Napier Park Global Capital (US) LP (“Napier Park”) is a subsidiary of Napier Park Global Capital LP and Napier Park Global Capital (US) GP LLC. Napier Park employees own 100% of the voting equity of Napier Park Global Capital LP and a third party strategic partner holds a small revenue share interest in a non-voting and non-controlling capacity. Napier Park may provide advisory services to private investment companies such as funds of hedge funds, private equity funds, securitized asset vehicles and, infrastructure funds, (“collectively referred to herein as “Funds” and individually as “Fund”), and institutional investors, pension plans, state and municipal government entities, sovereign wealth entities and high net worth individuals. These Funds (i) rely on an exemption from registration under Section 3 of the Investment Company Act of 1940, as amended (“1940 Act “) or (ii) are registered under the 1940 Act, as open-end investment companies.

Napier Park also may provide investment advice to separately managed accounts (“Managed Accounts”) on a fully discretionary or non-discretionary basis.

References herein to Napier Park shall be deemed to also include Napier Park’s subsidiaries that provide advisory services to Funds. A number of fixed income strategies fall (including CLOs) within Napier’s credit strategies group (“Credit Strategies”) in addition to our Financial Partners and Indian Investing Business strategies. Napier Park will provide investment services for the types of products listed below. Services Provided: Credit Strategies Fund Products: Each Credit Strategies investment center represents a specialized area of expertise in a fixed income or equities sector and seeks to offer Funds with a consistent investment approach, appropriate asset-liability management and attractive risk-return profile. Napier Park manages a range of fixed income and equity products with varying degrees of risk, return and diversification profiles (including hedge funds and separate accounts) with the ability to customize solutions. Napier Park manages fixed income and equity investment funds in the areas of European loans, U.S. loans, U.S. municipal bond arbitrage, corporate credit, mortgage backed and asset backed securities, structured credit and distressed debt as well as special situations strategy among others. Napier Park uses an integrated product development, investment management, risk, operations and technology platform that draws upon professionals who have experience in investments, research, structured finance, liability management, risk analytics, client servicing, operations, technology, legal and accounting. Napier Park’s investment and strategy selection and execution process includes an evaluation of each strategy, the development of risk management and investment guidelines, identifying and contracting third party service providers who it believes can successfully execute the strategies selected at any given time and, finally, active management of both the assets and the liabilities of the funds. Private Equity Fund Products: Financial Partners: Napier Park manages private equity products which seek to (i) provide primary, secondary and special situations capital to financial services businesses and companies serving financial institutions and (ii) generate attractive long-term returns, primarily by investing in cash-generating risk assets (“Financial Partners”). Real Assets: Napier Park manages real assets funds which seek differentiated investment opportunities primarily by investing in cash-generating real assets with an emphasis on inflation resistant distributions and residual values. (Real “Assets”) India Infrastructure/Real Estate:

Napier Park manages an infrastructure/real estate business that makes investments in India (the “India Investment Business”). Napier Park has engaged a third-party Indian advisor that provides research and advisory services to Napier Park, including deal sourcing, due diligence, deal structuring, exit strategies and other investment related advice.

Managed Accounts: Napier Park provides investment advice to separately managed accounts (“Managed Accounts”) which may follow the strategies described above for Fund products.

The Managed Accounts may be managed on a fully discretionary basis (“Discretionary Managed Accounts”) or a non-discretionary basis (“Non-Discretionary Managed Accounts”).

With respect to a Discretionary Managed Account, Napier Park and its affiliates will enter into an advisory agreement with the client pursuant to which Napier Park will construct and manage on a discretionary basis the Discretionary Managed Account. With respect to a Non-Discretionary Managed Account, Napier Park and its affiliates may enter into an advisory agreement with a client pursuant to which Napier Park will provide investment advice relating to private investment funds and will construct on a non-discretionary basis the Non-Discretionary Managed Account’s portfolio. Individual agreements may provide for other services to be provided by Napier Park which may include: overall allocation advice, due diligence services, certain account consolidation, analytical and reporting services and certain administrative services. Affiliates or third parties may be retained by the Managed Account clients or Napier Park to provide administrative, custodial or other services to the Managed Accounts. Napier Park, affiliates or third party service providers may be retained by Managed Accounts or Napier Park to provide administrative, custodial or other services to Managed Accounts. In constructing a Managed Account portfolio, Napier Park will first consider and assess the Managed Account client’s financial goals, investment objectives, investment time horizon, and investment preferences. Napier Park expects that Managed Accounts will in most cases follow strategies similar to other Funds it advises, as described above. See Item 8 “Methods of Analysis.” Particular Investment Restrictions Individual investors in the Funds are not typically consulted in the design or implementation of such Fund’s investment programs. Each Fund’s offering documentation will describe that Fund’s investment program.

With respect to Managed Accounts, each advisory agreement and related account documentation will specify the particular investment program and any related investment restrictions. It is expected that, in general, each Managed Account will be customized to reflect a particular client’s investor profile. Definitions As used herein, the term “Investment Vehicles” includes Funds and Managed Accounts. Assets Under Management As of March 17, 2020, Napier Park has approximately $10,227,147,765 in discretionary assets under management based on gross assets data as of December 31, 2019. please register to get more info

Napier Park offers discretionary and non-discretionary investment management and advisory fees for a percentage of assets under management or fees based on performance as described below and in Item 6. Fees may differ based upon a number of factors, including without limitation, overall fee arrangements, account complexity and size, assets under management and the terms of the various Napier Park Funds. Fees for certain of Napier Park Funds may be waived, reduced or calculated differently with respect to certain investors, including Napier Park employees or affiliates, at the discretion of Napier Park as permitted by the Napier Park Fund’s offering documentation and organizational documents. Napier Park may in the future charge other types of fees and use different fee structures, including variations of performance or incentive fee and allocations. Napier Park may share a portion of such fees with certain placement, sales or referral agents. Fees Charged: Credit Strategies Fund Products Each Fund may pay Napier Park a management fee, and in certain cases an incentive fee or incentive allocation (if earned). Fees earned with respect to each Fund may compensate Napier Park or its affiliates for the provision of certain ancillary services, the responsibility for all or a portion of which may be subcontracted to other parties. The amount of fees to be paid by a Fund will be set forth in the offering materials for that Fund. Management Fees payable generally range from 0.5% to 2.0% per annum of assets under management in respect of asset-based fees, and 15% to 20% of profits in respect of any performance fees or allocations. Fees Charged: Private Equity Fund Products Napier Park may receive a management fee and if earned, an incentive allocation based on investment returns. The amount of the fees and incentive allocations are disclosed in the relevant offering materials, but may be subject to negotiation with investors. Management Fees payable generally range from .5% to 2% per annum of assets under management in respect of asset-based fees, and 10% to 20% of profits in respect of any performance fees or allocations. Fees Charges: Managed Accounts The investment advisory agreement and account documentation relating to each Managed Account will specify the fees payable to Napier Park. Such fees may include management fees and incentive fees. Management fees payable by Managed Accounts are based on assets under management and, for certain Managed Accounts, an additional performance fee determined as a percentage of profits, and currently range from 1.0% to 1.25% per annum of assets under management in respect of asset-based fees and 15% to 20% of profits in respect of any performance fees.

Napier Park or its affiliates may provide certain administrative services related to the support of Investment Vehicles for fees.

Method of Payment of Fees The Funds will pay any management and incentive fees at such times and in such manner specified in their respective account documentation. Such fees will be deducted from the Fund and reflected in an investor’s net asset value per share or capital account, as applicable.

It is expected that a Managed Account’s management fees will be calculated and payable monthly in arrears and will be deducted from the client’s account. Any incentive fee will be calculated and payable at the end of each fiscal year and also deducted from the Managed Account. Additional Compensation Received by Affiliates Napier Park may also receive fees from an Investment Vehicle (the amount of which will be specified in the agreement) for the provision of administrative services, the responsibility for all or a portion of which may be subcontracted to other parties. Affiliates of Napier Park also may have relationships with, and provide certain services to, an Investment Vehicle for which the affiliate receives compensation. Additional Fees and Expenses As described in more detail in their respective offering or account documentation, each Investment Vehicle bears its organizational and initial offering expenses and its operating and other expenses, which may include, but not be limited to, direct investment-related expenses whether or not such investment are consummated (e.g. brokerage commissions, expenses related to short sales, clearing and settlement charges, custodial fees, bank service fees interest expense, consulting and other professional fees relating to particular investments including without limitation expenses of investment bankers, attorneys, accounts and other experts), investment-related travel expenses whether or not such investments are consummated, reporting, filing and legal expenses, accounting, audit and tax preparation expenses, ongoing expenses relating to the offering and sale of the Investment Vehicle’s interests, remuneration to directors or managing members, as applicable, insurance, administrator fees, liability insurance premiums, compliance expenses incurred by Napier Park in connection with its services to Investment Vehicles (which includes but is not limited to Form PF, CPO-PQR and AIFMD Annex IV reporting, as applicable), fees and expenses incurred by Napier Park or its affiliates in connection with its services to an Investment Vehicle, fees and expenses relating to software tools, programs or other technology utilized in managing Investment Vehicles (including, without limitation, third party software licensing, implementation, data management and recovery services and custom development cost); research and market data (including Bloomberg market data, Intex, any connectivity hardware incorporated into the costs of obtaining such research and market data, indemnification expense any extraordinary expenses and other similar expenses related to the Investment Vehicle.

