Introduction Cheyne Capital Management was founded in 2000 as a limited company and in 2007, the business was restructured into Cheyne Capital Management (UK) LLP (“CCM(UK)LLP”) a limited liability partnership registered in England and Wales and regulated in the conduct of its investment business in the United Kingdom by the Financial Conduct Authority (“the FCA”). Principal Owners The following is an organisational chart depicting the principal owners of 25% or more of CCM(UK)LLP as described in Schedule A of Part 1A of its Form ADV: The potential beneficiaries of the Galilee Trust are all members of the family of Jonathan Lourie, who is the Chief Executive Officer of CCM(UK)LLP. Regulation and the EU Alternative Investment Fund Managers Directive On the 22 July 2014, CCM(UK)LLP became authorised by the FCA as a full-scope Alternative Investment Fund Manager (“AIFM”), under the EU Directive 2011/61/EU of the European Parliament and the Council of the European Union on Alternative Investment Fund Managers (“the AIFMD”).

The AIFMD introduced a number of regulatory requirements for EU AIFMs and the alternative investment funds they manage, most notably the areas of custody and valuation of fund assets and remuneration of personnel and marketing funds in Europe. Overall the new AIFMD regulations have not had a material impact on CCM(UK)LLP’s business model. A number of enhancements were made to the firm’s existing processes, policies and procedures in order to fully comply with the AIFMD. See AIFMD Valuation and Pricing Responsibilities page 6.

CCM(UK)LLP’s AIFM Activities

As an AIFM, CCM(UK)LLP continues to provide discretionary investment management services to a number of private investment funds (the “Cheyne Funds” or “Funds”) as well as other investment vehicles and managed accounts, primarily for institutional clients. This Brochure provides information about CCM(UK)LLP’s activities on behalf of the Cheyne Funds only.

The Cheyne Funds are established in jurisdictions outside of the United States (Cayman Islands, Luxembourg and Ireland) and consist of single strategy as well as multi-strategy funds. The Cheyne Funds may also be formed as “funds of funds” which invest in other Cheyne investment vehicles.

The Cheyne Funds may issue separate classes, sub-classes or series of interests, (including without limitation each having different fee schedules, currency denominations or other characteristics).

The investments of each Cheyne Fund are managed in accordance with the relevant Fund’s investment objectives and guidelines as set forth in the Fund’s Information Memorandum and any applicable supplement thereto (“IM”), governing documents and application forms (together with the IM, the Fund’s “Offering Documents”) and are not tailored to any particular investor in the Fund (an “Investor”). CCM(UK)LLP does not provide individual investment advice to Investors; therefore, Investors should consider whether a particular Cheyne Fund meets their investment requirements, including, without limitation, their investment objectives, risk tolerance and financial situation. The Cheyne Funds invest in a range of asset classes and market sectors, which are discussed in more detail in Item 8 of this Brochure and in each Fund’s IM. CCM(UK)LLP’s investment management services include determining appropriate asset allocation across the Cheyne Funds’ investment strategies, placing trades with third-party brokers for execution, and monitoring existing and prospective investments in light of each Cheyne Fund’s investment objectives and risk parameters. AIFMD Valuation and Pricing Responsibilities AIFMD requires CCM(UK)LLP (as the AIFM of the Cheyne Funds) to be responsible for the proper and independent valuation of the assets of each Fund. CCM(UK)LLP’s independent Risk Management function has responsibility for all asset valuations within the Firm. The team monitors price sources to ensure all instruments are priced at the point of trade and throughout the life of each trade. The Risk Management team reviews pricing providers and price sources to ensure that the valuation policies and procedures and the designated valuation methodologies are applied consistently. Investments are valued in accordance with the requirements set out in the Fund’s IM. e.g. traded securities are valued at close of business mid-price.

The Fund Administrators do not act as independent valuers of the Cheyne Funds, for the purposes of AIFMD. However, CCM(UK)LLP delegates certain aspects of asset pricing and NAV calculation and publication to the Fund Administrators.

CCM(UK)LLP’s Fund Accounting department have overall responsibility for the reconciliation of the daily, weekly, monthly and quarterly NAV calculations provided by the Fund Administrators. The Fund Accounting team liaise with the Fund Administrators to ensure the calculation procedures and methodologies are applied correctly for each NAV.

In addition, CCM(UK)LLP also operates an independent Pricing Committee (“the Committee”). The Committee is made up of representatives from CCM(UK)LLP’s Risk Management, Finance, Compliance department, and Directors of the Cheyne Funds. The Fund Administrators are invited to attend the meetings so they can opine on any pricing issues. The Committee meets at least once a month to oversee the consistent application of the valuation processes and procedures detailed in CCM(UK)LLP’s Valuation Policy, as well as to discuss and sign off on any issues with regards to the pricing of positions within Cheyne’s Funds. At the quarterly committee meetings, the Directors review and sign off on all positions priced by CCM(UK)LLP.

Regulation and the EU Markets in Financial Instruments Directive (MiFID)

MiFID became law in the United Kingdom in November 2007. It set the conditions for initial authorisation and the on-going regulatory requirements that investment firms must meet. It was designed to encourage competition between Europe’s trading venues for financial instruments. It also aimed to ensure appropriate levels of protection for investors and consumers of investment services across the European Union (EU). For example, it introduced conduct rules such as suitability requirements for investment advice and best execution requirements for firms carrying out client orders. It expanded the range of investment services that investment firms could provide across the EU on the basis of their authorisation in the country where they are established and allowed EU firms to passport their activities through Europe. MiFID II More recently, the European Commission reviewed the MiFID framework and concluded that change was needed. This was to address issues identified as a result of the 2008 financial crisis, market developments such as the growth of algorithmic trading and lessons learned from experience of how MiFID had operated so far. The European Commission made a proposal in 2011 for revisions to MiFID which, after negotiations, were agreed in 2014. The European Commission set out four objectives for the revised legislation:  strengthen investor protection  reduce the risks of a disorderly market  reduce systemic risks, and  increase the efficiency of financial markets and reduce unnecessary costs for participants

The new MiFID Rules went live across Europe on 3rdJanuary 2018 and incorporate the following updated legislation:

 the Directive (MiFID -2014/65/EU); this revises and expands the existing directive.  the Regulation, the Markets in Financial Instruments Regulation (MiFIR -2014/600/EU); this is a binding legislative act, which directly applies across the EU. It seeks to harmonise across the key provisions linked to the trading of financial instruments.

Implemented together, the legislation is known as MiFID II.

CCM(UK)LLP’s MiFID II Activities

In addition to the AIFM activities discussed above, CCM(UK)LLP provides discretionary investment management services to certain EU domiciled funds (UCITS) and third party managed accounts. In order to do so, the Firm must be authorised under MiFID. These ‘top- up’ MiFID permissions allow for the management of these other EU fund products, and for these non-AIFM activities the Firm must follow those areas of the FCA Rules that apply to both AIFM and MiFID investment firms.

Brexit

The United Kingdom (“UK”) began the process of withdrawing from the European Union in March 2017. Negotiations of the terms of the withdrawal are ongoing and complex. This withdrawal may damage the UK economy, the financial system, and UK based financial firms such as CCM(UK)LLP. It is too soon to quantify such risks. But they may be material to many aspects of CCM(UK)LLP’s business model. Post Brexit, regulation in the UK may change and CCM(UK)LLP may be restricted form certain types of activities, therefore in order to manage potential post Brexit risks, certain activities may be delegated to Cheyne group affiliates. See item 10 for more information on affiliations. Assets under Management As of 31st May 2019, CCM(UK)LLP had approximately USD22.5 billion in discretionary assets under management as per the Firm’s regulatory capital calculation. please register to get more info

Fees U.S. Investors in the Cheyne Funds are ‘qualified purchasers’ as defined under the US Investment Company Act of 1940 (the “Investment Company Act”). As such, a detailed fee schedule is not included in this brochure. Fees for each Cheyne Fund are described in the Fund’s Offering Documents.

Generally, fees may include, inter alia, a “management fee” based upon the net asset value (“NAV”) of the relevant Cheyne Fund, before deduction of any performance fees. Management fees are generally accrued and paid monthly in arrears. In addition, fees may include a “performance” element, which is calculated based upon the performance of a portfolio, share or assets. Performance fees are generally accrued monthly and paid quarterly in arrears or “back ended” and paid on maturity of investment or return of cash to investors.

Cheyne Funds’ current fee schedule is generally as follows:

 Management Fee: 1% - 2% of NAV, annually  Performance Fee: 10% - 20% of increase in NAV  The above fees may be payable to CCM(UK)LLP or its affiliates.

Other Expenses

Investment related expenses; including commissions, interest expense and other trading and custody expenses associated with a Cheyne Fund will be borne by the Fund. Please see Item 12 of this Brochure for a discussion of CCM(UK)LLP’s brokerage practices.

In addition, each Fund pays its own overhead and operating expenses including, without limitation, organizational costs, custody and fund administration expenses, accounting, tax preparation and audit expenses, consulting services, promotional activities, registration fees and other expenses due to supervisory authorities, insurance, interest, the fees of the Directors and the cost of the publication of the net asset value and legal fees, including for certain matters for certain Cheyne Funds, work undertaken by a CCM(UK)LLP internal lawyer specifically for the fund in question.

