject to the same concomitant risks. Greater Risk Involving Certain Property Types. Clients may invest directly or indirectly in residential, commercial and consumer performing, non-performing and re-performing whole loans. The MSR Funds may also invest in MSRs for a variety of residential and commercial, performing and non-performing mortgage loans. Mortgage loans secured by multifamily property, mixed use property or commercial property may incur higher losses as a result of delinquency, foreclosure or repossession than mortgage loans secured by single-family residential property. In addition, any such losses could also reduce servicing fees on the related MSRs, increase servicing costs and therefore result in losses to the MSR Funds. Higher Risk of Loss on Loans Secured by Non-Owner Occupied Properties. Clients may invest directly or indirectly in mortgage loans that are secured by properties, including improved and unimproved land, held by borrowers for investment, or by second homes. The MSR Funds may also invest in MSRs for mortgage loans that are secured by commercial, multifamily or mixed use properties, or by properties, including improved and unimproved land, held by borrowers for investment, or by second homes. These mortgage loans may present a greater risk of loss, and the unimproved land may present a significantly greater risk of loss, if a borrower experiences financial difficulties, because these borrowers (i) may be more likely to default on a mortgage loan secured by non-owner occupied property than a mortgage loan secured by a primary residence of a borrower and (ii) may not have an incentive to maintain and upkeep a second home or a property held for investment to the same degree as the borrower’s primary residence. Any such losses could also reduce servicing fees on the related MSRs, increase servicing costs and result in losses to the MSR Funds. Troubled Origination. The investments chosen by Bayview may have been originated by financial institutions or other entities that are insolvent, in serious financial difficulty or no longer in existence. As a result, the standards by which such investments were originated, the

recourse to the selling institution, or the standards by which such investments are being serviced or operated may be adversely affected. Geographic Concentration of Mortgage Loans. The mortgage loans and securities backed by mortgage loans in which Clients may invest may be concentrated in a specific state or states. Similarly, the MSRs in which Clients invest may be related to mortgage loans that are concentrated in a specific state or states. Weak economic conditions in these locations or any other location (which may or may not affect real property values), may affect the ability of borrowers to repay their mortgage loans on time. Such inability of borrowers to repay their mortgage loans on time would also increase rates of loss and delinquency, reduce servicing fee revenues and increase servicing expenses of related MSRs held by the MSR Funds. Properties in certain jurisdictions may be more susceptible than properties located in other parts of the country to certain types of uninsurable or underinsured hazards, such as earthquakes, floods, hurricanes, wildfires, mudslides and other natural disasters. Declines in the residential real estate market of a particular jurisdiction may reduce the values of properties located in that jurisdiction, which would result in an increase in the loan-to-value ratios. Any increase in the market value of properties located in a particular jurisdiction would reduce the loan-to-value ratios of the mortgage loans and could, therefore, make alternative sources of financing available to the borrowers at lower interest rates, which could result in an increased rate of prepayment of or losses on the mortgage loans and reduce servicing fee revenues. Natural disasters, such as wildfires, severe storms, tornadoes, hurricanes and flooding affecting regions of the United States from time to time may also result in prepayments of or losses on mortgage loans. These factors and others may adversely affect the value of mortgage properties in some geographic regions and affect the performance of Clients. Risks Associated with Commercial Mortgage Loans and Other Commercial Real Estate Credit Investments. Certain Clients may invest in commercial mortgage loans, mortgage-backed securities on commercial mortgage loans (including CMBS), MSRs for commercial mortgage loans, and other commercial real estate credit and related investments (including bridge loans, mezzanine loans, subordinated debt, and preferred equity or other equity-like interests, including interests acquired through workouts, restructurings, or foreclosures). The value of these investments is influenced by delinquencies and defaults on the underlying loans and the severity of losses, which in turn may be affected by (i) economic and real estate market conditions by sector (e.g., multifamily, retail, office, etc.), (ii) the terms and structure of the applicable instruments, and (iii) limitations on legal and financial recourse. Commercial mortgage loans generally involve a greater risk of loss through delinquency and foreclosure than loans secured by single-family residences. Repayment of loans secured by income-producing property typically depends primarily on the property’s successful operation and operating income (including tenant demand and rent payments) rather than the borrower’s independent income or assets, and many commercial mortgage loans provide recourse only to the mortgaged property and not to the borrower’s other assets or personal guarantees. Commercial mortgage loans often do not fully amortize and may require a significant “balloon” payment at maturity, which may necessitate a sale or refinancing; borrowers may be unable to refinance or otherwise repay at maturity, increasing default risk. Certain investments may involve shorter-dated bridge loans or interest-only periods, which can increase reliance on takeout financing and create payment increases that heighten default risk if property cash flows deteriorate or financing becomes unavailable or uneconomic. Borrowers may also have or incur

junior liens or other secondary financing, which can increase leverage and reduce recoveries, and properties may be subject to municipal liens or special assessments (including certain energy-efficiency/property-assessed programs) that, in some cases, may have priority over a mortgage lien and reduce liquidation proceeds. Clients may invest in mezzanine, other subordinated positions, and preferred equity, which are junior to senior mortgage debt and may be subject to intercreditor or subordination arrangements that limit remedies or delay enforcement. Recoveries on such positions may be materially lower and highly sensitive to collateral value declines and workout outcomes, and dividends or redemptions on preferred equity may be suspended or not paid as expected. Exercise of foreclosure and other remedies may involve delays and expenses and may coincide with declining property values; in certain circumstances, creditors may also become liable upon taking title for environmental or structural issues. Certain investments may also involve stressed or distressed situations, which may require complex restructurings or insolvency processes, may be illiquid, and may result in significant losses. Risks Associated with Residential Whole Loan Mortgages. Whole loan mortgages may include performing and re-performing mortgage loans as well as both "qualified mortgage loans" and non-qualified mortgage loans, which are subject to increased risks. Whole loan mortgages generally are not government guaranteed or privately insured, though in some cases they may benefit from private mortgage insurance. A whole loan mortgage is directly exposed to losses resulting from default and foreclosure. Therefore, the value of the underlying property, the creditworthiness and financial position of the borrower, and the priority and enforceability of the lien are each of great importance. To the extent that the value of the property underlying these mortgage loans decreases and a Client must foreclose on such property following a borrower default, the proceeds of such property may be insufficient to cover the outstanding balance on such loan. If a Client is required to foreclose on the real estate securing a mortgage loan because of a default by the borrower under a mortgage loan, a Client may assume direct ownership of the underlying real estate. In the event of a foreclosure, a Client could bear the risk of being unable to dispose of its collateral at advantageous times and prices or in a timely manner, because real estate assets generally experience periods of illiquidity. The lack of liquidity might result from general economic conditions impacting the real estate and credit markets, low occupancy rates, high operating expenses, the early stage of development, the absence of a willing buyer or an established market for these assets, as well as legal or contractual restrictions on resale. The liquidation proceeds upon sale of such real estate may not be sufficient to recover a Client's cost basis in the loan, resulting in a loss to a Client. Any costs or delays involved in the effectuation of a foreclosure of the loan or a liquidation of the underlying property will further reduce the proceeds and thus increase the loss. Whole loan mortgages hold additional risks for lenders related to the foreclosure, ownership and operation or management of the underlying real property. For example, whole loan mortgages are subject to "special hazard" risk (property damage caused by earthquakes or environmental hazards, which are not covered by standard property insurance policies), and to bankruptcy risk (reduction in a borrower's mortgage debt due to a borrower's bankruptcy). In addition, claims may be asserted against a Client on account of its position as the mortgage holder or property owner, including responsibility for tax payments, environmental hazards and other liabilities, including lending liability claims. European Loans. A portion of the mortgage loans in which certain Funds invest may be in foreign jurisdictions, including Italy and the United Kingdom. Investments in foreign jurisdictions may subject those Funds to legal, regulatory, political, currency and economic

risks specific to those foreign jurisdictions. For example, the Italian, Spanish and U.K. economies, along with certain other European Union economies, experienced significant slowdown during the global financial crisis. Among other things, Italy’s economy has been characterized by slow growth over the past few decades due to factors such as a high tax rate, rigid labor market and a generous pension system. The Italian government has experienced significant budget deficits and a high amount of public debt, causing credit agencies to lower Italy’s sovereign debt rating. The Italian economy is also heavily dependent on trade with other European countries. The above-mentioned risks may have an adverse effect on the Funds that invest in Italian loans. Repurchases of Loans. Certain Clients may sell individual loans or pools of loans. In connection with such transactions, Clients generally expect to enter into agreements customary to the nature and size of the transaction. In those agreements, Clients generally will be required to make certain representations and warranties regarding each loan or pool of loans. In the event of an uncured breach of certain representations or warranties contained in such agreements, Clients may be obligated to repurchase loans or a pool of loans from the purchaser, which may adversely affect the performance of Clients. Credit Scores May Not Accurately Predict the Performance of the Mortgage Loans. Bayview may rely on credit scores as part of its due diligence process. Credit scores are obtained by many lenders in connection with mortgage loan applications to help them assess a borrower’s creditworthiness. Credit scores are generated by models developed by a third party that analyzed data on consumers in order to establish patterns that are believed to be indicative of the borrower’s probability of default over a two-year period. The credit score is based on a borrower’s historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit and bankruptcy experience. Credit scores range from approximately 250 to approximately 900, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a credit score purports only to be a measurement of the relative degree of risk a borrower represents to a lender (i.e., a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score). Lenders have varying ways of analyzing credit scores and, as a result, the analysis of credit scores across the industry is not consistent. In addition, it should be noted that credit scores were developed to indicate a level of default probability over a two-year period, which does not correspond to the life of a mortgage loan. Furthermore, credit scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general, and assess only the borrower’s past credit history. Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan characteristics) on the probability of repayment by the borrower. There can be no assurance that the credit scores of the mortgagors will be an accurate predictor of the likelihood of repayment of the related mortgage loans. Any delinquencies or defaults on mortgage loans underlying an MSR could reduce servicing fees on the related MSRs, increase servicing costs and therefore result in losses to the MSR Funds. Environmental Risks. Real property pledged as security for a mortgage loan may be subject to certain environmental risks. Under the laws of certain states, contamination of a property may give rise to a lien on the property to ensure payment of the costs of cleanup. In several states, such a lien has priority over the lien of an existing mortgage against the property. In addition, under the laws of some states and under the federal Comprehensive Environmental Response, Compensation and Liability Act of 1980, a lender may be liable, as an “owner” or “operator,”

for costs of addressing releases or threatened releases of hazardous substances that require remedy at a property if agents or employees of the lender have become sufficiently involved in the operations of the borrower, regardless of whether the environmental damage or threat was caused by a prior owner. A lender also risks such liability on foreclosure of the mortgage. Any such lien arising with respect to a mortgaged property would adversely affect the value of the mortgaged property and could make impracticable foreclosure on the mortgaged property in the event of a default by the related borrower. In addition, certain environmental laws impose liability for releases of asbestos into the air. Third parties may seek recovery from owners or operators of real property for personal injury associated with exposure to asbestos, lead paint, radon or other hazardous substances. Property owners in some areas have recently been subject to liability claims associated with mold. Violation of Various Federal, State and Local Laws May Result in Losses on the Mortgage Loans. Violation of certain Federal, state or local laws and regulations relating to the protection of consumers, unfair and deceptive practices and debt collection practices may limit the ability of Clients to collect all or part of the principal of or interest on the mortgage loans and, in addition, could subject Clients to damages and administrative enforcement. Special Assessments and Energy Efficiency Liens May Take Priority Over the Mortgage Lien. Mortgaged properties securing mortgage loans may be subject to the lien of special property taxes and/or special assessments. These liens may be superior to the liens securing the related mortgage loans, irrespective of the date of the mortgage. In some instances, individual mortgagors may be able to elect to enter into contracts with governmental agencies for Property Assessed Clean Energy (“PACE”) or similar assessments that are intended to secure the payment of energy and water efficiency and distributed energy generation improvements that are permanently affixed to their properties, possibly without notice to or the consent of the mortgagee. These assessments may also have lien priority over the mortgages securing the related mortgage loans. No assurance can be given that any mortgaged property so assessed will increase in value to the extent of the assessment lien. Additional indebtedness secured by the assessment lien would reduce the amount of the value of the mortgaged property available to satisfy the affected mortgage loan in the case of a sale or foreclosure of the related mortgaged property. Additional Risks Related to Investments in Mortgage Servicing Rights Sources of Servicing Income. Income related to MSRs is generated principally from three sources. Depending upon the servicing agreement applicable to the MSRs and the agreements that can be negotiated with subservicers, either the servicer or subservicer may be entitled to additional sources of servicing income. First, servicers are entitled to standard minimum servicing fees, which fees are based on a specified percentage of the mortgagor’s interest payments actually collected by the servicer. This fee is payable on a monthly basis, by the servicer retaining a portion of the interest payment collected from the borrower as its servicing fee and forwarding the remainder to the mortgage investor. In most cases, the investor or guarantor on whose behalf the loans are being serviced has no contractual obligation to pay the servicing fee to the servicer. Rather, the fee is contingent entirely on the ability of the servicer to collect either the borrower’s monthly payment or sufficient liquidation or insurance proceeds. Lakeview may share or split certain fees associated with the servicing of mortgage loans with a subservicer. Given the regulatory environment and the changes in servicing and

origination laws and regulations, there can be no assurance that such sharing or splitting of fees will not be prohibited or curtailed. Changes to the negotiated fees the MSR Fund Companies receive may have a material adverse impact on the MSR Funds. The scheduled amortization of principal payments on the loans will cause a corresponding reduction in the amount of the aggregate servicing fees. This is referred to as the “run-off.” Similarly, full or partial prepayment of a mortgage loan results in a termination of the servicing fee with respect to the prepaid balance of that mortgage loan. This means that the perceived likelihood of prepayment is a significant factor in valuing servicing. A second source of servicing income is fees and charges imposed on the borrower, generally by the servicer, such as late charges, assumption fees and other fees relating to the performance of specific servicing tasks either at the request of the borrower or as a result of a borrower action or omission to act. These fees may be limited by applicable state and federal law, the mortgage loan documents, the terms of the servicing agreements or the applicable servicing guides. Third, servicers can generate interest earnings, or “float,” on their maintenance of the principal and interest account and the escrow accounts between the time of the collection of payments by or on behalf of borrowers and the time of application of such funds. Many states, however, require servicers to pay interest to borrowers on their escrow accounts at a specified rate. Approvals and Licensing of Mortgage Loan Servicers. Lakeview and Guild are approved by Fannie Mae, Freddie Mac and Ginnie Mae to own MSRs. Lakeview, Guild and any of Lakeview’s subservicers are also subject to licensing requirements as owners of MSRs. If the number of states that require the licensing of owners of MSRs increases, or the states that require licensing impose additional obligations on the owners of MSRs, Lakeview’s and Guild’s costs could increase. Any of these outcomes may adversely affect Lakeview’s, Guild’s or any Subservicer’s operations or financial conditions and result in loss to the MSR Funds. Unlike competitors that are banks, Lakeview and Guild are subject to state licensing and operational requirements that result in substantial compliance costs. Because Lakeview and Guild are not depository institutions, they do not benefit from a federal preemption of certain state mortgage banking, loan servicing or debt collection licensing and regulatory requirements. Lakeview and Guild must comply with state licensing requirements and varying compliance requirements in all fifty states and the District of Columbia, and they are sensitive to regulatory changes that may increase costs through stricter licensing laws, disclosure laws or increased fees or that may impose conditions to licensing that they or their personnel are unable to meet. In addition, Lakeview and Guild are subject to periodic examinations by state regulators, which can result in refunds to borrowers of certain fees earned by Lakeview and Guild, and they may be required to pay substantial penalties imposed by state regulators due to compliance errors. Future state legislation and changes in existing regulation may significantly increase Lakeview’s and Guild’s compliance costs or reduce the amount of ancillary fees, including late fees, that it may charge to borrowers. This could make Lakeview’s and Guild’s business cost-prohibitive in the affected state or states and could materially affect Lakeview’s and Guild’s business. Loss of Licenses. The MSR Fund’s business would be adversely affected if its subsidiaries lose their licenses. Lakeview’s and Guild’s operations are subject to regulation, supervision and licensing under various federal, state and local statutes, ordinances and regulations. In most