As described in more detail in each client’s advisory agreement and related account documentation, each Managed Account client may incur other costs and charges in certain circumstances (for example where individual securities are held in the Managed Account).

Compensation of Napier Park Personnel Napier Park’s personnel or supervised persons do not receive commissions tied directly to the sale of any particular securities or other investment products advised by Napier Park in the form of asset-based sales or services fees.

Payment of Fees in Advance and Arrears Generally fees payable to Napier Park are paid in arrears. Fees for Managed Accounts shall generally be payable in arrears or less than six months in advance as specific in such Alternative Investment’s relevant documentation. please register to get more info

Credit Strategies Products; Accounts: Napier Park and its affiliates receive performance-based fees from certain of our Investment Vehicles. Any performance fees charged by Napier Park will comply with the requirements of Section 205 of the Investments Advisers Act (the “Advisers Act”) and all applicable rules thereunder. Other Investment Vehicle are charged fixed fees, including asset-based fees. The performance-based fees may create an incentive for Napier Park to cause the relevant Investment Vehicle to make investments that are riskier or more speculative than would be the case if Napier Park did not receive a performance-based fee, or to direct investments in favor of a fund or account receiving a performance-based fee. Please refer to Item 11 “Code of Ethics Participation in Client Transactions and Personal Trading” and Item 12 “Brokerage Practices” for a discussion of Napier Park’s conflict management procedures, incentive compensation arrangements, managerial review and oversight and allocation policy, all of which are intended to mitigate conflicts. please register to get more info

Napier Park provides investment advice to Funds, Managed Accounts and other investment vehicles. However, the ultimate investors in Funds and Managed Accounts advised by Napier Park are institutional investors, registered funds, funds of funds, pension plans and state and municipal government entities.

Credit Strategies Fund Products: Ultimate investors in each Fund are required to make a minimum capital commitment generally ranging between $250,000 and $10,000,000 depending on the product. The minimum for a specific Fund will be set forth in the offering materials for that fund. Private Equity Fund Products: Financial Partners: Ultimate investors in each Fund are required to make a minimum capital commitment generally ranging between $250,000 and $10,000,000 depending on the product. The minimum for a specific fund will be set forth in the offering materials for that Fund. India Investment Business: Ultimate investors in each Fund generally were required to make a minimum capital commitment of $10,000,000. India Investment Business: Ultimate investors in each Fund generally were required to make a minimum capital commitment of $2,000,000. Managed Accounts: With respect to the Managed Accounts, the clients are the holders of the Managed Accounts. Napier Park expects that such clients may include individuals, trusts, institutions, investment funds and pension plans. Napier Park generally requires a minimum investment of $50 million for both Discretionary Managed Accounts and Non-Discretionary Managed Accounts.

At its discretion, Napier Park may accept a lower capital commitment from an investor in a managed account operated by Napier Park. please register to get more info

CREDIT STRATEGIES PRODUCTS:
Napier Park advises a number of strategies within its Credit Strategies products. Investments made in Napier Park Investment Vehicles, involve significant risks. Prospective investors in a Napier Park Investment Vehicles should carefully consider, among other factors, the risks described below. Such risk factors are not meant to be an exhaustive list of all potential risks associated with these investments and not all risks may be applicable to your investment. Prospective investors in Napier Park Investment Vehicles should carefully review the relevant offering and governing documents and any other documents received prior to making an investment, and pay particular attention to the risk factors contained within those documents. Clients should have the financial ability and willingness to accept the risk characteristics of their particular investments. There can be no assurance that Napier Park will be able to achieve its investment objectives or that investors will receive a return of their capital. Investing involves, significant risks, including potential loss of the entire investment.

Napier Park advises the following strategies:

Credit Strategies:

Investment Strategy and Method of Analysis: The strategy’s objective is to achieve long-term returns through a combination of long and short positions involving corporate credit-related products, including, but not limited to, unsecured or secured corporate debt securities and their derivatives, bespoke risk tranches, equity and equity- related securities and various other similar investments. The strategy may invest in credit-related instruments and securities directly or indirectly by investing in derivative or synthetic instruments, including, without limitation, credit default swaps, various credit indices, credit index tranches and credit options. The strategy intends to be active in the secondary market for such investments and may source long and short positions in both the cash and synthetic markets. The strategy expects that the nature of its assets and the relative value strategies it intends to pursue should result in a low long term correlation between the performance of the strategy and the performance of the equity or corporate debt markets. In the view of Napier Park, a relative value strategy that is deliberately oriented towards both long and short opportunities is a superior way to earn consistent risk-adjusted returns as compared to a pure “directional trading” or “long” only strategy. The strategy’s investment strategy is two-fold. Firstly, Napier Park will set the strategy’s overall investment strategy based on its forward view of the credit markets. At any time during the life of the strategy its risk profile may be long, short or neutral credit risk as determined by, and in the discretion of Napier Park. Within this directional view, Napier Park will seek to invest in securities positions and credit-related instruments on the strategy’s behalf which it believes best express the directional strategy. The strategy will seek to deliver superior risk-adjusted returns for its investors by carefully selecting investments that are positively correlated to certain risks (“long-risk” or “long” positions) as well as investments that are negatively correlated to certain risks (“short-risk” or “short” positions). Secondly, the strategy will seek to identify undervalued assets and intends to efficiently utilize a variety of investment techniques to maximize the strategy’s total return. Undervalued “out of favor” financial instruments may include securities which sell at a significant discount to their underlying economic value due to market imperfections or inefficiencies or have catalysts viewed by Napier Park as being in place for the realization of their underlying value. Napier Park’s credit analyst team relies heavily on bottom-up analysis, which may include analysis of an issuer's current and future revenues, EBITDA, free cash flow generation, liquidity, balance sheet quality, capital structure, corporate structure, enterprise valuation, balance sheet and operational leverage, fixed charge coverage and industry comparables. Qualitative factors considered by the analyst team may include evaluation of management and financial sponsors, secular and cyclical trends, industry structure, local and U.S. federal regulations, international and domestic competition, potential and existing litigation, post-retirement and other legacy obligations, competitive advantages, barriers to entry, market share, customer analysis, corporate strategy and future prospects. In addition, Napier Park’s analysts consider the potential for event risk or liability restructuring that could affect an issuer’s creditors. Individual issuer debt ratings are considered, but are not viewed a proxy for credit quality. There is no minimum credit rating for instruments in which the strategy may invest and the strategy may invest in securities below investment grade, distressed or defaulted securities. Napier Park’s analysts review the pricing, restrictive covenants and market liquidity of all instruments in an issuer's capital structure vis-à-vis industry comparables to gauge the attractiveness of a particular security. These investments may be made in the form of notes, bonds, loans or other cash instruments. Investments may also be expressed in single name credit default swap contracts. Strategy Risks:

