Founded by Eric Banks in 2007, Tolis Advisors, LP (“Tolis”) is a Delaware limited partnership. Tolis is a New York based multi-sector, multi-strategy structured credit asset manager. The firm is managed and wholly owned by its four principals: Eric Banks, Spencer Parker, Salvatore Puliafico and Ron Portnoy. Tolis currently provides investment management services to three funds in a single master-feeder structure. The master-feeder structure includes Tolis Investment Strategies Master Fund Ltd (the “Master Fund”) as the “master fund”, and a domestic “feeder fund” and an offshore “feeder fund” (together with the Master Fund, the “Funds”). The feeder funds typically place all of their investable assets in the Master Fund, and investment activities and investment discretion are generally conducted at the Master Fund level where Tolis acts as investment manager to the Master Fund.

Tolis also serves as the investment adviser or sub-adviser with discretionary or non-discretionary trading authority for separately managed accounts and private funds sponsored or managed by an unaffiliated manager (“Separate Accounts”).

Tolis applies a consistent fundamental value-based, multi-strategy, multi-sector approach to structured credit assets, which generally include: collateralized debt obligations (“CDOs”), residential mortgage- backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”), and asset-backed securities (“ABS”) (together, “Structured Credit Securities”). Tolis also utilizes other strategies that are complementary to its structured credit strategies. These may include investment in performing and non- performing mortgages, corporate credit securities, and real estate assets.

Tolis endeavors to invest in assets exhibiting risk profiles which couple material upside with capital preservation. The ultimate goal is to deliver equity like upside returns with a senior secured risk profile.

Separate Accounts are subject to investment objectives, guidelines, restrictions, fee arrangements and other terms that are individually negotiated. Separate Account relationships generally involve significant account minimums. Tolis tailors its advisory services to the specific investment objectives and restrictions of each client. Tolis has entered into and may enter into side agreements with specific investors in the Funds providing for different fees, redemption rights, capacity rights, access to information about the Funds or Tolis, or other matters relating to an investment in the Funds.

Tolis is generally granted broad investment authority with respect to the management of the Funds, although certain restrictions may be imposed with respect to Separate Accounts. Tolis may pursue different investment strategies for different clients. For more information on Tolis’s investment strategy, please see Item 8: Methods of Analysis, Investment Strategies and Risk of Loss. Tolis does not participate in wrap fee programs. As of December 31, 2019, Tolis had approximately $541,668,258 of regulatory assets under management. Approximately $539,668,082 is managed on a discretionary basis and approximately $1,699,940 on a non- discretionary basis. please register to get more info

Typically, each client pays Tolis fixed asset-based management fees and performance-based compensation. The basic fees charged to investors in the Funds are fixed annual “Asset-based Charges” equal to a percentage of net assets, accruing monthly in arrears and generally payable at the end of each calendar quarter, and an annual performance allocation typically equal to a percentage of the amount by which the net value of each investor’s investment as of the end of each calendar year exceeds the net value of the account as of the beginning of the year. Tolis may agree to reduce, modify or waive its fees charged to certain accounts in its sole discretion.

The Asset-based Charges are usually deducted directly from the assets of each Fund as such fees become payable, which is generally quarterly. The performance allocation is payable annually in arrears, or upon termination of the advisory relationship with the Funds or withdrawal of capital from the Funds. Upon termination of Tolis’s advisory relationship with the Funds, all management fees accrued as of the date of termination will be payable.

Investors and prospective investors in each Fund should refer to the confidential private placement memorandum, limited partnership agreement and other governing documents for each Fund for complete information on the fees charged by Tolis.

Fees for Separate Accounts managed by Tolis are calculated and billed in accordance with the terms of any applicable account management agreement as negotiated between the parties.

While Tolis believes that its compensation is competitive with compensation charged by other investment advisers for comparable services, clients and investors in the Funds should note that similar advisory services may (or may not) be available from other investment advisers for similar or lower fees.

