Rokos Capital Management (US) LP: investment adviser

In this capacity, RCCM acts as collateral manager to CLOs. RCCM was formed in April 2026. Rokos Capital Management (Middle East) Limited (“RCM ME”, and together with RCM US, RCM SG, and RCCM, “RCM”, “we”, or the “firm”), a private company limited by shares in the United Arab Emirates, is licensed with the Abu Dhabi Global Market Financial Services Regulatory Authority to manage assets, advise on investments, arrange deals in investments, and deal in investments as agent. RCM ME was incorporated in November 2025 and received its approval for Financial Services Permission in March 2026. The ultimate principal owner of RCM is Mr. Christopher Rokos. Mr. Rokos is also the ultimate owner of Rokos Capital Management (Jersey) LP (“RCM Jersey”) which serves as a manager to certain of our Clients, and Rokos Capital Management LLP (“RCM LLP”), which acts as investment manager to certain of our Clients and is registered with the SEC as an investment adviser. RCM Jersey, acting as manager of certain of our Clients, has delegated authority to RCM LLP. RCM LLP has delegated responsibility for certain portfolio management activities to each of RCM US, RCM SG, and RCM ME under sub-advisory arrangements. In addition, RCM US provides certain investment advisory services to other Clients and acts as investment manager of RCCM. In this document the “RCM Entities” means each of RCM US, RCM SG, RCCM, RCM ME, RCM Jersey, and RCM LLP. Under these arrangements, RCM US and its relying advisers provide sub-advisory services in relation to pooled investment vehicles managed by RCM Jersey and investment managed by RCM LLP, including but not limited to Rokos Global Macro Master Fund LP and its feeder funds (the “Global Macro Fund”), and RCM Co-Investment Opportunities Limited (the “Co-Invest Fund”). RCM US also serves as the investment manager of certain pooled investment vehicles, such as RCM Private Markets Master Fund LP and its feeder funds (“Directly Advised Clients”). RCCM serves as the investment manager to RCM US CLO 1 Ltd. (“CLO 1”). For purposes of this brochure, “Clients” and “our Clients” refers to the Clients in connection with our sub-advisory arrangement with RCM LLP, Directly Advised Clients managed by RCM US, and to CLOs managed by RCCM. Types of Advisory Services Offered We offer investment advisory services to our Clients. We tailor our investment advisory services to the investment objectives of each Client. These objectives are described in the offering documentation for our private investment fund Clients. We manage the assets of each Client in accordance with the terms of the documents governing our relationship with the applicable Client. The RCM Entities provide investment advice directly to the Clients and not individually to the Clients’ investors. Wrap Fee Programs Our firm does not participate in wrap fee programs.

Regulatory Assets Under Management As of December 31, 2025, RCM US manages $20,195,507,416 of regulatory assets under management for our Clients on a discretionary basis. Regulatory assets under management for the purposes of this Form ADV are calculated as the regulatory assets under management of the Directly Advised Clients, CLOs managed by RCCM and, the portion of the assets of Clients over which we have discretion under the sub-advisory arrangement between each of RCM US, RCM SG, and RCM ME with RCM LLP. While much of this brochure applies to all of our Clients, certain information applies to specific Clients only. Please closely review the applicable governing documents with respect to, among other things, the terms, conditions and risks of investing in a particular Client. This brochure should not be construed as an offer or a solicitation of an offer to purchase an interest in our Clients.

RCM LLP pays a fee to each of RCM US, RCM SG, and RCM ME in compensation for the investment advisory services they provide to those Clients pursuant to the sub-advisory arrangement between RCM LLP and each of RCM US, RCM SG, and RCM ME. Other Clients RCM US receives a management fee from certain of our Clients calculated with respect to their assets under management and as agreed between RCM US and these Clients. RCCM receives management fees from its Clients calculated with respect to their assets under management and/or the performance of the Client’s account, as agreed between RCCM and these Clients. RCCM may, in its discretion, waive, reduce, or rebate the management and/or performance fees with respect to the investment of any investor in its CLOs, including the Global Macro Fund. Other Fees and Expenses Other fees and expenses incurred by Clients that are not directly related to our services include, but are not limited to, the following: 

costs and expenses directly related to portfolio investments or prospective investments (whether or not the relevant investment is made), such as brokerage commissions, interest on debit balances or borrowings, research, market data, market data management systems, (including, without limitation, fees of third party consultants for the management, configuration and support of such systems), economic, political or market

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intelligence and other information utilized with respect to a Client’s investment program (including, without limitation, consultants’ fees and expenses, data or software subscriptions or licenses, journals and papers); costs incurred in connection with maintaining a Client and any of its investment subsidiaries, including any administrative, management or other fees (including directors’ fees) incurred in connection with the operation of the Client and its investment subsidiaries; any withholding or transfer taxes imposed on a Client; fees of the independent administrator of each Client and any out-of-pocket expenses of the administrator, including applicable data, communication and technology-related charges, expenses relating to accounting, audit and preparing, printing and distributing financial and other reports and proxy forms, general administration and legal expenses; the costs of acquiring and maintaining Clients’ memberships of relevant exchanges; expenses relating to accounting, audit and communication expenses with respect to investor services, meetings of directors and shareholders of Clients; administration, legal and tax advisory expenses (including where services are provided via subscription services – subscription, license and related support fees) and the fees and expenses of regulatory, tax and other filings, reporting and compliance relating to Clients (for example, without limitation, FATCA/CRS compliance costs, license fees and associated costs incurred in monitoring (and making applicable disclosures of) exchange and other regulatory limits applicable to the Client’s investment positions, or calculating and reconciling the Client’s regulatory initial margin obligations); the costs of any litigation or investigation involving a Client, indemnification and other extraordinary expenses, the insurance (if any) for the benefit of the Client or its directors and obtaining and maintaining any future listing of shares of the Client; any fees and expenses charged by proxy voting, or class action service providers on behalf of the Clients; the licensing and configuration of certain electronic order management systems and software, the costs of developing and maintaining applications to support Clients’ trading strategies (including, without limitation, third party consultants’ fees in respect of such applications and software); the costs and charges of the RCM Entities’ and certain third party consultants’ usage of artificial intelligence, machine learning technology and similar tools, models and systems (collectively, “AI Tools”) provided by third parties, including usage-based input and output “token” charges (or similar) which may be calculated by reference to the volume of data or other content submitted to, or processed or generated by, such AI Tools, in each case to the extent borne by a Client in accordance with its governing documents; any costs associated with and resulting from reporting and providing information to existing and prospective investors of Clients; and costs incurred by the Clients or directly associated with registering or marketing the Client in a particular jurisdiction (including expenses related to international regulatory or tax filings).

The RCM Entities allocate expenses to the Clients that incur them, and to the extent multiple Clients incur expenses in the same transaction, the RCM Entities allocate the expenses among the applicable Clients and the applicable investments of each Client in a fair and equitable manner. All fees or expenses in connection with the use of brokerage services are separate and distinct from the management, infrastructure, and performance fees received by RCM and its affiliates. Please review Item 12: Brokerage Practices below, which discusses conflicts of interest related to brokerage practices and provides additional information on brokerage transactions and costs. For additional details regarding fees and expenses charged to our Clients, please refer to the governing documents of the relevant Client. We do not require Clients to pay any fees in advance. Neither RCM nor any of its supervised persons accepts compensation for the sale of securities or other investment products.

However, RCM Entities will generally seek to mitigate the resulting conflict by allocating investment opportunities on an equitable basis between Clients with a similar strategy or structure where investing opportunities for each of the Clients coincide simultaneously. Equitable allocation may be determined on the basis of proportionality to the size of each Client’s strategy in respect of that position, or based on the Client’s prevailing net asset value, depending on which measure is more appropriate to that process, as determined solely in the discretion of the RCM Entities. In certain circumstances, the RCM Entities may request that a Client’s administrator use a certain third party valuation source to value an investment held by a Client. Any involvement by the RCM Entities in the valuation process may create a conflict of interest due to that RCM Entity’s receipt of performance-based fees. We have designed and implemented procedures to identify and mitigate potential conflicts of interest including those with respect to the allocation of investment opportunities or the valuation of assets. Specifically, the RCM Entities address any potential future conflicts of interest relating to varying fee arrangements by adhering to a trade allocation policy, which sets forth objective factors for determining how to allocate investment opportunities among our Clients.

Allocations among these and other asset classes are expected to vary over time, and there are no restrictions on the types of assets or instruments that they may invest in on behalf of these types of Clients. These include, but are not limited to, debt securities and obligations (which may be below investment grade or unrated), credit default swaps, bank loans, listed and unlisted equities, exchange-traded funds, mortgage securities, other collective investment schemes (which may be open-ended or closed-ended, listed or unlisted, may employ leverage and of which the manager or the investment manager may be an affiliate of our firm), currencies, commodities, futures, options, warrants, swaps and other derivative instruments, including event contracts. Derivative instruments may be exchange-traded or traded over-the-counter. We also engage in short sales. Given the nature of the approach of the RCM Entities, the portfolio of these Clients may or may not be invested across a wide range of instruments at any time. Directly Advised Clients As described more fully in our Directly Advised Clients’ offering documents, RCM US seeks to generate riskadjusted returns by investing in global venture-backed companies based in developed markets, at a later stage in their private lifecycles for these types of Clients. RCM US looks at companies that are not expected to face technology or product/product market fit risk and is focused on identifying companies that exhibit high rates of growth and that are predominantly technology or technology enabled businesses. RCM US looks to invest in companies with a strong likelihood of achieving an initial public offering (“IPO”) but may also consider companies that would offer another type of liquidity event, in either case within 24-48 months of investment. CLOs RCCM sponsors, structures and manages CLOs that actively manage a diversified portfolio of senior secured leveraged loans. General Despite the investment analysis and risk management approach of the RCM Entities, investing in these instruments involves a risk of loss that our Clients must be prepared to bear. The RCM Entities do not offer a guaranteed level of risk or return, or any guarantee that the original capital value of any investment will be maintained. There can be no assurance that our investment activities will be successful or that our Clients will not suffer losses. This section describes some of the significant investment strategies and products that we may utilize in advising our Clients, and some of the risks associated with them, which are more fully described in our Clients’ governing documents. The following explanation of risks is not exhaustive. For purposes of this Item 8, we have included strategies and risk factors applicable to our Clients as a result of the investment management and advisory services of the RCM Entities. Availability of Investment Strategies: The success of our Clients’ investment activities depends on our ability to identify investment opportunities as well as to assess the importance of news and events that may affect the financial markets. Identification and exploitation of the investment strategies to be pursued by our Clients involves a high degree of uncertainty. No assurance can be given that we will be able to locate suitable investment