Relative Value Strategies. Napier Park intends to pursue a relative value strategy which may entail offsetting long and short positions in comparable securities that have either an economic or mathematical relationship to each other or where a distortion exists with reference to either the historical price relationship or fair values of such positions. Although there is an economic or mathematical relationship between such long and short positions, there is no guarantee that Napier Park’s assessment of that relationship will be correct or that such relationship will continue. While this strategy is designed to be relatively non-correlated to movements in markets in general, the Investment Vehicle’s performance may nevertheless be adversely affected by events that are unanticipated or beyond Napier Park’s control, such as changes in interest rates, general macroeconomic trends, regulatory changes or political crises. Fixed Income Securities. The Investment Vehicle may invest in a wide variety of fixed income securities of varying maturities issued by business entities organized in the US or in other jurisdictions with varying credit ratings. Fixed income securities are subject to market and credit risk and have varying levels of sensitivity to changes in interest rates and varying degrees of credit quality. Investments in debt obligations of an issuer will subject the Investment Vehicle to credit risk of the issuer’s ability to make payments of principal and interest when due and payable. The market prices of fixed income securities in the lowest investment grade categories may fluctuate more than higher-quality securities and may decline significantly in periods of general or regional economic difficulty. Early repayment of principal on the underlying corporate debt obligations of a fixed income security may expose the Investment Vehicle to a lower rate of return upon reinvestment of principal. This risk will be greater for long-term securities than for short-term securities. In addition, the value of securities or other instruments may be adversely affected by a negative trend in the market’s perception of the creditworthiness of the issuers or counterparties which could adversely affect the value of the Shares. Non-Investment Grade Securities. The Investment Vehicle may invest in non-investment grade securities that are considered speculative. Non-investment grade securities and unrated securities of comparable credit quality are subject to the increased risk of an issuer’s inability to meet principal and interest payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate or municipal developments, interest rate sensitivity, negative perceptions of the junk bond markets generally and less secondary market liquidity. A number of instruments and strategies used by the Investment Vehicle may involve non-investment grade securities, including without limitation distressed securities, special situation investments and CLOs. Asset Backed Securities. The Investment Vehicle may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”), collateralized loan obligations (“CLOs”) and other similarly structured securities across all risk tranches. CBOs and CLOs are types of asset-backed securities. A CBO is a trust that is backed by a diversified pool of typically high-risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The Investment Vehicle may also invest in other asset-backed securities. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO. In addition to the normal risks associated with credit-related securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to, the risk that: (i) distributions from collateral securities may not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Investment Vehicle may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. Structured Credit Products. Special risks may be associated with the Investment Vehicle’s investments in other structured credit products, such as synthetic credit portfolio transactions. For example, synthetic portfolio transactions may be structured with two or more classes of tranches that receive different proportions of the interest and principal distributions on a pool of credit assets. The yield to maturity of a tranche may be extremely sensitive to the rate of defaults in the underlying reference portfolio. A rapid change in the rate of defaults may have a material adverse effect on the yield to maturity. It is therefore possible that the Investment Vehicle may incur losses on its investments in structured products regardless of their ratings by rating agencies. Additionally, Napier Park may invest in securities that are subject to legal or contractual restrictions on their resale or for which there is a relatively inactive trading market. Securities subject to resale restrictions may sell at a price lower than similar securities that are not subject to such restrictions. Certain financial institutions and trust companies have recently established central clearing facilities for credit default swaps and other structured credit products including CDS indices and single-name CDS instruments, with the intent of increasing liquidity and transparency in the market for CDS instruments. These clearing facilities establish a daily settlement price for listed CDS instruments and conduct auctions for such instruments among participating members. The ICE Trust, which serves as a clearinghouse for credit default swaps, has set criteria for eligible derivatives clearing members, imposes margin requirements, provides monitoring, and has established guaranty funds available in certain cases. Certain clearinghouses attempt to function as the buyer to every seller, and the seller to every buyer, but subject to certain conditions, such clearinghouses may also permit bilateral trades among participants and non- participants, in which case there may be counterparty credit risk involved in the execution of the trade. Central clearing facilities or exchanges may impose restrictions on opening transactions or closing transactions. The capacities of such exchanges may not at all times be adequate to handle current trading volume and may not list each of the CDS instruments in which the Investment Vehicle invests. Until the use of such exchanges is widely adopted, the utility of such exchanges may be limited. When a particular position may not be traded on a clearinghouse or centralized exchange, effecting such a trade may entail entering into a bilateral transaction with the trade counterparty, subject to counterparty credit risk. Additionally, one or more of such exchanges or clearing facilities could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of CDS products (or a particular class or series of CDS products). Convertible Securities Risk. The Investment Vehicle may invest in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, when the market price of the common stock underlying a convertible security exceeds the conversion price, the convertible security tends to reflect the market price of the underlying common stock. As the market price of the underlying common stock declines, the convertible security tends to trade increasingly on a yield basis and thus may not decline in price to the same extent as the underlying common stock. Illiquidity of Investments. The Investment Vehicle may purchase securities which become illiquid or which are illiquid due to events relating to the issuer of the securities, market events, economic conditions investor perceptions, or subject to legal or other restrictions on the transfer of such assets. The market prices, if any, for such assets tend to be volatile and may fluctuate due to a variety of factors that are inherently difficult to predict, including, but not limited to, changes in interest rates, prevailing credit spreads, general economic conditions, financial market conditions, domestic or international economic or political events, developments or trends in any particular industry and the financing condition of the obligors on the Investment Vehicle’s assets. Napier Park may not be able to sell assets when it desires to do so or to realize what it perceives to be their fair value in the event of a sale. The sale of illiquid assets and restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over- the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Moreover, during periods when the market for such assets are illiquid, it may not be feasible to efficiently dispose of or accurately determine the value of the Investment Vehicle’s investments in such assets, in which case redemptions may be suspended or the payment of all or a portion of redemption proceeds may be delayed. Borrowings; Leverage; Interest Rates. The Investment Vehicle may borrow or utilize other forms of leverage on a secured or an unsecured basis for any purpose, including increasing investment capacity, covering operating expenses, making redemption or dividend payments or for clearance of transactions. There are no contractual limitations on the amount or use of such forms of leverage by the Investment Vehicle. In connection with those investment activities in which the Investment Vehicle utilizes borrowings, the possibilities for profit and the risk of loss will be increased and the debt that the Investment Vehicle has outstanding at any time may be large in relation to its assets. The level of interest rates generally and the rates at which the Investment Vehicle can borrow in particular, will affect the operating results of the Investment Vehicle. The Investment Vehicle may borrow from broker-dealers that act as its prime brokers. In the future, the Investment Vehicle may seek additional or alternative standby or permanent financing from one or more banks or other lenders and it may seek to borrow funds from institutions, foreign or domestic, by means of privately placed notes or debentures. It may enter into other types of financing arrangements, including swaps and derivative transactions, that Napier Park considers appropriate. The Investment Vehicle may enter into reverse repurchase agreements and dollar rolls on its assets. A reverse repurchase agreement or dollar roll involves the sale of a security by the Investment Vehicle and its agreement to repurchase the instrument at a specified time and price and may be considered a form of borrowing for some purposes. Reverse repurchase agreements, dollar rolls and other forms of borrowings may create leveraging risk for the Investment Vehicle and may adversely affect values. The Investment Vehicle may be subject to an increase in borrowing costs if the counterparty to a reverse purchase agreement seeks to increase the rate of the borrowing upon a roll of the repurchase agreement. Furthermore, because of the leverage employed by the Investment Vehicle, a relatively small movement in the market price of traded instruments may result in a disproportionately large profit or loss. If income and appreciation on investments made with borrowed funds are less than the cost of the leverage or, under certain circumstances, if the borrowing is terminated by the lender or counterparty in advance of its stated term, the value of the Investment Vehicle’s net assets will decrease. Accordingly, the Investment Vehicle may lose more than its initial investment in such an instrument as a result of a small change in the market price of such an instrument. The cumulative effect of the use of leverage in a market that moves adversely to a leveraged investment could result in a substantial loss which would be greater than if leverage were not used. Further, most leveraged transactions require the posting of collateral. Increases in the amount of collateral the Investment Vehicle is required to post could result in a disposition of Investment Vehicle’s assets at times and prices which could be disadvantageous to the Investment Vehicle and could result in substantial losses. To the extent that a creditor has a claim on the Investment Vehicle, such claim would be senior to the rights of the Investment Vehicle and its Shareholders. However, a Shareholder cannot lose more than its investment in the Investment Vehicle. Long/Short Strategies. Napier Park may employ a long/short strategy which involves identifying debt or equity securities which are generally undervalued (or, in the case of short positions, overvalued) by the marketplace. Success of this strategy necessarily depends upon the market eventually recognizing such value in the price of the security, which may not necessarily occur or may occur over extended time frames which limit profitability. Positions may undergo significant short-term declines and experience considerable price volatility during these periods. In addition, long and short positions may or may not be correlated to each other. If the long and short positions are not correlated, it is possible to have investment losses in both the long and short sides of the portfolio. Use of Hedges. Napier Park may also utilize hedging strategies to take advantage of