states in which Lakeview and Guild operate, a regulatory agency regulates and enforces laws relating to mortgage servicing companies and mortgage originations companies. These rules and regulations generally provide for licensing as a mortgage servicing company, mortgage originations company or third party debt default specialist, requirements as to the form and content of contracts and other documentation, licensing of Lakeview’s and Guild’s employees and employee hiring background checks, licensing of independent contractors with which Lakeview and Guild contract, restrictions on collection practices, disclosure and recordkeeping requirements and enforcement of borrowers’ rights. In certain states, Lakeview and Guild are subject to periodic examination by state regulatory authorities. Some states in which Lakeview and Guild operate require special licensing or provide extensive regulation of their businesses. The states that currently do not provide extensive regulation of their businesses may later choose to do so, and if such states so act, Lakeview and Guild may not be able to obtain or maintain all requisite licenses and permits. The failure to satisfy those and other regulatory requirements and/or maintain all requisite licenses and permits could result in a default under Lakeview’s or Guild’s servicing agreements and have a material adverse effect on Lakeview’s or Guild’s operations. Subservicer and Termination Risk. Lakeview does not perform any servicing function or have the capacity to service MSRs. Lakeview customarily enters into subservicing agreements with subservicers that undertake to subservice the mortgage loans for Lakeview and the MSR Funds for a specified term (e.g., 2 or 5 years). The subservicers are responsible for satisfying most of the legal requirements and agency and loan owner’s guidelines that relate to the activities of collecting on, and enforcing the terms of, mortgage loans. Nevertheless, as Lakeview is contractually obligated to service the underlying mortgage loans, Lakeview has the ultimate responsibility to service the mortgage loans underlying the MSRs and to repurchase any loans from the underlying MSR pool in accordance with agency requirements. Therefore, a failure by a subservicer to satisfy the legal requirements or agency or mortgage investor’s guidelines may lead to: (i) Lakeview’s loss of approved status to service loans; (ii) demands for indemnification; (iii) criminal and civil liability; (iv) fines, penalties and loss of licensing; (v) administrative enforcement actions; and (vi) loan repurchase obligations. If a servicer termination event or event of default has occurred under a pooling and servicing agreement, Lakeview may be terminated as servicer without any right to compensation for the loss of such MSRs, other than the right to be reimbursed for any outstanding servicing advances as the related loans are brought current, modified, liquidated or charged off. Lakeview will generally provide in its subservicing agreements that subservicers will indemnify Lakeview and the MSR Funds for losses incurred from a subservicer’s failure to comply with contractual or regulatory requirements. Lakeview, however, may incur expenses in attempting to obtain and enforce such indemnification and, in certain circumstances (such as the bankruptcy of the subservicer), may not obtain full indemnification for its losses. In addition, servicing contracts may provide mortgage investors (or agencies) with the authority to terminate servicing rights without cause. In such a circumstance, Lakeview may be provided the right to sell the applicable MSRs to another servicer within a certain time frame. If the mortgage investor (or agency) does not provide Lakeview with such right, or Lakeview is unable to arrange a transfer of the MSRs in the time period provided, Lakeview may be paid a termination fee. The termination fee may be insufficient to cover the value of the MSR Funds’ investment in the MSRs. The MSR Funds’ loss of the MSRs would have a material adverse impact on investors. If (i) a subservicing agreement is terminated with respect to MSRs or (ii) a subservicer is permanently suspended as a servicer of mortgage loans by a regulatory agency or mortgage investor, there is no assurance that Lakeview will be able to find a suitable

replacement subservicer at a cost acceptable to Lakeview. Bayview believes that any contractual arrangements with any subservicers could be replicated given the competitive state of the market and the availability of qualified alternate vendors. However, the inability of the MSR Funds to procure a suitable replacement subservicer at an acceptable cost would have a materially adverse effect on MSR investments. Risks Associated with Mortgage Servicer Ratings. Moody’s, Standard & Poor’s and Fitch rate many mortgage servicers. These ratings are subject to change in the future without notice. Servicer ratings are important to any servicer’s (including Lakeview and Guild) ability to finance servicing advances. For example, the amount of debt that is permitted to be outstanding under any advance financing facility may decrease with downgrades in the servicer ratings of the subservicers. Downgrades in the servicer ratings of subservicers could also affect the terms of advance financing facilities that Lakeview may enter into, as lenders may require higher interest rates or may limit the amount of money that Lakeview can borrow to finance servicing advances if subservicers’ ratings are deemed by the lenders to be too low. In addition, certain pooling and servicing agreements may also require that the servicer maintain specified servicer ratings. The failure of a subservicer to maintain the specified rating may result in Lakeview’s termination as servicer. Accordingly, any such downgrade could have an adverse effect on Lakeview’s business, financing activities, financial condition and result in losses to the MSR Funds. Risks Associated with Loan Origination in the MSR Funds. The MSR Funds may be subject to liability for potential violations of various lending laws and additional costs associated with state and federal licensing in connection with loans that its subsidiaries originate as part of its loan origination business. Residential mortgage loan originators and servicers are required to comply with various federal, state and local laws and regulations, including anti-predatory lending laws and laws and regulations imposing certain restrictions and requirements on “high cost” loans. Licensing laws may also require disclosure of certain investors’ names if their beneficial ownership exceeds a certain percentage (typically 5-10% or more) of the regulated servicer. Continued changes in legislation and licensing laws may also require technology updates and additional implementation costs for loan originators. Such legislative changes will likely continue for the foreseeable future and may increase the MSR Fund’s operating expenses related to its loan origination services. Additionally, in connection with the loan origination business, the MSR Fund may be required to repurchase loans previously originated by its subsidiaries or by third parties or may originate loans that are not salable to the agencies. There is a risk that the MSR Fund may be required to indemnify the agencies for loans it originates if such loans fail to meet certain criteria or characteristics. Many contracts with purchasers of whole loans (and the agencies) contain provisions that require originators to indemnify or repurchase the related loans under certain circumstances. While specific contracts will vary, they may contain provisions that will require the MSR Fund to repurchase loans if: (i) its representations and warranties concerning loan quality and loan circumstances are inaccurate, including representations concerning the licensing of a mortgage broker; (ii) it fails to secure adequate mortgage insurance within a certain period after closing; (iii) a mortgage insurance provider denies coverage; or (iv) it fails to comply, at the individual loan level or otherwise, with regulatory requirements in the current dynamic regulatory environment. The risk of the MSR Fund’s losses from representations and warranties may be mitigated if the originator or third-party lender of a loan is obligated to repurchase such loan, although there can be no assurance that such mitigation will occur. The MSR Fund may have the right to seek a repurchase or indemnity from such originator or third44

party lender, although there can be no assurance that the MSR Fund will have such rights. However, to the extent the MSR Fund is required to indemnify or repurchase loans that it originates and sells or securitizes that result in losses that exceed its projections, this could adversely affect business operations and result in losses to the MSR Funds. Foreclosure and Bankruptcy. When delinquent mortgage loans are resolved through foreclosure, the unpaid balance of such loans may cease to be a part of the aggregate unpaid principal balance. Also, delinquent mortgage loans resolved through foreclosure generally require more servicing advances over a longer time horizon prior to reimbursement as compared with servicing advances made with respect to delinquent mortgage loans that are resolved through repayment or permitted loan modifications. Accordingly, foreclosures could reduce the return to Clients and amount of servicing fees to which the MSR Fund and its controlled affiliates are entitled and increase servicing costs, which could result in losses to MSR Funds. Further, some legislatures have instituted stringent proof of ownership requirements that a servicer must satisfy before commencing a foreclosure action, which could increase costs or provide delays in foreclosure. Legal Proceedings. Legal proceedings, state or federal governmental examinations or enforcement actions and related costs could have a material adverse effect on the MSR Fund’s liquidity, financial position and results of operations. The MSR Fund will be routinely involved in legal proceedings concerning matters that arise in the ordinary course of its business. These legal proceedings range from actions involving a single plaintiff to class action lawsuits. An adverse result in governmental investigations or examinations or private lawsuits, including purported class action lawsuits, may adversely affect the MSR Fund’s financial results. In addition, a number of participants in the origination and servicing industry have been the subject of purported class action lawsuits and regulatory actions by state regulators, and other industry participants have been the subject of actions by state Attorneys General. Litigation and other proceedings may require that the MSR Fund pay settlement costs, legal fees, damages, penalties or other charges, any or all of which could adversely affect Lakeview’s financial results. In particular, ongoing and other legal proceedings brought under state consumer protection statutes may result in a separate fine for each violation of the statute, which, particularly in the case of class action lawsuits, could result in damages substantially in excess of the amounts the MSR Fund earned from the underlying activities and that could have a material adverse effect on the MSR Fund’s liquidity, financial position and results of operations. Agency Compensatory Fee Risk to the MSR Funds. The agencies may impose compensatory fees if the MSR Fund does not complete foreclosure within prescribed time frames. The agencies require routine, uncontested foreclosure proceedings to be completed within prescribed foreclosure time frames, representing the allowable time lapses between the time the case is referred to the attorney (or trustee) to commence a foreclosure action and the completion of the foreclosure sale. These timelines are based on the agencies’ interpretation of the legal requirements of the applicable jurisdiction and presume that there are no delays outside the control of the servicer or attorney. For instance, Freddie Mac and Fannie Mae reserve the right to charge a compensatory fee for delays in completing the foreclosure process based on Freddie Mac’s or Fannie Mae’s, as applicable, monthly monitoring of the servicer’s management of the foreclosure process. The compensatory fee is calculated based on the outstanding principal balance of the mortgage loan (regardless of the value of the property or the estimated liquidation proceeds), the applicable pass-through rate, the length of the delay, and any additional foreclosure costs that are directly attributable to the delay. In addition to

proving the reason for the delay, the servicer is required to demonstrate that it diligently worked toward resolution of the delay to the extent feasible and reported the reasons for the delay in a timely and accurate manner based on delinquency status codes established by the agencies. The agencies state that they rely on the delinquent loan status data submitted by the servicer as definitively and conclusively reflecting the status of a loan for purposes of the assessment and collection of compensatory fees for delays in liquidating delinquent loans and reserve the right to reject any information provided by the servicer to support a status code that is different from the one reported, even if they were not prejudiced by the changes in information. Compensatory fees are not imposed in lieu of other remedies that the agencies retain under their contracts for servicing breaches. The timelines established by the agencies do not necessarily represent the average time it would take a servicer to diligently pursue an uncontested foreclosure in a particular jurisdiction and there is no certainty that the MSR Fund will meet these timelines in individual cases or report the reasons for the delay in a timely and accurate manner. Failure to meet these time frames on a regular basis likely will result in the imposition of significant compensatory fees. It is anticipated that potential penalties will be priced into MSR acquisitions, however there can be no assurance that such anticipated penalties will be sufficient to cover the actual penalties. Even though servicing may be undertaken by subservicers, the ultimate responsibility for any penalty will be borne by the MSR Fund, as the owner of the MSRs. Risk of Prepayment and Default. If a mortgage loan is prepaid, the related servicing rights will generate no further income for an MSR investor. If a mortgage loan goes into default, the servicer may not collect a servicing fee for such mortgage loan while it is in default. Following liquidation, the servicing rights on a defaulted mortgage loan will not generate further income for an MSR investor. In addition, the servicer may incur certain costs in connection with foreclosure proceedings on defaulted mortgage loans for which it may not be fully reimbursed. Rates of mortgage loan defaults and prepayments are determined by numerous factors beyond the control of Clients, including, among others, changes in interest rates, economic trends both nationally and within particular geographical areas, changes in real estate values and changes in federal, state and local laws. Clients may attempt to hedge against the risks involved from borrower prepayment and default by purchasing and/or selling certain financial instruments. There can be no assurance that such actions will be effective, and Clients will not be required to hedge any particular risk in connection with a particular transaction or its portfolio generally. Advance and Credit Risk. Pursuant to its servicing agreements, the MSR Fund may be obligated to make advances to pay taxes, mortgage and hazard insurance premiums, foreclosure expenses, repair and preservation expenses and other similar items. Bayview expects that the subservicing agreements will provide that the subservicers will make all advances and receive reimbursement from the servicer only if the advances are unrecoverable. In other cases, the servicer reimburses subservicers for advances made by such subservicers on a periodic basis prior to the subservicer’s attempts to recover such advances. In certain instances, the servicer of mortgage loans will have an obligation to advance funds irrespective of its expectation or ability to be reimbursed, in the case, for example, of property taxes, hazard insurance premiums and principal and interest, if applicable. With respect to certain servicing agreements, primarily relating to MSRs in which the underlying mortgage loans have been pooled and securitized, the servicer may also be required to advance all or part of the scheduled mortgage payments where loan payments are delinquent.