The Prime Brokers perform a variety of brokerage and custodial services on arm’s length commercial terms for which fees will be charged at normal commercial rates and out-of- pocket costs and expenses will be reimbursed. Any sub-custodian fees will be met by the Fund. All sub-custodian fees are charged at normal commercial rates. Such fees may be revised by the relevant Prime Broker from time to time. Certain Cheyne Funds are required to have a Depositary that provides depositary services. The Depositary is entitled to receive a fee, calculated on arm’s length commercial terms, as agreed from time to time together with reimbursement of its out-of-pocket expenses. Such fees and expenses are not subject to a maximum limit. The Fund Administrator is entitled to receive a fee, calculated on arm’s length commercial terms, as agreed from time to time, together with reimbursement of its out-of-pocket expenses. Such fees and expenses are not subject to a maximum limit. CCM(UK)LLP provides certain middle office, operational and trade related administrative support and fund accounting services (together “Portfolio Support Services”) to Cheyne Funds pursuant to Portfolio Support Agreements. In return for Portfolio Support Services, CCM(UK)LLP receives a Portfolio Support Fee based on the net asset value of the fund in question. The fees, charges and expenses payable to CCM(UK)LLP as Portfolio Support Provider are set forth in each fund IM. More detailed information about fees and expenses that investors may bear when investing in a Cheyne Fund is provided in the Fund’s IM. please register to get more info

As described in Item 5, Cheyne Funds generally pay both a management fee, which is generally equal to between 1% and 2% of the net value of the assets (“NAV”) of the relevant Cheyne Fund and a performance fee, which is generally between 10% and 20% of the performance of a portfolio, share or assets in a Cheyne Fund. Managing assets for different Cheyne Funds, which may have different fee structures, can create a conflict of interest for CCM(UK)LLP because such an arrangement may create an incentive to favour funds which have the ability to generate greater fees for CCM(UK)LLP. Such situations give rise to potential conflicts of interest which may include the allocation of investment opportunities among Cheyne Funds. As a result, CCM(UK)LLP is required by its regulators to employ policies and procedures governing the identification, management and monitoring of conflicts of interest, including asset allocation policies. In addition, CCM(UK)LLP’s Compliance team routinely conducts investment allocation reviews across all the Cheyne Funds as part of the conflict management process. In addition, the prospect of receiving a performance fee may lead CCM(UK)LLP to advise on and/or make on behalf of a Cheyne Fund investments that are riskier than would otherwise be the case. Performance fees for certain Cheyne Funds are calculated on unrealised as well as realised gains and hence conflicts may arise although the relevant gains may not be realised. please register to get more info

CCM(UK)LLP currently only provides investment services to Cheyne Funds and other clients established in jurisdictions outside of the United States. As a result, CCM(UK)LLP has no direct U.S. clients. Investors in the Cheyne Funds are typically non-U.S. persons (as defined under Regulation S of the U.S. Securities Act of 1933 (the “Securities Act”)) and include, without limitation: institutions (such as pension funds, insurance companies, banks, private client stockbrokers, asset managers, corporations, portfolio managers), other private investment funds, various public and private trusts and high net worth individuals.

The Cheyne Funds and other investment vehicles advised by CCM(UK)LLP qualify for an exception from the definition of investment company under the U.S. Investment Company Act of 1940 (the “Investment Company Act”), and as such, the Cheyne Funds are not registered with the SEC. Interests in Cheyne Funds are offered to Investors pursuant to exemptions found in Regulation D and/or Regulation S under the Securities Act. As a result, investors do not have the benefits of Investment Company Act or Securities Act registration. Investors that are U.S. persons must generally meet the requirements for “accredited investors” under the Securities Act and, if applicable, must also be “qualified purchasers” under the Investment Company Act.

Investors must also meet other eligibility criteria and minimum investment requirements, as set forth in each Fund’s IM. Investors are required to make various representations and warranties to a Fund, including representations regarding their eligibility to invest in the Fund, as a condition to the acceptance of their subscriptions.

Investors and other recipients of this Brochure should be aware that while the Brochure may include information about the Cheyne Funds, as necessary or appropriate, it should be not considered to represent a complete discussion of the features, risks or conflicts associated with any particular Cheyne Fund. More complete information about each Cheyne Fund is included in the Fund’s IM, which may be provided to current and eligible prospective investors only by CCM(UK)LLP or another authorised party.
In no event should this Brochure be considered to be an offer of interests in a Cheyne
Fund or relied upon in determining to invest. It is also not an offer of, or agreement to
provide, advisory services directly to any recipient.

Rather, this Brochure is designed solely to provide information about CCM(UK)LLP, which may differ from the information provided in an IM. To the extent that there is any conflict between discussions herein and similar or related discussions in any IM, the IM shall govern. As an “offshore adviser,” with its principal office and place of business outside of the United States, CCM(UK)LLP is permitted, and has chosen, to rely on the regime under the Investment Advisers Act of 1940, (“Advisers Act”) commonly referred to as “Regulation Lite” with respect to its non-U.S. clients. In accordance with Regulation Lite, as set out in various SEC no-action letters, CCM(UK)LLP is not subject to many of the substantive provisions and restrictions of the Advisers Act with respect to its dealing with non-U.S. funds or clients. please register to get more info

Subject to the investment guidelines and restrictions, if any, of the relevant Cheyne Funds as disclosed in the applicable Offering Documents, the Cheyne Funds may invest, directly or indirectly, in a wide variety of investments and instruments, including, without limitation, equities, equity-related instruments, fixed income and fixed income-related instruments, securities issued by public and private issuers, futures, commodities, currencies and derivative instruments, including, without limitation, credit derivatives such as credit default swaps referencing single credits or portfolios of credits, swaps, repurchase and reverse repurchase agreements and forward contracts, interests in secured senior loans made to corporations or other business entities, unsecured loans, subordinated loans, corporate debt securities, loans made to, or debt securities issued by, corporations or other business entities, equity securities incidental to investment in loans, asset swaps, collateralised debt obligations, collateralised loan obligations, and contracts for differences. The Cheyne Funds and other clients may invest in the foregoing for speculative or hedging purposes in accordance with their respective investment objectives.

The Cheyne Funds may invest in other private and non-private investment funds, including other Cheyne Funds and non-private funds in receipt of investment services from CCM(UK)LLP and its affiliates. Fee arrangements with respect to such investments are set forth in the relevant Cheyne Fund Offering Documents.

Investment Strategies

The Cheyne Funds may participate in one or more of the following investment strategies:

 Investment Grade Corporate Credit: The Corporate Credit team specialise in Investment Grade and Crossover corporate credit on a global basis. CCM(UK)LLP manages both long-only and long/short strategies investing in corporate credit through credit default swaps and bonds. The team determines relative value in credits using rigorous fundamental analysis in order to avoid defaults and generate trading gains.

 Strategic Value Credit: The SVC team employ a value-orientated, opportunistic strategy that seeks to capitalise on the mis-pricing of risk in European sub-investment grade credit.

 Event Driven: The Event Driven team invests in predominantly-European, liquid, event driven situations with defined short-term catalysts.

 Global Equities: The Global Equity team combines fundamental investing in research- driven opportunities and undervalued companies with a pro-active approach to trading. The team manages a global equity long/short strategy.  Convertible Bonds: The Convertible Bond team aims to capitalise on the compelling combination of downside protection and upside participation inherent in convertible securities. The team manages global absolute return and long-only strategies.  Real Estate Debt: The Real Estate Debt team capitalises on opportunities in securitised European real estate debt (CMBS and RMBS), direct mezzanine real estate lending and real estate investments with equity characteristics. The investment approach combines a rigorous valuation of the underlying residential or commercial property and a detailed analysis of the debt structure in order to identify investments offering attractive yields and robust downside protection.  Social Property Impact: The UK has a structural shortage of social housing; working with UK councils, local authorities, housing associations and social sector organisations, the Social Property team focus on the provision of affordable homes whilst generating positive social outcomes.

Risk Factors

All investments involve the risk of loss of capital and an investor may not get back the money they invested in a Cheyne Fund. An investment in a Cheyne Fund is not a complete investment program, and Investors are responsible for appropriately diversifying their assets.
Investors in a Cheyne Fund could lose money as a result of their investment.
A complete description of the risks associated with an investment in a particular Cheyne Fund is included in the IM of the respective Cheyne Fund. The IM, and in particular the risks involved in respect of the Cheyne Fund in question, should be carefully reviewed prior to investing.

The discussion below as to risks to which a Cheyne Fund may be subject is not intended to be exhaustive. A Cheyne Fund may invest in instruments other than those described below, including instruments not in existence or available in the market as of the date hereof. Investors should take into account the following factors when considering the risks associated with an investment in a Cheyne Fund and should review all risks in the Fund’s IM.

Investment Risk Investment and Trading Risks in General – All securities investments present a risk of loss of capital. Various Cheyne Funds utilise investment techniques such as option transactions, derivatives margin transactions, short sales and futures and forward contracts, which practices can maximise, in certain circumstances, any losses. There can be no assurance that a Fund will achieve its investment objective. The past investment performance of a Cheyne Fund or any other Fund may not be construed as an indication of its future results. Equities – Cheyne Funds may acquire equity securities or options or rights to acquire equity securities, including in connection with its debt investments or otherwise. Equity risk is the risk that stocks and other equity securities generally fluctuate more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected as a result of changes in a company’s financial condition and in overall market and economic conditions and can fall to zero. Liquidity of Small and Mid Cap Securities – Small and mid cap issuers generally have lower daily trading volume than issuers with larger capitalisation. This lower trading volume may affect the ability of the Fund to build or reduce the size of a position in a short time frame. In addition, it may sometimes be difficult to obtain price quotes in significant size for stocks of such small and mid cap issuers. Investments in small and mid cap issuers typically involve a higher degree of business and financial risk and can result in substantial losses due to special risk factors. For example, such issuers are typically subject to a greater degree of change in earnings and business prospects than are issuers with larger market capitalisations. Convertible Securities – Convertible securities are bonds, debentures, notes, preferred stocks or other securities that may be converted into or exchanged for a specified amount of common stock of the same or different issuer within a particular period of time at a specified price or formula. A convertible security entitles the holder to receive interest that is generally paid or accrued on debt or a dividend that is paid or accrued on preferred stock until the convertible security matures or is redeemed, converted or exchanged. Convertible securities have unique investment characteristics in that they generally: (i) have higher yields than common stocks, but lower yields than comparable non-convertible securities; (ii) are less subject to fluctuation in value than the underlying common stock due to their fixed-income characteristics; and (iii) provide the potential for capital appreciation if the market price of the underlying common stock increases.

Convertible Arbitrage Transactions – Convertible arbitrage transactions are designed to be relatively market neutral, i.e. they hedge out the directional risks generally associated with unhedged investments in the underlying instruments. However, should the credit status of an issuer weaken, losses may result from decreases in the market conversion premium or a loss of liquidity with respect to the security. These losses will be limited by the short hedge on the underlying security, but may be substantial in relation to the net asset value of the underlying fund in which investment may be made from time to time. A Cheyne Fund may also suffer losses if an issuer is acquired for cash or debt securities at a price that does not generate profits on the unhedged portion of a position sufficient to recover the premium paid to acquire the convertible security and any unpaid accrued interest that would be lost should conversion become necessary.