overvalued or undervalued components of the market. Hedging strategies may be implemented through transactions and investments in a broad variety of financial instruments, which subject the Investment Vehicle to the risks inherent in such instruments. No assurance can be given that Napier Park will successfully implement its hedging activities. Furthermore, Napier Park’s implementation of hedging activities may negatively affect the value of the Investment Vehicle. Options and Derivative Transactions. The purchase or sale of an option involves the payment or receipt of a premium payment by the investor and the corresponding right or obligation, as the case may be, either to purchase or sell the underlying security or other instrument for a specific price at a certain time or during a certain period. Purchasing options involves the risk that the underlying instrument does not change price in the manner expected, so that the option expires worthless and the investor loses its premium. The Investment Vehicle may engage in various types of options, swap transactions and other derivative transactions, including hedging and arbitrage in options on securities and in contracts involving a return on an index of securities or basket of securities, in connection with the foregoing strategies. The prices of derivative instruments, including option prices, may be highly volatile. When the Investment Vehicle purchases an option, it must pay the price of the option and transaction charges to the broker effecting the transaction. If the option is exercised, the total cost of exercising the option may be more than the brokerage costs that would have been payable had the underlying security been purchased directly. If the option expires, the Investment Vehicle indirectly or directly will lose the cost of the option. When the Investment Vehicle engages in an over-the-counter derivatives transaction, it is exposed to the risk of a failure by the counterparty to perform its contractual obligations, either as a consequence of financial weakness or other factors. Furthermore, the ability of the Investment Vehicle to close out a position as purchaser of an exchange-listed option would be dependent upon the existence of a liquid secondary market on an exchange. Swaps. Investments in swaps involve the exchange by the Investment Vehicle with another party of all or a portion of their respective interests or commitments. For example, in the case of currency swaps, the Investment Vehicle may exchange with another party their respective commitments to pay or receive currency. In the case of a credit default swap, one party makes periodic payments to the counterparty in return for a specified payment if a third party defaults on an underlying reference obligation. Use of swaps may subject the Investment Vehicle to risk of default by the counterparty upon specified credit events. The Investment Vehicle may participate in credit default swaps as either a "buyer" of credit protection or a "seller" of credit protection. If there is a default by the counterparty to such a transaction, the Investment Vehicle will have contractual remedies pursuant to the agreements related to the transaction. The Investment Vehicle may enter into currency, interest rate, credit default, total return or other swaps which may be surrogates for other instruments such as currency forwards, interest rate options, credit instruments and equity instruments and indices on the foregoing. The value of such instruments generally depends upon changes in volatility, price movements in the underlying assets and counterparty risk. Additionally, Title VII of the Financial Reform Act gives primary authority to the Commodity Futures Trading Commission (the “CFTC”) and the Securities Exchange Commission (the “SEC” and together with the CFTC, the “Commissions”) to regulate the swaps market and impose additional rules consistent with the Financial Reform Act. The effect of the rulemaking by the Commissions on the ability of the Investment Vehicle to realize its investment strategy is uncertain. The Financial Reform Act includes a number of significant changes effecting the markets for swaps, including, without limitation: (i) requiring that certain “swaps” be traded on exchanges, centrally cleared and publicly reported; (ii) requiring the registration of both dealers in swaps and large end users with one or both of the Commissions; (iii) authorizing the Commissions to establish a comprehensive regulatory system applicable to these registered dealers and end users; (iv) requiring the establishment of new swap market mechanisms, including exchanges, clearing organizations and swap information “repositories”; and (v) providing the Commissions broad and often overlapping powers that they would, in many instances be required to use jointly, sometimes in conjunction with, or under the direction of, the various banking regulators. Short Sales. The Investment Vehicle may sell securities short, thereby increasing the possibility of profit and the risk of loss. Short selling allows one to profit from declines in market prices to the extent such decline exceeds the transaction costs and any costs of borrowing. A short sale involves the sale of a security that is not owned in the expectation of purchasing the same security at a later date at a lower price. To make delivery to the buyer, the Investment Vehicle must borrow the security and the Investment Vehicle will be obligated to pay the lender of the security any dividend or interest payable on the security until it returns the security to the lender. This is accomplished by a later purchase of the security by the Investment Vehicle. A short sale involves the risk that the market price of the security will increase as any appreciation in the price of the borrowed assets would result in a loss, which is theoretically unlimited in amount. In addition, the person from whom the security was borrowed to effect the short sale may demand the return of the security before the Investment Vehicle had planned. In this situation, the Investment Vehicle may be forced to cover the short position in the market at a higher price than its short sale. Futures Transactions. The Investment Vehicle may have interests in financial futures contracts. A principal risk in futures trading is the volatility in the market prices of the underlying assets. The profitability of such activities depends on Napier Park’s ability to predict fluctuations in market prices. Prices of futures contracts are affected by a wide variety of complex factors that are difficult to predict, such as supply and demand of a particular asset, weather and climate conditions, governmental activities and regulations, political and economic events and characteristics of the marketplace. Volatile Markets. Movements in the price of credit related securities can be volatile and are influenced by, among other things: changing supply and demand relationships; interest rates, inflation, government trade and fiscal policies; national and international political and economic events and changes in exchange rates and interest rates. Such volatility may adversely affect the value of the Shares. Inflation/Deflation. The Investment Vehicle may be exposed to inflation and deflation risk as a result of market conditions which affect purchasing power of such cash flows in the future. For all but adjustable bonds or floating rate bonds, the Investment Vehicle is exposed to inflation risk because the interest rate the issuer promises to make is fixed for the life of the security. To the extent that interest rates reflect the expected inflation rate, floating rate bonds have a lower level of inflation risk. As inflation increases, the real value of the Shares and the Investment Vehicle’s investment portfolio can decline. In addition, during any periods of rising inflation, the dividend rates or borrowing costs associated with the Investment Vehicle’s leverage would likely increase, which would tend to further reduce returns to Shareholders. Deflation risk is the risk that prices throughout the economy decline over time and may have an adverse effect on the creditworthiness of issuers, increasing the likelihood of issuer defaults, which may result in a decline in the value of the Investment Vehicle’s portfolio. Government Regulation – Short Sales and Swaps. As part of the global governmental and private sector efforts to stabilize financial markets, there have been certain well-publicized regulatory changes or interpretations that have prohibited or significantly impacted investment strategies that have been implemented by investors in a variety of formats for many years. For instance, in February 2010 the SEC adopted rules to place certain restrictions on short selling when a stock is experiencing significant downward price pressure, and the SEC and various non-U.S. regulatory bodies have previously imposed temporary bans on short-selling in a variety of stocks and adopted permanent regulations that may have the effect of making short-selling more difficult or costly. These actions were generally regarded as causing unexpected and volatile increases in the stock prices of a variety of issuers as short sellers closed out their positions by buying securities. Of particular relevance to the Investment Vehicle, certain governmental entities have indicated that they intend to regulate the market in credit default swaps, including imposing eligibility restrictions that could prevent the Investment Vehicle from trading in the credit default swap market. As discussed above, the Financial Reform Act imposes a number of significant changes for reporting and clearing swap transactions. It is difficult to predict the impact of any such regulation on the Investment Vehicle, but such regulation could cause significant and unexpected market disruptions or significant additional compliance costs that could in turn adversely affect the value of the Investment Vehicle. Loans of Portfolio Securities. The Investment Vehicle may lend its portfolio securities on terms customary in the securities industry, enter into reverse repurchase agreements or enter into other transactions constituting a loan of the Investment Vehicle’s assets. By doing so, the Investment Vehicle would seek to increase its income through the receipt of interest on the loan. In the event of the bankruptcy of the other party to a securities loan or a default by the borrower of the securities, the Investment Vehicle could experience delays in recovering the securities it lent and may be able to recover only some of their value, if it is able to recover them at all. Directional Investing. Directional investing is dependent upon Napier Park’s research and Napier Park’s ability to select individual securities and to correctly interpret market data and predict future market movements. The rationale for a trade may be incorrect or the market’s response to it may be contrary to that which was expected. Any factor that would make it more difficult to execute more timely trades, such as a significant lessening of liquidity in a particular market, may also be detrimental to profitability. Risks Associated with Investments in Companies in Distressed Situations. The Investment Vehicle may invest in securities, loans, claims or other obligations of companies that are experiencing significant financial or business difficulties, including companies involved in bankruptcy or other reorganization and liquidation proceedings. Although the terms of such financing may result in significant financial returns to the Investment Vehicle, they involve a substantial degree of risk. Investments in companies involved in reorganization proceedings typically entail a number of risks that do not normally apply to investments in financially sound companies. For example, if Napier Park’s evaluation of the anticipated outcome of a reorganization or the timing of such outcome should prove incorrect, the Investment Vehicle could experience losses. There is no assurance that Napier Park will correctly evaluate the value of the assets collateralizing the Investment Vehicle’s participation in the loans, claims or other obligations of the company or the prospects for a successful reorganization or similar action. In any reorganization or liquidation proceeding relating to a company which the Investment Vehicle has invested in, the Investment Vehicle may lose all or part of its investment or may be required to accept collateral with a value less than the amount of the Investment Vehicle’s investment. In addition, such investments could subject the Investment Vehicle to certain additional potential liabilities that may exceed the value of the Investment Vehicle’s original investment therein. For instance, under certain circumstances, payments to the Investment Vehicle and distributions by the Investment Vehicle to its shareholders may be reclaimed if any such payment or distribution is later determined to have been a fraudulent conveyance, preferential