If a mortgagor prepays a mortgage loan, the mortgage servicer may be required to pay interest on the related securities until the end of the month to which the prepayment relates. For the most part, the servicer will have the right to be reimbursed for such advances out of any available funds subsequently collected from (i) the resumption of mortgage payments by a delinquent borrower, (ii) in the case of non-agency MSRs, liquidation proceeds realized upon the sale of a mortgaged property following foreclosure or other means of acquiring title, (iii) in the case of Ginnie Mae MSRs, insurance proceeds realized upon the submission of a claim by the servicer on insurance policies maintained on behalf of the mortgage investor, or (iv) in the case of Fannie Mae and Freddie Mac MSRs, reimbursement by the mortgage investor if the other sources prove to be insufficient. Not all advances, however, are reimbursable. Advances to securities holders for interest shortfalls on mortgage loan prepayments may not be recoverable. In the case of mortgage loans insured by the Federal Housing Administration (“FHA”), only two thirds of foreclosure related expenses, or the costs of acquiring title to the mortgaged property, are reimbursable and other fees and expenses are reimbursable only to prescribed limits. In addition, there may be deductions from the reimbursement if the foreclosure of loans in default is not conducted within prescribed time frames. In addition, the MSR Fund may be required to absorb the costs of funds advanced during the time an advance is outstanding. Payments to servicers generally continue during the delinquency of a mortgage loan. Therefore, while certain advances relating to foreclosure proceedings on defaulted mortgage loans may be unrecoverable, the advance risk associated with nonrecourse servicing is primarily a matter of cash flow timing rather than a credit risk. The obligation to make advances and the delay in receipt of reimbursement could have a negative impact on the MSR Funds’ cash flow. Ginnie Mae servicing, however, involves some recourse features with regard to certain U.S. Department of Veteran Affairs (the “VA”) and U.S. Department of Agriculture (“USDA”) loans where the servicer is required to share credit losses with the holders of the securities. For VA-guaranteed mortgage loans under the Ginnie Mae program, the servicer may be subject to a credit loss if the underlying mortgaged property is sold in foreclosure or valued by the VA at a price that is insufficient, along with VA guaranty benefits, to satisfy the outstanding indebtedness of a loan. Additionally, as part of the Ginnie Mae program, loans may be repurchased if they are delinquent or modified, which may result in Lakeview or Guild owning such whole loans. Additional Risks Associated with Advances by Subservicers in the MSR Funds. Although the MSR Fund will be responsible for funding servicing advances, Lakeview’s subservicers will be responsible for ensuring that servicing advances are made in compliance with the terms of the pooling and servicing agreements relating to the MSRs and their stop loss policy so that the servicing advances with respect to a mortgage loan do not exceed the amount expected to be collected with respect to such mortgage loan. Servicing advances that are improperly made may not be eligible for financing under the advance financing facility relating to the MSRs and may not be reimbursable by the owner of the mortgage loan or the related securitization trust, which would reduce the MSR Fund’s liquidity and may result in losses to the MSR Funds. In the event a subservicer fails to remit advances, the MSR Fund would be responsible. If the MSR Funds are unable to make such advances, it could result in the termination or loss of MSRs and/or other material adverse consequences to the MSR Funds and their investments. Furthermore, certain interest advanced by a servicer for a FHA loan may not be fully reimbursable by the FHA under its guidelines.

Violations of Federal, State and Local Laws that may Result in Losses on Mortgage Loans, Rescission of the Loans or Penalties that may Adversely Impact Clients’ Income. A loan seller’s failure to comply with certain requirements of federal and state laws could subject the seller (and any subsequent holders of the mortgage loans) or servicer to monetary penalties or may limit the ability of Clients to collect all or part of the principal of or interest on the mortgage loans, even if the subsequent holder or servicer was not responsible for and was unaware of those violations. These adverse consequences vary depending on the applicable law and may vary depending on the type or severity of the violation, but they can include: •

the inability of the holder of the loan to collect all of the principal and interest otherwise due on the loan;

•

the right of the homeowner to a refund of amounts previously paid (which may include amounts financed by the loan), or to set off those amounts against his or her future loan obligations;

•

the liability of the servicer and the mortgage investor for actual damages, statutory damages and punitive damages, civil or criminal penalties, costs and attorneys’ fees; and

•

in limited circumstances, the ability of the homeowner to rescind, or cancel, the loan.

The terms of the documents under which the MSR Funds intend to purchase MSRs may entitle the holders of the loans to contractual indemnification against these liabilities. For example, the sellers of loans typically represent that each mortgage loan was made in compliance with applicable federal and state laws and regulations at the time it was made. If there is a material breach of that representation, the seller may be contractually obligated to cure the breach or repurchase or replace the affected mortgage loan. If the seller is unable or otherwise fails to satisfy these obligations, the value of the MSRs might be materially and adversely affected. Consequently, holders of interests of the MSRs might ultimately have to absorb the losses arising from the sellers’ violations. While Bayview will attempt to take these factors into account in the prices to be paid for MSRs, there can be no assurances concerning the validity of the assumptions used in pricing decisions. Similar risks apply to the loans that serve as security for MBS and the documentation governing those loans and the MBS. Risks Associated with Assumptions in Determining Purchase Price. The success of the MSR Funds will be highly dependent upon accurate pricing of MSRs and other assets. In determining the purchase price for MSRs (and MBS in certain instances), Bayview may make assumptions regarding the rates of prepayment and repayment of the underlying mortgage loans, the amount of future servicing advances; projected rates of delinquencies and defaults; future interest rates; and the costs associated with engaging subservicers to service the loans. If any of Bayview’s assumptions regarding the MSRs or other assets acquired are inaccurate or the basis for such assumptions change, the price paid to acquire such MSRs or other assets may prove to be too high, which could result in losses to Clients. Limited Investigation of MSRs. While Bayview will conduct reasonable due diligence of prospective MSRs prior to their purchase by the MSR Funds, it will not be possible to perform an investigation that is certain to identify all negative factors with respect to the seller or the MSRs due to the number of mortgage loans involved in each portfolio, the cost of conducting

such an investigation and limitations on available time. Thus, various negative factors concerning the seller or the MSRs may come to light after the MSR Funds have acquired the portfolio. The acquisition agreements that the MSR Funds use when acquiring MSRs generally do not limit the MSR Funds’ right to seek indemnification from the seller for defects in the MSRs that the MSR Funds either discovered or failed to discover during its investigation. Origination Defects. The mortgage loans acquired through TPO or underlying the MSR Funds’ MSRs may have been originated by financial institutions or other entities that are insolvent, in serious financial difficulty or no longer in existence. As a result, the standards by which such investments were originated, the recourse to the selling institution, or the standards by which such investments are being serviced or operated may be adversely affected. Successor in Interest to the Representations and Warranties of the Originator. In many instances, servicing contracts may require that the servicer assume the original sales representations and warranties relating to the mortgage loans underlying the MSRs that were made by the seller of such mortgage loans. If those representations and warranties have been breached, Lakeview may be required to repurchase such mortgage loans. Any subsequent loss on such repurchased mortgage loans on their resale or foreclosure by Lakeview would be borne by the MSR Funds, subject to any indemnification rights the MSR Funds may have in its contract with the seller of the MSRs. The MSR Funds have provided, and intend to continue to provide, in their agreements relating to the acquisition of MSRs that the seller of MSRs to the MSR Funds will indemnify the MSR Funds for any losses they incur as a result of the seller’s, any prior servicer’s or any originator’s non-compliance with contractual or regulatory requirements. Again, the MSR Funds may incur expenses in attempting to obtain indemnification and, in certain circumstances, may not obtain full indemnification for their losses. The MSR Funds have performed, and intend to continue to perform, due diligence investigations on MSRs the MSR Funds purchase, although there can be no assurance that such investigations will uncover all such breaches. Additional Risks Related to Investments in Mortgage-Backed and Asset-Backed Securities Mortgage-Backed and Asset-Backed Securities Generally. Clients may invest in MBS and asset-backed securities (“ABS”), including subordinated tranches of such securities. The value of MBS and ABS will be influenced by factors affecting the value of the underlying assets, and by the terms and payment histories of such MBS and ABS. The MBS and ABS contemplated to be acquired by Clients may not be rated, or may be rated lower than investment-grade securities, by one or more nationally recognized statistical rating organizations. Lower-rated or unrated MBS and ABS, or “B-pieces,” in which Clients intend to invest have speculative characteristics and can involve substantial financial risks as a result. The prices of lower credit quality securities have been found to be less sensitive to interest rate changes than more highly rated investments, but more sensitive to adverse economic or real estate market conditions or individual issuer concerns. Securities rated lower than “B” by the rating organizations can be regarded as having extremely poor prospects of ever attaining any real investment standing and may be in default. Existing credit support and the owner’s equity in the property may be insufficient to protect Clients from loss. As an investor in subordinated MBS and ABS in particular, Clients will be first in line among debt holders to bear the risk of loss from delinquencies and defaults experienced on the collateral.

Clients may acquire subordinated tranches of MBS and ABS issuances. In general, subordinated tranches of MBS and ABS are entitled to receive repayment of principal only after all principal payments have been made on more senior tranches and also have subordinated rights as to receipt of interest distributions. Such subordinated tranches are subject to a greater risk of non-payment than are senior tranches of MBS and ABS or MBS and ABS backed by third-party credit enhancement. In addition, an active secondary market for such subordinated securities is not as well developed as the market for certain other mortgagebacked securities. Accordingly, such subordinated MBS and ABS may have limited marketability and there can be no assurance that a more efficient secondary market will develop. Some investment characteristics of MBS and ABS differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that the principal may be prepaid at any time because the underlying mortgages (or other assets) generally may be prepaid at any time. The frequency with which prepayments (including voluntary prepayments by the obligors and liquidations due to defaults and foreclosures) occur on loans and other assets underlying MBS and ABS will be affected by a variety of factors including the prevailing level of interest rates as well as economic, demographic, tax, social, legal and other factors. Generally, mortgage obligors tend to prepay their mortgage loans when prevailing mortgage rates fall below the interest rates on their mortgage loans. Although ABS are generally less likely to experience substantial prepayments than are residential MBS, certain of the factors that affect the rate of prepayments on residential MBS also affect the rate of prepayments on ABS. Typically, commercial mortgage loans are not prepayable or are subject to prepayment penalties or interest rate adjustments, while the principal on most residential mortgage loans generally may be prepaid at any time without penalty. Particular investments may experience outright losses, as in the case of an interest only security in an environment of accelerated actual or anticipated prepayments. Particular investments will be affected by the credit quality of their underlying loan and the creditworthiness of the borrower. Also, particular investments may underperform relative to hedges that Clients may have constructed in these investments, resulting in a loss. Residential MBS. Clients may invest in residential MBS (“RMBS”) including subordinated tranches of RMBS. RMBS represent interests in pools of residential mortgage loans secured by one- to four-family residential mortgage loans. The value of RMBS will therefore be influenced by factors affecting the value of the underlying portfolio or mortgage loans, as discussed below, and by the terms and payment histories of such RMBS. These risks, which are discussed below in the context of the underlying mortgage loans and the mortgage market in general, include, without limitation, default, delinquencies, prepayment and modification risks, as well as interest rate and general market risks. In addition, residential mortgage loans underlying RMBS may be subject to various federal and state laws, public policies and principles of equity that protect consumers, delay foreclosures or permit or encourage modifications, which could have an adverse effect on the value of a mortgage loan and the corresponding RMBS. Violation of such laws, public policies and principles may limit the servicer’s ability to collect all or part of the principal or interest on a residential mortgage loan, entitle the borrower to a refund of amounts previously paid by it, or subject the servicer to damages and sanctions. Any such violation could also result in cash flow delays and losses on the related issue of RMBS.

The value of RMBS and other mortgage-backed securities in which Clients may invest generally will have an inverse relationship with interest rates. Accordingly, if interest rates rise, the value of such securities will decline. In addition, to the extent that the mortgage loans which underlie specific mortgage-backed securities are prepayable, the value of such mortgage securities may be negatively affected by increasing prepayments, which generally occur when interest rates decline. In addition, it is not expected that RMBS will be guaranteed or insured by any governmental agency or instrumentality or by any other person. Distributions on RMBS will depend solely upon the amount and timing of payments and other collections on the related underlying mortgage loans. Servicing Advances. Most RMBS transactions will have provided for the servicers to make certain monthly advances (of principal and interest) and servicing advances pursuant to the applicable servicing agreements. As indicated above, the costs of servicing an increasingly delinquent mortgage loan portfolio may be rising without a corresponding increase in servicing compensation. Any regulatory oversight, proposed legislation and/or governmental intervention designed to protect consumers or otherwise may have an adverse impact on servicers and, as a result, may have an adverse impact on mortgage loans and on RMBS. These factors, among others, may have the overall effect of increasing costs and expenses of servicers while at the same time decreasing servicing cash flow. Such financial difficulties may have a negative effect on the ability of servicers to pursue collections on mortgage loans that are experiencing increased delinquencies and defaults and to maximize recoveries on the sale of underlying properties following foreclosure. Increased levels of delinquencies and defaults on subprime, Alt-A, other non-prime and prime mortgage loans also have resulted in increases in the amounts of advances by servicers of pooled mortgage loans. Many servicers are experiencing advance requirements that are significantly higher in total dollar amount than was anticipated and this can create liquidity or capacity pressures for these servicers. In addition, a servicer may generally stop advancing on a mortgage loan when, in the good faith exercise of its servicing judgment, it believes the proposed advance would not ultimately be recoverable from the related mortgagor, related liquidation proceeds or other recoveries in respect of the mortgage loan. There can be no assurance as to the current or continuing financial condition of any mortgage servicer or its ability to access markets for financing such advances. When home values depreciate, servicers have to reconsider their assumptions regarding when to make monthly advances and servicing advances to avoid making such advances beyond the time that reimbursement for such advances would be unlikely. Falling home prices result in higher loan-to-value ratios and combined loan-to-value ratios which yield lower recoveries in foreclosure, and an increase in loss severities above those that would have been realized had property values remained the same or continued to increase. If servicers make advances that are not recoverable from the proceeds of the related foreclosure, Clients’ investments in RMBS could suffer losses. In addition, in the event an RMBS servicer determines not to advance, the related RMBS trust will suffer an interest rate shortfall which may result in bond interest shortfalls and may result in lower available credit protection provided that this interest serves as a form of credit enhancement (“excess interest”). In the event of any bankruptcy cramdown legislation or equivalent change based on industry settlements or regulatory requirements, where the servicer can recoup prior advances upon modification and reduce the mortgage interest rate or forbear principal of the underlying mortgage loans, there is the risk that the interest available to the underlying securitization will be reduced in some instances, increasing bond interest rate shortfalls and decreasing the overall credit protection of the bond. In addition,

this modification of interest rates, specifically by changing adjustable rate loans into a modified loan with a fixed rate, will potentially increase the mismatch between the bond interest adjustment features and the underlying loans. This potential decline in RMBS bond interest may increase the risk of leverage and the basis mismatch between the underling bonds and the financing. Although RMBS transactions may provide that the loan servicer is required to make advances in respect of delinquent mortgage loans, servicers experiencing financial difficulties, including those resulting from or exacerbated by servicing-related settlements with governmental entities, regulators or as a result of various civil lawsuits, may not be able to perform these obligations. Servicers who have sought bankruptcy protection may, due to application of the provisions of bankruptcy law, not be required to advance such amounts. Even if a servicer were able to advance amounts in respect of delinquent mortgage loans, its obligation to make such advances may be limited to the extent that it does not expect to recover such advances due to the deteriorating credit of the delinquent mortgage loans. In addition, a servicer’s obligation to make such advances may be limited to the amount of its servicing fee. There may be contractual differences related to the requirement of the servicer to advance delinquent principal and interest. Commercial MBS. Mortgage loans on commercial properties underlying MBS often are structured so that a substantial portion of the loan principal is not amortized over the loan term and is instead payable at maturity. Repayment of the loan principal therefore often depends upon the future availability of real estate financing from the existing or an alternative lender and/or upon the current value and salability of the real estate. Therefore, the unavailability of real estate financing may lead to default. Many commercial mortgage loans underlying MBS 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 MBS are likely to be adversely affected. The ultimate extent of the loss, if any, to the subordinated classes of MBS 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 MBS. Revenues from the assets underlying such MBS 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. Asset-Backed Securities. Through the use of trusts and special purpose corporations, various types of assets (for example, credit card receivables, automobile, boat and recreational vehicle installment sales contracts, commercial and industrial bank loans, home equity loans and lines of credit, manufactured housing loans, corporate debt securities, student loans and various types of accounts receivable) are securitized in pass-through structures. Clients may invest either directly or indirectly, through collateralized debt obligations (“CDOs”), in these and other types of ABS that may be developed in the future.