opportunities in which to deploy all of our Clients’ assets or to exploit discrepancies in the securities and derivatives markets. Clearing House Protections: For cleared derivatives, Client transactions are represented at the Clearing House, through client segregated accounts, often provided on a net omnibus basis for all the clients of the clearing broker. Such net omnibus balances would be guaranteed at the Clearing House, but any outstanding balance will be dependent on the solvency of the broker. There is normally no clearing house for off-exchange instruments which are not traded under the rules of a recognized or designated investment exchange other than for off-exchange instruments which are subject to mandatory clearing requirements. Concentration of Investments: Although it is our policy to aim to diversify each Client’s investment portfolios, there may be a substantial correlation between a Client’s positions and the Client may at certain times hold fewer investments. Upon the occurrence of certain market events, a Client’s portfolio could become more correlated. Our Clients could be subject to significant losses if they hold a large position in a particular investment, or correlated positions, that decline in value or are otherwise adversely affected, including by default of the issuer(s). Counterparty Risk: Our Clients may suffer losses if a counterparty to a financial instrument defaults and fails to meet its payment obligations to them. In addition, in certain circumstances, assets of a Client may be utilized in support of trading activities engaged in by the Client with a counterparty and may be deposited with or otherwise held by another third party. In such circumstances, the assets of the Client will also be subject to the risk of such third party, or third party used in connection with transfer agency services, failing to perform its obligations in respect of transactions whether due to insolvency, bankruptcy or other causes. Our Clients use counterparties located in various jurisdictions around the world. Such counterparties are subject to various laws and regulations in various 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 the Client’s assets will be subject to substantial limitations and uncertainties. Discretion of the RCM Entities, New Strategies and Techniques: We have considerable discretion in the types of securities, instruments or assets that our Clients may trade and the right to modify the investment or trading strategies or hedging techniques of our Clients without the consent of their investors. Any of these new trading techniques of our Clients may not be thoroughly tested in the market before being employed and may have operational shortcomings which could result in unsuccessful trades and, ultimately, losses to our Clients. In addition, any new trading strategies or hedging technique developed by the RCM Entities may be more speculative than earlier techniques and may increase the risk of an investment in our Clients. Emerging Markets: Investment in emerging market securities involves a greater degree of risk than an investment in securities of issuers based in developed countries. Among other things, emerging market securities investments may carry the risks of less publicly available information, more volatile markets, less strict securities market regulation, less favorable tax provisions, and a greater likelihood of severe inflation, unstable currency, war, nationalization of assets, and expropriation of personal property than investments in securities of issuers based in developed countries. In addition, a Client’s investment opportunities in certain emerging markets may be restricted by legal limits on foreign investment in local securities. Emerging markets generally are not as efficient as those in developed countries. In some cases, a market for the security does not exist locally, and transactions will need to be made on a neighboring exchange. Volume and liquidity levels in emerging markets are lower than in developed countries. When seeking to sell emerging market securities, little or no market may exist for the securities. In addition, issuers based in emerging markets are not generally subject to uniform accounting and financial reporting standards, practices and requirements comparable to those applicable to issuers based in developed countries, thereby potentially increasing the risk of fraud or other deceptive practices. Furthermore, the quality and reliability

of official data published by the government or securities exchanges in emerging markets may not accurately reflect the actual circumstances being reported. Epidemics, Pandemics, and Other Catastrophic Events: Epidemics, pandemics and other catastrophic events (such as natural disasters, war, civil disturbance and acts of terrorism), and related government responses (such as quarantines, travel restrictions and shutdowns), can disrupt global supply chains, economic activity and financial markets, causing volatility and reduced liquidity. They may also disrupt the operations of the RCM Entities and their service providers, restrict our ability to value Clients’ investments, and adversely affect the calculation of Clients’ net asset values. They may lead to margin calls or require our Clients to repay indebtedness or other financial obligations early, which could force the sale of assets and result in the loss of invested capital and anticipated profits. No previous success by the RCM Entities in dislocated markets is any guarantee of our Clients’ success in investing in, and managing, any investment during or after an epidemic or pandemic. Exchange Protections: On many exchanges, the performance of a transaction by a broker (or third party with whom it is dealing on a Client’s behalf) is “guaranteed” by the exchange. However, this guarantee is unlikely in most circumstances to cover a Client and may not protect a Client if a broker or another party defaults on its obligations to a Client. General Economic and Market Conditions: The success of our 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, trade barriers, currency exchange controls and national and international political circumstances. These factors may affect the level and volatility of securities prices and the liquidity of our Clients’ investments. Volatility or illiquidity could impair our Clients’ profitability or result in losses. Illiquid Investments: We may make investments for our Clients that due to legal or other restrictions suddenly become illiquid. The market prices, if any, of illiquid investments tend to be more volatile and it may not be possible to sell such investments when desired or to realize their fair value in the event of a sale. Moreover, securities in which our Clients may invest include those that are not listed on a stock exchange or traded in an over-the-counter market. As a result of the absence of a public trading market for these securities, they may be less liquid than publicly traded securities. There may be substantial delays in attempting to sell non-publicly traded securities. Although these securities may be resold in privately negotiated transactions, the prices realized from these sales could be less than those originally paid. Further, companies whose securities are not publicly traded are not subject to the disclosure and other investor protection requirements that would be applicable if their securities were publicly traded. Investments may be Difficult to Liquidate: The market for our Clients’ portfolio investments may be limited and there may be certain restrictions on a Client’s ability to liquidate its investments on a timely basis at a reasonable value. A Client may have to sell, distribute or otherwise dispose of one or more of its investments at a disadvantageous time if it is able to do so at all. As a result, a Client may sell, distribute or otherwise dispose of one or more of its investments for a price which is less than the price that could have been obtained if the investments were held for a longer period of time. Conversely, a Client may not be able to dispose of certain of its assets for a substantial period of time. Investment Management Risk: The investment performance of our Clients is wholly dependent on the services of certain members of, and/or individuals employed by the RCM Entities. In the event of the death, disability, departure, insolvency or withdrawal of any of these individuals, the performance of our Clients may be adversely affected. There can be no assurance that we would be able to mitigate the effects of the loss of any such individuals. Legal and Regulatory Change: Market disruptions over recent years, significant financial events and the increase in investment vehicles have led to increased scrutiny and regulation over the hedge fund and asset management

industry and the products and markets that they trade. In addition, the laws, regulations, administrative and judicial changes, as well as guidance and interpretation affecting business continue to evolve unpredictably. Laws and regulations applicable to our Clients, especially those involving taxation, investment and trade, can change quickly and unpredictably in a manner adverse to our Clients’ interests. Furthermore, there can be uncertainty as to how regulatory measures and legislative reforms will be applied, particularly where they have retroactive effect. Leverage and Margin Transactions: To increase buying power, the RCM Entities employ leverage, including through the use of borrowings, on behalf of its Clients. The RCM Entities also engage in certain margin transactions on behalf of our Clients. Trading on margin is a form of leverage. Securities purchased on margin serve as collateral for the broker’s loan. Trading on margin is risky because it not only can increase gains, but also can amplify losses to the point where a Client may lose more than its initial investment. We employ short-term margin borrowing, which can be especially risky. For example, should the collateralized securities decline in value, a Client could be subject to a “margin call,” under which it must either deposit additional funds or securities with the broker or sell the pledged securities to compensate for the decline in value. If the value of a Client’s assets suddenly drops, we might not be able to liquidate the Client’s assets quickly enough to satisfy its margin requirements. Liquidity Risk: In some circumstances, a Client’s investments may be relatively illiquid making it difficult or impossible to acquire or dispose of them at the prices quoted on the various exchanges or at the prices which the RCM Entities consider reflects their then value. Accordingly, a Client’s ability to respond to market movements may be impaired and such Client may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject to delay and administrative uncertainties. A Client may be adversely affected by a decrease in market liquidity for the instruments in which it invests which may impair such Client’s ability to adjust its positions. The size of the Client’s positions may magnify the effect of a decrease in market liquidity for such instruments. Market Disruptions: A Client may incur major losses in the event of disrupted markets or other extraordinary events which may affect markets in a way that is not consistent with historical pricing relationships. The risk of loss from a disconnect with historical prices is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to a Client from its banks, dealers and other counterparties will typically be reduced in disrupted markets. Such a reduction may result in substantial losses to a Client. In addition, market disruptions caused by unexpected political, military and terrorist events or from social instability may from time to time cause losses for our Clients and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. A financial exchange may from time to time suspend or limit trading. Such a suspension could render it difficult or impossible for a Client to liquidate affected positions and thereby expose it to losses. There is also no assurance that off-exchange markets will remain liquid enough for a Client to close out positions. Market Risk: The success of our investment strategy depends, in large part, on correctly evaluating future price movements and/or cash flows of potential investments. We cannot guarantee that we will be able to accurately predict these price movements or cash flows and that our investment program will be successful. Investments in securities and other financial instruments involve a degree of risk that the entire investment may be lost. Sanctions: In recent years, there has been an increase in the economic sanctions administered and enforced by the European Union, the United States, the United Nations Security Council, the United Kingdom, and other relevant sanctions authorities. Sanctions authorities have continued to designate additional governments, entities and persons, and to impose new types of sanctions. Sanctions regimes can be complex in nature and broad in their application and may range from trade embargos, to economic sanctions and restrictions on trading in financial instruments. Multiple states or international organizations may issue sanctions against another state, however, the terms of the sanctions may be similar or may differ and interpretation of the application of such regimes may require

us to exert a substantial degree of subjective judgment. Sanctions impose restrictions and prohibitions on who may invest in our Clients as well as the investments that they may make and maintain. For instance, if an investor in a Client is designated under sanctions (either directly or as a result of the designation of its shareholders or principal owners), that Client may be required to block or freeze its interest in that Client, and in such instance, that Client may be unable to accept further subscriptions from such investor. Further, if sanctions are issued which affect a Client’s investments, that Client may be unable to deal in that investment or liquidate its positions until the applicable sanctions are lifted and the value of such investments may be materially adversely affected. Alternatively, a Client may be required to sell the positions at a partial or total loss. Any failure by a Client or the companies in which it invests to comply with the changing sanctions may result in the imposition of fines or penalties or more severe consequences. In addition, the implementation of widespread sanctions could have an impact on the global financial markets causing financial market volatility which could have an adverse effect on our Clients’ investments. Our counterparties may be similarly affected by their exposure to instruments or capital markets that are subject to applicable sanctions, which may in turn impact their ability to perform their obligations in respect of transactions with our Clients or otherwise cause a counterparty to fail to meet its financial obligations. It is not possible to predict whether sanctions imposed in the future will affect any investor in our Clients or the investments by our Clients, but any such sanctions could have a material effect on our Clients. Short-Term Considerations: Our trading decisions for our Clients may be made on the basis of short-term considerations, and the portfolio turnover rate could result in significant trading related expenses. The following paragraphs set out more specific details on market risks. Credit Risk: We invest our Clients’ assets in securities which are exposed to the risk that the borrower will be unable to meet its repayment obligations. The credit rating and risks associated with such securities can change over time and therefore affect the performance of such investments. Hedging Transactions: The RCM Entities often engage in hedging transactions on our Clients’ behalf. Employing hedging techniques is intended to reduce a portfolio’s vulnerability to various risks. Hedging entails determining certain risks in one’s portfolio and making trades to offset those risks. Hedging against a decline in the value of a portfolio position does not eliminate fluctuations in the value of portfolio positions or prevent losses if the value of such positions decline, but rather it establishes other positions designed to gain from those same developments, moderating the decline in the portfolio positions’ value. On the other hand, hedging transactions also limit the opportunity for gain if the value of the portfolio position should increase. The success of a Client’s hedging strategy is subject to our ability to assess correctly the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged. There is a risk that we may not always choose the right variable to hedge against. Also, it is important to note that we may not always choose to hedge against, or might not anticipate, certain risks, and our Clients’ portfolios will always be exposed to certain risks that cannot be hedged. Many other investment strategies that we employ can be used as hedging techniques, such as those employing options, futures contracts, forward contracts, swaps, currency transactions and short selling. Financing Arrangements and Availability of Credit: Banks and dealers that provide financing to our Clients can apply essentially discretionary margin, “haircuts”, financing, security and collateral valuation policies. These policies can be changed at any time, for any reason, such as a change in market circumstances, government, regulatory or judicial action or simply a change in the policy of the relevant bank. These policy changes or the imposition of other credit limitations or restrictions, whether due to market circumstances, government, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidations of positions at disadvantageous prices, termination of swap and repurchase agreements, or other trading agreements, and cross-defaults to agreements