payment or similar transaction under applicable bankruptcy and insolvency laws. General Risks of Owning Debt Instruments. The value of the Investment Vehicle’s investment in both secured and unsecured loans (and hence, each Shareholder’s interest) may be detrimentally affected to the extent a borrower defaults on its obligations, there is insufficient or no collateral and/or there are extensive legal and other costs incurred in collecting on a defaulted loan. Napier Park will attempt to minimize this risk by maintaining low loan-to-liquidation values with each loan and the collateral underlying each secured loan. However, there can be no assurance that the value assigned by Napier Park to collateral underlying a secured loan can be realized upon liquidation, nor can there be any assurance that collateral will retain its value or that there will be any collateral. In addition, certain of the Investment Vehicle’s loans will be supported, in whole or in part, by personal guarantees made by the borrower or a relative, or guarantees made by a corporation affiliated with the borrower. The amount realizable with respect to a loan may be detrimentally affected if a guarantor fails to meet its obligations under the guarantee. Moreover, loans may also be supported by collateral, the value of which may fluctuate. In addition, active lending by the Investment Vehicle may subject it to additional regulation, as well as possible adverse tax consequences to the Investment Vehicle and/or its investors. It is anticipated that certain debt instruments purchased by the Investment Vehicle will be non-performing and possibly in default. Furthermore, the obligor or relevant guarantor also may be in bankruptcy or liquidation. There can be no assurance as to the amount and timing of payments, if any, with respect to such loans. Napier Park will seek to adopt appropriate procedures to minimize such risk. Finally, there may be a monetary, as well as a time cost involved in collecting on defaulted loans and, if applicable, taking possession of various types of collateral. Bank Loans. Loans may become nonperforming for a variety of reasons. Such nonperforming loans may require substantial workout negotiations or restructuring that may entail, among other things, a substantial reduction in the interest rate and/or a substantial write-down of the principal of the loan. In addition, because of the unique and customized nature of a loan agreement and the private syndication of a loan, certain loans may not be purchased or sold as easily as publicly traded securities, and, historically, the trading volume in the loan market has been small relative to other markets. Loans may encounter trading delays due to their unique and customized nature, and transfers may require the consent of an agent bank or borrower. Risks associated with bank loans include the fact that prepayments may occur at any time without premium or penalty and that the exercise of prepayment rights during periods of declining spreads could cause the Investment Vehicle to reinvest prepayment proceeds in lower-yielding investments. Purchasers of loans are predominately commercial banks, investment strategies and investment banks. As secondary market trading volumes increase, new loans frequently contain standardized documentation to facilitate loan trading that may improve market liquidity. There can be no assurance, however, that future levels of supply and demand in loan trading will provide an adequate degree of liquidity or that the current level of liquidity will continue. Because holders of such loans are provided confidential information relating to the borrower, the unique and customized nature of the loan agreement, and the private syndication of the loan, loans are not purchased or sold as easily as publicly-traded securities are purchased or sold. Loan Participations and Assignments. The Investment Vehicle may invest in corporate loans acquired through assignment or participations. In purchasing participations, the Investment Vehicle will usually have a contractual relationship only with the selling institution, and not the borrower. The Investment Vehicle generally will have no right directly to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set-off against the borrower, nor will it have the right to object to certain changes to the loan agreement agreed to by the selling institution. The Investment Vehicle may not directly benefit from the collateral supporting the related secured loan and may not be subject to any rights of set-off the borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, under the laws of the United States and the states thereof, the Investment Vehicle may be treated as a general creditor of such selling institution, and may not have any exclusive or senior claim with respect to the selling institution’s interest in, or the collateral with respect to, the secured loan. Consequently, the Investment Vehicle may be subject to the credit risk of the selling institution as well as of the borrower. Certain loans or loan participations may be governed by the laws of a jurisdiction other than a United States jurisdiction, which may present additional risks as regards the characterization under such laws of such participation in the event of the insolvency of the selling institution or the borrower. Possible Limited Availability of Senior Loans. Although there is currently an excess of leveraged loans available for investment, the supply of and demand for senior loans are cyclical in nature and depend on current market conditions. There is a risk that market demand for senior loans will increase at a time when direct investments in senior loans and, to a lesser degree, investments in participation interests in or assignments of senior loans may be limited. The limited availability may be due to a number of factors. Direct lenders may allocate only a small number of senior loans to new investors, including the Investment Vehicle. There may be fewer loans available for investment that meet Napier Park’s credit standards, particularly in times of economic downturns. Also, lenders or agents may have an incentive to market the less desirable senior loans to investors such as the Investment Vehicle while retaining attractive loans for themselves. This would reduce the amount of attractive investments for the Investment Vehicle. If market demand for senior loans increases, the interest paid by senior loans that the Investment Vehicle holds may decrease. General Risks of Secured Loans. Certain loans held by the Investment Vehicle may be secured. While secured loans purchased by the Investment Vehicle will often intend to be over- collateralized, the Investment Vehicle may be exposed to losses resulting from default and foreclosure. Therefore, the value of the underlying collateral, the creditworthiness of the borrower and the priority of the lien are each of great importance. The Investment Vehicle cannot guarantee the adequacy of the protection of the Investment Vehicle’s interests, including the validity or enforceability of the loan and the maintenance of the anticipated priority and perfection of the applicable security interests. Furthermore, the Investment Vehicle cannot assure that claims may not be asserted that might interfere with enforcement of the Investment Vehicle’s rights. In the event of a foreclosure, the Investment Vehicle or an affiliate of the Investment Vehicle may assume direct ownership of the underlying asset. The liquidation proceeds upon sale of such asset may not satisfy the entire outstanding balance of principal and interest on the loan, resulting in a loss to the Investment Vehicle. Any costs or delays involved in the effectuation of a foreclosure of the loan or a liquidation of the underlying property will further reduce the proceeds and thus increase the loss. Unsecured Loans Risk. Unsecured loans have lower priority in right of payment to any higher ranking obligations of the borrower and are not backed by a security interest in any specific collateral. They are subject to risk that the cash flow of the borrower and available assets may be insufficient to meet scheduled payments after giving effect to any higher ranking obligations of the borrower. Unsecured loans are expected to have greater price volatility than senior loans and secured loans and may be less liquid. There is also a possibility that originators will not be able to sell participations in unsecured loans, which would create greater credit risk exposure. Risks Associated with Investments in High Yield Securities. The Investment Vehicle may invest in “high yield” bonds and preferred securities which are rated in the lower rating categories by the various credit rating agencies (or in comparable non-rated securities). Securities in the lower rating categories are subject to greater risk of loss of principal and interest than higher-rated securities and are generally considered to be predominately speculative with respect to the issuer’s capacity to pay interest and repay principal. They are also generally considered to be subject to greater risk than securities with higher ratings in the case of deterioration of general economic conditions. Because investors generally perceive that there are greater risks associated with the lower-rated securities, the yields and prices of such securities may tend to fluctuate more than those for higher- rated securities. The market for lower-rated securities is thinner and less active than that for higher-rated securities, which can adversely affect the prices at which these securities can be sold. In addition, adverse publicity and investor perceptions about lower-rated securities, whether or not based on fundamental analysis, may be a contributing factor in a decrease in the value and liquidity of such lower-rated securities. Corporate Debt Obligations. Napier Park may invest in corporate debt obligations, including commercial paper. Corporate debt obligations are subject to the risk of an issuer’s inability to meet principal and interest payments on the obligations (i.e., credit risk). Napier Park may actively expose the Investment Vehicle to credit risk. However, there can be no guarantee that the Investment Vehicle will be successful in making the right selections and thus fully mitigate the impact of credit risk changes on the Investment Vehicle. Debt Securities. The Investment Vehicle may take positions 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 Investment Vehicle may take positions in debt securities which are not protected by financial covenants or limitations on additional indebtedness. The Investment Vehicle may invest in securities which are moral obligations of issuers or subject to appropriations. The Investment Vehicle will therefore be subject to credit and liquidity risks. Interest Rate Risk. The Investment Vehicle is subject to interest rate risk. Generally, the value of fixed income instruments will change inversely with changes in interest rates. As interest rates rise, the market value of fixed income instruments tends to decrease. Conversely, as interest rates fall, the market value of fixed income instruments tends to increase. This risk will be greater for long-term securities than for short-term securities. The Investment Vehicle may attempt to minimize the exposure of the portfolios to interest rate changes through the use of interest rate swaps, interest rate futures, interest rate options and/or other hedging strategies. However, there can be no guarantee that Napier Park will be successful in mitigating the impact of interest rate changes on the portfolios. Extension Risk. During periods of rising interest rates, the average life of certain fixed rate debt is extended because of slower than expected principal payments. This may lock in a below-market interest rate and extend the duration of these securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, these securities may exhibit additional volatility and additional loss in value. This is known as extension risk. Contingent Liabilities. The Investment Vehicle may from time to time incur contingent liabilities in connection with an investment. For example, the Investment Vehicle may purchase from a lender a revolving credit facility that has not yet been fully drawn. If the borrower subsequently draws down on the facility, the Investment Vehicle would be obligated to strategy the amounts due. Also, by way of further example, in order to procure financing in connection with its investment activities, the Investment Vehicle may enter into agreements pursuant to which it agrees to assume responsibility for default risk or other risk presented by a third-party, a warehouse financing vehicle or an investment vehicle. The Investment Vehicle may incur numerous other types of contingent liability. There can be no assurance that the Investment Vehicle will adequately reserve for its contingent liabilities and that such liabilities will not have an adverse effect on the Investment Vehicle.