ABS present certain risks that are not presented by MBS. Primarily, these securities do not have the benefit of the same security interest in the related collateral. Credit card receivables, for example, are generally unsecured and the debtors are entitled to the protection of a number of state and federal consumer loan laws, many of which give such debtors the right to set off certain amounts owed on the credit cards, thereby reducing the balance due. Most issuers of automobile receivables permit the servicers to retain possession of the underlying obligations. If the servicer were to sell these obligations to another party, there is a risk that the purchaser would acquire an interest superior to that of the holders of the related automobile receivables. In addition, because of the large number of vehicles involved in a typical issuance and technical requirements under state laws, the trustee for the holders of the automobile receivables may not have a proper security interest in all of the obligations backing such receivables. Therefore, there is a possibility that recoveries on repossessed collateral may not, in some cases, be available to support payments on these securities. Student loans receivables are highly susceptible to prepayment risk and extension risk due to actions taken by individual borrowers and other variables beyond the issuer’s control. For example, student loans may be extended as a result of grace periods, deferment periods and, under some circumstances, forbearance periods, which may lengthen the remaining term of the student loans and delay principal payments. The risk of investing in asset-backed securities is ultimately dependent upon payment of consumer loans by the debtor. The collateral supporting ABS is of shorter maturity than mortgage loans and is less likely to experience substantial prepayments. As with MBS, ABS are often backed by a pool of assets representing the obligations of a number of different parties and use credit enhancement techniques such as letters of credit, guarantees or preference rights. The value of an ABS is affected by changes in the market’s perception of the asset backing the security and the creditworthiness of the servicing agent for the loan pool, the originator of the loans or the financial institution providing any credit enhancement, as well as by the expiration or removal of any credit enhancement. “Widening” Risk. For reasons not necessarily attributable to any of the risks enumerated above (for example, supply/demand imbalances or other market forces), the prices of the securities in which Clients invest may decline substantially. In particular, purchasing assets at what may appear to be “undervalued” levels is no guarantee that these assets will not be trading at even more “undervalued” levels at a time of valuation or at the time of sale. It may not be possible to predict, or to hedge against, such “spread widening” risk. Additional Risks Related to Investments in Commodities, Derivatives and Distressed and High-Yield Securities Trading in Commodities and Derivatives. Certain Clients may utilize derivative instruments such as options, futures, forward contracts, total return swaps, credit default swaps, swaptions, and interest rate swaps, caps and floors, both for investment purposes and to hedge against fluctuations in the relative values of its positions. These are instruments whose values are based upon underlying assets, indices or reference rates or a combination of these, and generally represent future commitments to exchange cash flows or to purchase or sell other financial instruments (or make an equivalent cash payment) at specified future dates. Certain derivatives (options and credit default swaps in particular) may have intrinsic value separate from the value of underlying assets based upon market perception of creditworthiness or expected volatility in the value of the asset. The use of derivatives involves a variety of material risks, including the possibility of counterparty non-performance as well as of deviations between the actual and

theoretical value of the derivatives. Derivatives also are inherently subject to two sources of risk: risk of loss due to adverse changes in the value of the underlying asset and risk of loss due to the insolvency or creditworthiness of the counterparty. In addition, the markets for certain derivatives may be illiquid. Derivatives are typically intrinsically leveraged investments that may entail investment exposures that are greater than the initial amount of collateral required to enter into the derivative, meaning that an investment in a derivative could ultimately incur losses many times greater than the initial collateral requirements and could therefore have a disproportionate effect on the performance of such Clients. Clients could also experience losses if the derivatives that are acquired or sold as a hedge are poorly correlated with the investment to be hedged, or if such Clients are unable to liquidate a position because of an illiquid secondary market. Changes in liquidity may result in significant, rapid and unpredictable changes in the prices for derivatives. Certain Clients may trade commodities, futures and options, and may enter into swap agreements. The prices of commodities contracts and all derivative instruments, including futures and options, may depend upon a number of factors, including the prices of the underlying assets and may be highly volatile. Price movements of commodities, futures and options contracts and payments pursuant to swap agreements are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies. In addition, Clients are subject to the risk of failure of any of the exchanges on which they trade, their clearinghouses or the clearing brokers through which their trades clear. In the case of commodity contracts traded on non-U.S. exchanges and certain derivative instruments, Clients may be subject to the risk of the inability of, or refusal by, the counterparty to perform. In addition, profits realized in non-U.S. markets could be eliminated by adverse changes in the applicable currency exchange-rate, or Clients could incur losses as a result of those changes. General Risks of CDO and CLO Investments. The value of the CDOs and CLOs owned by Clients generally will fluctuate with, among other things, the financial condition of the obligors or issuers of the underlying portfolio of assets of the related CDO or CLO (“CDO/CLO Collateral”), general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. Consequently, holders of CDOs and/or CLOs must rely solely on distributions on the CDO/CLO Collateral (as applicable) or proceeds thereof for payment in respect thereof. CDO/CLO collateral may consist of high yield debt securities, loans, ABS and other instruments, which often are rated below investment grade (or of equivalent credit quality). The lower ratings of high yield securities and below investment grade loans reflect a greater possibility that adverse changes in the financial condition of an issuer or in general economic conditions or both may impair the ability of the related issuer or obligor to make payments of principal or interest. In addition, the lack of an established, liquid secondary market for some CDOs and CLOs (CDO and CLO equity securities in particular) may have an adverse effect on the market value of those CDOs or CLOs (as applicable) and will in most cases make it difficult to dispose of such CDOs or CLOs at market or near-market prices. Total Return Swaps and Index Swaps. Certain Clients may enter into total return and index swaps. Total return and index swaps are used as substitutes for owning or shorting the physical

securities that comprise a given market index, or to obtain long or short exposure in markets where no physical securities are available, such as an interest rate index. Total return refers to the payment (or receipt) of an index’s total return, which is then exchanged for the receipt (or payment) of a floating interest rate. Total return swaps provide Clients with the additional flexibility of gaining or shedding exposure to a market or sector index by using the most costeffective vehicle available. There can be no assurance that the price relationship between the cash-market security or index and the total return or index swap will remain constant, and events unrelated to the underlying securities or index (such as those affecting availability of borrowed money and liquidity, or the creditworthiness of a counterparty) can cause the price relationship to change. This risk is known as “basis risk.” Basis risk may cause Clients to realize a greater loss on an investment in synthetic form than might otherwise be the case with cashmarket securities. To the extent Clients use total return or index swaps to hedge risk, basis risk may cause the hedge to be less effective or ineffective. Structured Investment Products. Certain Clients may invest in, or otherwise participate in a variety of different structured investment products; for example, total return swaps, participating notes, credit risk transfer securities and agreements, options, credit default swaps and collateralized debt obligations. These structured products involve not only the risks of the underlying “reference asset,” but also other risks including, without limitation, acceleration of the financing embedded in the structure, counterparty credit risk, and/or restrictions imposed on the management and nature of the permissible reference assets and costs of creating the structured products. Credit Default Swaps. Certain Clients may enter into credit derivative contracts such as credit default swaps (“CDS”), LCDS, CDX, CMBX and LCDX contracts. The typical CDS and LCDS contract requires the seller to pay to the buyer, in the event that a particular reference entity experiences specified credit events, the difference between the notional amount of the contract and the value of a portfolio of securities or loans issued by the reference entity that the buyer delivers to the seller. In return, the buyer agrees to make periodic and/or upfront payments equal to a fixed percentage of the notional amount of the contract. Clients may also purchase or sell credit default swaps on a basket of reference entities or an index. In circumstances in which Clients do not own the debt or loans that are deliverable under a credit default swap, Clients will be exposed to the risk that deliverable securities or loans will not be available in the market, or will be available only at unfavorable prices, as would be the case in a so-called “short squeeze.” In certain instances of issuer defaults or restructurings, it has been unclear under the standard industry documentation for credit default swaps whether a “credit event” triggering the seller’s payment obligation had occurred. In either of these cases, Clients would not be able to realize the full value of the credit default swap upon a default by the reference entity. As a seller of credit default swaps, Clients incur leveraged exposure to the credit of the reference entity and are subject to many of the same risks they would incur if they were holding debt securities or loans issued by the reference entity. However, Clients will not have any legal recourse against the reference entity and will not benefit from any collateral securing the reference entity’s debt obligations. In addition, the credit default swap buyer will have broad discretion to select which of the reference entity’s debt obligations to deliver to Clients following a credit event and will likely choose the obligations with the lowest market value in order to maximize the payment obligations of Clients. 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 Clients’ ability to otherwise productively deploy any capital that is committed with respect to such contracts.

Synthetics. Clients may invest in various securities, derivatives, indexes and cash equivalents and related instruments both to hedge their portfolio positions and to seek to meet Clients’ investment objectives opportunistically, including (i) futures and forward contracts; (ii) swaps, including, credit default swaps, baskets of credit default swaps, total return swaps and index swaps, interest rate swaps; (iii) options, warrants, caps, collars, floors, swaptions and forward rate agreements; (iv) other synthetic opportunities (e.g., ABX, IOS, and CMBX); (v) other securities (including equities), indexes and exchange traded funds; and (vi) cash (including U.S. treasuries and RMBS). Investments in the agency market can take the form of derivatives such as interest only or inverse interest only securities, specified pools, TBAs, other structured bonds such as CMOs, as well as synthetic indices such as IOS, POS, CMBX and MBX. Synthetic indices can be used to express outright longs and shorts or as hedging tools against cash positions. Clients may use such financial instruments for risk management purposes to: (i) protect against possible changes in the market value of Clients’ investment portfolio resulting from fluctuations in the markets and changes in interest rates; (ii) enhance or preserve returns, spreads or gains on investments; (iii) protect against any increase in the price of any investment Clients anticipate purchasing at a later date; or (iv) act for any other reason that the Registrant deems appropriate. Clients will not be required to hedge any particular risk in connection with a particular transaction or their portfolio generally. While Clients may enter into hedging transactions to seek to reduce risk, such transactions may result in a poorer overall performance for Clients than if they had not engaged in any such hedging transaction. Moreover, the portfolio will always be exposed to certain risks that may not be hedged. Hedging with Derivative Instruments. Clients intend to use derivative financial instruments, including without limitation, futures, swaps, options, floors, total return swaps, and CDS, IOS, POS, LCDS, CDX, LCDX, ABX and CMBX contracts, primarily for leveraging and hedging purposes. The use of derivative instruments involves a variety of material risks, including the high degree of leverage often embedded in such instruments and the possibility of counterparty non-performance, as well as of material and prolonged deviations between the actual and the theoretical value of a derivative (i.e., non-conformance to anticipated or historical correlation patterns). In addition, the markets for certain derivatives are frequently characterized by limited liquidity, which can make it difficult as well as costly to Clients to close out positions in order either to realize gains or to limit losses. Many of the derivatives that Clients trade in will be principal to principal or “over the counter” contracts between Clients and third parties entered into privately, rather than on an exchange. As a result, Clients are not afforded the regulatory and financial protections of an exchange or its clearinghouse (or of the government regulator that oversees such exchange and clearinghouse). In privately negotiated transactions, the risk of the negotiated price deviating materially from fair value is substantial, particularly when there is no active market available from which to derive benchmark prices. Many derivatives are valued on the basis of dealers’ pricing of these instruments. However, the price at which dealers value a particular derivative and the price that the same dealers would actually be willing to pay for such derivative should Clients wish or be forced to sell may be materially different. Such differences can result in an overstatement of Clients’ net assets and could materially adversely affect Clients in situations in which Clients are required to sell derivative instruments. Interest-only securities (“IOS”) may be utilized by Clients for hedging or other investment purposes. An IOS is a synthetic total return swap index that references the interest component

of various coupons of 30-year fixed rate agency pools of loans. Indices are generally categorized by net coupon and yearly vintage. IOS provide exposure to agency pool coupon cashflows via synthetic total return swap (“TRS”) contracts. Net cashflow exchanges are a function of the change in market value of the reference pool interest component and standard monthly exchanges of coupon and financing. Corresponding POS tranches represent the principal component and corresponding MBX tranches represent the entire cashflow stream. Clients may make long or short investments in various tranches for hedging or other investment purposes. Commodity Interests Trading; Reliance on CFTC Staff Letter. Certain Funds trade commodity interests, including futures, options on futures, and swaps (“Commodity Interests”). The Registrant is not registered as a commodity pool operator (“CPO”) or commodity trading advisor (“CTA”) with the U.S. Commodity Futures Trading Commission (“CFTC”). Instead, the Registrant relies on CFTC staff no-action relief (CFTC Letter No. 25-50, the “No-Action Letter”) in connection with operating those Funds without CPO/CTA registration. The Registrant previously operated under the de minimis exemption in CFTC Regulation 4.13(a)(3), which limited Commodity Interest usage. In reliance on the No-Action Letter, those de minimis caps do not apply. As a result, the Funds may use Commodity Interests more extensively, which can increase leverage, volatility, liquidity risk, counterparty exposure, and the potential for significant losses. The No-Action Letter reflects staff views and is not a CFTC rule. It may be modified, narrowed, or withdrawn. If the No-Action Letter relief becomes unavailable, or if we are unable to satisfy its conditions for a particular Fund, we may need to (i) limit Commodity Interest trading to fit within an available exemption (including potentially reverting to de minimis limits), or (ii) register as a CPO and/or CTA. Any of these outcomes could increase costs and compliance burdens, restrict investment flexibility, require changes to positions at unfavorable times, and adversely affect performance. Distressed and High-Yield Securities. Clients may invest in securities issued by, or other indebtedness of, companies in weak and/or deteriorating financial condition, experiencing poor operating results, needing substantial capital investment, having negative net worth, facing special competitive or product obsolescence problems or involved in bankruptcy or reorganization proceedings. Investments of this type are generally not exchange-traded and, as a result, these instruments trade in the over-the-counter marketplace, which is less transparent than the exchange-traded marketplace, and further, may involve substantial financial and business risks, which are often heightened by an inability to obtain reliable information about the issuers. The investments can result in significant or even total losses. In addition, the markets for distressed and high-yield securities are frequently illiquid. The market prices of distressed and high-yield assets are subject to abrupt and erratic market movements and aboveaverage price volatility, and the spreads between the bid and asked prices of such assets may be greater than those prevailing in other markets. It may take a number of years before the market price of the assets reflects their perceived intrinsic value, if they ever do. Distressed assets also may be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or payments and lender liability, as well as bankruptcy and other judicial courts’ power to disallow, reduce, subordinate or disenfranchise particular claims. Additional Risks Related to Investments in Private Companies Special Situation Investments. Clients may make equity investments in private companies, including investments in operationally challenged companies, non-core/non-performing