Losses may result when securities are called for redemption at prices below the current market prices. Frequently, these losses will include interest accrued but not paid upon conversion of the called securities. In addition, losses may occur if an issuer declares a special dividend or spin-off which causes a reduction in the conversion premium, or the underlying fund is forced to convert a security earlier than anticipated.

Trading in Indices, Financial Instruments and Currencies – A Cheyne Fund may invest in indices, financial instruments and currencies. The effect of any governmental intervention may be particularly significant at certain times in currency and financial instrument futures and options markets. Such intervention (as well as other factors) may cause all of these markets to move rapidly in the same or varying directions which may result in sudden and significant losses. Fixed Income Securities – A Cheyne Fund may invest in bonds or other fixed income securities, including without limitation, commercial paper and “higher yielding” (including non-investment grade and, therefore, higher risk) debt securities. The Cheyne Fund will, therefore, be subject to credit, liquidity and interest rate risks. Higher-yielding debt securities are generally unsecured and may be subordinated to certain other outstanding securities and obligations of the issuer, which may be secured on substantially all of the issuer’s assets. The lower rating of debt obligations in the higher-yielding sectors reflects a greater probability that adverse changes in the financial condition of the issuer or in general economic conditions or both may impair the ability of the issuer to make payments of principal and interest. Non- investment grade debt securities may not be protected by financial covenants or limitation on additional indebtedness. In addition, evaluation of credit risk for debt securities involves uncertainty because credit rating agencies throughout the world have different standards, making comparison across countries difficult. Also, the market for credit spreads is often inefficient and illiquid, making it difficult to accurately calculate discounting spreads for valuing financial instruments. It is likely that a major economic event, such as a recession or reduction of liquidity in the market could severely disrupt the market for such securities and may have an adverse impact on the value of such securities. In addition, it is likely that any such an economic event could adversely affect the ability of issuers of such securities to repay principal and pay interest thereon and increase the incidence of default for such securities.

Credit Risk – Cheyne Funds are also subject to credit risk, i.e. the risk that an issuer of securities or a borrower will be unable to pay principal and interest when due, or that the value of the security will suffer because investors believe the issuer is less able to pay. This maybe broadly gauged by the credit ratings of the securities or borrowers in which the Funds invest. However, ratings are only the opinions of the agencies issuing them, may change less quickly than the relevant circumstances and are not absolute guarantees of the quality of the securities. Furthermore, the investments of Cheyne Funds may not be rated by any rating agency or may be below investment grade. A default, downgrade or credit impairment of any of its investments could result in a significant or even total loss of the investment.

Subordination Risk – Certain debt investments acquired. Including loans made, will be subject to certain additional risks. Such investments may be unsecured and structurally or contractually subordinated to substantial amounts of senior indebtedness, all or significant portion of which may be secured. Moreover, such investments may not be protected by financial covenants or limitations upon additional indebtedness.

Investments in Unlisted Securities – Because of the absence of any trading market for these investments, it may take longer, or may not be possible, to liquidate these positions, than would be the case with publicly traded securities. Accordingly, the ability of a Cheyne Fund to respond to market movements may be impaired and the funds may experience adverse price movements upon liquidation of their investments. Although these securities may be resold in privately negotiated transactions, prices realised on these sales could be less than those originally paid by the fund. Settlement of transactions may be subject to delay and administrative uncertainties. Further, companies whose securities are not publicly traded will generally not be subject to public disclosure and other investor protection requirements applicable to publicly traded securities. The lack of publicly available information an actively traded market in unlisted securities will also give rise to uncertainty in valuing such securities. Collateralised Debt Obligations – A Cheyne Fund may invest in collateralised debt obligations (including without limitation collateralised loan obligations (“CLO”) and collateralised bond obligations (“CBO”), collectively, “CDOs”). CDOs may be fixed pools or may be “market value” or managed pools of collateral which entitle the holders thereof to receive payments that depend primarily on the cash flow from the pool of assets, which may include commercial loans, high yield and investment grade debt, Structured Securities (as defined below) and derivative instruments relating to debt. Holders of CDOs bear various risks, including credit risk, liquidity risk, interest rate risk, market risk, operations risk, structural risk and legal risk. The pools of assets of CDOs are typically separated into tranches representing different degrees of credit quality, with lower rated tranches being subordinate to senior tranches. The senior tranches of CDOs, which represent the highest credit quality in the pool, have the greatest collateralisation and pay the lowest spreads over LIBOR. Lower rated CDO tranches represent lower degrees of credit quality and pay higher spreads over LIBOR to compensate for the attendant risks. The bottom tranches specifically receive the residual interest payments (i.e. money that is left over after the higher tiers have been paid) rather than a fixed interest rate. The returns on the junior tranches of CDOs are especially sensitive to the rate of default in the collateral pool. In addition, the exercise of redemption rights, if any, by more senior CDO tranches and certain other events could result in an elimination, deferral or reduction in the funds available to make interest or principal payments to the junior tranches. A Cheyne Fund may acquire mezzanine or equity tranches of CDOs which are the most susceptible to these risks.

Structured Securities Generally – A Cheyne Fund may invest in interests in securitisation vehicles organised and operated solely for the purpose of restructuring the investment characteristics of other debt securities, MBSs, CDOs etc. (collectively, “Structured Securities”). This type of restructuring generally involves the deposit with or purchase by an entity, such as a corporation or trust, of specified instruments and the issuance by that entity of one or more classes of securities backed by, or representing interests in, the underlying instruments. The cash flow on the underlying instruments may be apportioned among the newly issued security to create securities with different investment characteristics such as varying maturities, payment priorities and interest rate provisions and the extent of the payments made with respect to such securities is dependent on the extent of the cash flow on the underlying instruments. Certain classes of such securities may be subordinated to the right of payment of another class. Subordinated structured investments typically have higher yields and present greater risks than unsubordinated structured investments.

Many Structured Securities are highly complex instruments and may be sensitive to changes in interest rates, prepayment rates or both. There is no guarantee that a liquid market will exist for any Structured Security. Structured Securities generally are limited or non-recourse obligations payable solely from underlying assets or collateral securities or the proceeds thereof. Consequently, holders of Structured Securities must rely solely on distributions on the underlying assets or collateral securities or proceeds thereof for payment in respect of the Structured Securities. The underlying assets are subject to, among other things, credit risks, liquidity risks, interest rate risks, market risks, operations risks, structural risks and legal risks and may fluctuate with the financial conditions of the underlying issuers and obligors. In the event that issuers of the underlying collateral securities or obligors on the underlying assets default on their obligations, or distributions on the underlying assets or collateral securities are insufficient to make payments in respect of the Structured Securities, no other assets will be available for the payment of the deficiency. There is no guarantee that liquidation of underlying assets and collateral securities will be sufficient to repay investors for their investment in such Structured Securities. In addition, Structured Securities may involve risks different from those of the assets or securities underlying or backing such Structured Securities. The failure by a servicer, sponsor or manager of a Structured Security to perform adequate credit review of underlying assets or collateral securities or to otherwise fulfil its obligations with respect to a Structured Security may lead to the liquidation of, or default on, such Structured Security. Such failures and defaults may have a negative impact on the return of the Structured Security and the performance of the relevant underlying fund. Synthetic Securities – A Cheyne Fund may invest in synthetic securities. Synthetic securities are securities in which the value is determined by reference to changes in the value of specific currencies, interest rates, credits, bonds (or credit or bond portfolios), commodities, indices, or other financial indicators (a “Reference”) or the relative change in two or more References. The interest rate or the principal amounts payable upon maturity or redemption may be increased or decreased depending upon changes in the applicable Reference. Synthetic securities may be positively or negatively indexed, so that appreciation of the Reference may produce an increase or decrease in the interest rate or value of the security at maturity. In addition, changes in the interest rates or the value of the security at maturity may be a multiple of changes in the value of the Reference. Consequently, synthetic securities may present a greater degree of market risk than other types of securities and may be more volatile, less liquid and more difficult to value accurately than less complex securities.

Swap Agreements – A Cheyne Fund may enter into swap agreements. Swap agreements can be individually negotiated and structured so as to include exposure to a variety of different types of investments or market factors. Depending on their structure, swap agreements may increase or decrease the exposure of the underlying funds to long-term or short-term interest rates, currency values, corporate borrowing rates, or other factors such as security prices, baskets of equity securities or inflation rates. Swap agreements can take many different forms and are known by a variety of names.

Swap agreements tend to shift the investment exposure of the Cheyne Fund from one type of investment to another. For example, if a Cheyne Fund agrees to exchange payments in dollars for payments in euro, the swap agreement would tend to decrease the exposure of the Cheyne Fund to dollar interest rates and increase its exposure to the euro and its interest rates. Depending on how they are used, swap agreements may increase or decrease the overall volatility of the portfolios of a Cheyne Fund. The most significant factor in the performance of swap agreements is the change in the specific interest rate, currency, individual equity value or other factors that determine the amounts of payments due to and from the relevant underlying fund. If a swap agreement calls for payments by a Cheyne Fund, that Fund must be prepared to make such payments when due. In addition, if a counterparty’s credit worthiness declines, the value of swap agreements with such counterparty can be expected to decline, potentially resulting in losses by the relevant Cheyne Fund.

Credit Default Swaps – Cheyne Funds may enter into credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or “par value,” of the reference obligation in exchange for the reference obligation. The Cheyne Fund may be either the buyer or seller in a credit default swap transaction. If the Cheyne Fund is a buyer and no event of default occurs, the Cheyne Fund will lose its investment and recover nothing. However, if an event of default occurs, the Cheyne Fund (if the buyer) will receive the full notional value of the reference obligation that may have little or no value. As a seller, the Cheyne Fund receives a fixed rate of income throughout the term of the contract, which typically is between six months and three years, if there is no default event. If an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation. Credit default swap transactions involve greater risks than if the Cheyne Fund had invested in the reference obligation directly. Trading in Options – A Cheyne Fund may purchase and sell (“write”) options on securities, currencies and commodities on a variety of commodities and securities exchanges and over- the-counter markets. The seller (“writer”) of a put or call option which is uncovered (i.e. the writer has effectively a long or a short position in the underlying security, currency or commodity) assumes the risk (which theoretically may be unlimited) of a decrease or increase in the market price of the underlying security, currency or commodity below or above the sales or purchase price. Investing in futures and options is a highly specialised activity and, although it may increase total return, it may also entail significantly greater than ordinary investment risk.