with other banks and dealers. Any such adverse effects may be exacerbated if these events occur suddenly and/or are implemented by multiple market participants simultaneously. There can be no assurance that our Clients will be able to maintain adequate financing arrangements under adverse market circumstances. Interest Rate and Exchange Rate Risk: We invest our Clients’ assets in financial instruments whose value may be adversely affected by changes in interest rates or foreign exchange rates. Short Selling and Repurchase Agreements (“Repo”): Short selling of securities and repos occurs when a Client borrows securities and sells them, promising to buy them at a later date to return to the lender. If the price drops, we can buy the securities at the lower price and make a profit on the difference. If the price of the securities rises, we have to buy them back at the higher price, and the investment loses money. Buying the securities can itself cause the price of the securities to rise further which would exacerbate the potential for loss. In the case of repos, given their larger volume and use for funding, the ability to transact in them is exposed to changes in the regulatory environment for banks and their ability to extend balance sheet, as well as the financing liquidity conditions in the market generally. Trading Error, Trading Execution Risk and use of Electronic Trading Instructions: Trading errors and order errors, which may be due to a mistake of fact, processing error or other similar reason, are an intrinsic factor in any complex investment process, and will occur, notwithstanding the execution of due care and special procedures designed to prevent such errors. If trading errors and/or order errors do occur, they will be for a Client’s account, unless they are the result of conduct inconsistent with the standard of care set forth in the relevant investment management agreement. Our investment management agreements typically provide that, except in the case of gross negligence, fraud or willful default, losses (including indirect losses, loss of opportunity and consequential loss) arising from unintended errors in the communication or administration of trading instructions will be for a Client’s account on the basis that profits arising from such errors will also be for a Client’s account. We will not be responsible for the errors of other persons, including any brokers. In the event of a trading error or an order error, it will be a matter of our discretion as a free-standing investment judgment whether or not to retain the relevant position. RCM Entities use sophisticated information technology systems to send, on their Clients’ behalf electronic trading instructions to brokers. This technology can increase the likelihood of erroneous orders being made, regulatory requirements not being complied with and/or credit and capital limits being breached due to computer malfunctions, the speed of execution of transactions, human error or a deficiency in algorithm design or implementation. Trading through an electronic trading or order routing system is also subject to risks associated with system or component failure (whether such failure affects the hardware or software of the exchange or person offering the relevant system or the RCM Entities). In the event of system or component failure, it is possible that, for a certain time period, it might not be possible to enter new orders, execute existing orders, or modify or cancel orders that were previously entered. System or component failure may also result in loss of orders or order priority. Trading venues offering an electronic trading or order routing system typically adopt rules to limit their liability, the liability of member brokers and software and communication system vendors, and the amount that may be collected for system failures and delays, which rules may vary among the venues and may not adequately compensate the relevant Client for the full extent of any loss. Volatility: Price movements in the assets traded by our Clients are volatile and are affected by a wide variety of factors, including changing supply and demand relationships, credit spread fluctuations, interest rate and exchange rate fluctuations, international events and government policies and actions with respect to economic, exchange control, trade, monetary, military and other issues. In addition, governments from time to time intervene, directly and by regulation, in certain markets. Such intervention is often intended directly to influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among

other things, interest rate fluctuations. These price movements could result in significant losses to our Clients. Conversely, the absence or a low degree of volatility may reduce the opportunities for potentially profitable transactions. The following paragraphs set out additional information with respect to certain risks that may be associated with the products or instruments that we trade on behalf of our Clients. Bank Loans: Our Clients undertake investments in bank loans and participations. These obligations are subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent conveyance under relevant creditors’ rights laws; (ii) so-called lender-liability claims by the issuer of the obligations; (iii) environmental liabilities that may arise with respect to collateral securing the obligations; and (iv) limitations on the ability of a lender to directly enforce its rights with respect to participations. In analyzing each bank loan or participation, the RCM Entities attempt to compare the relative significance of the risks against the expected benefits of the investment. Successful claims by third parties arising from these and other risks will be borne by the Client. There are no restrictions on the credit quality of the loans in which our Clients may invest. Loans may be deemed to have substantial vulnerability to default in payment of interest and/or principal. Certain loans may have large uncertainties or major risk exposures to adverse conditions, and may be considered to be predominantly speculative. Generally, such loans offer a higher return potential than better quality loans, but involve greater volatility of price and greater risk of loss of income and principal. The market values of certain loans also tend to be more sensitive to changes in economic conditions than better quality loans. A borrower may default under a loan in which our Clients invest. Our Clients may be unable to earn any return on a defaulted loan and their ability to realize any collateral under such a loan may be diminished by the lack of marketability of such collateral as well as by the delays involved in insolvency proceedings. Defaults under loans may occur more frequently during periods of slow economic growth and/or recession than they would otherwise. CLO Investments: CLOs are generally structured by issuing multiple tranches of securities, often categorized as senior, mezzanine, subordinated and/or equity tranches, with varying maturity, credit risk and other characteristics. If there are defaults or the relevant collateral otherwise underperforms, scheduled payments to senior and mezzanine tranches of such securities have a priority in right of payment to subordinated and equity tranches. As the performance of a CLO depends on the performance of its underlying collateral, CLOs present risks similar to those of other types of credit investments and, in fact, such risks could be of greater significance in the case of CLOs. In addition to the general risks associated with investing in debt securities, CLO securities carry additional risks, including: (1) the possibility that distributions from collateral assets will not be adequate to make interest or other payments; (2) the quality of the collateral could decline in value or the underlying assets could default; (3) investments in CLO equity, such as those targeted by the Global Macro Fund, will be subordinate in right of payment to CLO debt; and (4) the complex structure of a particular security could not be fully understood at the time of investment and could produce unexpected investment results. Additionally, changes in the collateral held by a CLO can cause payments to be reduced, either temporarily or permanently. CLOs can also be subject to prepayment risk. Further, the performance of a CLO can be adversely affected by a variety of factors, including the security’s priority in the capital structure of the issuer thereof, the availability of any credit enhancement, the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans or other assets that are being securitized, remoteness of those assets from the originator or transferor, the adequacy of, and ability to realize upon, any related collateral and the capability of the servicer of the securitized assets. There are also the risks that the management of a CLO or its underlying assets does not properly carry out its duties, potentially resulting in losses. In addition, the complex structure of the security can produce unexpected investment results, especially during times of market stress or volatility. RCCM acts as manager of CLOs in which the Global Macro Fund will invest. The Global Macro Fund will primarily make investments (on an indirect basis through interests issued by RCCM) in (i) the most subordinated securities

of certain CLOs managed by RCCM or an affiliate thereof, and (ii) the most subordinated securities (or other first loss or subordinated interests) of one or more loan “warehousing” entities with the expectation that they will be converted or contributed into CLOs (such securities described in clauses (i) and (ii) (“Residual Interests”)). Residual Interests and warehoused investments are, generally, limited recourse obligations of the issuer thereof payable solely from distributions on, and sale proceeds of, the underlying assets owned by the issuer. Neither the Global Macro Fund nor RCCM will have any direct rights against the issuer of, or the entity that sold assets to, the CLOs and will rely solely on distributions on the underlying assets or proceeds thereof for payment in respect thereof. If the distributions on, and sale proceeds of, the underlying assets are insufficient to make required payments on the securities, no other assets will be available for the payment of such deficiency and following the distribution of such proceeds to the holders of the securities, the obligation of the issuer to pay such deficiency will be extinguished. The underlying assets are subject to credit, liquidity, market and interest rate risks. Changes in the market value or fair value of underlying assets could result in defaults that could in turn reduce or halt the distribution of cash by the CLO to the Global Macro Fund. The underlying assets of CLOs may be below investment grade (or of equivalent credit quality) or may not be rated at all. The lower rating of below investment grade loans or bonds reflects a greater possibility that adverse changes in the financial condition of an underlying obligor or in general economic conditions or both can impair the ability of the underlying obligor to make payments of principal or interest. As the holder of equity in CLOs, the Global Macro Fund will face a greater risk of loss upon default of an underlying asset. Moreover, CLOs by their nature are highly leveraged vehicles and CLO investments represent a leveraged investment with respect to the underlying loans. The leveraged nature of CLOs magnifies the adverse impact of loan defaults, and changes in the market value of the CLO investments could be greater than the change in the market value of the underlying loans, which are subject to credit, liquidity and interest rate risk. As a result, any event that negatively impacts an underlying investment could result in a substantial loss that would not be as substantial if the investment were not leveraged. In addition, CLOs and related investments are highly complex investments. Their complexity gives rise to the risk that investors, parties involved in their creation and issuance, and other parties with an interest in them may not have the same understanding of how these investments behave, or the rights that the various interested parties have with respect to them. Furthermore, the documents governing these investments may contain some ambiguities that are subject to differing interpretations. Even in the absence of such ambiguities, if a dispute were to arise concerning these instruments, there is a risk that a court or other tribunal might not fully understand all aspects of these investments and might rule in a manner contrary to both the terms and the intent of the documents. The Global Macro Fund expects to invest in CLOs managed by RCCM or its affiliates. Investing in RCCM-managed CLOs will give rise to conflicts of interest and risks in addition to those that apply to CLO investments generally as described below. Convertible Securities: Our Clients may invest in convertible securities. Convertible securities include bonds, debentures, corporate notes and preferred stock that are convertible to common stock. Prior to conversion, convertible securities have the same general characteristics as non-convertible debt securities, which provide a stable stream of income with generally higher yields than those of equity securities of the same or similar issues. However, if the underlying security performs poorly, this could result in losses to our Clients. Commodities: Commodity prices generally relate to the overall level of economic activity and industrial production. Historically, during periods of economic or financial instability, commodities and the securities of commodities producers have been subject to extreme fluctuations in market price. The earnings and general financial condition of producers are highly dependent on the market price of the underlying resources which, historically, have been