See also “General Risks” below.

Mortgage Credit Strategies Investment Strategy and Method of Analysis:

The Mortgage Credit team follow two strategies. One strategy’s objective is to achieve long-term returns through a combination of long and short positions on securitized, mortgage-related and corporate credit-related products, including, but not limited to, asset-backed securities (“ABS”), CDOs, CLOs, mortgage-backed securities (“MBS”), unsecured or secured corporate debt, bespoke risk tranches, equity and equity-related securities, cash-settled commodity instruments and various other similar investments and their derivatives. In particular, the strategy will seek exposure to both long and short positions primarily in securitized residential mortgages (prime, Alt-A, sub- prime), CDOs, and other mortgage-related debt, equity and derivative instruments (including credit default swaps). The strategy intends to be active in the secondary market for such investments and may source long and short positions in both the cash and synthetic markets. A minority of positions may be sourced in the primary market or via construction of bespoke trades. The strategy expects that the nature of its assets and the relative value strategies it intends to pursue should result in a low long term correlation between the performance of the strategy and the performance of the equity or corporate debt markets. The other Mortgage credit strategy’s objective is to achieve superior risk-adjusted returns through investments in the primary and secondary ABS and MBS markets and will focus on agency MBS derivatives, non-agency MBS, CMBS, subprime auto mezzanine tranches and other ABS, both rated and unrated. There will be no restrictions on the ratings of securities held as part of this strategy. Napier Park believes that the strategy has a significant opportunity to benefit from the ongoing re- pricing of risk across all ratings levels in securitized products. In the view of Napier Park, a relative value strategy that is deliberately oriented towards both long and short opportunities is a superior way to earn consistent risk-adjusted returns as compared to a pure “directional trading” or “long” only strategy. Napier Park believes that the rapid growth of securitized products, along with their complexity and opacity, provides good opportunities for skilled investment professionals to create and capture value. Securitized products are usually created when an originating issuer segregates a pool of assets (e.g. corporate loans, mortgage loans, other complex bonds, credit default swaps, etc.) and then issues different classes or tranches of interests backed by the assets in the pool. These distinct tranches have different rights and priorities with respect to the asset pool and are typically sold to a variety of investors with differing risk-reward preferences. The tranches are paid interest and principal based on often complex rules governing their rights and priorities and have recourse only to the cash flows and liquidation proceeds of the pool. The values of different tranches are thus derivatives of the value of the underlying assets. Assessing the value of a particular tranche requires an in-depth analysis of the underlying portfolio assets as well as the covenants and applicable provisions for how value is distributed across different tranches in different circumstances through structural nuances. This deal structure becomes particularly important when an asset portfolio has lost value or becomes impaired. As an example, in certain CDOs, cash interest may still be paid to junior tranches (e.g. subordinated debt) even if that tranche is impaired from a principal return point of view; while in other CDOs, junior tranches may stop receiving interest even if they are unimpaired from a principal return point of view. Napier Park has developed a proprietary analytical platform that serves as the cornerstone of the investment process and helps model, analyze, and benchmark pools of mortgage loans on a loan by loan basis in great detail in order to help make absolute and relative value judgments throughout the investment selection process. Napier Park will also consider certain qualitative factors which Napier Park believes are key drivers of value. Napier Park intends to consider, among other things, the structure of the investment including the offering memorandum, the governing documents for the entity and other documents related to the investment. Some key points on deal structure may be types of cash-flow triggers and their levels, subordination, waterfall rules, remedies upon events of defaults, and embedded hedges. In addition to deal structure, an additional and often vital determinant of value is the behavior of a manager or servicer where the asset pool is actively managed. The actions and historical performance of a portfolio manager are also significant considerations in the selection process because manager incentives and the behavior of various agents who are able to modify the asset portfolio may significantly affect the valuation of a tranche. Napier Park is acquainted with past practices followed by certain individuals and organizations involved in the securitized products markets and may use this industry experience to assess the management of such investments. Strategy Risks: Mortgage-Backed Securities. The Investment Vehicle intends to invest in mortgage-backed and other mortgage-related instruments. Mortgage-related securities include mortgage pass-through securities, collateralized mortgage obligations (“CMOs”), commercial mortgage-backed securities, mortgage dollar rolls, CMO residuals, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. The value of some mortgage-related instruments may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on the mortgages underlying or associated with mortgage-related securities may expose the Investment Vehicle to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of a mortgage-related security generally will decline; however, when interest rates are declining, the value of mortgage-related securities with prepayment features may not increase as much as the value of other fixed income securities. This risk will be greater for long-term securities than for short-term securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective date of maturity of the security beyond that anticipated at the time of purchase. If unanticipated rates of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. In addition, the value of securities or other instruments may be adversely affected by a negative trend in the market’s perception of the creditworthiness of the issuers or counterparties which could adversely affect the value of the Shares. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations. Commodity Instruments. The Investment Vehicle may invest in cash-settled commodity instruments (including options on, futures with respect to, forward contracts on, exchange traded instruments related to, and other synthetic instruments linked to the performance of one or more commodities), the prices of which can be volatile, particularly over short periods of time. Commodities markets may fluctuate widely based on a variety of factors, including changes in overall market movements, domestic and foreign political and economic events and policies, war, acts of terrorism, changes in domestic or foreign interest rates and/or investor expectations concerning interest rates, domestic and foreign inflation rates. In any over-the-counter transactions by the Investment Vehicle, including in connection with cash-settled commodity instruments, the Investment Vehicle may be exposed to the risk of a failure by the counterparty to perform its contractual obligations, either as a consequence of financial weakness or other factors. The Investment Vehicle may also be exposed to risk in its ability close out a position as purchaser of an exchange-listed option relating to commodities as a liquid secondary market on an exchange is necessary to timely and efficiently settle such trade. Additionally, the commodity markets are subject to comprehensive statutes, regulations and margin requirements. Recent legislation has created a new multi-tiered structure of exchanges in the U.S. subject to varying degrees of regulation, and rules and interpretations regarding various aspects of this regulatory structure have only recently been finalized. The regulation of commodity transactions in the U.S. is a rapidly changing area of law and is subject to ongoing modification by government and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change on the Investment Vehicle is impossible to predict, but could be substantial and adverse. Investments in Indexes. The Investment Vehicle may invest in certain index products. An investment in an index product is subject to the risks and opportunities of the underlying securities which compose the index. Although the index may be managed by an administrator, Napier Park will not have control over the composition of the index, and the may be exposed to changes in value based upon the performance and management of the reference obligations or securities which constitute the index. Investments in Real Estate Securities and Loans. The Investment Vehicle may invest a portion of its assets in real estate-related securities including Real Estate Mortgage Investment Conduit (“REMIC”) securities that Napier Park believes are undervalued, non-recourse mortgages where the mortgagor is not a significant operating company, and in the securities or obligations of single- purpose companies whose primary asset is real estate. Special risks associated with such investments include changes in the general economic climate or local conditions (such as an oversupply of space or a reduction in demand for space), competition based on rental rates, attractiveness and location of the properties, changes in the financial condition of tenants, and changes in operating costs. Real estate values are also affected by such factors as government regulations (including those governing usage, improvements, zoning and taxes), interest rate levels, the availability of financing and potential liability under changing environmental and other laws. Furthermore, many of the properties securing these loans may be suffering varying degrees of financial distress or may be located in economically distressed areas. Loans may become nonperforming for a wide variety of reasons, including, without limitation, because the mortgaged property is too highly leveraged (and, therefore, the property is unable to generate sufficient income to meet its debt service payments), the property is poorly managed or because the mortgaged property has a high vacancy rate, has not been fully completed or is in need of rehabilitation. Short-Term Market Considerations. Napier Park's trading decisions may be made on the basis of short-term market considerations, and the portfolio turnover rate could result in significant trading related expenses. Structured Product Arbitrage. The success of the Investment Vehcile's structured product arbitrage strategy depends upon Napier Park's ability to identify and exploit the inefficient pricing of portfolio risk and the implicit correlations of time to default with respect to various categories of structured products and derivatives. In the event that the perceived mispricings underlying the Investment Vehicle's positions were incorrect, the Investment Vehicle could incur losses. In addition, the lack of an established, liquid secondary market for some structured products (including CDOs) may make it difficult to realize the perceived value of such Securities. Leverage and Borrowing. Leverage for Investment Purposes. The use of leverage will allow the Investment Vehicle to make additional investments, thereby increasing its exposure to assets, such that its total assets may be greater than its capital. However, leverage will also magnify the volatility of changes in the value of the Investment Vehicle's portfolio. The effect of the use of leverage by the Investment Vehicle in a market that moves adversely to its investments could result in substantial losses to the Investment Vehicle, which would be greater than if the Investment Vehicle were not leveraged. . The Investment Vehicle may also borrow for cash management purposes, such as to satisfy withdrawal requests. To facilitate such borrowings, the Investment Vehicle may, among other things, enter into a credit facility with a service provider to the Investment Vehicle or a third party credit institution. Borrowing for Cash Management Purposes. The Investment Vehicle has the authority to borrow for cash management purposes, such as to satisfy withdrawal requests. The rates at and terms on which the Investment Vehicle can borrow will affect the operating results of the Investment Vehicle. Collateral. The instruments and borrowings utilized by the Investment Vehicle to leverage investments may be collateralized by all or a portion of the Investment Vehicle's portfolio. Accordingly, the Investment Vehicle may pledge its Securities in order to borrow or otherwise obtain leverage for investment or other purposes. Should the Securities pledged to brokers to secure the Investment Vehicle's margin accounts decline in value, the Investment Vehicle could be subject to a "margin call", pursuant to which the Investment Vehicle must either deposit additional funds or Securities with the broker or suffer mandatory liquidation of the pledged Securities to compensate for the decline in value. The banks and dealers that provide financing to the Investment Vehicle can apply essentially discretionary margin, "haircut", financing and collateral valuation policies. Changes by counterparties in any of the foregoing may result in large margin calls, loss of financing and forced liquidations of positions at disadvantageous prices. Lenders that provide other types of asset-based or secured financing to the Investment Vehicle may have similar rights. There can be no assurance that the Investment Vehicle will be able to secure or maintain adequate financing. Costs. Borrowings will be subject to interest, transaction and other costs, and other types of leverage also involve transaction and other costs. Any such costs may or may not be recovered by the return on the Investment Vehicle's portfolio. Lending of Portfolio Securities. The Investment Vehicle may lend securities on a collateralized and an uncollateralized basis from its portfolio to creditworthy securities firms and financial institutions. While a securities loan is outstanding, the Investment Vehicle will continue to receive the equivalent of the interest or dividends paid by the issuer on the securities, as well as interest on the investment of the collateral or a fee from the borrower. The risks in lending securities, as with other extensions of secured credit, if any, consist of possible delay in receiving additional collateral, if any, or in recovery of the securities or possible loss of rights in the collateral, if any, should the borrower fail financially. Diversification and Concentration. Napier Park may select investments that are concentrated in a limited number or types of Securities. In addition, the Investment Vehicle's portfolio may become significantly concentrated in Securities related to a single or a limited number of issuers, industries, sectors, strategies, countries or geographic regions. This limited diversification may result in the concentration of risk, which, in turn, could expose the Investment Vehicle to losses disproportionate to market movements in general if there are disproportionately greater adverse price movements in such Securities. Lack of Control. The Investment Vehicle may invest in debt instruments and equity securities of companies that it does not control, which please register to get more info

To the best of our knowledge, currently there are no legal or disciplinary events that may be material for a client or prospective client to disclose. please register to get more info

Napier Park may share resources, other employees and management, as well as investment ideas and opportunities, with any or all affiliates engaged in similar activities.