Client accounts bear all expenses associated with their investment activities, including, without limitation, brokerage commissions; interest on margin accounts and other indebtedness; borrowing charges on securities sold short; custodial fees; bank service fees; clearing and settlement charges; costs of any outside appraisers, accountants, attorneys or other experts or consultants engaged by Tolis; expenses in connection with proposed transactions (including transactions that fail to close); expenses related to the direct ownership of real estate, including real estate taxes, borrowing costs, and fees and expenses payable to property managers, leasing agents, brokerage agents and other service providers; research and data service costs; any legal fees and costs (including settlement costs) arising in connection with any litigation or regulatory investigation; withholding and transfer taxes; and any other expenses related to the purchase, sale or holding of investments. In addition, the Funds bear all costs of their operations (including each feeder fund bearing its proportionate share of the expenses of the Master Fund), including legal, accounting, auditing and tax services and fees; fees of the Funds’ administrator; fees of the Fund’s directors (if applicable); insurance costs; costs of preparing required regulatory filings of or relating to the Fund or the Master Fund; and costs of communication with or holding meetings with investors in the Funds. Any expenses incurred on behalf of more than one client account will be allocated among such accounts in proportion to their respective participation in the relevant investment, in proportion to their respective net asset values, or in any other manner determined by Tolis to be appropriate. Notwithstanding the foregoing, Tolis, and not the Funds, will bear (i) all legal fees and costs arising in connection with any litigation or regulatory investigation instituted against Tolis that relates solely to Tolis and that do not relate solely or primarily to the Funds and/or their portfolio investments; and (ii) all legal fees and costs arising in connection with any litigation or regulatory investigation instituted against Tolis and/or the Funds, including those that relate solely or primarily to the Funds and/or their portfolio investments, that are the result of Tolis’s willful misconduct, gross negligence or fraud.

With respect to each feeder fund, if Reimbursable Expenses (as defined below) in any fiscal year exceed 1.0% of the average month end Net Asset Value of such feeder fund during such fiscal year, then the amount of the Asset-based Charges payable to Tolis will be reduced by the amount of the excess (the “Expense Reimbursement”). In the event that the Expense Reimbursement in any fiscal year exceeds the amount of the Asset-based Charges payable with respect to such fiscal year for any feeder fund, then Tolis will pay such feeder fund the amount of such excess. For this purpose, “Reimbursable Expenses” means, with respect to any fiscal year, all ordinary operating expenses of a feeder fund, including the amortized portion of organizational expenses attributable to such fiscal year and such feeder fund’s allocable share of the ordinary operating expenses of the Master Fund, but excluding Asset-based Charges, the Performance Allocation (described in Item 6: Performance-Based Compensation and Side-By-Side Management), all investment and trading expenses (including without limitation brokerage commissions, interest and taxes), and any extraordinary expenses. If the Reimbursable Expenses in any subsequent fiscal year are less than 1.0% of the feeder fund’s Net Asset Value, subject to such limit in such subsequent fiscal year, the Asset- based Charges to be paid to Tolis will be increased by an amount not to exceed the aggregate amount of the Expense Reimbursements previously paid by Tolis (whether directly or through an offset to the Asset- based Charges) in the three fiscal years immediately preceding such subsequent fiscal year, to the extent such Expense Reimbursements have not previously been reimbursed to Tolis.

All costs and expenses associated with the organization of each Fund were paid by the Funds and are being amortized over 60 months. please register to get more info

dealers and determining the reasonableness of their compensation. Item 6: Performance-Based Compensation and Side-By-Side Management Tolis or an affiliate of Tolis ordinarily receives a performance-based fee or a special allocation of profits from each of its clients (including the Funds) as described in Item 5, “Fees and Compensation.” Different client accounts may be subject to different performance-based compensation arrangements. Please refer to the applicable governing documents or account management agreement for more complete information on the performance-based compensation arrangements of each Fund or Separate Account. The performance-based compensation arrangements discussed above comply with Rule 205-3 under the Investment Advisers Act of 1940 (the “Advisers Act”). Performance-based compensation arrangements received by Tolis or its related persons may create an incentive for Tolis to recommend investments that may be riskier or more speculative than those that would be recommended under a different fee arrangement. If Tolis is entitled to receive a higher percentage of the net profits of the account of one client than the percentage that Tolis receives from another client, then Tolis may have an incentive to favor, or to allocate certain riskier or more speculative investments to, the client that is subject to the higher percentage.