extremely volatile. Natural disasters (such as earthquakes, droughts and floods) and social or political events (such as strikes and civil unrest) can lead to severe supply disruptions. These events may significantly influence prices of commodities and prices of natural resource equities. The production of some commodities can be concentrated in geographic regions or specific countries and, as such, the impact of a localized natural disaster or political or social factors in a particular region or country can have a significant effect. Commodity prices can be influenced, often unpredictably, by co-operative or coordinated actions, by producers or sovereign nations (e.g. members of the Organization of the Petroleum Exporting Countries). The discovery of a significant mineral deposit could have a major adverse impact on the price of the commodity due to the prospect of increased supply. New technology could lead to substitution of a commodity or commodities or could lower production costs and increase supply of a commodity, in each case influencing its price. Credit Default Swaps: The RCM Entities take long and short positions in credit default swaps on behalf of its Clients. A credit default swap is a type of credit derivative which allows one party (the “protection buyer”) to transfer credit risk of a reference entity (the “reference entity”) to one or more other parties (the “protection seller”). The protection buyer pays a periodic fee to the protection seller in return for protection against the occurrence of a number of events (each, a “credit event”) experienced by the reference entity. Credit default swaps carry specific risks including credit event risks such as the reference entity’s bankruptcy or failure to pay, high levels of gearing, the possibility that premiums are paid for credit default swaps which expire worthless, wide bid/offer spreads and documentation risks. In addition, there can be no assurance that the counterparty to a credit default swap will be able to fulfill its obligations to a Client if a credit event occurs in respect of the reference entity. Further, the counterparty to a credit default swap may seek to avoid payment following an alleged credit event by claiming that there is a lack of clarity in, or an alternative meaning of, language used in the contract, most notably the language specifying what would amount to a credit event. Currencies: On behalf of our Clients, we enter into transactions to purchase or sell one or more currencies to hedge a currency exposure created by other investment activities. Because currency control is of great importance to the issuing governments and influences economic planning and policy purchases and sales of currency and related instruments can be negatively affected by government exchange controls, blockages, and manipulations or exchange restrictions imposed by governments. These can result in losses for our Clients. Debt Securities: The RCM Entities, on behalf of their Clients, invest in debt securities which may be unrated by a recognized credit-rating agency or below investment grade and which are subject to greater risk of loss of principal and interest than higher-rated debt securities. The RCM Entities invest in debt securities which rank junior to other outstanding securities and obligations of the issuer, all or a significant portion of which may be secured on substantially all of that issuer’s assets. The RCM Entities may from time to time invest in debt securities which are not protected by financial covenants or limitations on additional indebtedness. The Clients will therefore be subject to credit, liquidity and interest rate risks. In addition, evaluating credit risk for debt securities involves a higher degree of uncertainty making comparison across countries, issuers and borrowers difficult. Credit markets are volatile and may become illiquid and as a consequence may be of limited use when determining the value of instruments. The RCM Entities may also invest in debt securities which are below “investment grade” and are subject to uncertainties and exposure to adverse business, financial or market conditions which could lead to the issuer’s inability to make timely interest and principal payments. The market values of these securities tend to be more sensitive to individual corporate developments and general economic conditions than those of higher rated securities. Derivatives: We utilize both exchange-traded and over-the-counter derivatives, including, but not limited to, futures, forwards, swaps, options and contracts for differences, as part of our investment strategy and for hedging purposes. These instruments can be highly volatile and expose investors to a high risk of loss. The low initial margin deposits sometimes required to establish a position at the outset in such instruments may permit a high degree of leverage.

As a result, depending on the type of instrument, a relatively small movement in the price of a contract may result in a profit or a loss which is high in proportion to the amount of funds actually placed as initial margin and may result in potentially unquantifiable further loss exceeding any margin deposited. In the event that a call for further margin exceeds the amount of cash available in a Client, the Client will be required to close out the relevant contract. In addition, daily limits on price fluctuations and speculative position limits on exchanges may prevent prompt liquidation of positions resulting in potentially greater losses. Further, when used for hedging purposes there may be an imperfect correlation between these instruments and the investments or market sectors being hedged. Transactions in over-the-counter contracts may involve additional risk as there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the exposure to risk. Contractual asymmetries and inefficiencies can also increase risk, such as break clauses, whereby a counterparty can terminate a transaction on the basis of a certain reduction in net asset value, incorrect collateral calls or delays in collateral recovery. We also sell, from time to time, covered and uncovered options on securities and other assets. To the extent that such options are uncovered, Clients could incur an unlimited loss. Distressed Securities: We invest in “below investment grade” securities and obligations of issuers in weak financial condition, experiencing poor operating results, having substantial capital needs or negative net worth, facing special competitive or product obsolescence problems, including companies involved in bankruptcy or other reorganization and liquidation proceedings. It is anticipated that certain debt instruments purchased by us for our Clients will be non-performing and possibly in default. Furthermore, the obligor or relevant guarantor may also be in bankruptcy or liquidation. There can be no assurance as to the amount and timing of payments, if any, with respect to the loans. These securities are likely to be particularly risky investments although they also may offer the potential for correspondingly high returns. Among the risks inherent in investments in troubled entities is the fact that it is frequently difficult to obtain information as to the true condition of such issuers. Such investments may also be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or payments, lender liability and the bankruptcy court’s power to disallow, reduce, subordinate or disenfranchise particular claims. Such companies’ securities may be considered speculative, and the ability of such companies to pay their debts on schedule could be affected by adverse interest rate movements, changes in the general economic climate, economic factors affecting a particular industry or specific developments within such companies. In addition, there is no minimum credit standard that is a prerequisite to the investment in any instrument, and a portion of the obligations and securities in which we invest may be less than investment grade. The level of analytical sophistication, both financial and legal, necessary for successful investment in companies experiencing significant business and financial difficulties is unusually high. There is no assurance that the RCM Entities will correctly evaluate the value of the assets underlying the investments or the prospects for a successful reorganization or similar action. In any reorganization or liquidation proceeding relating to a company in which we invest, the entire investment may be lost, our Clients may be required to accept cash or securities with a value less than their original investment and/or may be required to accept payment over an extended period of time. Under such circumstances, the returns generated from their investments may not compensate investors adequately for the risks assumed. In liquidation (both in and out of bankruptcy) and other forms of corporate reorganization, there exists the risk that the reorganization either will be unsuccessful (due to, for example, failure to obtain requisite approvals), will be delayed (for example, until various liabilities, actual or contingent, have been satisfied) or will result in a distribution of cash or a new security the value of which will be less than the purchase price of the security in respect to which such distribution was made. In certain transactions, we may not be “hedged” against market fluctuations, or, in liquidation situations, may not accurately value the assets of the company being liquidated. This can result in losses, even if the proposed transaction is consummated.

Equity Securities: We buy equity securities for our Clients, seeking to profit from both security selection and thematic sector or market timing decisions. The value of these investments will generally vary with their issuer’s performance and movements in the equity markets. Consequently, our Clients may suffer losses if we purchase equity instruments of issuers whose performance diverges from our expectations or if equity markets generally move in a downward direction and we have not hedged against this type of move (see above for an explanation of risks associated with hedging) or corporate actions are taken that directly or indirectly adversely affect the valuation of the equity securities. Fixed Income Securities: The RCM Entities invest in bonds or other fixed income securities, including, but not limited to, commercial paper and “higher yielding” (including non-investment grade) debt securities for our Clients. Consequently, our Clients will be subject to credit, liquidity and interest rate risks and evaluating credit risk for debt securities involves uncertainty because credit rating agencies throughout the world have different standards, making comparison across countries difficult. Furthermore, the market for credit spreads is often inefficient and illiquid, making it difficult to calculate accurately discounting spreads for valuing financial instruments. It is likely that a major economic recession could disrupt severely the market for such securities and may have an adverse impact on the value of such securities. Lastly, it is likely that any such economic downturn could adversely affect the ability of the issuers of such securities to repay principal and pay interest thereon and increase the incidence of default for such securities. A fundamental risk to any portfolio of fixed income securities is a shift in interest rates. To the extent that the cash flow from a fixed income security is known in advance, the present value of that cash flow decreases as interest rates increase; to the extent that the cash flow is contingent, the value of the payment may be linked to the then prevailing interest rates. Moreover, the value of many fixed income securities depends on the shape of the yield curve, not just on a single interest rate. Thus, for example, a callable cash flow, the coupons of which depend on a short rate, may shorten if the long rate decreases. In this way, such securities are exposed to the difference between long rates and short rates. This behavior is typical of complex fixed income securities, such as structured notes. In addition, evaluating credit risk for debt securities involves uncertainty because credit rating agencies throughout the world have different standards, making comparison across countries difficult. Forwards: We invest in forward contracts for Clients. A forward, or a forward contract, is a contract between two parties to buy or sell an asset at a specified future date at a price agreed upon at the time the contract is made. It is very similar to a futures contract, except forward contracts are negotiated privately and are not traded on an exchange, and thus, are not subject to limitations on daily price moves. On the other hand, this means that there is not a big secondary market for certain forwards, which means they may be difficult to sell should they become unfavorable for our Clients. They also expose our Clients to the risk that the counterparty to the forward may not perform on its obligations, creating the potential for loss. Futures: We engage in futures trading on behalf of our Clients. Transactions in futures involve the obligation to make, or to take, delivery of the underlying asset of the contract at a future date, or to settle the position with cash. They carry a high degree of risk. The low margins normally required in futures trading permit a very high degree of leverage. As a result, a relatively small movement in the price of a futures contract may result in a profit or loss which is high in proportion to the amount of funds actually placed as margin and may result in unquantifiable further loss exceeding any margin deposited. Futures trading in many contracts on futures exchanges (although generally not in currencies) is subject to daily price fluctuation restrictions, commonly referred to as “daily limits”, which prohibit the execution of futures trades on any given day outside a prescribed price range based on the previous day’s closing prices. Daily limits do not limit ultimate losses but may make it costly or impossible for us to liquidate a futures position against which the market is moving. A series of “limit moves”, in which the market price moves the “daily limit” with little or no trading taking place, could subject the Clients to major losses. The “gearing” or “leverage” often obtainable in futures trading means that a small deposit or down payment can lead to large losses

as well as gains. It also means that a relatively small movement in the value of an underlying asset can lead to a proportionately much larger movement in the value of a Client’s investment, and this can work against the Client as well as for it. High Yield Securities: The RCM Entities invest in bonds or other fixed income securities, including, but not limited to, commercial paper and “higher yielding” (including non-investment grade) (and, therefore, higher risk) debt securities for our Clients. Such securities are generally not exchange traded and, as a result, these financial instruments trade in the over-the-counter marketplace, which is less transparent and has wider bid/ask spreads than the exchange-traded marketplace. We also may invest in bonds of issuers that do not have publicly traded equity securities, making it more difficult to hedge the risks associated with such investments. The market for credit spreads is often inefficient and illiquid, making it difficult to calculate accurately discounting spreads for valuing financial instruments. High yield securities face ongoing uncertainties and exposure to adverse business, financial or economic conditions which could lead to the issuer’s inability to meet timely interest and principal payments. High yield securities are generally more volatile, are generally unsecured and may be subordinated to certain other outstanding securities and obligations of the issuer, which may be secured on substantially all of the issuer’s assets. High yield securities may also not be protected by financial covenants or limitations on additional indebtedness. The lower rating of debt obligations in the higher-yielding sector reflects a greater probability that adverse changes in the financial condition of the issuer or in general economic conditions or both may impair the ability of the issuer to make payments of principal and interest. Non-investment grade debt securities may not be protected by financial covenants or limitations on additional indebtedness. The market values of certain of these lower-rated and unrated debt securities tend to reflect individual corporate developments to a greater extent than do higher-rated securities which react primarily to fluctuations in the general level of interest rates, and tend to be more sensitive to economic conditions than are higher-rated securities. Companies that issue such securities are often highly leveraged and may not have available to them more traditional methods of financing. It is possible that a major economic recession could severely disrupt the market for such securities and may have an adverse impact on the value of such securities. In addition, it is possible that any such economic downturn could adversely affect the ability of the issuers of such securities to repay principal and pay interest thereon and increase the incidence of default of such securities. Options: The seller (writer) of an option has the obligation to make, or to take, delivery of the underlying asset of the contract at a future date, or in some cases to settle the position with cash. The buyer of an option has the right (but not the obligation) to exercise the option, thereby making or taking delivery of the underlying asset of the contract at a future date, or in some cases settling the position with cash. Options carry a high degree of risk. The “gearing” or “leverage” often obtainable in options trading means that a small deposit or down payment can lead to large losses as well as gains. It also means that a relatively small movement can lead to a proportionately much larger movement in the value of a Client’s investment, and this can work against the Client as well as for it. Physical Metals Trading: The Global Macro Fund may have exposure (which may be via an investment vehicle) to both base metals and precious metals, including through exchange-traded futures contracts and over-the-counter bilateral forward contracts. In certain circumstances, and subject to the terms of the relevant contract and applicable exchange or market rules, such positions may be held to physical delivery or otherwise physically settled rather than cash settled. Metals trading is a speculative activity. Prices of base metals and precious metals are affected by factors such as cyclical economic conditions, political events, interest rates, exchange rates, taxes, inflation or deflation (or the expectation thereof), monetary policies and fluctuation in the relative value of the U.S. Dollar against foreign