divisions or subsidiaries and businesses in liquidation, which involve a high degree of business and financial risk. Such risks may adversely affect the performance of such investments and result in substantial losses to Clients. Clients may have control positions in addition to advisory roles in certain issuers, along with certain contractual rights to protect their investments. Notwithstanding the foregoing, Clients may not always have control over an issuer. Clients run the risk of refusal of management or shareholders of issuers to adopt the recommendations of Clients, disagreement with existing management and any investment losses resulting from such refusal or disagreement. The aforementioned equity investments may be designated as “Special Situation Investments.” Clients may be required to hold Special Situation Investments for several years, if not longer. Special Situation Investments are also subject to unique risks relating to valuations and liquidity. Control Investments; Non-Control Investments. Clients may obtain controlling interests in certain of the portfolio companies in which they invest. The exercise of such control may result in additional risks of liability for environmental damage, product defects, failure to supervise management, violation of governmental regulations (including securities laws) or other types of liability in which the limited liability protection generally applicable to business ownership may be ignored. If any of these liabilities were to arise, Clients could suffer a significant loss. Clients may also hold non-controlling interests in certain portfolio companies and, therefore, may have a limited ability to protect their position in such portfolio companies. As a condition of making non-controlling investments in portfolio companies, Clients will seek to obtain appropriate shareholder rights to protect Clients’ investment, but it may not be possible to obtain such rights in all cases. If Clients do not have a controlling position or other shareholder rights to protect their interests, it is possible that a portfolio company could take actions that negatively impact the value of Clients’ investments or that prevent Clients from disposing of their investments in portfolio companies. Restricted Securities List. Notwithstanding the maintenance of restricted securities lists and other internal controls, it is possible that the internal controls relating to the management of material non-public information could fail and result in Bayview, or one of its investment professionals or other employees, buying or selling a security while, at least constructively, in possession of material non-public information. Inadvertent trading on material non-public information could have adverse effects on Bayview’s reputation, result in the imposition of regulatory or financial sanctions and, as a consequence, negatively impact Bayview’s ability to provide its investment management services to Clients. Reliance on Management of Companies. There can be no assurance that any company in which Clients have made an equity or other securities investment will have a management team that will be able to operate successfully. In addition, instances of fraud and other deceptive practices committed by the management team of companies in which Clients have an investment may undermine due diligence efforts with respect to such companies. The success or failure of a portfolio company, including its compliance with applicable law, will depend to a significant extent on the company’s management team. Operating and Financial Risks of Companies. Companies in which Clients invest could deteriorate as a result of, among other factors, an adverse development in their business, a change in their competitive environment, or an economic downturn. As a result, companies in which Clients have invested may have expected to be stable, may operate at a loss or have significant variations in operating results, may require substantial additional capital to support

their operations or to maintain their competitive positions, or may otherwise be in a weak financial condition or be experiencing financial distress. Uncertainty of Financial Projections. Bayview will generally establish the capital structure of companies on the basis of financial projections for such companies. Projections are forwardlooking statements and are based upon certain assumptions. Projected operating results will normally be based primarily on management judgments. In all cases, projections are only estimates of future results that are based upon assumptions that Bayview believes are reasonable at the time that the projections are developed. Projections are subject to a wide range of risks and uncertainties, however, and there can be no assurance that the actual results may not differ materially from those expressed or implied by such projections. Moreover, the inaccuracy of certain assumptions, the failure to satisfy certain financial requirements and the occurrence of other unforeseen events could impair the ability of a company to realize projected values. General economic conditions, which are not predictable, can also have a material adverse impact on the reliability of such projections

Bayview’s Relationship with Clients and Other Affiliates As more fully discussed in Item 4, Bayview and its affiliated general partner and management company entities provide discretionary investment management services to its Clients. Certain inherent conflicts of interest arise from the fact that Bayview and its affiliates provide investment management services to multiple Funds and SMAs (including affiliated insurance companies, reinsurance companies, and related cedent relationships), and may in the future provide investment management services to other funds, client accounts, or principal accounts (such other funds, clients and accounts, collectively the “Other Accounts”), in which the Funds and SMAs will not have an interest. Bayview currently manages Funds (including both commingled funds and funds of one, both evergreen and closed-ended, some of which are no longer in their investment periods, and several of which are currently in their investment periods) and SMAs that employ strategies that overlap with or are similar to that of other Funds and SMAs. The investment programs of the Funds, SMAs, and future Other Accounts may or may not be similar. Bayview may give advice and recommend securities to a Client or an Other Account which may differ from advice given to, or investments recommended or bought for Clients or Other Accounts, even though their investment objectives may be the same or similar to each other. The portfolio strategies employed by Bayview in managing the Funds, SMAs, and Other Accounts could conflict with the transactions and strategies employed by Bayview in managing other Clients and could affect the prices and availability of the securities and instruments in which certain Funds and SMAs invest. Conversely, participation in specific investment opportunities has been and will be appropriate, at times, for multiple Clients and/or Other Accounts. Although the sale of specific investments held by multiple Clients generally is expected be on a pari passu basis, Bayview has sold and, in its sole discretion, may sell investments from various Clients on a non-pari passu basis based on a variety of factors that are considered when Bayview makes allocation decisions. Accordingly, it is possible that one Client may be selling an investment, while another Client is retaining or investing more capital in the same investment. Bayview’s investment professionals or other employees will acquire, in their capacities as investment professionals or otherwise of one or more Client, non-public information regarding investment opportunities, business methodologies, strategies and other proprietary information that is shared with and ultimately used for the benefit of other Clients, including their portfolio companies.

Other Accounts may have different or additional terms than Clients, including different fees, information rights and liquidity rights, or the right to wind down and terminate without cause or upon the occurrence of certain events. Additional information may affect an investor’s decision to invest additional capital in, to remain invested in, to withdraw from or to terminate an Other Account, and may also give an investor additional information with respect to the investment portfolio of Clients to the extent positions overlap. Any such withdrawals or terminations could cause an Other Account to liquidate its positions ahead of Clients, which may have a material adverse effect on Clients to the extent positions overlap. While Bayview will undertake to manage the Funds, SMAs, and Other Accounts diligently in pursuit of their respective investment objectives, Bayview will devote as much of its time to the activities of Clients and Other Accounts as it deems necessary and appropriate. When a conflict of interest arises, Bayview will endeavor to ensure that the conflict is resolved fairly. Bayview currently operates certain groups in its investment management business without permanent ethical screens or information barriers that many other investment management firms or other similar institutions implement to separate persons who make investment decisions from others who might possess material non-public information that could influence such decisions. In an effort to manage possible risks arising from Bayview’s decision not to implement such screens, Bayview maintains a code of ethics and provides training to relevant personnel with respect to conflicts of interest and how such conflicts are identified and resolved under Bayview’s policies and procedures. In addition, Bayview’s compliance department maintains a list of restricted securities with respect to which Bayview could have access to material non-public information and in which the Clients are not permitted to trade. In the event that any employee of Bayview obtains such material non-public information with respect to any one of Bayview’s investment management businesses, Bayview will be restricted in acquiring or disposing of the relevant investments on behalf of all Clients, which could impact the returns generated for Clients. Notwithstanding that Bayview does not maintain permanent structural information barriers among certain groups within its investment management businesses, Bayview expects, in certain cases, to manage possible risks associated with access to material non-public information by maintaining temporary information barriers that limit the dissemination of material non-public information concerning certain Bayview strategic and other transactions to a designated group of Bayview personnel. The MSR Funds Certain Funds have made investments in the MSR Funds in order to gain exposure to MSRs, which, for the avoidance of doubt, may be a primary investment into the MSR Funds or the acquisition of an interest in the MSR Funds from one or more other Funds. To the extent that Funds invest in the MSR Funds, those Funds may subsequently seek to exit from such investment through a transfer of their respective interests in the MSR Funds to one or more other Funds. While such transaction would generally be considered a cross transaction, the Funds may transfer their interests in the MSR Funds to one or more other Clients without the consent of an advisory board and without receiving investor consent to the extent that such transfer is completed at a purchase price that is equal to at least the selling Fund’s pro rata share of the then-current net asset value of the MSR Funds. An investment in the MSR Funds will give the investing Funds exposure to the entirety of the MSR Funds’ portfolio. While no management fees or incentive allocations are charged to the investing Funds by the MSR Funds, the MSR Funds, like other Funds, have entered into

transactions and other arrangements with Bayview pursuant to which Bayview receives fees from the MSR Funds for (i) sourcing investment opportunities, underwriting and managing the purchase process for certain of the MSR Funds’ investments and (ii) originating certain of the loans in the MSR Funds’ portfolio, which will be indirectly borne by the investing Funds to the extent of their investment in the MSR Funds. Additionally, because certain Funds that invest in the MSR Funds are controlled by an affiliate of the general partner of the MSR Funds, they will not be able to participate in certain investor votes or approvals with respect to the MSR Funds. Conflicts arise where Bayview is required to meet certain underlying withdrawal obligations to investors in a Fund, where such Fund maintains an investment in the MSR Funds. Those Funds have made and may, in their sole discretion, make withdrawal requests on the same terms as are applicable to other limited partners that are not affiliated with the Funds, which has been and in the future may be motivated by withdrawals by such other Fund’s underlying investors or where such other Funds are at or approaching the expiration of their term. Investors in the MSR Fund will not be provided with notice of any such withdrawals by another Fund. Lakeview and Guild Certain Clients have purchased and are expected in the future to purchase loans that may be eligible to be delivered to the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or Government National Mortgage Association (“GNMA” together with Fannie Mae and Freddie Mac, the “Agencies”). Certain licenses are required to deliver loans to the Agencies. An affiliate of Bayview, Lakeview, which is owned by the MSR Funds, has the appropriate licenses to deliver loans to the Agencies. Certain Clients will enter into a contract with Lakeview, pursuant to which Lakeview delivers loans to the Agencies on behalf of the Clients, and Lakeview pays to the Clients an amount equal to the full proceeds of the sale of such loans to the Agencies. The Clients provide full recourse representations and warranties to Lakeview regarding the loans. In exchange for its services, Lakeview retains the MSR associated with each loan that it delivers on behalf of Clients. Additionally, in the ordinary course of their business as an Agency-licensed servicer, Lakeview and Guild routinely act as the servicer for Agency loans that have been securitized into Agency MBS. Certain Clients have in the past and are expected in the future to trade Agency MBS for which Lakeview and/or Guild services a material portion of the underlying loans. Clients will purchase such securities in the primary market at the price set by, and through, the underwriter, and will be subject to the same terms and conditions as other Agency MBS market participants. Clients may also purchase and sell Agency MBS for which Lakeview and Guild service a material portion of the underlying loans in the secondary market without any limitations. Bayview Subsidiaries As described more fully in the confidential private placement memorandum of each Fund, or the investment management agreement of each SMA, Bayview receives fees and/or commissions from certain Clients pursuant to certain agreements between them (and/or an affiliate thereof) and Bayview (and/or its subsidiaries, including Silver Hill Capital, Bayview Commercial Mortgage Finance, and Glasslake Funding) (the “BAM Agreements”) for: (i) sourcing acquisitions and sales opportunities; (ii) servicing or overseeing the servicing of certain of the loans in such Clients’ portfolios, including trust management fees and

modification fees (including modifications that result in originating a new loan to refinance an existing loan owned by a Client or accomplishing modifications to an existing loan owned by a Client that results in a new loan), as applicable; (iii) providing loss mitigation services, foreclosure services and bankruptcy services to subservicers with respect to mortgage loans underlying the MSR Funds’ MSRs or loans owned by Clients; and (iv) providing loan origination services (including PACE loans or assessments) and third-party origination services, including information technologies services including services relating to various sales functions in connection with sourcing eligible third party originated loans, loan underwriting and loan processing, capital market activities, credit policy and lender management, new loan set-up and other support functions. Certain services provided by Bayview or its subsidiaries may not be readily available from third parties and certain of Bayview’s determinations with respect to whether to have a Client enter into a relationship with an affiliate require subjective judgments. The provision of services has been negotiated between related parties and their terms, including fees payable, may not be as favorable to Clients as if they had been negotiated at arm’s length with an unaffiliated third party, and may be costly and difficult to terminate. However, Bayview believes the fees to be competitive with those standard in the market for the provision of similar services, where available. Bayview may determine to enter into affiliate engagements based on a variety of factors, including perceived quality of service, expertise and reputation. Amounts paid by Clients to Bayview for these services will not reduce any management fees, incentive fees, incentive allocations or performance distributions to be received by Bayview. Bayview or its subsidiaries may originate a material portion of the loans that are in Clients’ portfolios at any given time. Further, loans acquired by Clients may, but are not required to, be serviced by a Bayview-affiliated servicer and may be serviced by other servicers at Bayview’s election or where such loans are acquired on a servicing retained basis or another servicer(s) is engaged. Bayview may arrange for servicing rights with respect to a Clients’ investments to be sold to third parties, including to financial institutions that have pre-existing relationships with Bayview. When entering into such arrangements, Bayview will use commercially reasonable efforts to ensure that the terms of such contracts are at least as favorable to Clients as are generally obtainable on an arm’s-length basis from unrelated third parties and any such arrangement will provide for compensation that is competitive with the compensation paid to other persons for comparable services which could reasonably be made available to Clients. In addition to providing services to Clients, Bayview subsidiaries do business with, and earn fees and commissions from third parties, including third parties who purchase or sell loans to Clients and who do other business with Clients. In certain circumstances, a Bayview affiliated originator may sell loans to third parties or a Bayview affiliated servicer may continue to service a loan that has been sold by a Client to a third party. Clients will not be entitled to, and may not receive, any special consideration or forbearance by the relevant Bayview affiliated originator or servicer in the exercise of its clients’ rights as a result of Bayview’s relationship with such originator or servicer. Certain opportunities in the mortgage or loan credit sector require licensing and approvals that that certain Funds and SMAs do not have. In order to take advantage of these opportunities, Clients have entered and will enter into agreements with Bayview to effect these transactions (e.g., agreements pursuant to which Bayview or a Bayview affiliate buys or sells assets on the Clients’ behalf at no material increase in cost to Clients); provided that these arrangements will