Exchange-Traded Futures Contracts and Options on Futures Contracts – The use by a Cheyne Fund of futures contracts and options on futures contracts will present the same types of volatility and leverage risks associated with transactions in OTC derivative instruments generally. In addition, such transactions present a number of risks which might not be associated with the purchase and sale of other types of investment products.

A Cheyne Fund may invest in futures and related options to the extent that all necessary CFTC registrations or exemptions have been obtained. Such registrations or exemptions would not include review or approval by the CFTC of any Information Memorandum or the trading strategies.

Prior to exercise or expiration, a futures or option position can be terminated only by entering into an offsetting transaction. This requires a liquid secondary market on the exchange on which the original position was established. There can be no assurance that such a market will exist for any particular contract at any point in time. In that event, it might not be possible to establish or liquidate a position.

The ability of the Cheyne Fund to utilise futures or options on futures to hedge its exposure to certain positions or as a surrogate for investments in instruments or markets will depend on the degree of correlation between the value of the instrument or market being hedged, or to which exposure is sought and the value of the futures or option contract. Because the instrument underlying a futures contract or option traded will often be different from the instrument or market being hedged or to which exposure is sought, the correlation risk could be significant and could result in substantial losses to the underlying funds and the Cheyne Fund. The use of futures and options involves the risk that changes in the value of the underlying instrument will not be fully reflected in the value of the futures contract or option. The liquidity of a secondary market in futures contracts and options on futures contracts is also subject to the risk of trading halts, suspensions, exchange or clearing house equipment failures, government intervention, insolvency of a brokerage firm, clearing house or exchange or other disruptions of normal trading activity. OTC Derivative Instrument Transactions – A Cheyne Fund may invest in investments which are not traded on organised exchanges and as such are not standardised. Such transactions are known as OTC transactions and may include credit default swaps, forward contracts or options. Whilst some OTC markets are highly liquid, transactions in OTC derivatives may involve greater risk than investing in exchange traded derivatives because there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of the position arising from an off-exchange transaction or to assess the exposure to risk. Bid and offer prices need not be quoted and, even where they are, they will be established by dealers in these instruments and, consequently, it may be difficult to establish what is a fair price. In respect of such trading, a Cheyne Fund is subject to the risk of counterparty failure or the inability or refusal by a counterparty to perform with respect to such contracts. Market illiquidity or disruption could result, directly or indirectly, in major losses to a Cheyne Fund. The instruments, indices and rates underlying derivative transactions expected to be entered into by the Cheyne Fund may be extremely volatile in the sense that they are subject to sudden fluctuations of varying magnitude, and may be influenced by, among other things, government trade, fiscal, monetary and exchange control programmes and policies; national and international political and economic events; and changes in interest rates. The volatility of such instruments, indices or rates, which may render it difficult or impossible to predict or anticipate fluctuations in the value of instruments traded could result, directly or indirectly in losses to the Cheyne Fund.

Repurchase Agreements – Cheyne Funds may enter into repurchase and reverse repurchase agreements. When a Fund enters into a repurchase agreement, it “sells” securities to a broker-dealer or financial institution and agrees to repurchase such securities on a mutually agreed date for the price paid by the broker-dealer or financial institution, plus interest at a negotiated rate. In reverse repurchase transactions, a Cheyne Fund “buys” securities from a broker-dealer or financial institution subject to the obligation of the broker-dealer or financial institution to repurchase such securities at the price paid by that underlying fund, plus interest at a negotiated rate. The use of repurchase and reverse repurchase agreements by a Cheyne Fund involves certain risks. For example, if the seller of securities under a reverse repurchase agreement defaults on its obligation to repurchase the underlying securities as a result of its bankruptcy or otherwise, the Cheyne Fund will seek to dispose of such securities, which action could involve costs or delays. If the seller becomes insolvent and subject to liquidation or reorganisation under applicable bankruptcy or other laws, the ability of a Cheyne Fund to dispose of the underlying securities may be restricted. It is possible in a bankruptcy or liquidation scenario that the Cheyne Fund may not be able to substantiate its interest in the underlying securities. In addition, if a seller defaults on its obligation to repurchase securities under a reverse repurchase agreement, a Cheyne Fund may suffer a loss to the extent that it is forced to liquidate its position in the market and proceeds from the sale of the underlying securities are less than the repurchase prices agreed by the defaulting seller.

Highly Volatile Instruments – The price of derivative instruments, including options, are highly volatile. Price movements of forward contracts and other derivative contracts in which the assets of the Cheyne Fund may be invested are influenced by, amongst other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary, and exchange control programs and policies of governments, and national and international political and economic events and policies. In addition, governments from time to time intervene, directly and by regulation, in certain markets, particularly those in currencies and financial instrument options. Such intervention often is intended directly to influence prices and may, together with other factors, cause many of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations. A Cheyne Fund is also subject to the risk of the failure of any of the exchanges on which its positions trade or of their clearing houses. Investments in senior loans involve certain risks – Senior loans hold the most senior position in the capital structure of a business entity and are typically, but not necessarily, secured with specific collateral (including real estate assets) that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the borrower. The senior loans that Cheyne Fund will originate and in which it will invest are likely to be collateralised by real estate and may be rated below investment grade or may also be unrated. As a result, the risks associated with senior loans maybe similar to the risks of below investment grade instruments, although senior loans are typically senior and secured in contrast to other below investment grade instruments, which may be subordinated and/or unsecured. Nevertheless, if a borrower under a senior loan defaults, becomes insolvent or goes into bankruptcy, the Cheyne Fund may recover only a fraction of what is owed on the senior loan or nothing at all. Senior loans are subject to a number of risks described elsewhere in the Information Memorandum, including credit risk and liquidity risk.

Although the senior loans in which the Cheyne Fund will invest may be secured by real estate collateral, there can be no assurance that such collateral could be readily liquidated or that the liquidation of such collateral would satisfy the borrower’s obligation in the event of non- payment of scheduled interest or principal. In the event of the bankruptcy or insolvency of a borrower, the Cheyne Fund could experience delays or limitations with respect to its ability to realise the benefits of the collateral securing a senior loan. Such collateral may be subject to complex, competing legal claims and any applicable legal or regulatory requirements which may restrict the giving of collateral or security by a borrower under a loan, such as, for example, thin capitalisation, over-indebtedness, financial assistance and corporate benefit requirements. In addition, investments in senior loans may be unperfected for a variety of reasons, including the failure to make required filings by lenders, and the Cheyne Fund may not have priority over other creditors. In the event of a decline in the value of the already pledged collateral, if the terms of a senior loan do not require the borrower to pledge additional collateral, the Cheyne Fund will be exposed to the risk that the value of the collateral will not at all times equal or exceed the amount of the borrower’s obligations under the senior loans. Even if such loans do require the borrower to pledge additional collateral, there is no warranty the borrower will be able to pledge collateral of sufficient value or at all. To the extent that a senior loan is collateralised by stock in the borrower or its subsidiaries, such stock may lose some or all of its value in the event of the bankruptcy or insolvency of the borrower. Those senior loans that are under-collateralised involve a greater risk of loss. In the context of cross-border lending it is possible that the rights actually enjoyed by lenders will be adversely affected by the interplay of the rules of the various applicable legal systems. Mezzanine Loans – Cheyne Funds may invest in certain lower grade subordinated debt instruments that are generally acquired in private placements, or directly made to private companies. Mezzanine loans may be issued with or without registration rights. Mezzanine loans are usually subordinated to other obligations of the issuer and may be unsecured. Loans to small entities involve significant risks – Cheyne Funds may, in pursuit of the investment objective, originate loans to small entities. Investments in such small entities involve a number of risks generally associated with other types of loans described herein. Additional risks associated with such small entities include the following: These companies may have limited financial resources and a reduced ability to meet their obligations;  they typically have shorter operating histories, smaller market shares than larger businesses and may be less geographically diverse, which tend to render them more vulnerable to competitors’ actions and market conditions, as well as declines in the property market;  there is generally little public information about these companies. These companies and their financial information are typically not subject to rules that govern public companies, and the Investment Manager may be unable to uncover all material information about these companies, which may prevent it from making a fully informed investment decision and cause the Master Fund to lose money on its investments;  they may have difficulty accessing the capital markets to meet future capital needs; and  loans to these entities typically are evidenced by privately negotiated documentation not based on any particular industry standard (e.g., Loan Market Association or Loan Syndicate Trading Association).

Residential Mortgage-Backed Securities (“RMBS”) – A Fund may invest in or be exposed to RMBS. An RMBS is a form of asset-backed security and is a general obligation of the issuer, which is typically secured by residential mortgages or residential mortgage-backed collateral. Mortgage-backed securities may be issued or guaranteed by U.S. government agencies or instrumentalities or by private entities such as banks, savings and loans, mortgage bankers and other nongovernmental issuers.