currencies. Further, physical metals trading is reliant on effective storage, handling and transportation including international shipping and logistics, all of which may be subject to delay and disruption and increase in costs, as well as the effects of global and regional supply and demand for metals and products, industry trends, metal sales by governments, central banks or international agencies, investment speculation and governmental restrictions on private ownership of certain metals. Metal markets have the potential to suffer from market disruption or volatility caused by shortages of physical metal. Such events could result in sudden increases in metal prices for a short period (also known as price spikes). Therefore, prices of precious or base metals may fluctuate sharply over short periods of time. The volatility in metal prices can also lead to volatile forward rates and lease rates which could result in the bid/offer spread on any stock exchange or market where the relevant instruments are traded to widen, reflecting short-term forward rates in the metal. Physical metals may be held through exchange warehouse and warrant systems and/or with third-party custodians, vaulting providers, depositories or other storage providers in the United States and other jurisdictions. Such arrangements give rise to risks including discrepancies in metal quality, weight, quantity or assay; documentation, title or transfer errors; delays in delivery, withdrawal or access; and the risk of default, insolvency, fraud or misconduct by a counterparty, warehouse operator, custodian, vaulting provider, carrier or other service provider. Although the Global Macro Fund and relevant investment vehicle may maintain insurance against some or all of these risks, there can be no assurance that such insurance will be sufficient to cover any losses incurred. Furthermore, precious metals generally incur storage costs which are higher than the custody fees paid on financial assets. All of these may have an impact on the Global Macro Fund’s trading activities in physical metals and could result in losses to the Global Macro Fund. Metals trading is subject to risks inherent to commodities investments. Please refer to “Commodities” for more details. Returns of commodities futures contracts tend to exhibit low to negative correlation with the returns of other assets such as stocks and bonds. Prediction Markets Trading: The Global Macro Fund may trade on prediction markets for investment or hedging purposes. Whether, and to what extent, it does so will depend on the opportunities available from time to time. This includes "event contracts" (contracts that pay out depending on whether a specified event occurs) traded on regulated designated contract markets, over-the-counter derivatives referencing event contracts, and contracts offered on decentralized or blockchain-based platforms. Prediction markets are new, and their legal and regulatory status is uncertain. Depending on the underlying event and market structure, event contracts may be subject to financial services, gambling or other regulatory regimes, or to none. The RCM Entities and the Global Macro Fund may face regulatory scrutiny, enforcement action or penalties. A regulatory action against a prediction market could cause assets held on it to be frozen for a substantial period or forfeited, potentially resulting in total loss. The Global Macro Fund may also lose access to these markets. The legal, tax, and accounting treatment of prediction market positions is also uncertain. Some prediction markets, particularly those based on decentralized protocols, are not subject to effective regulatory oversight. They may have limited liquidity, wide bid-offer spreads and high volatility, and they may be vulnerable to manipulation. Event contracts settle according to their detailed terms, designated information sources and determinations by platform operators, data providers or "oracles" (mechanisms that provide external information to blockchain-based protocols). Settlement criteria may be ambiguous or disputed, and determinations may be final, with limited or no recourse. A contract may therefore settle in a way that is inconsistent with our assessment of the event, and the Global Macro Fund may lose money even where that assessment proves correct. Collateral or proceeds may also be unavailable while settlement is delayed or disputed. Where the Global Macro Fund uses over-the-counter

derivatives referencing event contracts, it bears these risks indirectly. It has no rights against the platform operator and relies on its counterparty's determinations. Event contracts on similar events can have different terms and settle differently, so hedges using them may be ineffective. Prediction market positions can also be difficult to value. Trading in prediction markets is highly speculative, and the Global Macro Fund could lose its entire investment. Other Clients may trade event contracts, and these risks may apply to them. Private Company Investments: Investments in privately held operating companies are subject to a variety of risks. Our Clients invest in private companies which may be in an early stage of development with little or no operating history. Such companies may operate at a loss for prolonged periods of time or experience substantial variations in their operating results from period to period, and will consequently generally need substantial additional capital to support development and/or expansion or to maintain a competitive position. Other specific risks associated with investments in these companies include competition; inability to receive adequate financing; technological challenges; management issues; the impact of changes in market conditions, regulatory requirements, interest and currency exchange rates, general economic conditions, domestic or foreign political environments and capital market conditions, among others. Private Company Due Diligence: Identifying and participating in attractive private equity investment opportunities is difficult. There often will be little or no publicly available information regarding the status and prospects of private companies. Before making an investment in a private company, the RCM Entities will conduct due diligence that it deems reasonable and appropriate based on the facts and circumstances applicable to the relevant investment. Due diligence may involve an evaluation of business, financial, tax, accounting and legal issues. When conducting due diligence and making an assessment regarding a private equity investment, the RCM Entities rely on the resources available to them, including information provided by the private company. The due diligence investigation may not reveal all relevant facts that may be necessary in evaluating such investment opportunity and will not necessarily result in the investment in the private company being successful. Relative to mature companies, emerging private companies often may not have developed comprehensive legal, regulatory, financial, audit, control and other compliance capabilities. This makes it more difficult for the RCM Entities to conduct due diligence upon prospective private companies and to monitor those companies and also enhances the risks that otherwise successful private companies will experience adverse consequences due to unintended violations of legal, regulatory or similar obligations or due to intentional wrongdoing by private company personnel or third parties. It is also possible that inaccurate or incomplete information may be provided to the RCM Entities by the private company which may adversely affect the value of that Client’s investment. Private Investment in Public Equity: Our Clients may invest in securities issued by publicly held companies, which are not admitted to trading. Such investments may subject our Clients to risks that differ in type or degree from those involved with the Clients’ other investments. Such risks include, without limitation, limitations on the ability of our Clients to dispose of such securities and other securities and/or investments related to the relevant issuer at certain times, increased likelihood of shareholder litigation against such companies’ board members and increased costs associated with each of the aforementioned risks. In addition, when investing in securities issued by publicly held companies, which are not admitted to trading, our Clients may be unable to obtain financial covenants or other contractual rights, including management rights that it might otherwise be able to obtain in making privately negotiated investments in unlisted companies. Moreover, our Clients may not have the same access to information in connection with investments in public securities, either when investigating a potential investment or after making an investment, as compared to privately negotiated investments.

Knowledge of potential future investments in securities issued by publicly held companies, which are not admitted to trading may prevent our Clients from acquiring or disposing of particular securities and other securities and/or investments related to the relevant issuer of any such potential future investment. Execution of a private investment in a publicly held company which our Clients hold securities related to may result in a diminution of the value of our Clients’ existing position in that company. Our Clients’ ability to hedge downside risk associated with investments in securities issued by publicly held companies, which are not admitted to trading may be adversely impacted by lack of liquidity in the relevant issuer’s traded securities. Purchasing Securities in IPOs: From time to time our Clients purchase securities that are part of IPOs (e.g. “New Issues”). The prices of these securities may be very volatile. The issuers of these securities may be undercapitalized, have a limited operating history, and lack revenues or operating income without any prospects of achieving them in the near future. Some of these issuers may only make available a limited number of shares for trading and therefore it may be difficult for our Clients to trade these securities without unfavorably impacting their prices. In addition, investors may lack extensive knowledge of the issuers of these securities. FINRA rules restrict certain persons from participating in New Issues. As a result, certain investors may be restricted from participating in profits and losses attributable to such investments. Risks Related to Residual Interests: Residual Interests represent unsecured equity interests or other subordinated tranches in the relevant CLO or warehouse entity. The Global Macro Fund, as the indirect holder of Residual Interests, will rank behind all of the CLO’s or warehouse entity’s other creditors and investors, including, in the case of a CLO, holders of securities of more senior tranches of the CLO, and in the case of a warehouse entity, the senior lenders of the warehouse facility. The receipt of interest, principal and other distributions in respect of the Residual Interests will be governed by an indenture (in the case of a CLO) or credit agreement or other similar agreement (in the case of a warehouse facility), in each case, which will typically provide that payments to equity holders may not be made until obligations with respect to debt tranches have been met and/or certain financial tests are satisfied. The relevant transaction documents may also provide for the deferment of payments to equity holders without triggering an event of default under the indenture. If an event of default under the relevant transaction document were to occur, the senior noteholders (in the case of a CLO) or senior lenders (in the case of a warehouse facility) may be entitled to determine the remedies to be exercised which may be adverse to the interests of the equity holders, including the Global Macro Fund, and the noteholders or senior lenders, as applicable, may not have any obligation to consider the possible adverse effect on the interests of equity holders. To the extent that any losses are suffered in the underlying portfolio, such losses will be borne in the first instance by equity holders, including the Global Macro Fund. In such circumstances, holders of more senior securities of the CLO or the senior lenders, as applicable, will be entitled to repayment in full prior to any payment being made in respect of the Global Macro Fund’s Residual Interest. Similarly, if distributions on, and sale proceeds from, a CLO’s or warehouse entity’s underlying collateral are insufficient to make payments on the Residual Interests held by the Global Macro Fund, no other amounts will be available for the payment of such deficiency. Any such deficiency or default will reduce the value of the Global Macro Fund’s investment. Additionally, the failure by a CLO or warehouse entity to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could entitle holders of senior tranches of CLO securities or senior lenders, as applicable, to additional payments that would, in turn, reduce the payments the Global Macro Fund would otherwise be entitled to receive. Moreover, a return of capital and the realization of gains, if any, with respect to Residual Interests in a warehouse facility, are generally not expected to occur until the issuance of CLO securities by the warehouse entity. If a warehouse entity fails to issue CLO securities, the Residual Interests may receive a reduced return of capital and realized gains, or not receive any return of capital or realized gains. Risks Associated with Residential Mortgage-Backed Securities (“RMBS”): Our Clients invest in mortgage backed securities such as RMBS, whose investment characteristics differ from corporate debt securities. RMBS represent