be structured so that the economic result would be substantially identical to the economics that would have existed had the Clients entered into the transactions directly. Each investor, by investing in a Fund or SMA, consents to these arrangements without any further consent of investors or an advisory board. As the transactions are for the benefit of the Funds and SMAs, the Funds and SMAs will, generally, indemnify the relevant Bayview affiliate with respect to any costs and losses associated with respect to the obligations and any other costs and losses associated with the transactions. Certain Funds have entered and may in the future enter into risk-sharing arrangements with one or more Agencies, either directly or through an issuing entity affiliated with Bayview or another Fund managed by Bayview since one or more of the Agencies requires direct risk-sharing counterparties to be affiliated with an Agency licensed seller/servicer and certain Funds are not an Agency licensed seller/servicer (“Agency Risk Sharing Arrangements”). In connection with Agency Risk Sharing Arrangements of the Funds, Bayview may be engaged by an Agency to service loans in a reference pool that underlies an Agency Risk Sharing Arrangement of the Funds. Accordingly, Bayview may receive fees from such Agency, which may be lower or higher than the fees paid to Bayview to service loans owned by the Funds, as an indirect result of the Funds’ participation in certain Agency Risk Sharing Arrangements. Clients have purchased and will purchase in the future assets from Bayview or other Clients at fair market value from time to time, including loans that have been originated by Bayview or other Clients. Clients may enter into such transactions without Fund investor approval, and may rely conclusively on one bona fide bid from a non-affiliated party and/or independent pricing source in order to establish fair market value. The Oceanview Group The Oceanview Group is a subsidiary of BAM Global and is under common control with the Registrant. As discussed in Item 4, OAM, an indirect wholly-owned subsidiary of the Registrant, acts as investment adviser to the Oceanview Group, including its affiliated insurance company and reinsurance companies that reinsure certain insurance liabilities issued by other members of the Oceanview Group and third party insurance companies pursuant to reinsurance transactions. OAM also acts as investment adviser to certain reinsurance-related managed accounts of unaffiliated insurance companies that are reinsurance clients of the Oceanview Group (such reinsurance clients, “Cedent Clients”). In general, such reinsurance arrangements are structured such that, as between such insurance companies (including a Cedent Client) and the Oceanview Group (both of which may be OAM Clients), the Oceanview Group bears the risk of loss on, is entitled to the gains generated from, and is ultimately responsible for expenses incurred in connection with, the related reinsurance asset portfolio (including, as applicable, the account of a Cedent Client). In managing assets on behalf of a Cedent Client, OAM takes into consideration the nature of the reinsurance relationship as a whole. In making investment and other portfolio decisions with respect thereto, OAM views the economics and risks associated with the asset portfolio as primarily the economics and risks of the Oceanview Group, and may make risk, allocation and other investment decisions accordingly. For example, OAM will, in certain instances, take into account parent/subsidiary and reinsurance relationships and allocate investment opportunities to one or more OAM Clients within the Oceanview Group and/or Cedent Clients and not pro rata to all OAM Clients

where the economic benefits or costs of such allocation flow, directly or indirectly, to the parent of the Oceanview Group. In addition, OAM will allocate investment opportunities on other than a pro rata basis to OAM Clients when necessary to maximize any available programmatic benefits or discounts, including but not limited to the ability to enter into credit arrangements with certain financial or governmental institutions. Additionally, OAM’s investment ability in the Oceanview Group accounts and/or accounts of Cedent Clients may also be affected by certain Oceanview Group policies and restrictions (such as risk and credit exposure policies). For these reasons, certain transactions may be allocated entirely to one entity within the Oceanview Group or a Cedent Client account. Pingora Loan Servicing As a result of BAM’s acquisition of Pingora Loan Servicing, LLC, and its related subsidiaries (all collectively referred to herein as the “Pingora Companies”), the Pingora Companies surrendered, or modified, certain licensing and approvals necessary to execute certain business opportunities. In order to provide the Pingora Companies continued access to these opportunities, certain Funds entered into agreements with the Pingora Companies to effect, or to assist in completing, transactions that require licenses or regulatory approvals on their behalf. The arrangements were structured so that there is no material economic cost to the Funds or Pingora Companies. Pingora Loan Servicing, an indirect-wholly owned subsidiary of Bayview, serves as the master servicer (the “Master Servicer”) for the Pingora Fund. Acquiring and owning MSRs requires licenses and approval by the applicable Agencies and applicable state regulatory authorities. Bayview, on behalf of the Pingora Fund, has collaborated and will continue to collaborate with the Master Servicer to obtain the necessary licenses and approvals for the Master Servicer to hold the MSRs. Although the Pingora Fund has engaged the Master Servicer on terms and conditions customary to the loan servicing market, including customary indemnification, these terms were not negotiated on an arm’s-length basis and may not be as favorable to the Pingora Fund as a loan servicing arrangement with an unaffiliated third party. BOF Securitizations Certain Clients whose investment strategy includes investments in securities have purchased, and are expected to continue to purchase, MBS issued in connection with securitizations of certain whole loans sponsored by the BOF Funds (a “BOF Securitization”). Bayview has certain input in determining the terms and price of such securitizations. In connection with such transactions, Bayview will act in a fair and equitable manner to Clients that are participating in such securitization (including the sponsor and the Clients acquiring such securities). Additionally, the participating Clients will purchase securities issued as part of any such securitization at the price set by, and through, the underwriter, and will be subject to the same terms and conditions as other market participants. BOF securitizations may also be acquired by Clients on the secondary market without any limitations. Acquisitions/Dispositions SPVs Investments may be purchased or sold jointly by or for the benefit of Clients. For purposes of operational efficiency, certain investments may be initially purchased or sold by an entity

jointly owned by some or all of Clients before being allocated at cost among the participating Clients. Similarly, certain Clients hold investments through one or more subsidiary entities that also hold investments on behalf of other Clients. Bayview Global Opportunities Fund A portion of certain Funds’ foreign investments are made through the Bayview Global Opportunities Fund (“BGOF”), a société d’investissement à capital variable established in Luxembourg, which has appointed an “alternative investment fund manager” (as such term is used within the meaning of the Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on alternative investment fund managers (the “AIFM Directive”)) with responsibility for the managing of BGOF in accordance with the AIFM Directive. The Funds have invested and are expected in the future to invest through their own sub-fund established by BGOF, but certain Funds and investors may (on a look through basis) (i) have a differing indirect percentage interest in the assets held through BGOF and/or (ii) may have an interest in some, but not all, of the underlying assets held through BGOF. Bayview’s Relationship with Counterparty Investors Investors in the Funds and SMAs engage in a broad range of activities in addition to their investments in the Funds and SMAs. Investors and Clients have entered and are expected in the future to enter into transactions or have other relationships with Bayview and Clients, including acting as a buyer or seller of portfolio investments, being a limited partner of the Funds, sponsoring pooled investment vehicles in which a Fund (including the Oceanview Group) may invest or enter into joint ventures with, entering into financing transactions with Clients and their investments, serving as a funding source for a buyer or seller of portfolio investments of Clients, purchasing structured debt issued by Clients and their investments (or vice versa) and entering into other business arrangements with or related to Bayview and Clients. These transactions with investors and their affiliates do not require the review or consent of any party to the extent the terms of such transactions are negotiated on an arm’slength basis. Bayview will be subject to a conflict of interest when determining such terms due to the benefit received from negotiating and maintaining a counterparty investor’s investment in a Fund and/or the benefits received by Bayview in its other business dealings with a counterparty investor. In addition, these relationships may influence the negotiation of side letters and terms of investments in the Funds and SMAs with a counterparty investor, as well as the allocation of co-investment opportunities to a counterparty investor. A counterparty investor will have access to information that investors do not have and will be entitled to receive information regarding Bayview and the Funds, and their activities, by virtue of the transactions it enters into with Bayview and/or the Funds. While Bayview may request that a counterparty investor implement and maintain certain policies and procedures (e.g., information walls) to seek to ensure that the information that a counterparty investor receives by virtue of its business relationships with Bayview and the Funds does not flow through such investor’s organization in a manner that could enable such information to be used in respect of such counterparty investor’s investment in the Funds, Bayview may not be able to obtain these assurances, and accordingly, this information could be used by a counterparty investor in making investment decisions with respect to the Funds. Similarly, given the breadth of Bayview’s business, it may have parallel business dealings with a counterparty investor and may be restricted from certain investment opportunities as a result, including restrictions under applicable law.

In addition, counterparty investors do not have fiduciary duties to Clients and are under no obligation to resolve any conflicts in favor of Clients. There may be situations where Clients and a counterparty investor have interests that diverge, including where Clients and a counterparty investor make separate investments in the same asset or issuer, or when a counterparty investor acts as a financing source for a Client. In the event a counterparty investor holds a security senior to that held by Clients or provides financing to a Client, the Client’s interest will be subordinate and may be in conflict to that of the counterparty investor in the event the Client or its investments have financial difficulties or default in their obligations. Additionally, as part of the financing or other structured transaction, the counterparty investor may be granted certain voting or control rights with respect to the underlying assets or the entity subject to such financing arrangements and may exercise such rights in conflict with and to the detriment of the interests of Clients. Bayview’s Relationship with Portfolio Companies Bayview may retain portfolio companies of the Funds to perform certain services for other Clients. Clients have entered and in the future may enter into other transactions with portfolio companies of other Funds in which they do not have an interest. To the extent that Clients utilize the services of a portfolio company or participate in any such transactions in a percentage that is different than their ownership of the portfolio company, other Clients may receive a larger or smaller proportional benefit with respect to the revenue generated by the portfolio company from such transactions. Bayview seeks to ensure that any such arrangements will contain terms at least as favorable to Clients as are generally obtainable on an arm’s-length 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 Clients. Certain investment opportunities may be suitable acquisitions by the Funds and by the portfolio companies of the Funds. If Bayview believes, in its discretion, that an investment opportunity is better suited for acquisition by a portfolio company than by a Fund, Bayview may offer such investment opportunity to the portfolio company. As a result, the Funds may not participate in such opportunity if such portfolio company is not a portfolio investment of the Funds, or may be indirectly participating in such opportunity in a different percentage than if such investment opportunity were acquired by a Fund directly. At times, Bayview has sought and may seek in the future to introduce a portfolio company of the Funds to another portfolio company of the Funds to form relationships for the purpose of engaging in business, sharing ideas and forming other synergies, including (i) lending or borrowing from another portfolio company, (ii) entering into joint ventures with another portfolio company, or (iii) buying or selling an interest (including a controlling interest) in, or to, another portfolio company. In certain circumstances, a portfolio company owned by a Fund may do business with a portfolio company that is owned by one or more other Funds, including portfolio companies where certain Funds may have no interest. Alternatively, the Funds may have divergent interests in various portfolio companies doing business or engaging in any of the transactions described above. In addition, if such relationships relate to, or result in, transactions among the portfolio companies, then such transactions may create a conflict of interest and risks where such portfolio companies have divergent interests and disputes. Bayview will seek to cause the formation of such relationships where Bayview believes that such relationships enhance the value of all such portfolio companies to the benefit of the Funds.

However, there can be no assurance that these relationships will benefit all of the Funds’ portfolio companies and these transactions may result in benefits solely to a portfolio company in which one Fund has an interest. Employees of Bayview currently and in the future may serve as directors and/or officers of portfolio companies of the Funds. Accordingly, such employees may have a conflict where their fiduciary duty to the portfolio company may conflict with their fiduciary duty to the Funds. This may result in a conflict between the relevant person’s obligations to the portfolio company and its various stakeholders, on the one hand, and the interests of the Funds, on the other hand. Such conflict may be addressed to the detriment of the Funds. In addition, certain directors, officers or employees of portfolio companies may (i) be coinvestors with the Funds, (ii) have affiliations with third parties who provide professional or other services to the Funds’ other portfolio companies or Clients, or (iii) have other business relationships or affiliations with Bayview. In instances where Bayview, on behalf of the Funds, appoints or retains (or influences the appointment or retention of) such directors, officers or employees, Bayview will make determinations with respect to the qualifications and appropriateness of such persons in its sole discretion. Clients may acquire portfolio companies, make investments or otherwise enter into transactions that provide information, knowledge and insight to Bayview that may benefit the Clients participating therein and may, in the future, provide certain benefits to other Clients that have not participated in the acquisition, investment or transaction. For example, certain Funds may acquire an operating business that provides Bayview with industry, sector or other information, knowledge and/or insight that Bayview believes would be beneficial and/or accretive to an existing portfolio company of the Funds, and/or may be used in connection with future investment activities on behalf of Clients, including on behalf of Clients that do not have any interest in the acquired operating business that is the source of such information. Clients have invested and will in the future invest in different parts of the capital structure of an issuer, which could give rise to potential conflicts of interest. For example, a Client may own an equity investment in an issuer while another Client owns a debt investment in the same issuer. If a Client made a debt investment in an issuer in which another Client held an equity investment, Bayview would likely be required to take actions for one Client that are adverse to the interests of the other Client, or vice versa (for instance, if the company underwent a reorganization or other major corporate event, conflicts could arise between the interests of debt holders and equity holders, and, accordingly, between the interests of the investing Funds). Likewise, Clients may invest in different debt instruments or series of preferred equity of a company, giving rise to conflicts concerning their respective entitlements or priority in a bankruptcy proceeding or other transaction or may participate together in various securitizations (including CFOs, CLOs and other MBS) where Clients may invest in different tranches of the relevant securitization. Furthermore, Clients may participate in debt originated to finance the acquisition by other Clients of an equity or other interest in a portfolio company, issuer or borrower (or vice versa). To the extent a reorganization or other major corporate event occurs with respect to such portfolio company, issuer or borrower, conflicts may exist between the Clients. Bayview will seek to resolve such conflicts of interest in a fair and equitable manner.

Clients may also invest in portfolio companies or other assets in which other Clients already have an investment. Clients may provide follow-on funding for a portfolio company, which may benefit all participating Clients. Clients will not make such an investment unless Bayview believes the investment fits within the Clients’ investment program. Additionally, a Client may invest in a portfolio company in which another Client has a pre-existing investment. To the extent that follow-on capital is required in respect of an investment that is jointly held by Clients, there can be no assurance that the Clients will wish to make such investment or have available capital to do so (or vice versa), and the inability to make such follow-on investment may result in dilution of the initial Clients’ investment in the portfolio company or where such failure is the result of another Client failing to have available capital, could adversely impact the relevant portfolio investment or require a disproportionate amount of funding from other Clients. While Bayview currently operates without information barriers among certain groups within its investment management businesses, Bayview could be required by certain regulations, or decide that it is advisable, to establish information barriers among its investment management businesses. In such event, Bayview’s ability to operate as an integrated investment management business would be impaired, which would limit access to certain Bayview personnel and information and could adversely impact its ability to manage the Funds and SMAs. The establishment of such information barriers could also lead to operational disruptions and result in restructuring costs, including costs related to the hiring additional personnel as existing investment professionals are allocated to either side of such barriers, which could adversely affect Bayview’s business. Bayview’s Relationship with Co-Investors Bayview has offered and may in the future offer investors and/or other third parties (including affiliates of Bayview and their respective members, partners, officers or employees or affiliates of any of them) the opportunity to co-invest with Clients in particular investments. Bayview expects to offer co-investment opportunities to investors and/or other third-parties (including portfolio companies of the Funds) based on factors such as, but not limited to, the nature of the opportunity, speed of execution required, tax considerations, such persons’ familiarity with and history of making similar investments (including successfully consummating prior coinvestment opportunities) or ability to consummate co-investment opportunities generally and in a meaningful size, such person’s prior expressions of interest in making similar investments, the ability of such persons to generate future investment opportunities or provide other benefits to Clients and/or Bayview and/or to provide analytical and market advice or other expertise that may be valuable to Clients, and other factors deemed by Bayview to be relevant. Bayview has a conflict when determining to which investors, if any, it will offer co-investment opportunities. In addition, affiliates of Bayview may co-invest with Clients regardless of whether the particular co-investment opportunity is offered to investors or other third-party investors. Bayview is not required to offer co-investment opportunities to any investor and no investor will be entitled (or obligated) to participate in such an opportunity by reason of being an investor in a Fund or SMA. Bayview will receive fees and/or allocations from co-investors, which will differ as among coinvestors, and which also may differ from the fees and/or allocations borne by investors in other Funds or SMAs. For the avoidance of doubt, fees, allocations and expenses borne by the Funds will differ from the fees, allocations and expenses borne by co-investment vehicles, even

when both are investing in the same security. To the extent that the fees and/or allocations from co-investors differ from those paid by investors, Bayview will have a conflict of interest in determining the appropriate allocation to the Funds with respect to such investments. Coinvestors (including co-investors that are managed by Bayview) typically will not bear certain expenses (e.g., broken deal expenses) associated with potential co-investment opportunities that are ultimately not consummated and such amounts (including, for the avoidance of doubt, the portion thereof that corresponds to prospective co-investors’ intended proportionate participation in the unconsummated transaction) will be borne by the Funds. Co-investors (including co-investors that are managed by or affiliated with Bayview) in certain cases have rights in addition to, or are subject to different terms as compared to the rights and terms applicable to the Funds. For example, co-investors may receive minority protections, board seats, information rights, rights to future allocations of co-investments in the same security, or other control rights and may have different or advantageous terms or rights with respect to their ability to exit the co-investment. Bayview may cause Clients to form one or more special purpose vehicles as a direct or indirect subsidiary to hold investments or in connection with an in-kind distribution, including for legal, tax, regulatory, operational and other reasons. Bayview also may form a special purpose vehicle if it determines, in its sole discretion, that having one or more Clients hold an investment through a special purpose vehicle would be beneficial to the Clients. D.