Tolis will, as a policy, allocate all investment opportunities among its clients in a manner that it considers fair and equitable to all clients, considering all factors potentially applicable to each client. Among the factors that may be considered by Tolis in allocating trades among client accounts are: investment policies, guidelines or restrictions applicable to each specific client; tax considerations; cash availability; liquidity requirements for payment of redemptions or other purposes; risk tolerances; restrictions under the Employee Retirement Income Security Act of 1974, as amended, or other applicable laws or regulations; available credit lines; counterparty arrangements; account size; benchmark sector weightings; industry and security weightings; and hedging objectives and activity.

Item 7: Types of Clients

Tolis provides investment advice to its clients, including the Separate Accounts and the Funds. The Separate Account clients and investors in the Funds may include pension funds, endowments, foundations, funds of funds, high net worth individuals, multi-family offices, and single-family offices. The Funds are offered exclusively to non-U.S. persons as defined under Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), and United States persons who are accredited investors as defined under Regulation D under the Securities Act and qualified purchasers as defined under Section 2(a)(51) of the Investment Company Act of 1940, as amended (the “Investment Company Act”). Therefore, the Funds are not required to register as investment companies under the Investment Company Act in reliance upon the exemption under Section 3(c)(7) for funds whose securities are not publicly offered.

Tolis may also provide investment management and supervisory services to Separate Account clients. Tolis’s Separate Account clients may invest in existing or future funds advised by Tolis. Generally, investors must invest a minimum dollar amount of $1,000,000 to invest in each Fund, subject to such minimum investment amount being waived by Tolis or the directors of the Fund (if applicable). Tolis does not maintain written minimum initial investment criteria for its Separate Accounts. However, such services are directed towards institutional investors and high net worth individuals who are able to commit substantial sums of capital for longer durations, typically in excess of $10 million per Separate Account. Tolis is under no obligation to accept any client or any investor into the Funds and may decline acceptance of a client or investor in its sole discretion. Item 8: Methods of Analysis, Investment Strategies and Risk of Loss Methods of Analysis

Tolis is a multi-sector, multi-strategy structured credit asset manager that employs structured credit strategies as well as other strategies that are complementary to its structured credit strategies. Tolis invests primarily in Structured Credit Securities on behalf of its clients in an effort to generate attractive positive risk-adjusted cashflows. CDOs, and other Structured Credit Securities, may be collateralized by: RMBS, CMBS, ABS, leveraged loans, trust preferred securities, any other corporate credit securities or references to such securities, real estate investment trust (“REIT”) debt securities, debt from issuers domiciled in emerging market countries, or other assets (together, “collateral”). Tolis may make certain catalyst-driven investments on behalf of its clients which may involve investment realization over short or medium term horizons through non-traditional work-out strategies.

Tolis analyzes each investment idea from the unique perspective of its specific structured credit sector. Structured credit analysis requires an understanding of both the asset and liability sides of specific individual investment vehicles. Changes in the capital structures of such investment vehicles, how much cashflow they generate, when they generate cashflow, and which class of security will benefit from cashflow, are as important as the fluctuations in the performance and value of the underlying collateral. The merits of potential investments can change over time due to both the evolution of the underlying collateral and structural behavior. Tolis attempts to anticipate any such deviations that are skewed towards the positive end of the spectrum.

Tolis believes that each specific positive investment insight is not necessarily actionable, and that the correct view about the performance of a specific collateral sector is not meaningful if the view cannot be expressed. Tolis endeavors to make its investment process robust enough to sift through many unsuitable assets, even in a desired sector, either because of improper pricing or unfavorable structural features specific to an individual security, in order to determine if an investment is appropriate for its clients.