Napier Park may recommend that its clients invest in investment funds in which Napier Park or one of its affiliates is a managing or non-managing general partner (or equivalent). please register to get more info

Trading
Code of Ethics Napier Park has adopted a Code of Ethics that memorializes its fundamental duties as a fiduciary and are intended to comply with the requirements of Rules 204A-1 under the Advisers Act and Rules 17j-1 under the 1940 Act, for registered Funds. The Code of Ethics includes standards of business conduct and incorporates a personal investments policy. Each employee receives a copy of the Code of Ethics upon hiring and annually thereafter and must provide an attestation that such employee has read and understood such Code of Ethics. Napier Park’s Code of Ethics requires each employee to prioritize the interests of the client, to avoid conflicts of interest, to never abuse such employee’s position of trust and responsibility and to comply with all federal securities laws. Employees are required to safeguard material non- public information in such employee’s possession and are prohibited from using such information to such employee’s personal benefit. Each employee must treat information belonging to clients as confidential and take care to protect such information from unauthorized access by third parties. To avoid any potential conflict of interest involving personal transactions, Napier Park requires each employee to notify compliance upon opening a personal account, to pre-clear certain personal transactions and disclose all potential conflicts of interest with regard to such a personal transaction before engaging in the transaction. Employees are also subject to a restricted list and blackout periods. In addition, access persons (defined as employees with access to non-public information regarding Napier Park’s purchase or sale of securities and directors, officers and partners) will (i) upon starting employment, provide a complete record of his or her securities holdings to compliance and annually thereafter (ii) must arrange to have duplicate confirmations sent to compliance unless such information has been provided through other measures. All employees are required to inform compliance of any violation of the Code of Ethics that comes to his or her notice.

A copy of Napier Park’s Code of Ethics will be provided to any client or prospective client upon request.

Trading Practices Participation and Interest in Client Transactions. Napier Park has implemented policies and procedures that address affiliated transactions. Therefore, from time to time, Napier Park or its affiliates effect securities transaction between one or more Funds. In such case, one Fund will purchase securities held by another Fund. Napier Park effects these transactions only (i) when it deems the transaction to be in the best interests of both client accounts and (ii) at a price that Napier Park has determined by reference to its Valuation Policy, which Napier Park believes to constitute “best execution” for both accounts. Neither Napier Park nor its affiliates will receive any compensation, directly or indirectly, for arranging such a transaction. To the extent that Napier Park or its affiliates engage in principal agency, agency cross transactions or cross trades, such transactions will be consummated in accordance with Section 206(3) of the Advisers Act and, as applicable, Rule 206(3)-2 promulgated thereunder.

Aggregation of Transactions. If a portfolio manager believes that the purchase or sale of a security is in the best interests of more than one client, the portfolio manager may, but is not obligated to, aggregate the securities to be sold or purchased, to the extent permitted by applicable law and regulations. In such event, the transactions, as well as the expenses incurred in such transactions, will be allocated by the portfolio manager consistent with fiduciary duties to ensure that all clients are treated fairly. The portion of an aggregated order to be allocated to each client’s account will be specified contemporaneously with the execution of the trade.

Interest in Client Transactions Napier Park may recommend securities in which it and/or its affiliates directly or indirectly have a financial interest. Napier Park affiliates also may buy and sell securities that Napier Park recommends to advisory clients for purchase and sale. Napier Park may give advice and take action in the performance of its duties to clients which differs from the advice given, or the timing and nature of action taken, with respect to the accounts of its affiliates and/or the accounts of other clients. In certain instances, affiliates of Napier Park may acquire investments in an issuer on a side-by- side basis with an investment vehicle managed by Napier Park. Such investments may provide the vehicle with access to investments that it could not otherwise have obtained. However, this practice may give rise to potential conflicts of interest. Napier Park and its affiliates will seek to fairly and equitably allocate, based on the particular facts and circumstances, investment opportunities between or among funds and its affiliates and other investment accounts. Please see Item 12 “Brokerage Practices”, - Allocation of Investment Opportunities for more details. Temporary investments in which an account’s assets may be invested include instruments issued, or funds managed by, an affiliate of Napier Park, in which case such affiliate will receive fees or other compensation in connection with such investment. Such fees will be in addition to the advisory fees and other compensation paid to Napier Park.

Inside Information In addition, Napier Park has adopted procedures to guard against insider trading. In the event that Napier Park obtains material, non-public information about an issuer, it may be prohibited from trading the issuer’s securities until the information becomes public or is no longer material. Napier Park’s investment flexibility may be constrained as a consequence of Napier Park’s inability to use such information for investment purposes.

Other Conflicts of Interest Napier Park or any of its respective affiliates or directors may have an interest in a Fund or in any transaction effected with or for it, or a relationship of any description with any other person, which may involve a potential conflict with their duties to an Investment Vehicle, and none of them will be liable to account for any profit or remuneration derived from doing so. If Napier Park has, or may have, in relation to a proposed transaction for an Investment Vehicle, a material interest or a relationship that gives or may give rise to a conflict of interest, Napier Park will not knowingly advise, or deal in the exercise of discretion in relation to that transaction, unless it takes reasonable steps to ensure fair treatment for the Fund. For example, such potential conflicts may arise because: (a) Napier Park or its affiliates undertake business for other clients; (a) a director or employee of Napier Park or its affiliates is a director of, holds or deals in securities of, or is otherwise interested in, any company the securities of which are held by or dealt in on behalf of an Investment Vehicle; (b) the transaction relates to an investment in respect of which Napier Park or one of its affiliates may benefit from a commission, fee, mark-up or mark-down payable otherwise than by the Investment Vehicle; (c) Napier Park or one of its affiliates may act as agent for an Investment Vehicle in relation to transactions in which it is also acting as agent for the account of other clients of Napier Park or its affiliates; or (d) a transaction of an Investment Vehicle may be in units or shares of a collective investment scheme or any company in relation to which Napier Park or one of its affiliates is the manager, operator, adviser or trustee. Affiliates of Napier Park engage in a broad spectrum of activities, including financial advisory activities, and managing private investment funds, and other activities, and may from time to time present potential conflicts of interest with, Napier Park’s clients. Many of these potential conflicts of interest arise in connection with other investment management activities of Napier Park affiliates. In these cases, these relationships or proprietary investment activities may result in an Investment Vehicle not being permitted to pursue certain investment opportunities. Accordingly, no assurances can be given that all potentially suitable investment opportunities will be offered to any given Investment Vehicle. Napier Park affiliates provide services to, invest in, advise, sponsor and/or act as investment manager to investment vehicles and other persons or entities (including prospective investors in the Investment Vehicles which may have similar structures and investment objectives and policies to those of an Investment Vehicle, and which may compete with an Investment Vehicle for investment opportunities and which may co-invest with an Investment Vehicle, in certain transactions. In addition, Napier Park affiliates and their respective clients invest in securities that would be appropriate for an Investment Vehicle and may compete with the Investment Vehicle for investment opportunities.

Generally speaking, the officers and employees of Napier Park will devote such time as the general partners of their various Investment Vehicles deem necessary to carry out the operations of the Investment Vehicle. However, officers and employees of Napier Park are not necessarily required to devote full time to a given fund’s business and they may have conflicts of interest in allocating their time between such fund and other related or unrelated activities.

It is also possible that Napier Park professionals will be permitted to co-invest in certain investment opportunities in which a given client Investment Vehicle invests as a further incentive and means of aligning such professionals’ interests with the interests of the fund’s investors.