The risks associated with investment in RMBS include:

Commercial Mortgage-Backed Securities (“CMBS”) – A CMBS is a form of mortgage- backed security which is typically secured by commercial mortgages or commercial mortgage-backed collateral. Commercial mortgage loans underlying commercial mortgage- backed securities are generally secured by income producing property, such as offices, malls, stores, industrial properties, multi-family housing or other commercial property, and may entail risks of delinquency and foreclosure. In general, incremental risks of delinquency, foreclosure and loss with respect to an underlying commercial mortgage loan pool may be greater than those associated with residential mortgage loan pools. In part, this is caused by lack of diversity. CMBS are often backed by an underlying mortgage pool of only a few mortgage loans. A failure in performance of any one commercial mortgage loan in the underlying mortgage pool will have a much greater impact on the performance of the related CMBS. Credit risk relating to commercial mortgage-backed transactions is, as a result, property-specific. In this respect, commercial mortgage backed transactions resemble traditional non-recourse secured loans. Rates of defaults and losses on commercial mortgage loans, and the value of any commercial property, may be adversely affected by risks generally incident to interests in real property, including various events which the related borrower and/or manager of the commercial property, may be unable to predict or control, such as: changes in general or local economic conditions and/or specific industry segments; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes in governmental rules, regulations and fiscal policies, including environmental legislation; acts of God; environmental hazards; and social unrest and civil disturbances. If a commercial mortgage loan is in default, foreclosure of such commercial mortgage loan may be a lengthy and difficult process and may involve significant expenses and potential liabilities. Prepayments on the underlying commercial mortgage loans in an issue of CMBS will be influenced by the prepayment provisions of the related mortgage notes and may also be affected by a variety of economic, geographic and other factors, including the difference between the interest rates on the underlying mortgage loans (giving consideration to the cost of refinancing) and prevailing mortgage rates and the availability of refinancing. In general, if prevailing interest rates fall significantly below the interest rates on the related mortgage loans, the rate of prepayment on the underlying mortgage loans would be expected to increase. Conversely, if prevailing interest rates rise to a level significantly above the interest rates on the related mortgages, the rate of prepayment would be expected to decrease. Prepayments could reduce the yield received on the related CMBS issue.

Concentrations of CMBS of a particular type, as well as concentrations of CMBS issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject the CMBS to additional risk. CMBS issues may be subordinate in right of payment and rank junior to other securities that are secured by or represent an ownership interest in the same pool of assets. In general, subordinate classes are more sensitive to risk of loss and writedowns than senior classes of such securities.

Distressed instruments - Cheyne Funds may acquire an instrument of or make a loan to a company that is potentially facing liquidity or solvency issues, subsequently declares bankruptcy or otherwise engages in a bankruptcy-type reorganisation. Certain of these companies may be in transition, turnaround, out of favour, financially leveraged or troubled, or potentially troubled, and may be or have recently been involved in major strategic actions, restructurings, bankruptcy, reorganisation or liquidation. These characteristics of these companies can cause their instruments to be particularly risky, although they also may offer the potential for high returns. These companies’ instruments may be considered speculative, and the ability of the companies to pay their debts on schedule could be affected by adverse interest rate movements, changes in the general economic climate, economic factors affecting a particular industry or specific developments within the companies. Private debt terms - A private debt instrument may have a contractual return that is not paid entirely in cash, but rather partially or wholly in-kind or as an accreting liquidation preference, thus lengthening the time before cash is received, and increasing the Cheyne Fund’s risk exposure to the borrower. While CCM(UK)LLP intends to achieve the Cheyne Fund’s targeted returns for a given investment, including private debt, other factors, such as overall economic conditions, the competitive environment and the availability of potential purchasers of the securities, may shorten or lengthen the Cheyne Fund’s holding period and some investments may take additional years from the initial investment date to achieve a realisation. In some cases, the Cheyne Fund may be prohibited by contract from selling certain securities for a period of time. If the Cheyne Fund is required to liquidate all or a portion of its portfolio positions quickly, then the Cheyne Fund may realise significantly less than the value at which the Cheyne Fund previously recorded those investments. Risks associated with real estate assets - The net operating income from, and value of, any commercial property is subject to various risks, including changes in general or local economic conditions and/or specific industry segments; the solvency of the related tenants; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes in governmental rules, regulations and fiscal policies; acts of God; terrorist threats and attacks and social unrest and civil disturbances.

Fluctuations in real estate and rental income - Rental levels and market values of real estate in the U.K. and continental Europe (and other markets in which Cheyne Funds will invest) are generally affected by overall conditions in the economy, political factors and one-off events, such as the condition of the financial markets, the availability of finance to businesses and consumers, the effectiveness of fiscal and monetary policies in stabilising economic conditions, changes in government legislation, political developments including changes in regulatory or tax regimes, increases in unemployment and related declines in consumer spending, an oversupply of, or a reduction in demand for, retail space or consumer goods, infrastructure quality, financial performance and the productivity of industries located in these countries, relocations or insolvency of tenant businesses and armed conflicts or terrorist attacks. Certain types of these risks (for example, risk of armed conflicts or terrorist acts, certain natural disasters or weather catastrophes, such as flooding, as well as certain acts of God) may in the future become uninsurable or not economically insurable.

Subjectivity and uncertainty of real estate valuations - The valuation of real estate and therefore the valuation of any underlying security relating to a Cheyne Fund’s investments is inherently subjective due to, among other factors, the individual nature of each property, its location and the expected future rental revenues from that particular property. As a result, the valuations of the real estate assets underlying the Cheyne Fund’s investments are subject to a degree of uncertainty and are made on the basis of assumptions which may not prove to be accurate, particularly in periods of volatility or low transaction flow in the market.

In addition, any valuations relied on by CCM(UK)LLP will reflect the position only at their date, and market volatility since the date of any such valuations and over the longer term may cause significant variations in the value of the real estate, potentially to the downside.

Development and construction risks - Cheyne Funds may lend in situations where the underlying assets are in the process of being developed and/or constructed. The development and construction of real estate assets are subject to timing, budgeting and other risks that may adversely affect the Cheyne Fund’s operating results. Any renovation, redevelopment, development and related construction activities could affect the ability of a borrower to repay loans secured on the underlying assets, including construction delays or cost overruns that may increase project costs, receipt of zoning, occupancy and other required governmental permits and authorisations, development costs incurred for projects that are not pursued to completion, acts of God such as earthquakes, floods or fires that could adversely impact on a project, ability to raise capital and governmental restrictions on the nature or size of a project. Development and construction activities contain a high element of risk both in terms of costs and completion. These factors include, but are not limited to, increases in labour costs, increases in material costs, prolonged adverse weather, extended construction timeframe, the impact of archaeological finds within the site, industrial disputes, ground conditions, governmental regulations, governmental delays in issuing relevant licences, design changes to meet changing environmental conditions and engineering cost fluctuations. These risks could result in substantial unanticipated delays or expenses and, under certain circumstances, could prevent completion of development and construction activities once undertaken, any of which could have an adverse effect on the Cheyne Fund’s investments. Concentration of Investments/Lack of Asset Diversification – Cheyne Funds may be subject to limited diversification requirements and may invest a significant portion of their assets in the securities of a small number of underlying funds or, directly or indirectly similar in assets. As a result, the Cheyne Fund may be more susceptible to risks associated with a single economic, political or regulatory occurrence than would be the case with a more diversified portfolio and the Cheyne Fund may be subject to significant losses in the event that it holds a large position in a particular investment that declines in value or is otherwise adversely affected, including by default of the issuer.

Interest Rate Risk – Cheyne Funds are subject to several risks associated with changes in interest rates on their financings and investments which may affect profitability.

Interest Rate Adjustments – Cheyne Funds may rely on short-term financings to acquire investments with long-term maturities. Similarly, the Cheyne Funds may acquire investments with short-term maturities, which are secured by long dated assets. Certain of the investments may be adjustable rate instruments in which interest rates vary over time, based upon changes in an objective index (e.g., LIBOR) which generally reflect short-term interest rates. The interest rates on the financings similarly vary with changes in an objective index but may adjust more frequently than the interest rates of the investments.

Investment Manager Risks

No operating history – When a Cheyne Fund is newly organised with no operating history, prospective investors have no track record or history on which to base their investment decision.

Past Performance - The past performance of any strategies, investment funds, or accounts managed or advised by CCM(UK)LLP are not representative of the potential future performance of any Cheyne Fund.

Business Dependent Upon Key Individuals – The success of each Cheyne Fund is significantly dependent upon the expertise of members of CCM(UK)LLP’s investment management team and any future unavailability of any of their services could have an adverse impact on the Cheyne Fund’s performance. The Investment Manager’s principals and other key personnel possess substantial experience and expertise and have strong business relationships with members of the business community. The loss of these personnel could jeopardise the CCM(UK)LLP’s relationships with members of the business community and could result in fewer investment opportunities for the Cheyne Fund. For example, if any of CCM(UK)LLP’s principals were to join or form a competing firm, the Cheyne Funds results and financial condition could suffer. Conflicts of Interest – Other clients of CCM(UK)LLP may have similar or identical investment objectives, policies and/or strategies to those adopted and/or implemented in respect of a Cheyne Fund, and may invest in the same markets or the same or similar instruments and securities or in other securities of the same issuer. Such multiple funds may result in each fund receiving a smaller allocation of an investment opportunity. Analysing Investment Opportunities – CCM(UK)LLP seeks to conduct reasonable and appropriate due diligence based on the facts and circumstances applicable to each investment. The due diligence process may at times be subjective with respect to newly organised entities for which only limited information is available. Accordingly, CCM(UK)LLP cannot be certain that due diligence investigations with respect to any investment opportunity for the Cheyne Fund will reveal or highlight all relevant facts (including fraud) that may be necessary or helpful in evaluating such investment opportunity, or that its due diligence investigations will result in investments for the Cheyne Fund being successful. There can be no assurance that the projected results of an investment opportunity will be achieved for the Cheyne Fund, and actual results may vary significantly from the projections. General economic, natural, and other conditions, which are not predictable, can have an adverse impact on the reliability of such projections. Assumptions or projections about asset lives; the stability, growth, or predictability of costs; demand; or revenues generated by an investment or other factors associated therewith may, due to various risks and uncertainties including those described herein, differ materially from actual results.