Tolis’s asset sourcing process originates from four broad areas: asset sector analysis and the interaction with broader macroeconomic factors, dealer inventory and dealer client assets, competitive auctions (including “Bids Wanted in Competition” or “BWIC”), and reverse inquiry. Asset Sector Analysis; Interaction with Macroeconomic Factors - Tolis may note economy-wide factors that have specific interactions with the structured credit universe. For example, decreasing unemployment is typically associated with a lower foreclosure rate, and rising interest rates slow mortgage refinancing activity. This may provide certain insight as to whether to focus efforts on more credit sensitive securities, or convexity (speed of repayment) sensitive securities. However, it is important to note that Tolis’s approach is not macro-based or reliant on econometric models. As described further below, while the macroeconomic environment is sometimes a helpful signal to determine which areas of structured credit are best to mine for attractive assets, the analysis Tolis undertakes as part of its investment process is fundamentally a process undertaken at the individual security level. Dealer Inventory/Assets - Dealer inventory provides a specific subset of assets to analyze, the benefit of which is that they are usually actionable candidates. The drawback is that the prices are often not as attractive as other sources. Competitive Auctions - Assets purchased through competitive auctions are less likely to be excessively marked-up. The key to competitive auctions is to quickly and efficiently sift through the numerous line items to determine the most appropriate assets to analyze and on which potentially to bid. Tolis has developed screening models to help work through the large volumes of assets that may be auctioned in any given day.

Reverse Inquiry - Reverse inquiry is a process by which Tolis will task dealers with finding assets with a specific collateral type or profile. The instructions provided by Tolis to the dealers are often broad since these assets are only potential candidates for the actual analysis. Alternatively, Tolis may task dealers with finding a specific security at a specific price. When Tolis does this, it is usually because Tolis has already performed detailed analysis on an asset and knows that its performance attributes are favorable. In certain cases, Tolis filters through the statutory filings of regulated entities that are required to make public certain portfolio-specific information, allowing Tolis to assign dealers to interact with those regulated entities to determine if assets which have passed Tolis’s credit screens based on publicly available data are available to be purchased. Lastly, certain types of Structured Credit Securities may have other securities serving as underlying collateral. In these re-securitizations, in the process of analyzing the most senior level of the structure, Tolis may find collateral that is interesting and suitable for investment by itself, granting Tolis insight into a new area of inquiry that Tolis had not previously explored and providing Tolis with new opportunities to make attractive investments on behalf of its clients.

The asset-sourcing process described above is essentially the first step in determining which assets are the most appropriate for Tolis to continue to research through the next level of its investment process. In the next stage of the process, Tolis endeavors to analyze the structural return profile of an investment. Tolis does this by building a financial model which simulates the payment profile of an asset under various scenarios of collateral credit performance and the resultant liability structure performance. The pools of assets collateralizing ABS (which are typically large and diverse) are well-suited to a quantitative analysis of credit risk, providing a rigorous framework for investment selection. While some level of losses is expected on a pool of underlying assets, the objectives of the analysis are to simulate the extreme boundaries of credit performance in order to evaluate the dispersion of the return profile, and to determine a base case of the potential extent of losses and over what time period they will be incurred. Analysis of historical loan performance may reveal which loan characteristics are most influential and which are least influential, and allow for weighting of these characteristics as determinants of future losses on pools of collateral with comparable characteristics. In the case of certain Structured Credit Securities, losses do not normally occur all at once, as is the case with a default on a corporate bond, for example, and there may be an observable trend that can be derived from monthly reports. In less granular sectors such as CDOs and CMBS, Tolis is able to perform a loan-by-loan analysis and apply a line-by-line credit and stress analysis to the underlying collateral. Following this credit risk analysis of the underlying collateral, Tolis may perform a simultaneous analysis of the credit enhancement mechanisms and expected loss vectors to determine break points of securities’ yields with respect to losses. Credit enhancement can provide an additional margin of safety that allows a higher level of losses without decreasing the return of a security. Tolis will generally seek to make investments that either have a sufficient margin of safety to allow for protected returns during unfavorable market environments or an efficient means of hedging returns in such environments. As part of its investment process, Tolis will also review transaction documentation and the legal structure of Structured Credit Securities. Tolis believes that this allows it to gain a better understanding of the drivers of payment mechanics within a structure, and that this process may also highlight innovative monetization strategies in order to maximize monetization opportunities. This part of the investment process allows Tolis to evaluate covenant compliance with other stakeholders, such as the manager, servicer, arranger, or trustee of the underlying collateral in order to gain leverage in negotiations over the active steps that Tolis believes can be taken to positively influence transaction performance.