Investors in Napier Park’s various Investment Vehicles are expected to include entities and persons located in various jurisdictions, who may have conflicting investment, tax and other interests with respect to their various fund investments. As a result, conflicts of interest may arise in connection with decisions made by Napier Park or its affiliates that may be more beneficial for one type of investor than another type of investor. Napier Park will follow the investment objective and standards for resolving such conflicts set forth in each of the Investment Vehicle’s governing documents—e.g., by focusing on the pre-tax investment objectives of a fund as a whole. In certain situations, Napier Park may be restricted or precluded from pursuing an investment with respect to a given investment due to certain regulatory considerations arising under ERISA, section 17 of the Investment Company Act of 1940, or similar laws. Procedures for Resolving Conflicts of Interest On any issues involving actual conflicts of interest, Napier Park will be guided by its legal obligations, including but not limited to the contractual requirements governing such situation, as well as its good faith judgment as to a client’s best interests. Napier Park may refer the matter to a committee designed to monitor fiduciary relationships. Subject to the applicable investment management agreement and other governing documents, Napier Park may take such actions as it may deem necessary or appropriate to ameliorate the conflict. please register to get more info

Brokerage Discretion Napier Park generally is not limited in its authority to select broker-dealers for trade execution. In selecting broker-dealers for trade execution, Napier Park uses its best judgment to select a broker-dealer that provides prompt and reliable execution at favorable securities prices and reasonable commission rates. Ordinarily, the best net price, giving effect to brokerage commissions and other costs, is the determining factor, but a number of other factors also may enter into the decision. These factors may include: the nature of the security being traded; the size and complexity of the transaction; the desired timing of the transaction; the existing and expected activity in the market for particular securities; confidentiality; and the execution, clearance, and settlement capabilities and financial condition and other relevant and appropriate services of the broker-dealer.

Napier Park may choose to participate in seminars or conferences, or other types of capital introduction service programs (collectively referred to as “Cap Intro Programs”) held by affiliated and/or non-affiliated prime brokers for their current or prospective clients that are hedge fund or investment managers that manage funds or other types of investment vehicles or who are otherwise eligible to invest in Napier Park products. Napier Park may have an incentive to select or recommend a broker-dealer based on its interests in receiving client referrals or invitations to participate in such Cap Intro Programs.

Research and Other Soft Dollar Arrangements Napier Park does not utilize client’s agency commission dollars to purchase research and other services i.e. soft dollars.

Allocation of Investment Opportunities Affiliates of Napier Park and other proprietary investment accounts managed by Napier Park may co-invest with a client advised by Napier Park on a side-by-side basis from time to time. Clients may, from time to time, compete with such other investors for access to potential investments. Napier Park and its affiliates will seek to fairly and equitably allocate, based on the particular facts and circumstances, such investment opportunities between or among the funds and its affiliates and other proprietary investment accounts. However, such allocation will not necessarily be made pro rata based on available assets. There can be no assurance that a particular investment opportunity which comes to the attention of Napier Park’s affiliates will be referred to Napier Park and the funds it manages. Napier Park is not obligated to refer any specific investment opportunity to a client. In the event that two or more Napier Park clients or portfolios managed by Napier Park officers through affiliates (including proprietary portfolios) have cash available for investment at the same time and an investment opportunity arises that may be appropriate for each client and the affiliated portfolio but whose availability to Napier Park and its affiliates is limited, Napier Park and its affiliates will seek to fairly and equitably allocate such investment opportunity between or among such Funds and/or Managed Accounts, taking into account such factors including but not limited to each fund’s investment objective, industry and sector focuses, size and available cash. Aggregation of Transactions If a portfolio manager believes that the purchase or sale of a security is in the best interests of more than one client, the portfolio manager may, but is not obligated to, aggregate the securities to be sold or purchased, to the extent permitted by applicable law and regulations. In such event, the transactions, as well as the expenses incurred in such transactions, will be allocated by the portfolio manager consistent with fiduciary duties to ensure that all clients are treated fairly. The portion of an aggregated order to be allocated to each client’s account will be specified contemporaneously with the execution of the trade. please register to get more info

Review of Accounts
Credit Strategies Product and Managed Accounts: Fiduciary committees consisting of senior Napier Park professionals including legal, risk and compliance meet quarterly to review client accounts, fund performance and any significant events. Private Equity Products: The funds relating to this business typically hold annual meetings with investors to review and discuss the funds’ investment activities and portfolio. Valuation committee meetings are held quarterly to review the valuation of underlying investments.
Client Reports
Credit Strategies Fund Products: Napier Park will report performances on at least a quarterly basis.

Private Equity Fund Products: Napier Park’s clients are funds, not the funds’ underlying investors. Napier Park will provide each fund’s general partner with periodic reports concerning the fund’s investments. While the funds’ underlying investors are not advisory clients of Napier Park and will not receive periodic reports from Napier Park as advisory clients, such investors will be provided by the funds with annual audited financial statements of the applicable fund and quarterly investor reports. Managed Accounts: With respect to the Managed Accounts Napier Park’s clients are the holders of the Managed Account. The relevant advisory agreement and related account documentation will specify the reports to be provided to the client, but generally holders of Managed Accounts receive at least a quarterly statement. please register to get more info

Napier Park does not receive any economic benefits from non-clients for providing investment advice or other advisory services to clients. Napier Park may enter into agreements with its employees, and/or third parties to solicit clients for Napier Park’s investment advisory services. Under such agreements, persons may refer or solicit clients and receive compensation for such services. The structure of any agreement with a third party, including the compensation payable to the solicitor, will be disclosed fully to the client in accordance with Rule 206(4)-3 of the Investment Advisers Act. Different solicitors, including affiliates, may receive varying amounts of compensation for their services. In addition, Napier Park and its employees , as a matter of policy and practice , are prohibited from providing or agreeing to provide, directly, or indirectly, payment, consideration or any other item of value to any person unaffiliated with Napier Park to solicit a U.S. government entity for investment advisory services on Napier Park’s behalf unless such person is a U.S. registered broker dealer and/or U.S. registered investment adviser. Any arrangement which may involve the solicitation of government entities must be in writing and shall contain provisions reasonably designed to ensure compliance with all applicable laws and rules by such person in connection with any solicitation of any governmental entities.

Napier Park also may also refer clients to its affiliates. please register to get more info

Napier Park does not provide custodial services to its clients. Client assets are held with banks, registered broker-dealers, or other qualified custodians. Napier Park will cause its Investment Vehicles and any related special purposes vehicles to maintain its funds and securities with a qualified custodian, which includes a U.S. bank, an SEC- registered broker-dealer, a CFTC-registered futures commission merchant, and a foreign financial institution that segregates client assets.

However, under Rules 206(4)-2 under the Advisers Act “custody”, is broadly defined to also include holding indirectly funds or securities, or having any authority to obtain possession of then. In particular, Napier Park is considered to have custody with respect to Napier Park Funds to the extent Napier Park or an affiliate serves in a capacity that gives it legal ownership of or access to the Napier Park Funds’ fund or securities (such as the general partner of a limited partnership, managing member of a limited liability company or a comparable position for another type of pooled investment vehicle). Napier Park is also considered to have custody with respect to certain Napier Park Funds if Napier Park is authorized to withdraw client funds or securities maintained with a third-party custodian upon Napier Park’s instruction to the third-party custodian.

In order to avoid any conflict of interest that indirect custody of Client assets may cause, Napier Park complies with rule 206(4)-2 under the Adviser’s Act by using the exemption for the annual audit of Napier Park financial Statements and the delivery of such financial statements to Napier Park clients. Each Alternative Investment or special purpose vehicle is required to be audited at least annually and to provide audited financial statements to its investors within 120 days after the end of its fiscal year, or 180 days in the case of funds of funds. (Otherwise, the relevant fund custodian will send each such fund investor a quarterly account statement showing such fund’s quarter-end positions and NAV, and the fund’s aggregate account transactions during the quarter. In addition, a surprise examination of the relevant Fund will be conducted by a qualified independent accountant.) please register to get more info

Napier Park has the authority to determine, without obtaining specific client consent, the investments and temporary investments a Fund will acquire, subject in each case to the limitations and restrictions described in the funds’ offering materials and governing documents (in the case of the funds) and the investment advisory agreements. A Fund may receive distributions in kind in the form of securities of portfolio companies, some of which may be illiquid or restricted securities. With respect to such distributions, Napier Park may have the discretion to sell such securities and distribute the cash proceeds, distribute such securities in kind or offer the funds’ investors the option, subject to Napier Park’s consent, either to receive the securities in kind or have the fund sell them and distribute the cash proceeds. While Napier Park will use reasonable efforts in such instances to sell or to distribute marketable securities promptly, investors will bear any associated costs or market risks during the disposition process.

Managed Accounts. The relevant advisory agreement and related account documentation will specify the investment authority (including limitations on it) granted to Napier Park by the holder of the Managed Account. please register to get more info

Napier Park has been delegated the authority to vote investment proxies on behalf of certain of its clients and has adopted written policies that are reasonably designed to ensure proxies are voted in the best interest of its clients and to resolve conflicts of interest (the “Policies”). The general policy is to vote proxy proposals, amendments, consents or resolutions relating to client securities, including interests in private investment funds, if any, in a manner that serves the best interests of client accounts, as determined by Napier Park in its discretion. Clients may request a copy of the Policies and the proxy voting record relating to their account by contacting Napier Park. please register to get more info

All client fees owed to Napier Park are either paid in arrears or paid less than six months in advance. Under relevant SEC rules, this means that Napier Park is not required to disclose information about its financial position or balance sheets. Nonetheless, we confirm that we believe that Napier Park has no financial commitment that impairs its ability to meet contractual and fiduciary commitments to clients and has never been the subject of a bankruptcy proceeding. please register to get more info