Restriction in Dealing in Investments – In providing investment services in relation to a Cheyne Fund or other clients, CCM(UK)LLP may recommend and/or advise on and/or give effect to activist and/or other strategies in relation to securities and/or issuers involving the acquisition on behalf of the Fund or in concert with other parties, of positions in companies and/or other issuers, or may otherwise receive material non public information. In connection with such positions, in order to comply with laws and regulations relating to insider dealing, market abuse, concert parties, takeovers and market standards generally and also as a means of dealing with conflicts of interest, CCM(UK)LLP may from time to time be prevented, or elect to restrict themselves, and one or more Funds from dealing in and/or advising on certain strategies, securities or instruments, either in particular circumstances or generally. As a result of this, CCM(UK)LLP may be unable to realise a position in a particular security or instrument and/or advise as to, make or act on certain investment decisions which they would otherwise have made or implemented on behalf of their clients including one or more Funds. This may result in, inter alia, a Cheyne Fund being unable to realise a position in order to meet redemption requests or margining or other financing obligations or take advantage of certain opportunities in the market to the detriment of the Fund and/or its investors. Performance Allocation - The General Partner will receive a Performance Allocation as more particularly described in the Cheyne Fund’s Information Memorandum. While the General Partner has adopted policies and procedures designed to mitigate this risk, as with all incentive based fees and allocations, the Performance Allocation may provide an incentive for CCM(UK)LLP to make investments that are riskier or more speculative than it otherwise would have made, to the detriment of the Cheyne Fund. Cybersecurity Risks – CCM(UK)LLP’s information and technology systems may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons and security breaches, usage errors by its respective professionals, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. CCM(UK)LLP has implemented various measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, or fail. The failure of these systems and/or of disaster recovery plans for any reason could cause significant interruptions and result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors. In addition, cyber security failures or breaches by third party service providers and the issuers of securities in which the Cheyne Funds invest, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs, including the cost to prevent cyber incidents.

Cheyne Fund Risks

Restrictions on Redemptions – Investors in Cheyne Funds may be subject to restrictions relating to the redemptions of investments in the Cheyne Fund. The ability of a Cheyne Fund to meet redemption requests by investors will depend on numerous factors including the liquidity available to the Cheyne Fund and the speed at which it may realise investments in securities, structures or underlying funds in which investment may be made. Such securities, structures and underlying funds, may offer liquidity at intervals and in circumstances which may not provide sufficient liquidity for a Fund to be able to fully meet redemption requests in certain circumstances. The directors of a Cheyne Fund may limit the value of redemptions in circumstances where the directors believe that, owing to their perception of the liquidity of the underlying investments, such an action would be in the overall interests of investors. The Directors may also suspend the calculation of the net asset value of a Cheyne Fund, which will lead to a suspension of redemption rights for investors, in certain circumstances as set forth in each Cheyne Fund’s Information Memorandum. The Directors may withhold payment to investors who have redeemed prior to such a suspension of valuation. Directors may also suspend redemptions during any period in which the settlement of redemptions would, in the opinion of the directors, result in a violation of law or violate any instrument or agreement governing any indebtedness incurred by the Fund.

Compulsory Redemption – The Directors may compulsorily redeem all or some of an investor’s holding in a Cheyne Fund as more specifically disclosed in each Cheyne Fund’s Information Memorandum. Such circumstances include, but are not limited to, situations where: (i) the investor does not meet eligibility requirements; (ii) the holding of interests in the Cheyne Fund by the investor gives rise to tax or regulatory disadvantage for the Cheyne Fund or subjects the Cheyne Fund to registration or filing requirements in any jurisdiction; or (iii) the level of the investor’s holding drops below the minimum holding requirement. Fees and Expenses – Each Cheyne Fund pays fees, costs and expenses incurred in its operation, including, without limitation, taxes, expenses for legal, auditing, administration, custody, prime brokerage and consulting services, promotional activities, registration fees and other expenses due to supervisory authorities, insurance, interest, the fees of its Directors (for corporate funds), and the Directors of its General partner (for limited partnership funds) and the cost of the publication of the net asset value. In addition, the General Partner on behalf of each Cheyne Fund is authorised to incur all expenses on behalf of the Cheyne Fund which it deems necessary or desirable (including in certain cases, without limitation, the direct cost of CCM(UK)LLP’s in-house lawyers providing legal services in respect of the Cheyne Fund). The fees and expenses to which a Cheyne Fund will be subject could be substantial and will dilute the returns realised by investors. Auditors’ Limitation on Liability – The Auditors of Cheyne Funds, in common with current Cayman Islands practice, have limited their liability under the terms of their engagement which has limited the Fund’s rights of possible recourse against the Auditors.

Funding Liquidity Risk – Where investors redeem their investments in the Cheyne Fund in an amount which exceeds the amount of cash or other liquid assets immediately available to fund such redemptions, the Cheyne Fund may, subject to its discretion to restrict redemptions, seek to liquidate additional assets to fund the redemption proceeds required. This may limit or otherwise affect the ability of the Cheyne Fund to operate or manage investment positions and strategies and restrict or materially affect investment performance and returns.

Valuation – The net asset value of the Fund’s assets, the price at which investors subscribe and redeem interests in the Cheyne Fund and the value with reference to which management and other fees are calculated with reference to the net asset value of the Cheyne Fund determined as per CCM(UK)LLP’s AIFMD Valuation Policy and as more specifically disclosed in each Information Memorandum. CCM(UK)LLP’s Pricing Committee may, however, with the consent of the Cheyne Fund directors, follow some other prudent method of valuation if it considers that under the circumstances such other method should be adopted in order to reflect fairly the values of the relevant investments or liabilities of the Cheyne Fund. In addition, special situations affecting the measurement of the net asset value of the assets of a Fund may arise from time to time. Investors should be aware that situations involving uncertainties as to the valuation of such assets could have an adverse effect on the net asset value of a Fund.

The net asset value of a Cheyne Fund may fluctuate over time according to the performance of the Fund’s investments. An investor may not fully recover his initial investment when he chooses to redeem his investment or upon compulsory redemption, if the net asset value of the Fund is less than that at the time of investment. The value of an investment in a Cheyne Fund, and the income (if any) derived there-from, can go down as well as up.

Portfolio Turnover – Turnover of a Cheyne Fund’s investments may be higher than the average for other more traditional portfolios and accordingly the level of commissions paid and other transaction costs is likely to be higher than average, which may adversely affect the returns realised by investor please register to get more info

CCM(UK)LLP does not believe that there are any legal or disciplinary events that are material to its advisory business or the integrity of its management. please register to get more info

While CCM(UK)LLP’s principal business activity is providing investment management services to Cheyne Funds and other clients, CCM(UK)LLP also provides certain marketing services for the Cheyne Funds. CCM(UK)LLP provides investment management services to a number of Cheyne Funds that are organized as master/feeders excepted from U.S. registration as investment companies. The general partners of these funds, which receive compensation for acting as the general partners of the limited partnership master funds, are affiliated with CCM(UK)LLP. Certain Cheyne Funds managed or advised by CCM(UK)LLP and/or its affiliates will invest in other funds managed or advised by CCM(UK)LLP and/or its affiliates. Because the general partners and CCM(UK)LLP are affiliated, there exists a potential disincentive for CCM(UK)LLP to be replaced, even if such an action is in the best interests of a Cheyne Fund. Moreover, the fees paid by a general partner to CCM(UK)LLP and/or its affiliates are paid pursuant to agreements negotiated between affiliated parties and therefore have not been established in an arm’s length transaction.

CCM(UK)LLP is registered as a Commodity Pool Operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”).

Affiliations

CCM(UK)LLP is affiliated with the following Cheyne group entities:

 Cheyne Capital International L.P (“CCILP”);  Cheyne Capital US L.P (“CCUSLP”);  Cheyne SVC L.P (“CSVC”);  Cheyne Capital SMC Limited (“CSMC”); and,  Cheyne Capital (MENA) Limited (“CMENA”).

CCILP provides investment advice and worldwide marketing services to a number of the Cheyne Funds pursuant to marketing and advisory agreements with those funds. CCILP is registered with the SEC as an Exempt Reporting Adviser and is registered with the NFA as a Commodity Pool Operator.

CCUSLP carries out certain business development and investor relations activities with North American investors and is registered with the NFA as a Commodity Pool Operator. CSVC provides investment advisory services to CCM(UK)LLP in respect of the Strategic Value Credit strategy and is registered with the NFA as a Commodity Pool Operator. CSMC is authorised by the Central Bank of Ireland as Management Company under both the EU UCITS and AIFM Directives. CSMC is registered with the SEC as an Exempt Reporting Adviser and is registered with the NFA as a Commodity Pool Operator. CMENA provides portfolio management services to CCM(UK)LLP in respect of the EMEA strategy. CMENA is authorised by the Dubai Financial Services Authority. please register to get more info

Personal Trading
Code of Ethics Advisory persons are, to the extent applicable, subject to the provisions of CCM(UK)LLP’s Code of Ethics (the “Code”). The Code is designed to comply with Advisers Act Rule 204 A-1. Additionally, the Code contains provisions that assist CCM(UK)LLP with its recordkeeping obligations under the Advisers Act.

Through implementation of the Code, CCM(UK)LLP seeks to ensure that personal trading activities of “Access Persons” (as defined in the Advisers Act) do not conflict with the interests of CCM(UK)LLP clients. Consequently, CCM(UK)LLP has adopted policies and procedures designed to ensure that such trading (i) complies with CCM(UK)LLP’s legal and fiduciary obligations; (ii) is properly recorded in CCM(UK)LLP’s books and records and (iii) is subject to the review and oversight of CCM(UK)LLP’s Chief Compliance Officer (the “CCO”). The Code contains various provisions with respect to the reporting of personal holdings, transactions and/or brokerage statements.

In addition to these personal securities transaction reporting obligations, policies covering the following are also included in the Code:

 pre-clearance of initial public offerings and limited offerings;  the receipt or giving of gifts;  conflicts of interest;  fair treatment of clients;  outside business activities;  disclosure of brokerage accounts and trading;  reporting violations of the Code;  notifications and certifications;  violations and sanctions;  review of code reports and potential violations; and  quarterly self certifications of compliance with the code.

Principal Trades

Neither CCM(UK)LLP nor its related persons trade on a proprietary or personal basis for their own accounts with the Cheyne Funds as a counterparty. Participation or Interest in Client Transactions CCM(UK)LLP provides investment management and/or other investment services to the Cheyne Funds and other clients. CCM(UK)LLP may give advice and take action with respect to any Cheyne Fund or client to which it provides discretionary management services, which may differ from action taken by CCM(UK)LLP on behalf of other Cheyne Funds or clients. CCM(UK)LLP is not obligated to recommend, buy or sell, or to refrain from recommending, buying or selling any security that CCM(UK)LLP may buy or sell for the accounts of any other Cheyne Fund or other client. Cross Trades Where an investment management agreement permits, CCM(UK)LLP may from time to time undertake a Cross Trade between one Cheyne Fund or other client and another Cheyne Fund or other client. Cross Trades will be undertaken when CCM(UK)LLP deems that it is in the best interests of both participating Cheyne Funds or other clients and is generally undertaken for rebalancing and to reduce transaction costs. These trades are undertaken in the market with the assistance of a broker-dealer. Prior authorisation from CCM(UK)LLP’s Chief Compliance Officer is required before a Cross Trade is undertaken. Such Cross Trades will not be undertaken for certain Cheyne Funds.