Material Conflicts of Interest Relating to Other Registrants

In addition to the relationships discussed in Item 10C above, certain Funds also allocate portions of their assets to unaffiliated third-party managers to manage on a discretionary basis and make investments in pooled investment vehicles that are managed by those third parties, including unaffiliated third-party managers who manage vehicles that are investors in the Funds. The Funds will be subject to various costs relating to such investments, including additional performance-based or fixed asset-based fees or allocations in addition to the fees and compensation payable or allocable to Bayview. Such third party-managed vehicles may invest in securities in which Clients also invest or are capable of investing. As a result of such investments (or as a result of certain due diligence efforts related to such investments), Bayview’s ability to implement Clients’ strategy effectively from time to time may be limited by (i) contractual obligations entered into in respect of investments made by Clients (or due diligence in respect of the same) or (ii) regulatory obligations or restrictions imposed on the Registrant (including circumstances where Bayview self-imposes such restrictions on the basis that it believes doing so is prudent in light of regulatory obligations or restrictions) that limit its ability to (a) invest in securities that Clients may otherwise be interested in pursuing or (b) otherwise take actions in respect of Clients’ investments that may otherwise be beneficial to Clients, in each case, as a result of investments made by Funds in third party-managed vehicles. In addition, certain Clients, including the Oceanview Group, invest in pooled investment vehicles that are managed on a discretionary basis by third parties that are not affiliated with Bayview and that have an investment program that may involve the acquisition of secondary interests in private investment funds, such as the Funds. As a result of such investment activities, these Clients, including the Oceanview Group (and its beneficial owners), could

obtain an indirect interest in another Fund as a result of such investments in an unaffiliated third party-managed fund.

independence in the investment decision-making process must be maintained at all times; and

•

employees must comply with applicable Federal and state securities laws and Bayview’s company policies.

The Code also places restrictions on personal securities trades by all employees. Employees designated as “access persons” are subject to additional requirements, including that such employees pre-clear personal trades in covered securities, that they disclose their personal securities holdings and transactions to Bayview on a periodic basis, and that they are generally prohibited from trading in covered securities of restricted issuers. The Code is distributed to each employee at the time of hire and annually thereafter, and it is available on Bayview’s intranet. On an annual basis, the Registrant requires all employees to certify that they are in compliance with the Code. The Registrant also supplements the Code with ongoing monitoring of employee activity. Clients and prospective clients may receive a copy of the Code upon request by contacting the Registrant at the address or telephone number listed on the first page of this document. B. Securities in which the Registrant or a Related Person Has a Material Financial Interest As discussed in Item 10(c) and further described below, certain Clients have entered and are expected to enter into transactions and other arrangements with Bayview or other Clients that could be viewed as “principal” or cross transactions.

Investments may be purchased jointly by or for the benefit of one or more of the Clients and Other Accounts (whether currently in existence or formed in the future) managed by Bayview. For purposes of operational efficiency, such investments may be initially purchased by an entity jointly owned by some or all of such investment entities before being allocated at cost among the participating Clients pursuant to Bayview’s allocation policy. Bayview subsidiaries may originate a new loan to a borrower, originate a new loan to refinance an existing loan owned by one or more Clients, or may accomplish modifications that result in a new loan. A Client may purchase such loan from the Bayview subsidiary at a price equal to the net cost basis of the loan (plus, for the avoidance of doubt, applicable fees disclosed in the relevant Fund or SMA constituent documents) or otherwise purchase assets from Bayview at fair market value from time to time. No Fund will purchase assets from Bayview (including its subsidiaries) unless such purchase is described in such Fund’s constituent or disclosure documents or is approved by such Fund’s advisory board or investors. As previously noted, certain opportunities in the mortgage credit sector require licensing and approvals that Clients may not have. In order to take advantage of these opportunities, certain Clients have entered, and may in the future enter, into agreements with Bayview affiliates to effect these transactions (e.g., agreements pursuant to which a Bayview affiliate buys or sells assets on the Clients’ behalf at no material increase in cost to the Clients); provided that the arrangements with the Bayview affiliate are, and will be, structured so that the economic result would be substantially identical to the economics that would have existed had the Clients entered into the transactions directly. Since the transactions are for the benefit of the Clients, the transaction agreements provide that the Clients will indemnify the Bayview affiliate with respect to any costs and losses associated with respect to the obligations and any other costs and losses associated with the transactions. Similarly, certain Clients have entered, and may in the future enter, into Risk-Sharing Arrangements with one or more governmental agencies or financial institutions, in which they have committed or will commit to absorb a percentage of realized losses on a reference pool of assets owned and/or securitized by the agency or financial institution, either directly or through an issuing entity affiliated with Bayview or another Fund managed by Bayview affiliates, since one or more of the agencies requires direct risk-sharing counterparties to be affiliated with an agency licensed seller/servicer and certain Clients are not an agency licensed seller/servicer. Loans in the reference pool of the Risk Sharing Arrangement may have been originated and/or may be serviced by a Bayview affiliate, another Client managed by a Bayview affiliate, or by unaffiliated third parties. If a special purpose entity is used as an issuing entity in connection with a Risk Sharing Arrangement with an agency, it will be owned by Lakeview or SHC, which are both agency approved seller/servicers, or another seller/servicer approved by such agency and affiliated with Bayview. Certain Clients will purchase securities from the issuing entity (or from the parent of the applicable issuing entity) and the issuing entity will use the purchase proceeds of the securities to effect the transactions with the agency or financial institution described herein. The issuing entity will then distribute cash-flows to the Clients as the owner of the issued securities to effect the transactions described herein. Pursuant to a particular Risk Sharing Arrangement, Lakeview or SHC may be transferred the servicing rights of certain loans subject to the Risk Sharing Arrangement, to the extent such agency has the right to transfer servicing from third-party servicers. Accordingly, at any given time, loans in the reference pool of the Risk Sharing Arrangement may be serviced by Lakeview or SHC or by one or more third party servicers. If Lakeview or SHC is hired by an

agency or third-party financial institution to service loans in the reference pool, the fees paid to Lakeview or SHC by such agency or financial institution may be lower or higher than the fees paid to Lakeview or SHC to service loans owned by the Funds. Certain Clients have gained and Other Accounts will gain in the future exposure to MSRs by investing in the Bayview MSR Funds. An investment in the Bayview MSR Funds will give such Clients exposure to the entirety of the Bayview MSR Funds’ portfolio. While no management fees or incentive allocations will be charged to the Funds by the Bayview MSR Funds, the Bayview MSR Funds, like other Funds, have entered into transactions and other arrangements with Bayview pursuant to which Bayview will receive fees from the MSR Funds for (i) sourcing investment opportunities, underwriting and managing the purchase process for certain of the MSR Funds’ investments and (ii) originating certain of the loans in the MSR Funds’ portfolio, which will be indirectly borne by these Clients to the extent of their investment in the Bayview MSR Funds. Additionally, because these Funds are controlled by a Bayview affiliate, they will not be able to participate in certain votes or approvals with respect to the Bayview MSR Funds. Certain Clients that invest in securities have purchased, and are expected to continue to purchase, MBS (“BOF Sponsored MBS”) issued in connection with BOF securitizations. Such Clients are permitted to invest in the primary market up to a specified percentage in the aggregate of the issued BOF Sponsored MBS from each such BOF Securitization. Because Bayview has certain input in determining the terms and price of the BOF Sponsored MBS, such input could give rise to potential conflicts of interest. In connection with such transactions, Bayview will act in a fair and equitable manner to the BOF Funds and such other Clients. Additionally, Clients will purchase any BOF Sponsored MBS at the price set by, and through, the underwriter, and will be subject to the same terms and conditions as other market participants. BOF Securitizations may also be acquired by Clients on the secondary market without any limitations. To the extent permitted by applicable law, BAM may cause certain Clients or Other Accounts to purchase investments from, to sell investments to, to exchange investments with, or to transfer investments to another Clients or an Other Account, or a BAM affiliate for a variety of reasons, including, without limitation, Bayview’s perception of the liquidity of each Client at the time of the transfer and on a going-forward basis; relative exposure to market trends; the remaining term or time remaining in the investment period of each such Client; the expected target size of the account or program; and the investment programs and portfolio positions of the Clients. Any such purchases, sales, exchanges or transfers will be effected based upon the independent current market price or fair market value of the investment. Bayview may rely on one bona fide bid from a non-affiliated party and/or independent pricing source in order to establish the independent current market price or fair market value for such transactions. Additionally, Clients have sold and may sell in the future certain assets from time to time to (i) Fund investors and/or Fund investor-affiliated or owned entities or (ii) investors in SMAs or Other Accounts. These transactions will be effected at fair value, and on terms that are agreed to on an arm’s length basis. The Principal, individually, on behalf of members of his family, through or on behalf of trusts, partnerships, companies (including the Oceanview Group) and other entities formed for his benefit and the benefit of members of his family, or through or on behalf of trusts, partnerships, foundations, companies and other entities which may from time to time include other

philanthropic, charitable, civic, social or other organizations (collectively, along with the Principal, the Principal's family, and such trusts, partnerships and other entities, the “Principal Entities”) has in the past made, held and disposed of, and expects to continue to make, hold and dispose of, investments outside of, and separate and apart from, his interests in the Funds. These investments by the Principal Entities include, but are not limited to, (i) investments in loans or other assets in which Clients could directly or indirectly invest and (ii) equity and other investments in pooled investment vehicles that are managed by third parties, and such vehicles have invested, and expect from time to time in the future to invest, in loans or other assets in which Clients may also have invested. In addition, such pooled investment vehicles (or affiliated persons or entities) could in the future invest in the Funds or in Other Accounts (including co-investment vehicles), or otherwise co-invest along with Clients. Managers of pooled investment vehicles may share investment ideas with Bayview personnel, and Clients may, when Bayview deems it to be in Clients’ best interests, invest in securities that are the subject of such discussions. In addition, such pooled investment vehicles, or persons associated with such pooled investment vehicles or their managers, may be offered co-investment opportunities by Bayview. The investments made by the Principal Entities (excluding the Oceanview Group) generally will be investments that, at the time of investment, are opportunities that are determined by the Principal to be inappropriate for investment by Clients (for example, if such investments were originally considered for investment by Clients and subsequently determined to be inappropriate for investment by Clients (including due to the relatively small size of the investment opportunity), or in situations where Clients have already invested in such securities the amount Bayview believes should be invested by the Clients). In making determinations about the investment activities of the Principal Entities, the Principal and Bayview, acting consistent with their fiduciary duties, will consider a number of factors, which could include but are not limited to: the investment strategies of Clients, the return parameters of Clients and the risks associated with such investment activities. However, there can be no assurance that all relevant factors will be identifiable or fully considered at the time. For the avoidance of doubt, these transactions do not require the review or consent of investors. The Principal Entities’ investments in pooled investment vehicles managed by other investment managers (e.g., hedge funds, private equity funds or venture capital funds) may mean that the Principal indirectly holds interests, through such vehicles, in loans or other assets that are also owned by Clients. In such a situation, the Principal could be faced with investment decisions for Clients’ portfolio that could affect the value or liquidity of such assets generally (or which could have other impacts on holdings of such securities), and, in those circumstances, the Principal and Bayview would have a conflict of interest. The Principal is permitted to take actions in respect of the investments of the Principal Entities that he considers to be in the best interests of the Principal Entities. However, Bayview's policies require that no action will be permitted to be taken unless the Principal or such Principal Entities believe in good faith that such action is consistent with Bayview’s fiduciary duty to Clients. Bayview will seek to resolve all conflicts in a manner that it deems to be fair and equitable consistent with its duties to Clients. In addition, Bayview’s ability to implement Clients’ strategies effectively from time to time will be limited by (i) contractual obligations entered into in respect of investments made by the Principal and Principal Entities, or (ii) regulatory obligations or restrictions imposed on

Bayview that limit its ability to (a) invest in securities that Clients may otherwise be interested in pursuing or (b) otherwise take actions in respect of Clients’ investments that may otherwise be beneficial to Clients, in each case, as a result of investments made by the Principal and the Principal Entities. Bayview has adopted policies and procedures to prevent or mitigate the actual conflicts of interest that arise from the investment activities of the Principal Entities. These policies address the methods and processes for identifying, reporting, mitigating and monitoring such conflicts of interest. C. Investing in Securities that the Registrant or a Related Person Recommends to Clients Certain employees of BAM invest in the Funds. Typically, no incentive fees and reduced management fees are charged to such investors. The employees invested in the Funds include individuals responsible for allocating investment opportunities among the Funds. BAM invests, and in the future may invest, certain Clients’ assets in other Funds (e.g., the MSR Fund) and these investments may be significant. By investing in other Funds, the investing Funds may receive preferable notice requirements and liquidity terms. BAM may have an incentive to allocate a Client’s assets to other Funds since BAM or one of its affiliates has a direct or indirect financial interest in the success of such Funds. To avoid duplication of fees, the investing Funds will not be charged management or incentive fees by other Funds or BAM will waive fees on the portion of the investing Fund’s assets invested in other Funds. In these situations, the investing Funds have in the past and may in the future subsequently seek to exit from such investment through a transfer of their respective interests to one or more other Funds at a transfer price equal to the investing Fund’s pro rata share of the then-current net asset value of the other Fund. As more fully disclosed in the MSR Funds’ constituent documents, Bayview invests in certain MSRs that Bayview has determined would not be appropriate for investment by the MSR Funds pursuant to pre-determined criteria. Bayview allocates to the MSR Funds all opportunities to invest in MSRs, but it is not obligated to allocate to the MSR Funds any MSR transaction (a) where the purchase price (as a percentage of loan balance) for the related MSRs is less than 50% of the annualized servicing fee for the related MSRs, (b) that requires regulatory approvals that Lakeview does not have; or (c) where MSRs are part of a corporate or strategic transaction involving the transfer of material operations and assets of an entity, including MSRs, as a part of the overall transaction (each, a “Bayview MSR Investment”). Generally, it is anticipated that Bayview MSR Investments will include portfolios with significant overall delinquencies or loans with a higher rate of default than those generally invested in by the MSR Funds. In determining whether an opportunity meets the requirements in the preceding sentence, an MSR transaction will be aggregated with another MSR transaction if the commitment to purchase the MSRs is made at the same time with the same counterparty. While each Bayview MSR Investment will, as a whole, not be appropriate for investment by the MSR Funds, due to the negotiations involved in acquiring MSRs, Bayview will have the ability to influence the mortgage loans underlying each Bayview MSR Investment. There may be individual servicing rights within a Bayview MSR Investment that would be appropriate for acquisition by the MSR Funds. Additionally, Bayview purchases Bayview MSR Investments from counterparties that sell MSRs to the MSR Funds, and Bayview may receive intangible benefits when transacting with such counterparties on its own behalf. Bayview intends to analyze each MSR opportunity separately, and will not price portfolios in any way that will

benefit the Bayview MSR Investments to the detriment of any opportunity that is appropriate for the MSR Funds. Additionally, since the MSR Funds generally will not participate in MSR investments related to loans that are not eligible to be sold to the agencies, such investments may be acquired by Bayview or another Fund, even if the non-agency loans were sourced from Lakeview or a third-party originator that sells agency loans to Lakeview. D.