interests in pools of residential mortgage loans often secured by one- to four-family houses. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans generally may be prepaid at any time (they usually do not contain prepayment penalties). RMBS may also be subject to call risk and extension risk. For example, because homeowners have the option to prepay their mortgages, the duration of a security backed by home mortgages can either shorten (known as call risk) or lengthen (known as extension risk). In general, if interest rates on new mortgage loans fall sufficiently below the interest rates on existing outstanding mortgage loans, the rate of prepayment would be expected to increase. Conversely, if mortgage loan interest rates rise above the interest rates on existing outstanding mortgage loans, the rate of prepayment would be expected to decrease. In either case, a change in the prepayment rate can result in losses to investors. Prepayments could reduce the yield received on the related issue of RMBS. Prepayments may also be caused by defaults or refinancings or changes in the underwriting requirements set by the mortgage origination industry. Holders of RMBS bear various other risks, including credit, market, structural and legal risks. Residential mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity, although such loans may be securitized by government agencies and the securities issued are guaranteed. The rate of defaults and losses on residential mortgage loans will be affected by a number of factors, including general economic conditions and those in the geographic area where the mortgaged property is located, the terms of the mortgage loan, the borrower’s “equity” in the mortgaged property (the “loan-to-value” ratio and the accuracy of the original property valuation) and the financial circumstances of the borrower (including any additional indebtedness). Certain mortgage loans may be of subprime credit quality. Delinquencies and liquidation proceedings are more likely with subprime mortgage loans than with mortgage loans that satisfy customary credit standards. The residential mortgage market in the United States has experienced a variety of difficulties and changed economic conditions that may adversely affect the performance of our Clients. If home prices flatten or decline for an extended period, delinquencies may increase and more losses on residential mortgage loans may occur – this may be particularly acute with respect to second homes and investor properties and for properties where the loan amount is approaching or exceeds the value of the property. Furthermore, foreclosure sales tend to depress home prices, which in turn makes it harder for borrowers to refinance, thereby increasing the rate of defaults. Furthermore, the market for defaulted residential mortgage loans or foreclosed properties may be very limited. If a residential mortgage loan is in default, exercising remedies such as foreclosure of such a loan may be a lengthy and difficult process, and may involve significant legal and other expenses, on top of potentially declining property values. U.S. federal, state and local authorities have enacted and continue to put forward new legislative proposals, rules and regulations relating to origination, servicing and treatment of mortgage loans in default or bankruptcy. In addition, residential mortgage loans in an issue of RMBS may be subject to various U.S. federal and state laws, public policies and principles of equity that protect consumers which, among other things, may regulate interest rates and other fees, require certain disclosures, require licensing of originators, prohibit discriminatory lending practices, regulate the use of consumer credit information and regulate debt collection practices. Furthermore, the laws of non-U.S. jurisdictions may have different, and, in some cases, more onerous obligations. 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 administrative enforcement. Any such violation could also result in cash flow delays and losses on the related issue of RMBS. Risks Particular to Trading Digital Assets: From time to time, the Global Macro Fund gains exposure to cryptocurrencies (including digital currencies), tokens and related instruments, including derivatives and other

instruments based on blockchain or distributed-ledger technology (“Digital Assets”). The Co-Invest Fund may also do so in the future. Trading in certain Digital Assets has only recently commenced on exchanges in the United States and so there is a limited price history for these Digital Assets which we may use as inputs into our trading signals. There is no fundamental market supply and demand affecting Digital Asset derivatives. Rather, the underlying spot market is predominantly composed of speculators. Therefore, Digital Asset derivatives may experience significant price volatility. The rules of certain designated contract markets impose trading halts that may restrict the ability of the Global Macro Fund to exit a position during a period of high volatility. The margin rates set by brokers and exchanges for Digital Asset futures and options are significantly higher than for other futures and options contracts due to their novelty and volatility and may be set as a percentage of the value of a particular contract, which means that margin requirements for long positions can increase if the price of the contract rises. Many futures commission merchants (“FCMs”) currently do not permit their customers to trade in Digital Asset futures and/or options or only allow certain customers to do so. If our FCMs were to impose restrictions on or prohibit the Global Macro Fund from trading Digital Asset futures and/or options, the Global Macro Fund could incur significant losses. We may trade newly developed contracts, including Digital Asset derivatives which may become listed for trading on futures exchanges from time to time for our Clients. In the United States, designated contract markets selfcertify new futures and options contracts following consultation with the CFTC. Likewise, foreign regulatory authorities are typically required to authorize the trading of new futures and options contracts on exchanges within their countries. Periodically, designated contract markets self-certify new futures and options contracts and foreign regulatory authorities designate additional contracts as approved contracts. If we determine that it is appropriate to trade in a new contract, we may do so for our Clients. Because these contracts are new, the investment strategies of our Clients may not be applicable to, or advisable for, these contracts. The markets in new contracts, moreover, have been historically both illiquid and highly volatile for some period of time after the contract begins trading. These contracts therefore present significant risk potential. Digital Assets are part of a new and rapidly evolving industry that is subject to a high degree of uncertainty and may be subject to significant price volatility. Most Digital Assets are not backed by a central bank, a national or international organization, assets or other credit, and the price of those Digital Assets is entirely dependent on the value that market participants place on them. This means that any increase or loss of confidence in Digital Assets may affect their value and therefore the performance of any transaction linked to or referring to such Digital Assets. Prices may be affected by a wide range of factors, including, but not limited to: (i) (ii) (iii) (iv) (v)

(vi) (vii) (viii) (ix) (x) (xi)

total Digital Assets in existence; the level of world-wide growth in the adoption and use of Digital Assets; the level of supply of Digital Assets versus level of demand; market conditions of, and overall sentiment towards, Digital Assets; the investment and trading activities of market participants—use of Digital Assets in the retail and commercial marketplace is limited and the significant speculative trading activity may lead to price distortion and volatility; inflation, interest rates, governmental monetary policies, trade restrictions, currency devaluations and revaluations, and political, economic or financial events and situations; the ability to convert Digital Assets into fiat currencies and associated rates of exchange; the regulation of Digital Assets, Digital Asset networks, platforms and exchanges and restrictions on the right to acquire, own, hold, sell, use or exchange Digital Assets; manipulative trading on Digital Asset exchanges, which are largely unregulated; liquidity of Digital Asset markets; and fraud, security breaches or malicious attacks affecting, or the failure of, Digital Asset networks, platforms and exchanges.

Digital Assets exist in uncertain and rapidly developing legal and regulatory landscapes and are subject to evolving government oversight by various federal, state, local and foreign regulators. The regulatory environment for Digital Assets and blockchain technology is constantly evolving, and new regulations or policies could have substantial and adverse effects on the Global Macro Fund’s investments that are exposed to Digital Assets and blockchain technology. Various legislative and executive bodies in the United States and in other countries may in the future adopt laws, regulations, or guidance, or take other actions, which may severely impact the use of Digital Assets generally, the blockchain technology behind them, or the means of transacting in or transferring them. Failure by the Global Macro Fund to comply with any current or future laws, rules and regulations, some of which may be subject to change, could result in a variety of adverse consequences. Second Lien Loans: From time to time we invest in loans that are secured by a second lien on assets. Second lien loans have been a developed market for a relatively short period of time, and there is limited historical data on the performance of second lien loans in adverse economic circumstances. In addition, second lien loan products are subject to inter-creditor arrangements with the holders of first lien indebtedness, pursuant to which the second lien holders have waived many of the rights of a secured creditor, and some rights of unsecured creditors, including rights in bankruptcy which can materially affect recoveries. While there is broad market acceptance of some second lien inter-creditor terms, no clear market standard has developed for certain other material inter-creditor terms for second lien loan products. This variation in key inter-creditor terms may result in dissimilar recoveries across otherwise similarly situated second lien loans in insolvency or distressed situations. While uncertainty of recovery in an insolvency or distressed situation is inherent in all debt instruments, second lien loan products carry more risks than certain other debt products. In certain periods, the market for many loan products, including second lien loans, can contract significantly making virtually all leveraged loan products, particularly second lien loan products, less liquid or illiquid. In such circumstances, many participants may cease underwriting or purchasing certain loan products. Securitized Products: Our Clients invest in securitized products or derivatives thereof such as residential mortgagebacked securities, asset-backed securities, commercial mortgage-backed securities and collateralized loan obligations. Investing in securitized products carries unique risks, including credit risks, market risks, interest rate risks, tranche or subordination risks, structural risks, a wide range of regulatory risks, higher liquidity risk, legal risks and timing risks that mean market risks are not always capable of being hedged. The following paragraphs set out additional information with respect to certain risks that may be associated with the RCM Entities: Conflicts of Interest: The RCM Entities and affiliates currently do, and may continue to, engage in activities that are independent from and may, from time to time, conflict with those of a Client. In the future, there might arise instances where the interests of the RCM Entities or their affiliates conflict with the interests of a Client. The RCM Entities, their affiliates and/or their respective principals may engage in transactions with and/or may provide services to, companies in which a Client invests or could invest. The RCM Entities and/or their partners, employees, members, related parties, affiliates and connected persons (and their respective directors, members and employees) may, in certain circumstances, request that a Client’s administrator use a certain third party valuation source to value an investment held by a Client. There may be a conflict of interest between any involvement of the RCM Entities and such Client’s administrator in the valuation process and their entitlement to receive fees from a Client calculated with regard to the valuation of assets and the net asset value of the Client. The RCM Entities and their affiliates expect to provide services to, invest in, advise, sponsor and/or act as investment manager to other investment funds, vehicles and accounts and other persons or entities (including prospective investors of a Client) which have similarities in structure and/or investment objectives, trading strategies, investment approaches and/or policies to those of the Clients, and are expected to co-invest with a Client in certain transactions, provided that the Client’s

interests would not be unfairly prejudiced by such co-investment. The RCM Entities may have conflicts of interest in rendering such services because, without limitation, their compensation for managing a Client may exceed that of other Clients, thus providing an incentive to prefer one Client over another. Moreover, if the RCM Entities make trading decisions for two or more Clients at or about the same time, a Client may be competing with other Clients for the same or similar positions. The nature of the investment strategies implemented by one or more Clients may from time to time result in those Clients holding investments in positions which other Clients could also hold or our Clients could compete with each other for investment opportunities. This could result in one Client generating profits or losses with respect to an investment which differ significantly to the profits or losses generated by the same investment for another Client. The scope of activities carried out for certain Clients may change over time. Such changes may result in a greater or lesser overlap in the investment activities between Clients. The RCM Entities may also face a conflict of interest in choosing a broker, dealer, counterparty, exchange, trading venue or market through or on which to execute transactions for a Client where an RCM Entity, a Client, any other account managed by the RCM Entities or any of their respective affiliates, members, officers or employees has a financial or other interest in, or receives any economic benefit from, the relevant broker, dealer, counterparty, exchange, trading venue or market (or any of their respective affiliates). In such circumstances, the RCM Entities may have an incentive to select that broker, dealer, counterparty, venue or market over another that might offer more favorable terms to the Client, which could benefit the RCM Entities or such other persons to the detriment of the Client. Cybersecurity, Information and Technology Systems Risks: The RCM Entities depend on their information and technology systems in order to assess investment opportunities, strategies and markets, implement trading decisions and to monitor and control risks for their Clients. The RCM Entities’ and our Clients’ information and technology systems may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons and security breaches, usage errors by their respective professionals, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although we and our Clients have implemented various measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, we or our Clients may have to make a significant investment to fix or replace them. The failure of these systems and/or of disaster recovery plans for any reason could cause significant interruptions in our and/or our Clients’ operations and result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to our Clients and their investors (and the beneficial owners of their investors). Such a failure could harm the RCM Entities’ and/or our Clients’ reputation, subject any such entity and their respective affiliates to legal claims and otherwise affect their business and financial performance. Investments in RCCM-Managed CLOs: The Global Macro Fund expects to invest in CLOs that are managed by RCCM, which will involve conflicts of interest, including as described below. Furthermore, it should be noted that other actual and potential conflicts of interest that may arise from time to time in connection with the activities of RCCM and the CLOs may be exacerbated as a result of an affiliate of RCM serving as general partner of RCCM and RCCM serving as manager of the CLOs. It should be noted that RCCM will not be required to take the Global Macro Fund’s interests into account when making decisions on behalf of any CLO. There can be no assurance that any such conflicts will be resolved in favor of the Global Macro Fund or any of its investors. As manager of CLOs, RCCM will be entitled to receive management fees, performance-based compensation and other fees, costs, expenses and other benefits from the CLOs and their portfolio companies. The foregoing fees will be earned separately with respect to each CLO and the fees earned in respect of any single CLO will not be affected by the performance of other CLOs. Such fees, costs and expenses are in addition to the Management