Personal Account Trading CCM(UK)LLP has adopted a Personal Account Trading Policy and related procedures that aim to prevent conflicts of interest occurring between CCM(UK)LLP’s personnel and Cheyne Funds.

All CCM(UK)LLP personnel are required to comply with the Personal Account Trading Policy. All personnel are required to obtain prior approval from a member of the Compliance team to undertake a personal account transaction. Before giving approval, the Compliance team will first ensure that the transaction in question does not cause any conflict with a Cheyne Fund or other client. In order to mitigate potential conflicts, investment personnel are prohibited from investing in securities held by Cheyne Funds that they are involved in managing, or which are being considered for purchase. In addition, a 60-day holding period is applied to all personal account transactions. CCM(UK)LLP personnel are required to provide account trading confirmations and statements promptly to the Compliance team to ensure compliance of all personal securities transactions.

Conflicts of Interest

CCM(UK)LLP is required to maintain and operate effective organisational and administrative arrangements with a view to taking all reasonable steps to prevent conflicts of interest from constituting or giving rise to a material risk of damage to the interests of a Cheyne Fund. CCM(UK)LLP will take all reasonable steps to identify conflicts of interest between:  the firm, including its partners and employees, or any person directly or indirectly linked to them and a Cheyne Fund, or  between one Cheyne Fund and another. CCM(UK)LLP has a Conflicts Policy (“the Policy”), which documents the methods used to identify and manage conflicts of interest. All matters relating to conflicts of interest are managed in accordance with the Policy. please register to get more info

Selection Criteria for Brokers and Dealers
CCM(UK)LLP’s objective in selecting brokers and dealers and in effecting transactions on behalf of Cheyne Funds and other clients is to seek to obtain the best combination of execution price and transaction costs. The best net price, after taking account of brokerage commissions, spreads and other costs, is normally an important factor in this decision, but a number of other factors are also considered as they are deemed relevant.

The factors include, but are not limited to: CCM(UK)LLP’s knowledge of negotiated commission rates and spreads currently available; the nature of the security being traded; the size and type of the transaction; the nature and character of the markets for the security to be purchased or sold; the desired timing of the trade; the activity existing and expected in the market for the particular security; confidentiality; the execution, clearance and settlement capabilities as well as the reputation and perceived soundness of the broker-dealer selected (or not selected); CCM(UK)LLP’s knowledge of actual or apparent operational issues of any broker-dealer; the broker-dealer’s execution services rendered on a continuing basis and in other transactions; and the reasonableness of spreads or commissions.

CCM(UK)LLP has full discretion in selecting which brokers and dealers to trade with for the Cheyne Funds, and does not permit clients to direct brokerage.

Commission Rates

CCM(UK)LLP monitors the charges of eligible brokers and dealers to minimise the expense incurred for effecting transactions for the Cheyne Funds and other clients. However, CCM(UK)LLP will not select broker-dealers solely on the basis of commission rates nor always seek in advance competitive bidding for the most favourable commission rate applicable to any particular transaction. Although CCM(UK)LLP seeks competitive commission rates, it will not necessarily pay the lowest commission or commission equivalent. Transactions may involve specialist services on the part of the broker-dealer involved resulting in higher commissions or their equivalents than would be the case with transactions requiring more routine services.

CCM(UK)LLP monitors commissions paid, rates and quality of execution to ensure Cheyne’s Funds and other clients are being treated fairly.

Investment Research under MIFID II Under the FCA Rules which implement MiFID II, when CCM(UK)LLP is providing portfolio management services to a Cheyne Fund or other client, CCM(UK)LLP must not: (a) accept and retain any fees, commission or monetary benefits; or (b) accept any non-monetary benefits (together with (a), “inducements”), other than the following:  acceptable minor non-monetary benefits; or  third party research received and paid for in accordance with the arrangements described in the Firm’s Research Policy. The FCA Rules state that third party research that is received by CCM(UK)LLP will not be a prohibited inducement if it is received in return for either of the following:  direct payments by CCM(UK)LLP out of its own resources; or  payments charged to clients and made from a separate Research Payment Account controlled by CCM(UK)LLP, provided that CCM(UK)LLP meets the requirements in the FCA Rules relating to the operation of the account.

Investment Research

Investment research is defined in the MiFID II legislation as: “research material or services:

 concerning one or several financial instruments or other assets; or  concerning the issuers or potential issuers of financial instruments; or  closely related to a specific industry or market such that it informs views on financial instruments, assets or issuers within that sector,

and which explicitly or implicitly recommends or suggests an investment strategy and provides a substantiated opinion as to the present or future value or price of such instruments or assets, or otherwise contains analysis and original insights and reaches conclusions based on new or existing information that could be used to inform an investment strategy or be capable of adding value to a firm’s decisions on behalf of clients”.

The definition applies to investment research covering all asset classes, including fixed income/credit research and macro research in addition to equities research. The key elements of the definition are that the material must:

 explicitly or implicitly recommend or suggest an investment strategy; and  provide a substantiated opinion as to the present/future value/price of instruments/assets or otherwise contain analysis and original thought and reach conclusions based on new or existing information.

The key elements above eliminate a number of types of information from the definition of research. Specifically, the following items would not constitute research (and would be classed as Non-Research Materials”):

 news articles;  news commentary, commentary on flows or general market colour received from the sales and trading teams at a bank or broker;  short term trade ideas/recommendations (e.g. “Vodafone is looking cheap today”), for example received from the sales and trading teams at a bank or broker that do not contain an in-depth, properly substantiated explanation of the rationale for that trade;  a short form executive summary taken from a piece of investment research that has been cut and pasted into an email or other message, provided that the message does not reproduce, or contain a link to, the full in-depth analysis; and  raw (i.e. un-manipulated) market or other data. On the contrary the following would constitute research:  in-depth analysis relating to an issuer contained in a document consisting of multiple pages of text, where the analysis is based on a financial model built by the person (e.g. an analyst) who produced it (whether or not the document includes a buy/sell/hold (or equivalent) recommendation and/or a price target), plus any follow-up conversations about the research with its producer and/or being given access to the producer’s model(s) and/or workings;  in-depth analysis of past, present and/or expected future macroeconomic trends or trends within an industry sector or geographic area produced by an analyst or economist, plus any follow-up conversations about the research with the analyst/economist and/or being given access to the analyst’s/economist’s model(s) and/or workings.

The manner in which material is labelled by its producer is not relevant in determining whether or not the material constitutes research. Consequently, if material is labelled with “this document is not research” or “this document is marketing material” that does not necessarily mean that the material falls outside of the definition of research. Rather, the key question is whether it falls within the definition set out above.

Examples of goods or services not regarded as research and as such, must not be paid for from Client Research Payment Accounts include:

 post-trade analytics;  price feeds or historical price data that have not been analysed or manipulated in order to present the firm with meaningful conclusions;  services relating to the valuation or performance measurement of portfolios;  seminar fees;  corporate access services;  subscriptions for publications;  travel, accommodation or entertainment costs;  order and execution management systems;  membership fees to professional associations;  direct money payments; and  administration of a research payment account.

To the extent that CCM(UK)LLP receives any of the above services, such services are required to be paid for by the Firm from its own resources, or where appropriate, charged to the Cheyne Funds under the additional costs and charges provisions within the Cheyne Fund offering documents. Research Budgets The research charge is based on a research budget set by each Portfolio Manager for the purpose of establishing the amount needed for third party research in respect of investment services rendered to CCM(UK)LLP’s clients (“research budget”). CCM(UK)LLP will annually separately set and assess a research budget as an internal administrative measure. In respect of the research budget, CCM(UK)LLP’s policy is as follows:  The budgeting process is carried out by each Portfolio Manager/ Business Unit/Division, in consultation with Compliance.  Budgeting for research initially takes place annually at the outset of the research procurement process, in order to determine all anticipated needs to levy the research charge, in the best interest of clients. CCM(UK)LLP’s research budget is an ex-ante estimate of forecast expenditure for research costs.  The research budget is not linked to the volume or value of transactions executed by CCM(UK)LLP on behalf of clients. Instead, the research budget is based on a Portfolio Manager’s independent assessment of their research needs, as distinct from any trade execution activities.  CCM(UK)LLP does not use the research budget to fund internally-generated research. Instead, the research budget is used only to purchase third party research.  In setting a research budget, and in light of the obligation to fairly allocate costs as described above, CCM(UK)LLP will generally set a budget for a group of clients who would all benefit from the same research. This could be, for example, because those clients have portfolios that are managed according to similar investment strategies, i.e. Investment Grade Corporate Credit. Alternatively, the budget may be more granular i.e. where there are separately identifiable portfolios within a master fund.  CCM(UK)LLP will not set a budget for a group of client portfolios or accounts that do not share sufficiently similar investment objectives and research needs. Budgets are set by Business unit or Division, with no cross subsidisation.

Minor Non-monetary Benefits

The prohibition on the receipt of non-monetary benefits by MiFID firms that provide portfolio management or independent investment advisory services is subject to an exception that, provided certain conditions are met, permits such firms like CCM(UK)LLP to receive non-monetary benefits that are “minor” in nature. For these purposes, there is an exhaustive list of benefits that potentially constitute “minor” non-monetary benefits.