When ranking specific securities as candidates for potential investment, Tolis uses two broad profile buckets: “core carry” assets and “opportunistic” assets. Core carry assets are often senior priority cashflows which have a stable return profile throughout the full credit stress spectrum. Assets of this type, with the narrowest dispersion of return, are ranked highest. These types of assets will serve as the baseline cashflow and carry of the portfolio, and thus stability of return is the most desired attribute once a baseline yield threshold is crossed. For opportunistic assets, a wider dispersion of return is acceptable. Considering the relative attractiveness of this return category, the return of capital in the downside case is more important than the potential upside return. Tolis does not believe that the upside return cases should be theoretical best-case scenarios, but rather that there should be a meaningful probability that the target upside return can be achieved. Avoiding binary payoff profiles when possible is important in all cases. In selecting an investment, Tolis seeks to avoid situations in which a failure in one step of the analysis leads to a significant loss of capital in such investment.

If an asset looks favorable after the entire analysis is complete, Tolis will further negotiate the price of the asset with a seller (unless it is an auction where there are no such direct negotiations) in an effort to increase the amount of potential returns that can be obtained. If the price at which Tolis views an asset as attractive intersects with the price at which Tolis can purchase such asset on behalf of its clients, Tolis will seek to execute the trade.

Material Risks

Although investments in Structured Credit Securities and related strategies may result in significant returns to the clients of Tolis, they also involve a substantial degree of risk. Tolis generally accepts only clients that are able to bear the financial risk of the investment strategy for an indefinite period of time and are able to sustain the loss of all or a significant part of their investment. The investment strategy employed by Tolis on behalf of its clients involves significant risks. Prospective clients and investors in the Funds should carefully review the risks described in the governing documents for the relevant Fund, and should evaluate the merits and risks of an investment in the context of their overall financial circumstances. The risk factors below are not intended to be exhaustive and should be considered carefully by prospective investors or clients together with the full text of the applicable governing document or client agreement Dependence upon Other Unrelated Third Parties - The success of each structured finance investment may depend on the actions of others. For certain mortgage-related assets, a servicer or special servicer unrelated to Tolis is tasked with managing delinquent loans, potentially modifying loan terms, or repossessing and disposing of real properties. ABS may involve exposure to portfolios of receivables that are dependent on the performance of managers and employees of the entity which originated and transferred these receivables to the ABS issuer. CDOs are often managed. These CDO managers may be dependent on the talents and efforts of one person or a small group of persons whose loss could adversely affect the CDO. Due to the fact that Tolis will not have an active role in the management of the CDOs, the return on investments in such CDOs will depend on the performance of unrelated managers.

Subprime Mortgages - Tolis may invest in securities backed primarily (potentially up to 100%) by subprime mortgages. The concentration in subprime mortgages may be a significant risk to the performance of the portfolio if the underlying assets underperform. In past periods of distress, subprime mortgages exhibited especially high correlations of performance which should be considered in addition to the risks specific with any one security. Furthermore, the potential concentration of such subprime RMBS within a specific CDO may create additional unique risks to the performance of the CDO. In the event that subprime mortgages as a group dramatically underperform, the concentration of such risk in the CDO may be magnified.