Fee, Performance Fee and other fees and expenses paid by the Global Macro Fund. The Global Macro Fund will not receive the benefit of any fees received by RCCM from the CLOs. However, any management fee or performance-based compensation payable to RCCM with respect to the Global Macro Fund’s indirect investment in the CLOs will be rebated or otherwise economically repaid, in full or in part, to the Global Macro Fund. Additionally, RCCM’s objectivity in recommending or making decisions with respect to the Residual Interests or other CLO securities held by it under any warehouse facility or CLO transaction documents (including, recommending when a CLO takes place and any exercise of the right to call and refinance and/or reset the CLOs) and in determining valuations may be influenced by the fact that RCCM will be entitled to performance-based compensation and management fees from the CLOs. These factors may create an incentive for RCCM to look, among other things, to execute a CLO in market conditions where third party equity investors would not invest (or not invest on similar terms), or seek to extend the life of the CLOs (including not exercising or objecting to any call of the CLOs) so that the management fee streams continue longer and engage in more risky or speculative transactions than may otherwise be the case in the absence of such arrangements which could materially and adversely affect the returns on the Residual Interests. RCM does not expect to cause the Global Macro Fund to invest in an RCCM-managed CLO unless they determine that overall it represents an attractive investment opportunity for the Global Macro Fund, taking into account the extent to which the management fee or performance based compensation payable to RCCM with respect to such CLO will be rebated or repaid to the Global Macro Fund as described above. Furthermore, there can be no assurance that RCCM will successfully structure, market and launch any new CLOs in the future, or that any future RCCM-managed CLOs will be similar to any existing or redeemed RCCM-managed CLOs. Additionally, if the Global Macro Fund invests in a CLO (or any warehouse entity) that does not ultimately close as expected or at all, the Global Macro Fund could suffer losses. Conflicts of interest will arise as a result of RCCM or its affiliates having duties and/or obligations to the Global Macro Fund, on the one hand, and to the CLOs and/or any other funds investing in the CLOs, on the other hand. RCCM or its affiliates may make decisions on behalf of the CLOs or such other managed funds that may conflict with its duties to, or otherwise not be in the best interests of, the Global Macro Fund. For example, in managing a CLO in which the Global Macro Fund holds an indirect Residual Interest and other managed funds hold interests in a senior debt tranche, RCCM and its affiliates will be permitted to consider the interests of the CLO as a whole and/or any other investors therein (including other managed funds and third-party investors). Correspondingly, in exercising the Global Macro Fund’s rights with respect to a CLO in which the Global Macro Fund holds an indirect Residual Interest (such as any right to vote on or approve decisions regarding refinancings, resets, redemptions or other matters concerning such CLO), RCCM and its affiliates may be incentivized to recommend the Global Macro Fund to take actions for the benefit of such CLO, the general partner or the manager of RCCM, other managed funds or other investors of such CLO or that are otherwise based on factors other than the best interests of the Global Macro Fund. Additionally, RCCM and its affiliates and/or other managed funds and related parties can be expected to acquire interests in a CLO in which the Global Macro Fund has invested which are senior to the interests of the Global Macro Fund, or which may, due to its size or nature, provide the holder of that other investment with greater or superior rights relative to those of the Global Macro Fund. Further, the Global Macro Fund may have direct equity or other investments in companies whose loan obligations are held within a CLO managed by RCCM. RCCM may make investment decisions in its capacity as manager of a CLO which have an adverse impact on the value of such equity or other investments held by the Global Macro Fund.

It should be noted that certain features and regulatory and contractual requirements and features of CLOs (including the applicable risk retention rules) will from time to time limit the techniques and options available to RCCM for addressing (or otherwise mitigating) any such conflicts of interest. Model and Data Risk: We use in-house quantitative models, AI Tools and information and data supplied by third parties (“Models and Data”) to assist us to make investment decisions, provide risk management insights and hedge our Clients’ investments. The Global Macro Fund’s systematic trading strategies will be reliant on mathematical models and AI Tools, which may be implemented as automated computer algorithms, that investment professionals at the firm have developed over time. No assurance can be given that the models used will achieve their intended results. When Models and Data prove to be incorrect or incomplete, any decisions made in reliance thereon expose our Clients to potential risks. For example, by relying on incorrect or incomplete Models and Data, an RCM Entity may be induced to: (i) over allocate capital to a particular asset class; (ii) buy certain investments at prices that are too high; (iii) sell certain other investments at prices that are too low; or (iv) miss favourable opportunities altogether. Some of the models used by the firm for our Clients are predictive in nature. The use of predictive models has inherent risks. For example, such models may incorrectly forecast future behaviour, leading to potential losses on a cash flow and/or a mark-to-market basis. In addition, in unforeseen or certain low-probability scenarios (often involving a market disruption of some kind), such models may produce unexpected results, which can result in losses for the Client. Furthermore, because predictive models are usually constructed based on historical data supplied by third parties, they depend heavily on the accuracy and reliability of the supplied historical data. If incorrect market data is entered into even a well-founded model, the resulting information will be incorrect. RCM commits substantial resources to the updating and maintenance of its existing models as well as to the ongoing development of new models. The successful operation of the models on which our Clients’ investment strategies may be based depends upon the information technology systems used by the RCM Entities and its ability to ensure those systems remain operational and that appropriate disaster recovery procedures are in place. There can be no assurance that the RCM Entities will be successful in maintaining effective models under all or any market conditions. Further, as market dynamics shift over time, a previously highly successful model may become outdated, perhaps without the firm recognising that fact before substantial losses are incurred. There can be no assurance that the RCM Entities will be successful in maintaining effective mathematical models and automated computer algorithms under all or any market conditions. In addition, it is not known what effect, if any, the size of the portfolio of our Clients or an increase in the total assets under our management will have on the performance of such models and algorithms. Non-Public Information: From time to time, the RCM Entities or affiliates may come into possession of non-public information concerning specific companies or issuers, although internal procedures are intended to prevent the receipt of such information. Under applicable securities or other laws, this may limit our flexibility to buy or sell portfolio securities issued by such companies or issuers. Our Clients’ investment flexibility may be constrained as a consequence of our inability to use such information for investment purposes. RCCM Risk: The Global Macro Fund expects to participate in each CLO or warehouse entity indirectly through a wholly owned series of RCCM. Other funds and/or other investors may in the future make investments in CLO securities, warehouse interest and other similar investments through other existing and future series of RCCM, in which the Global Macro Fund will not have an interest. RCCM has been established as a Delaware series limited partnership with one or more series for holding investments in CLO securities (each an “Investment Series”). The

Global Macro Fund is expected to invest in one or more Investment Series. RCCM will be managed by a general partner which is an affiliate of the RCM Entities that will have exclusive responsibility for operations and administration of RCCM. Pursuant to Delaware law, the assets, liabilities, profits and losses of each series of a series of limited partnership are intended to be legally segregated from those of each other series. However, in the case of RCCM, in light of certain regulatory considerations and market conventions (including as such regulatory considerations and marketing conventions relating to the risk retention requirements applicable to CLOs), the debts and liabilities incurred with respect to each Investment Series will be enforceable against RCCM generally. As a result, it should be specifically noted that the holders of interests in different series will not necessarily enjoy the full benefits of segregation contemplated under Delaware law. Even were RCCM structured in a manner that is intended to create an internal liability shield between different Investment Series, no assurance can be given that all the steps required to achieve such segregation as a matter of law have been or will continue to be undertaken effectively. There is little, if any, case law or judicial guidance as to the efficacy or other matters relating to the internal liability shields between the different series of a series limited partnership and between each series and the series limited partnership generally. Whether any intended segregation between different Investment Series of RCCM and between each Investment Series and RCCM itself will be recognized as effective or valid (in whole or in part and as a matter of law, equity or otherwise) may vary depending on the relevant court, jurisdiction, transaction and/or other factors. For example, it remains unclear under current U.S. law whether a single Investment Series has the ability to file a bankruptcy petition independently of RCCM and/or the other Investment Series, but even if an Investment Series can and does file for bankruptcy, there is a risk that a federal bankruptcy court might not respect the segregation of assets and liabilities between the Investment Series (even if a Delaware court would), and therefore the assets of another Investment Series and/or of RCCM as a whole would be in jeopardy. As a result, the Global Macro Fund will be subject to risks and may incur liabilities as a result of its participation in investments through Investment Series of RCCM, which risks and liabilities would not apply to the extent the Global Macro Fund participated in the relevant investment directly or through a vehicle that is not structured as a series entity. In addition, the costs and expenses of administering and operating RCCM and/or any Investment Series can be expected to exceed the costs of administering and operating a vehicle that is not structured as a series entity. It is generally expected that any Investment Series-specific costs and expenses will be allocated pro rata among the funds and/or entities participating in such Investment Series and any general (i.e., non-Investment Series specific) costs and expenses of RCCM will be allocated pro rata among all of the funds and/or entities participating in RCCM. The general partner of RCCM will make such judgments in its sole discretion, and there can be no assurance that any such determinations will be resolved in favor of the Global Macro Fund. There can be no assurance that the Global Macro Fund will not be materially and adversely affected as a result of the structuring of investments through RCCM or the activities of any other Investment Series or RCCM itself. Service Providers: RCM may from time to time be invested in or otherwise interested in service providers used by RCM in respect of its provision of services to certain of our Clients, the fees of which may be borne, in whole or in part, by certain of our Clients. In particular, RCM Jersey has an ownership interest in a service provider (the “Relevant Service Provider”) which will provide services relating to data management systems and applications and software to support the trading strategies of certain of our Clients (or other categories of expense described in the relevant Client’s governing documents) to RCM and which may also provide similar services to other entities which have no connection with RCM. When viewed in isolation, RCM Jersey’s ownership interest in the Relevant Service Provider means it would have an interest in the outcome of the services provided by the Relevant Service Provider, which is distinct from the interests of our Clients. Subject to the measures implemented to manage and monitor these arrangements described below, RCM Jersey’s interest as an owner of the Relevant Service Provider would broadly be to seek to