In terms of written materials, the list of potential “minor” non-monetary benefits includes the following generic items:

 Information or documentation relating to a financial instrument or an investment service, that is generic in nature or personalised to reflect the circumstances of an individual client. This category includes short term market commentary on the latest economic statistics or company results or information on upcoming releases or events which are provided by a third party and which: (1) contain only a brief unsubstantiated summary of the third party’s own opinion on the information; and (2) do not include any substantive analysis (e.g. where the third party simply reiterates a view based on an existing recommendation or existing substantive research). It, therefore, includes the types of Non-Research Materials that are above (although it would not include data feeds of raw market data). This category also includes material that falls within the definition of research but which is made available to the public (for example by being posted to a website) on a free-of-charge basis (“Free Public Material”).  Widely-available, issuer sponsored research: written material from a research producer that is commissioned and paid for by a corporate issuer or potential issuer to promote a new issuance by that issuer, or where the research producer is contractually engaged and paid by the issuer to produce such material on an ongoing basis, provided that the relationship is clearly disclosed in the material and that the material is made available at the same time to any firms wishing to receive it, or to the general public. This category includes most types of research produced by a ratings agency.  Widely available research produced in connection with a particular issuance of securities: research relating to an issuance of securities by an issuer, which is:

o produced prior to the issuance being completed by a person that is providing underwriting or placing services to the issuer in relation to that issue; and o made available to prospective investors in the issue.

Corporate Access

CCM(UK)LLP defines corporate access as the service provided by a broker-dealer of facilitating, arranging or bringing about contact with an issuer or potential issuer of securities and includes field trips, conferences and individual meetings that involve one or more corporate issuers and which are facilitated for CCM(UK)LLP by a bank or broker. Such services are non-monetary benefits and, subject to the exception described below, are not to be regarded as “minor” in nature. CCM(UK)LLP is, therefore, required to pay the bank or broker for such services (at an appropriate rate) out of CCM(UK)LLP’s own resources.

Alternatively, the language in Cheyne Fund offering documentation, the Information Memorandums and Prospectuses, provides for a recharge of such fees and charges for corporate access services, up to 10bps per annum.

As an exception to the above requirement, where a corporate issuer’s investor relations office (or its ‘house broker’ if the service is paid for by the issuer) organises investor ‘road shows’ to support a capital raising event and the event is freely and publicly open to analysts from investment firms and other investors, it is capable of qualifying as an acceptable minor non- monetary benefit. CCM(UK)LLP employees are permitted to attend such events without paying a fee to attend.

Prime Brokerage Services

When required, a Cheyne Fund will have a relationship with one or more prime brokers that provide prime brokerage services to the Funds. These services include, but are not limited to clearing, financing, securities lending, reporting, and other client services. When choosing prime brokers for the Funds, CCM(UK)LLP considers a number of factors, including the broker’s ability to locate borrows, fees, ability to finance the diverse assets that comprise the Funds’ portfolio, the cost of financing, margin requirements and creditworthiness, among other factors. In addition to the services described above, a prime broker may also provide additional services (such as capital introductions, advanced research and analytics and technology services) to the Funds and/or the Firm. CCM(UK)LLP may take advantage of some or all of these additional services provided by the prime brokers. CCM(UK)LLP’s use of a prime broker with respect to the Funds may yield increased administrative ease and, therefore, reduce expenses incurred by CCM(UK)LLP, and CCM(UK)LLP may therefore be incentivized to do business with prime brokers who provide these services. However, CCM(UK)LLP directs the Funds’ business to a variety of prime brokers and does not believe that the Funds incur above-market cost for prime brokerage as a result of the prime brokers’ providing these additional services. Certain prime brokers may sponsor events, meetings or other communications between potential investors and CCM(UK)LLP or its affiliates. These capital introduction services are incidental to prime brokerage services. CCM(UK)LLP is not compelled to engage prime brokers or other broker-dealers that sponsor these capital introduction programs in order to be included at these events. However, these capital introduction events are typically sponsored by prime brokers that provide services to the Funds and they may create the appearance that CCM(UK)LLP is using these prime brokers in order to be invited to their capital introduction programs. CCM(UK)LLP does not pay to participate in these programs and believes that the Funds are not subject to higher transaction costs as a result of CCM(UK)LLP’s participation in such programs or services.

Aggregated Orders

It is CCM(UK)LLP’s policy that when a decision is made to aggregate transactions on behalf of more than one Cheyne Fund or other client, such transactions will be allocated in a fair and equitable manner over time. Consistent with each participating client’s investment mandate, CCM(UK)LLP may aggregate orders for more than one Cheyne Fund or other client to facilitate best execution, including negotiating more favourable prices, obtaining more timely or equitable execution or reducing overall commission charges. CCM(UK)LLP will also consider the following when considering aggregating transactions and allocating trades:

 cash flow changes (including available cash, redemptions, exchanges, capital additions and capital withdrawals) may provide a basis to deviate from a pre-established allocation as long as it does not result in an unfair advantage to specific accounts or types of accounts over time;  accounts with specialised investment objectives or restrictions emphasising investment in a specific category of securities may be given priority over other accounts in allocating such securities; and  for certain asset classes like bonds and other debt related securities, street convention and good delivery may dictate the minimum size and par amounts.

CCM(UK)LLP may in its discretion choose not to aggregate orders to the extent permitted by regulation and law.

A pro rata allocation will typically be used when aggregating orders. While CCM(UK)LLP will usually attempt to allocate pro rata in the first instance, CCM(UK)LLP may invest in limited availability or thinly traded securities in which it may be unable to acquire substantial positions. Because block orders for such securities are rarely completed in a single trade, and because allocating small blocks of such securities may increase settlement and transaction costs, CCM(UK)LLP may use a different allocation to fill the total amount for one Cheyne Fund or other client before selecting the next. On its own, this alternative allocation method may result in a fill only for that Cheyne Fund or other client selected. CCM(UK)LLP will then place that Cheyne Fund or other client at the back of the group of funds eligible for a fill on the next trading day. This allocation process should ensure that all eligible Cheyne Funds and other clients have an opportunity to participate in such transactions over time. CCM(UK)LLP’s Compliance department reviews aggregated transactions and allocated trades as part of the Compliance Monitoring oversight. please register to get more info

The investments of each Cheyne Fund are managed in accordance with the investment objectives and guidelines applicable to such Cheyne Fund as set out in that Fund’s IM. Members of CCM(UK)LLP monitor the Cheyne Funds’ investments each business day to aim to ensure that each portfolio is managed in accordance with the investment objective set out in the applicable IM. The individuals primarily responsible are the investment personnel and members of the Risk department. This ongoing process will use various data and methods, including computer-based exception reporting. CCM(UK)LLP’s Chief Compliance Officer reviews investment activities periodically to aim to ensure these activities are in accordance with applicable regulations. The Chief Compliance Officer reports findings to CCM(UK)LLP’s Executive Committee and to the Board of the Cheyne Funds.

The activities of individual portfolio managers are overseen by CCM(UK)LLP’s Chief Investment Officer.

Content and Frequency of Account Reports CCM(UK)LLP prepares periodic reports, fact sheets and investor letters and communications to all investors in the Cheyne Funds. Generally, fact sheets and investor communications are provided on a monthly basis. An annual audited financial report is also provided to investors in relation to the Cheyne Fund in question. Generally Cheyne Funds are subject to financial audit by independent public auditors. Audited financial statements are delivered to investors within six months of the end of the fiscal year. Please see the relevant Offering Documents for additional information related to the types of reporting and the frequency of reports provided to investors in the Cheyne Funds. please register to get more info

Not applicable. please register to get more info

CCM(UK)LLP does not take custody of the assets belonging to Cheyne Funds. However, because an affiliate of CCM(UK)LLP serves as general partner of those Cheyne Funds that are organized as limited partnerships, CCM(UK)LLP is deemed to have “custody” over such Funds within the meaning of Rule 206(4)-2 under the Advisers Act (the “Custody Rule”). To comply with the Custody Rule, Fund assets are held at one or more qualified custodians; these qualified custodians include prime brokers, banks and other broker-dealers. In addition, CCM(UK)LLP provides each U.S. Investor in a Cheyne Fund with audited financial statements, reconciled in accordance with the International Financial Reporting Standards (“IFRS”), as soon as practicable following such Fund’s fiscal year end, but in all events, within 120 days of the end of such year. please register to get more info

Generally, CCM(UK)LLP is retained on a discretionary basis and is authorised to make the following determinations in accordance with the Cheyne Funds’ specified investment objectives without consultation or consent before a transaction is effected:
• which securities to buy or sell;
• the total amount of securities to buy or sell;
• whether derivative or synthetic transactions are entered into or closed out;
• the broker-dealer through whom securities are bought or sold;
• the counterparty with whom a derivative or synthetic position is entered into;
• the commission rates at which securities transactions for client accounts are effected, and;
• the prices at which securities are to be bought or sold, which may include dealer spreads or mark-ups and transaction costs. Investors in a Cheyne Fund will have no authority to make decisions or participate in the management of or exercise business discretion with respect to a Cheyne Fund. Accordingly, no person should invest in a Cheyne Fund unless he or she is willing to entrust all aspects of the management of the Cheyne Fund to CCM(UK)LLP. please register to get more info

CCM(UK)LLP has the authority to vote the securities owned by Cheyne’s Funds on their behalf and has adopted a proxy voting policy (the “Proxy Policy”) in connection with exercising this authority. Under the Proxy Policy, CCM(UK)LLP votes proxy proposals, amendments, consents or resolutions relating to securities owned by the Cheyne Funds (collectively, "Proxies") in a manner that serves the best interests of the Cheyne Funds and the underlying investors, as determined by CCM(UK)LLP in its discretion.

CCM(UK)LLP has enlisted the services of third party service providers with the aim of obtaining timely information on upcoming voting events. CCM(UK)LLP has not contracted with any provider that would be classified as a proxy advisory firm, all voting is undertaken by CCM(UK)LLP in accordance with the Proxy Policy.

CCM(UK)LLP will generally vote Proxies in accordance with the recommendations of management. However, portfolio managers may, in their discretion, determine to vote Proxies other than in accordance with, or contrary to, the recommendations of management. In these cases, portfolio managers will base their decision on factors, including, but not limited to (i) their assessment of the impact of the vote on the value of the securities; (ii) their assessment of the impact of the vote on the investment strategy of the Cheyne Fund; and (iii) an overall analysis of the costs and benefits associated with the proposal for the Cheyne Fund in question. CCM(UK)LLP aims to limit the occurrence of conflicts of interest in connection with voting Proxies by operating in line with its Proxy Policy. In the unlikely event that a conflict of interest does occur, CCM(UK)LLP’s General Counsel and Chief Compliance Officer would be involved with a view to mitigating any such conflict. please register to get more info

Not applicable. please register to get more info