Investments in Distressed Securities - Tolis may invest in “below investment grade” securities and obligations of issuers in weak financial condition, experiencing poor operating results, having substantial capital needs or negative net worth, or involved in bankruptcy or other reorganization and liquidation proceedings. These securities are likely to be particularly risky investments, although they may also offer the potential for correspondingly high returns. Among the risks inherent in investments in troubled entities is the fact that it frequently may be difficult to obtain information as to the true condition of such issuers. Such investments may also be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or payments, lender liability and the bankruptcy court’s power to disallow, reduce, subordinate or disenfranchise particular claims. Such companies’ securities may be considered speculative, and the ability of such companies to pay their debts on schedule could be affected by adverse interest rate movements, changes in the general economic climate, economic factors affecting a particular industry or specific developments within such companies. In addition, there is no minimum credit standard that is a prerequisite to an investment in any instrument, and a significant portion of the obligations and securities in which Tolis may invest may be lower than investment grade. Any one or all of the issuers of the securities in which Tolis may invest may be unsuccessful or not show any returns for a considerable period of time. The level of analytical sophistication, both financial and legal, necessary for successful investment in companies experiencing significant business and financial difficulties is unusually high. There is no assurance that Tolis will correctly evaluate the value of the assets collateralizing loans or the prospects for a successful reorganization or similar action. In any reorganization or liquidation proceeding relating to a company in which Tolis invests, clients may lose their entire investment, may be required to accept cash or securities with a value less than their original investment and/or may be required to accept payment over an extended period of time. Under such circumstances, the returns generated from investments may not compensate investors adequately for the risks assumed. In liquidation (both in and out of bankruptcy) and other forms of corporate reorganization, there exists the risk that the reorganization will be unsuccessful (due to, for example, failure to obtain requisite approvals), will be delayed (for example, until various liabilities, actual or contingent, have been satisfied) or will result in a distribution of cash or a new security, the value of which will be less than the purchase price of the security in respect to which such distribution was made. In certain transactions, client accounts may not be “hedged” against market fluctuations, or, in liquidation situations, may not accurately value the assets of the company being liquidated. This can result in losses, even if the proposed transaction is consummated.

Distressed Structured Securities - Tolis may invest in distressed structured securities, including ABS, RMBS, CMBS and CDOs. Generally, such securities can be categorized as distressed securities for various reasons, including, for example, the weak performance and financial health of the issuer and/or servicer, the under-performance of the underlying collateral, or issues relating to structural characteristics and features of the transaction. When accounting for the purchase price of such securities, Tolis will endeavor to determine whether the cash flows from the security in question, given the purchase price (which will likely be but need not be a discount to par), will generate a yield that meets the investment target. The estimate made by Tolis with respect to the likelihood and timing of future cash flows may be imprecise and likely to change over time. If the actual cash flows realized in respect of an investment are materially lower than the forecast or are received later than as forecasted, notwithstanding a discounted purchase price, such investment will produce a lower than expected and potentially negative return. Any leverage will amplify any negative outcomes.

Possible Subordination of Structured Credit Securities - Client portfolios may consist primarily of Structured Credit Securities which might be subordinate. Subordinate debt generally is fully subordinated to the related senior tranches. CDO equity and other first loss tranches generally are fully subordinated to any related issuer debt. To the extent that any losses are incurred by a transaction in respect of its related collateral, such losses will be borne first by the holders of the related first loss piece, next by the holders of any related subordinated debt and finally by the holders of the related senior tranches. In addition, if an event of default occurs under the governing instrument or underlying investment, as long as any senior tranches are outstanding, the holders thereof generally will be entitled to determine the remedies to be exercised under the instrument governing the transaction. Remedies pursued by such holders could be adverse to the interests of the holders of any related subordinated debt and/or the holders of the related first loss piece, as applicable.

First Loss Investments - Certain deeply subordinated investments may be adversely affected from a single default or other instance of collateral underperformance. Examples such as residual certificates, preference shares or CDO equity may not be secured by the applicable collateral. As such, the holders of these investments will rank behind all of the creditors, whether secured or unsecured and known or unknown, of the applicable issuer. To the extent the issuer is a Cayman Islands entity, which is often the case, amounts will be payable only if the issuer has sufficient distributable profits under Cayman Islands law. In addition, such distributions will be payable out of the share premium account only to the extent that the issuer is and remains solvent after such distributions are paid. Under Cayman Islands law, an issuer is generally deemed to be solvent for such purposes if it is able to pay its debts as they become due in the ordinary course of its business immediately after making such payment. To the extent the requirements under Cayman Islands law described above are not met, amounts otherwise payable will not be paid until the payment date on which such requirements are met. Volatility of Structured Credit Securities; Leveraged Investment - Structured Credit Securities represent leveraged investments in the collateral underlying the transaction. The mechanics of tranching classes into various payment priorities may amplify potential variations of outcomes. It is possible that Tolis could purchase either the most or one of the most subordinate tranches of the issuer’s securities, which is the most leveraged investment in a transaction. In such cases, it is expected that changes in the value of the Structured Credit Securities will be greater than the change in the value of the applicable collateral, which is also subject to credit, liquidity, interest rate and other risks. Unlike financial leverage, which typically involves borrowing funds to apply towards the purchase of a security, this structural leverage can have similar effects on investment performance. While structural leverage presents opportunities for increasing total return, it has the effect of potentially increasing losses as well. Utilization of leverage is a speculative investment technique and involves certain risks to investors. The cumulative effect of the use of leverage by a Structured Credit Security in a market that moves adversely to the collateral underlying such Structured Credit Security could result in a substantial loss to the Structured Credit Security which would be greater than a direct investment in the underlying assets.