generate profits from the provision of services to certain of our Clients through minimising operating costs while maximising fees charged, whereas the interests of our Clients would be to obtain high-quality services while minimising fees paid. Notwithstanding the Relevant Service Provider has been established with the intention it provides cost-effective services to RCM, RCM Jersey could therefore be incentivised to engage, at the relevant Client’s expense, or cause the relevant Client to engage, the Relevant Service Provider and to cause the Relevant Service Provider to charge higher fees while seeking to reduce operating costs in a manner that adversely affects the quality of services provided, which could be detrimental to the interests of the relevant Client. To manage and monitor such conflict of interest, RCM has adopted measures in line with its conflict of interest policy. To promote cost effectiveness, RCM Jersey will agree a pre-defined target profit margin for the services provided to RCM. In the selection of the Relevant Service Provider, RCM will also assess the Relevant Service Provider by reference to expected price, functionality and performance including against certain alternative providers. RCM will continue to monitor the services provided by the Relevant Service Provider on a periodic basis. In addition, pursuant to the constitutive documents of the Relevant Service Provider, RCM Jersey does not intend to receive any distributable profits from the Relevant Service Provider unless and until the fees of the Relevant Service Provider borne by the relevant Client in the relevant financial year have first been completely offset by applying a portion of the operating profits of the Relevant Service Provider as service credits. Where appropriate, RCM may adopt new or alternative measures to manage and monitor such conflict of interest in line with its conflict of interest policy. Use of AI Tools: In line with advances in computing technology and data analytics, there has been an increasing trend towards utilising AI Tools by various market participants in the asset management industry. The firm uses AI Tools in connection with its investment activities, including (without limitation) to enable faster and more effective use of data and information, to improve efficiency by automating and enhancing workflows and to support its investment processes (for example, through the generation of trade recommendations). AI Tools are generally highly reliant on the collection and analysis of large amounts of data, and it is generally not possible or practicable to incorporate all relevant data into the model that AI Tools utilise to operate. Certain data in such models will inevitably contain a degree of inaccuracy and error – potentially materially so – and could otherwise be inadequate or flawed, which would be likely to degrade the effectiveness of AI Tools. In addition, many AI Tools may be subject to one or more undetected errors, defects or security vulnerabilities, which may be discovered only after an AI Tool has been introduced to and/or has had substantial operations in the marketplace. To the extent that the firm and its Clients are exposed to the risks of AI Tools, any such inaccuracies or errors in the data used by AI Tools or any exploitable errors, defects or security vulnerabilities in AI Tools could have adverse impacts on the firm and its Clients. The RCM Entities intend to evaluate from time to time and adjust internal policies governing use of AI Tools by their personnel. Notwithstanding any applicable policies, personnel of the RCM Entities could, unbeknownst to the RCM Entities, utilise AI Tools in contravention of such policies. While we believe that AI Tools have certain advantages and benefits for various applications, the use of AI Tools by market participants also poses risks to the RCM Entities and their Clients. The RCM Entities and their Clients could be exposed to the risks of AI Tools if third-party service providers or any counterparties, whether or not known to the RCM Entities and their Clients, also use AI Tools in their business activities. The RCM Entities and their Clients will not be in a position to control the operations of third-party service providers or counterparties, the manner in which third-party products are developed or maintained or the manner in which third-party services are provided. Use of AI Tools could include the input of confidential information (including material non-public information) — either by third parties in contravention of non-disclosure agreements (or similar undertakings or obligations of

confidentiality) or by RCM’s personnel in contravention of the RCM Entities’ policies – into AI Tools, resulting in such confidential information becoming part of a dataset that is accessible by other third-party AI Tools and users thereof. AI Tools and their applications in the asset management sector continue to develop rapidly and have recently become subject to increased scrutiny from lawmakers and regulators. It is impossible to predict the future risks that may arise from such developments and their potential impact on the RCM Entities and their Clients. As noted above, the foregoing explanation of risks is not intended to be exhaustive. Additional risks are explained in the governing documents for our Clients.

RCM Jersey, which is licensed and regulated by the Jersey Financial Services Commission to conduct fund services business under the Financial Services (Jersey) Law 1998, serves as the manager of certain of our Clients and delegates to RCM LLP all of its authority to provide investment advisory services to those Clients. RCM LLP and each of RCM US, RCM SG, and RCM ME have entered into a sub-advisory arrangement pursuant to which RCM LLP has delegated responsibility for certain portfolio management activities to RCM US, RCM SG, and RCM ME, respectively. RCM Jersey generally receives compensation, including management, infrastructure, and performance fees and allocations from these Clients. RCM Jersey pays certain compensation, including management, infrastructure and performance fees to RCM LLP in consideration of the investment advisory services it provides to these Clients. RCM LLP pays a fee to each of RCM US, RCM SG, and RCM ME in compensation for the investment advisory services they provide to these Clients pursuant to the sub-advisory arrangement between RCM LLP and each of RCM US, RCM SG, and RCM ME respectively. Our investment personnel may receive a portion of performancebased compensation from time to time.

Please see Item 5: “Fees and Compensation” for further information. The relationship between the RCM Entities does not create a material conflict of interest with our Clients. RCM Jersey and its affiliates sponsor certain of the Clients that we manage. Rokos Global Macro (GP) Limited and Rokos Private Markets (GP) Limited (together, the “General Partners”), affiliates of RCM US, serve as the general partner to certain of our Clients that are limited partnerships. The General Partners and our Clients have independent boards of directors. Prospective investors of the Clients receive disclosure of the terms of all fees and performance-based compensation charged to Clients, as well as the other terms of investment, in the offering documents for each Client. We do not recommend or select other investment advisers for our Clients.

avoid taking advantage of their position of employment by accepting investment opportunities, gifts or other gratuities from individuals seeking to conduct business with RCM, other than in accordance with our gifts and entertainment policy. The personal trading restrictions, preclearance requirements and reporting requirements contained in the Code of Ethics are intended to reduce certain conflicts of interest that may arise between our Clients and the personal trading activities of our employees. Personal securities transactions (with certain exceptions, such as units or shares in open-ended mutual funds) are subject to preclearance by the RCM Entities. Generally, our employees are prohibited from personal trading in securities held or traded by our Clients, except in certain circumstances where personal positions are small. Reports of personal trading activity are monitored by Compliance. Although RCM Entities advise multiple Clients, we engage in cross trades only when exceptional circumstances arise. In the event of any proposed transactions with or between Clients, we endeavor to conduct all cross trades on a fair and equitable basis between the relevant Clients. In order to address any potential conflicts of interest, the RCM Entities record evidence to show that both sides of the trade are in the best interests of the participating Clients, prior to execution. The price achieved must support the case that the Clients involved were treated fairly

and equitably under the circumstances. In transparent markets this is likely to be the market mid point for the security. In non-transparent markets the transaction must be executed at a price derived, following reasonable inquiry, from independent market data such as reported transactions, independent dealer quotes or bona fide offers in an active secondary market. In addition, RCM and individuals associated with our firm are generally not permitted to engage in principal transactions. A principal transaction is a transaction where RCM or a person associated with RCM, as principal, buys securities from, or sells securities to, a Client. The Chief Compliance Officer must be notified of any proposed principal transaction involving a Client and must provide approval before the principal transaction is affected. Prior to the settlement of any principal transaction, RCM must obtain any affected Client’s informed written consent to the transaction. Any prospective Client, any Client or any investor in our Clients may receive a copy of our Code of Ethics by submitting a written request to RCM at the mailing address or email address listed on the front page of this document, marked for the attention of the Chief Compliance Officer of RCM US.

While RCM does not currently maintain any formal soft dollar arrangements, we transact with multiple executing and prime brokers, some of whom provide us with proprietary research in exchange for executing client transactions. This presents a conflict of interest in selecting such brokers, as it may cause RCM to select a broker based on the research received rather than on the relevant Client’s interest in receiving the most favorable execution. RCM has established internal review processes in an attempt to mitigate this conflict. Additionally, research received will generally be used to service all RCM Clients. Research services include, among other things: market, economic or financial data; a particular aspect of economics or on the economy in general; statistical information; data on pricing and availability of securities; financial publications; electronic market quotations; analyses concerning specific securities, companies, industries or sectors; and market, economic and financial studies and forecasts. If we were to engage in formal soft dollar arrangements, any services and/or products obtained by us as a result of transactions that are executed on an agency basis (or, in certain circumstances, a “riskless principal” basis) generally would be expected to qualify for the safe harbor provided by Section 28(e) of the U.S. Securities Exchange Act of 1934, as amended. However, any services and/or products obtained by us as a result of transactions that are executed on a “principal basis” (e.g., transactions in futures, fixed income and asset-backed securities) generally would be expected to fall outside such safe harbor. The prime brokers to our Clients provide front and back office services, including the provision of financing, execution, clearing, settlement, reporting, securities lending and foreign exchange facilities, among other services. Subject to applicable law, the prime brokers may also provide RCM with capital introduction services.

From time to time, our personnel may speak at conferences and programs for potential investors interested in investing in hedge funds which are sponsored by prime brokers. These conferences and programs may be a means by which we can be introduced to potential investors for our Clients. Currently, neither RCM nor our Clients compensate prime brokers for organizing such “capital introduction” events or for any investments ultimately made by prospective investors attending such events (although they may do so in the future). While such events and other services provided by a prime broker have the capacity to influence us in deciding whether to recommend the use of such prime broker in connection with brokerage, financing and other activities of our Clients, we will not commit to allocate a particular amount of brokerage to a broker-dealer in any such situation and the brokerage services of such prime broker will always be subject to the best execution review as all other broker services, which is not permitted to take into account capital introduction services. We do not routinely recommend, request or require our Clients to direct us to execute transactions through a specified broker-dealer, or permit our Clients to make such directions.

A number of risk flags have been implemented to indicate whether our traders are taking large risk positions relative to the risk target of such Clients. Ultimate risk oversight for the portfolio of such Clients is the responsibility of the Chief Risk Officer of the RCM Entities and a team of dedicated risk specialists. The RCM Entities also operate a Risk Committee which reviews current risk and positions on at least a monthly basis. During these meetings the attendees review fund level market, credit, counterparty and liquidity risk. The portfolios of CLO 1 and our Directly Advised Clients are reviewed from a risk perspective on a quarterly basis. Content and Frequency of Account Reports The RCM Entities prepare periodic risk reports and investor letters and communications, as appropriate, for our Clients and their investors. Generally, investor communications are provided on a monthly basis. An annual audited financial report is also provided to investors in relation to our Clients. Our Clients are subject to financial audit by independent public auditors. Audited financial statements are delivered to investors in our Clients within 120 days of the end of the fiscal year.

The RCM Entities also endeavor where reasonably possible to ensure that the qualified custodians maintain these funds in accounts that contain only Clients’ funds and securities, under the Client’s name or our name as agent or trustee for the Clients. While Rule 206(4)-2 generally requires an investment adviser to ensure that a qualified custodian sends account statements to fund Clients at least quarterly, we are not subject to this requirement because all our Clients are subject to audit at least annually by an independent auditor that is registered with, and subject to regular inspection by, the Public Company Accounting Oversight Board. In these cases, we expect that audited financial statements will be distributed to all investors in our Clients within 120 days of the end of the fiscal year of the relevant Client.

Pursuant to an investment advisory agreement, RCM US has authority to carry out investment advisory services with respect to certain other Clients’ assets in accordance with their investment objectives and program. Pursuant to an investment advisory agreement, RCCM has authority to carry out investment advisory services with respect to CLO 1 in accordance with its investment objectives and program.

If a material conflict of interest is identified in voting a proxy, RCM has policies and procedures in place to determine the appropriate vote. RCM will generally seek to vote all proxies for portfolio securities held by its Clients, however in certain circumstances RCM may abstain if it deems it is in the best interests of its Clients. For example, RCM may be unable to vote securities that have been lent by a custodian or prime broker. In addition to maintaining the authority to vote the proxies of any investments in the portfolios that it manages for our Clients, RCM may also decide to vote on corporate actions such as restructurings, bankruptcy reorganizations and mergers, and similar events related to our Clients’ debt (and other) investments where we believe that the subject matter of such corporate action may be material to a Client’s account. Clients and investors of Clients may not direct RCM to vote in a particular way for a particular solicitation. A copy of RCM’s proxy voting policy and procedures, and information about how we voted securities in a particular proxy vote, if applicable, is available to Clients upon request. RCM US’s Chief Compliance Officer will document any potential material conflict of interest, together with our final determination regarding the same, and may consult with outside counsel or other third parties regarding the potential conflicts. With respect to class actions, RCM has engaged a third party that monitors and files for any class action recoveries in respect of litigation entitlements of Clients. The third party provider has been engaged on an “opt-out” basis as it is generally RCM’s policy to participate in recoveries related to securities and anti-trust class actions. The provider is responsible for filing all necessary claim forms on behalf of our Clients and to assist with the recovery of settlement process. RCM has not acted as a lead plaintiff with respect to such actions and does not currently anticipate doing so.