Conflicts of Interest Created by Contemporaneous Trading

Participation in specific investment opportunities will often be appropriate, at times, for one or more Client. When it is determined that it would be appropriate for one or more Clients to participate (i) in an investment opportunity in whole loans, Bayview generally will seek to allocate the opportunity to all the investment accounts whose investment strategy is appropriate for such whole loan investment in proportion to the relative amount of capital available for such investment opportunity in such investment accounts (e.g., undrawn commitments plus investment proceeds available for reinvestment), or (ii) in an investment opportunity in securities, Bayview generally will seek to allocate such investment opportunity for all of the participating investment accounts in proportion to their program size for such opportunity (i.e., if a Client’s investment strategy is focused 100% of securities, the program size for that Client generally will include 100% of such Client’s targeted gross asset value). The program size of a Client for a particular strategy generally will equal the targeted gross asset value allocated to such strategy, which will be its net asset value plus uncalled capital commitments allocated to such strategy and will also take into account the target leverage to be utilized for such strategy. The amount of capital available, or the program size of a Client, as applicable, for a particular type of investment strategy or opportunity may not be 100% of such Fund or SMA (i.e., if a Fund’s investment strategy is focused on loans and securities, the aggregate program size for securities strategies for that Fund may be a fraction of such Fund’s total targeted gross asset value). For instance, 100% of the BMS Funds’ program size is likely to be available for opportunities to invest in securities, while the percentage of the BOF Funds available for opportunities to invest in securities is expected to vary over time. Additionally, a Client’s aggregate program size for securities may be further sub-divided into program sizes for specific types of securities or securities strategies that are then used to allocate such types of securities among participating Clients. Bayview’s investment committee will periodically determine the percentage or nominal amount of each Client’s capital (i.e., program size) that is available for a particular type of investment strategy or opportunity based on a number of factors, including such Client’s investment program, the total expected target size of a particular account or program (including expected leverage to be utilized for a particular strategy), relative exposure to various investments and the perceived relative value of the investment opportunity relative to other investment opportunities available to such Client, and after each such determination that percentage will be the percentage used to allocate investment opportunities of that type among participating Clients. However, Bayview, in its sole discretion, may make non-pro rata allocations among Clients based on, among other things, Bayview’s perception of the liquidity of the Clients at the time of the investment and on a going-forward basis; relative exposure to market trends; the remaining term or time remaining in the investment period of each such account (i.e., Bayview expects to over-allocate opportunities to a Fund or account that is nearing the end of its investment period); the perceived relative value of the investment opportunity relative to other investment opportunities available to such Client or account; the terms, structure and availability of financing in respect of an investment; the expected target size of the account or

program; the geographic focus of the investment programs of Clients and the location of the investment opportunity; the credit quality and/or expected yield of the investment; and the investment programs and portfolio positions of Clients for which participation is appropriate. For example, certain Clients are expected to invest a majority of their assets in loans and pools of loans, and Bayview may determine that an investment opportunity in another financial instrument is not appropriate for a Client or that the opportunity should be allocated on a nonpro rata basis among Clients based on each Client’s investment program, relative exposure to various investments and the perceived relative value of the investment opportunity (e.g., Bayview may determine to allocate an opportunity to invest in ABS or whole loans to an SMA or only certain eligible Funds if the perceived relative value of such security or whole loan is not deemed appropriate in light of a Client’s investment program and its then-current portfolio). Bayview may also determine to establish program sizes and make allocations that are below the prescribed concentration limits for a given Client based on a number of considerations, including, without limitation, expected returns, portfolio diversification, and the risk profile of a particular investment. Concentration limits are not considered to be a prescribed allocation percentage. To the extent any Client does not have sufficient capital available to fund its allocation of any particular investment (whether as a result of such Client’s existing investments, commitments for future investments, reserves for anticipated future cash needs or otherwise), such Client will participate in such investment only to the extent of its capital available to do so, and any excess amount that otherwise would have been allocated to such Client for such investment will instead be allocated to other Clients, as applicable, and taking into account the considerations mentioned herein. Additionally, certain investment opportunities, although appropriate for one or more Clients, may not be divisible among multiple accounts due to, among other reasons, the small size of the opportunity or the structure of the investment. To the extent an opportunity cannot, or in Bayview’s discretion should not, be allocated among multiple accounts, such opportunities may be allocated among the different accounts on a basis that Bayview considers fair and equitable over time, including allocating the first such opportunity to one account, the second such opportunity to another account and so on. Because Bayview may make non-pro rata allocations, portfolios managed by Bayview may produce results that are materially different. To the extent an instrument is being purchased to hedge the portfolio of one or more Clients, such instrument may not be allocated among Clients on a pro rata basis, but instead may be allocated to the particular accounts for which the hedge is appropriate in such amounts that are deemed appropriate to hedge the particular portfolio in the sole discretion of Bayview. As noted above, for purposes of operational efficiency, (i) investments are and may in the future be initially purchased or sold jointly by or for the benefit of Clients and Other Accounts (whether currently in existence or formed in the future) by and through an entity jointly owned by some or all of such investment entities before being allocated at cost among the participating investment entities, and (ii) Clients have made and are expected to make investments through one or more subsidiary entities that may make investments on behalf of Clients and Other Accounts including, but not limited to, BGOF. Although the sale of specific investments held by multiple Clients generally are expected to be sold by the Clients on a pari passu basis, Bayview, in its sole discretion, may sell investments from various Clients on a non-pari passu basis based on a variety of factors including those described above with respect to allocations of investment opportunities. Accordingly, it is

possible that one Client may be selling an investment, while another Client is retaining or investing more capital in the same investment. Accordingly, certain Clients could be disadvantaged by the investment activities of other Clients. Clients may invest in different layers of the capital structure of an issuer or borrower. For example, Clients (i) may own debt of an issuer or borrower while another Client owns equity in the same issuer or borrower, (ii) may own debt of an issuer or borrower while another Client owns a different tranche or other class or issue of debt of the same issuer or borrower, and/or (iii) may own equity of an issuer or borrower while another Client owns a different equity security of the same issuer or borrower. Additionally, Clients may own equity of an issuer or assets (for example, loans) of the same issuer. To the extent a reorganization or other major corporate event occurs with respect to such issuer or borrower, conflicts may exist between Clients. Bayview will seek to resolve such conflicts of interest in a fair and equitable manner. Clients may also invest in assets in which other Clients already have an investment. Clients may provide follow-on funding for an investment, which may benefit multiple Clients. Additionally, one Client may invest in an investment in which other Clients have a pre-existing investment. There can be no assurance that any Client will wish to make such investment or have available capital to do so, and the inability to make such follow-on investment may result in dilution of a Client’s investment in the portfolio investment. Certain investment opportunities are expected to be suitable acquisitions by Clients and by the portfolio companies of certain Funds. If Bayview believes, in its discretion, that an investment opportunity is better suited for acquisition by a portfolio company than by a Client, Bayview may offer such investment opportunity to the portfolio company. As a result, certain Clients may not participate in such opportunity if such portfolio company is not a portfolio investment of such Client, or may be indirectly participating in such opportunity in a different percentage than if such investment opportunity was acquired by the Client directly.

Portfolio transactions for Clients are allocated to brokers and dealers on the basis of best execution and in consideration of a broker’s or dealer’s ability to effect the transactions, its facilities, reliability and financial responsibility and, in the case of broker-executed transactions, the provision or payment by the broker of the costs of research and researchrelated services which are of benefit to Clients and Bayview. The selection of a broker (including a prime broker) to execute transactions, provide financing and securities on loan, hold cash and short balances and provide other services also may be influenced by, among other things, the following: the financial condition of the broker, diversification of counterparty risk, assessment of jurisdiction and bankruptcy laws governing the entity that holds the Funds’ assets, financing terms, including length of commitment and amount and availability of financing, operational capabilities, and other factors deemed appropriate. Bayview need not solicit competitive bids and does not have an obligation to seek the lowest available commission or other transaction costs. The commissions and other transaction costs (which may include dealer markups or markdowns arising in connection with riskless principal transactions) charged to Clients by brokers or dealers in the foregoing circumstances may be higher than those charged by other brokers or dealers that may not offer such products and services. Research and Other Soft Dollar Benefits Bayview does not currently expect that Clients will use commission or “soft” dollars to any significant extent to pay for research products or services, given that the primary focus of existing Clients’ investment programs does not incorporate to a significant extent the types of securities trades that generate “soft” dollars that are eligible for treatment under Section 28(e) of the U.S. Securities Exchange Act of 1934, as amended. However, particularly in light of the opportunistic investment program of certain Funds, Bayview reserves the right to use “soft” dollars in the future. Any such use of “soft” dollars will fall within the safe harbor for soft dollars created by Section 28(e). Brokerage for Client Referrals Not applicable. Directed Brokerage Not applicable.

Trade Errors Bayview may on occasion experience errors with respect to trades made on behalf of Clients. Trade errors may include, for example, (i) the placement of orders (either purchases or sales) in excess of the amount of securities Bayview intended to trade; (ii) the sale of a security when it should have been purchased; (iii) the purchase of a security when it should have been sold; (iv) the purchase or sale of the wrong security; and (v) the allocation of orders to a different Client account than the one intended. Trades implemented as a result of faulty data, systems, coding, modeling or analysis, trades that are properly executed but result in losses, errors committed by other persons (including brokers and custodians), or which are otherwise caused by human error other than those specifically described in the trade error policy contained in Bayview’s compliance manual, are not considered trade errors. Errors that do not result in transactions in an investor’s account (such as transactions that result in loss of an investment opportunity) will not be viewed as trade errors. Trade errors may result in losses or gains. Bayview will endeavor to detect trade errors prior to settlement and correct them in an expeditious manner. Trade errors are evaluated on a case-by-case basis. If Bayview determines that Bayview’s gross negligence, willful misconduct or fraud was the direct cause of a trade error, BAM generally will compensate a client for any losses resulting from such trade error. If a third party’s negligence or other wrongdoing causes a trading error that is material to a client, Bayview will attempt to recover the amount of loss from the third party for the client. Bayview does not assume responsibility for compensating the client, or making the third party compensate the client, in such cases. B.

Order Aggregation

If Bayview determines that the purchase or sale of the same security is in the best interest of more than one Client, Bayview may, but is not obligated to, aggregate orders in order to reduce transaction costs to the extent permitted by applicable law. When an aggregated order is filled through multiple trades at different prices on the same day, each participating Client will receive the average price with transaction costs allocated pro rata based on the size of each Client’s participation in the order as determined by Bayview. In the event of a partial fill, allocations generally will be made on a pro rata basis on the initial order but may be modified on a basis Bayview deems appropriate, including for example, in order to avoid odd lots or de minimis allocations. Additionally, certain investments may be initially purchased by Bayview or an entity jointly owned by some or all Clients before being allocated (at no cost) among the investing Clients pursuant to Bayview’s allocation policy.

In the future, Bayview or a Fund may enter into arrangements with placement agents providing for payments to such agents of a one-time or ongoing fee based on a percentage of the management fee and/or incentive compensation attributable to the interests of an investor introduced by such placement agent. Placement agent fees, to the extent not related to an agent or service provider engaged to market in a non-U.S. jurisdiction where the use of such agent is required to comply with the laws of such jurisdiction, will offset management fees dollar for dollar, to the extent borne by a Fund.

The Custody Rule imposes on advisers with custody of clients’ funds or securities certain requirements concerning reports to such clients (including underlying investors) and surprise examinations relating to such clients’ funds or securities. However, an adviser need not comply with such requirements with respect to limited partnerships or pooled investment vehicles, if each limited partnership or pooled investment vehicle: (i) is audited at least annually by an independent public accountant, and (ii) distributes its audited financial statements prepared in accordance with generally accepted accounting principles to its investors within 120 days of its fiscal year-end. Bayview relies upon this audit exception with respect to its Clients, other than the SMAs and the Blackstone Fund, for which it does not have custody.

With regard to the Blackstone Fund, Bayview acts as a sub-adviser that exercises investment discretion over of its allocated portion of the assets in the Blackstone Fund within a limited investment mandate and subject to the oversight of the fund’s adviser and its board of directors.

To meet its obligations under this rule, Bayview has adopted written Proxy Voting Policies and Procedures, which are available to prospective and existing investors upon request by contacting Bayview at the address, phone number or email address on the cover of this Brochure. These policies and procedures are reasonably designed to ensure that Bayview’s voting with respect to proxy proposals, amendments, consents or resolutions (collectively, “proxies”) is exercised in a manner that serves the best interests of its clients, as determined by Registrant in its sole discretion, and address how Bayview will resolve any conflict of interest that may arise when voting proxies. Bayview, in its sole discretion, may elect not to vote a proxy in circumstances under which casting a vote would not reasonably be expected to have a material effect on the value of the client’s investment, or if such a vote would be unduly burdensome or not serve the best interests of its clients. Bayview’s investment mandate as sub-adviser to the Blackstone Fund and adviser to the SMAs does not currently involve purchasing the type of investments that would require voting proxies.