Illiquidity of Structured Credit Securities Owned by the Clients - The value of Structured Credit Securities will fluctuate with, among other things, changes in the market rates of interest, general economic conditions, economic conditions in particular industries, the condition of financial markets and the financial condition of the actual transaction. In addition, the lack of an established, liquid secondary market for some Structured Credit Securities (first loss investments in particular) may have an adverse effect on the market value of those Structured Credit Securities, and will in most cases make it difficult to dispose of such Structured Credit Securities at market or near market prices. The public markets for Structured Credit Securities have experienced periods of volatility and periods of reduced liquidity, and Structured Credit Securities will be subject to certain other transfer restrictions that may contribute to illiquidity. Therefore, if a client decides to dispose of any particular Structured Credit Security, no assurance can be given that it will be able to dispose of such Structured Credit Security at the prevailing market price. Such illiquidity may adversely affect the price and timing of liquidations of Structured Credit Securities.

Mandatory and Option Redemption - Under certain circumstances, cash flows from a structured credit transaction’s underlying collateral that otherwise would have been paid to the holders of Structured Credit Securities under the regular priority of payments will be used to redeem the senior tranches. This could result in an elimination, deferral or reduction in the interest payments, principal repayments or other payments made to the other holders of securities in the specific transaction, which could adversely impact the returns to such holders. An unrelated third-party may own an optional redemption right requiring the liquidation of collateral positions more rapidly than would otherwise be desirable, which could adversely affect the realized value of the items of collateral sold (and which in turn could adversely impact the other holders of classes in a transaction). Concentration Risk - Structured Credit Securities may possess concentrated portfolios of assets. The concentration of an underlying portfolio in any one obligor would subject the related Structured Credit Securities (the related first loss class in particular) to a greater degree of risk with respect to defaults by such obligor, and the concentration of a portfolio in any one industry would subject the related Structured Credit Securities (the related first loss class in particular) to a greater degree of risk with respect to economic downturns relating to such industry. Interest Rate Mismatch - Structured Credit Securities may be subject to interest rate risk. The collateral underlying an issuer may bear interest at a fixed (floating) rate, while the issued security may bear interest at a floating (fixed) rate. As a result, there could be a floating/fixed rate or basis mismatch between such securities and the underlying collateral which bear interest at a fixed rate (“Fixed Rate Assets”), and there may be a timing mismatch between such securities and the assets that are not Fixed Rate Assets (“Floating Rate Assets”). In addition, the interest rate on Floating Rate Assets may adjust more frequently or less frequently, on different dates and based on different indices than the interest rates on the issued securities. As a result of such mismatches, an increase or decrease in the level of the floating rate indices could adversely impact the ability to make payments on such securities.

Insolvency Risks - Various laws enacted for the protection of creditors may apply to the issuers of or collateral underlying Structured Credit Securities (solely for purposes of this risk factor, an “Insolvent Company”). The information in this paragraph and the following paragraph is applicable with respect to U.S. issuers of structured credit collateral. Insolvency considerations may differ with respect to non-U.S. issuers of structured credit collateral. If a court in a lawsuit brought by an unpaid creditor or representative of creditors of an Insolvent Company, such as a trustee in bankruptcy, were to find that the issuer did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting the structured credit issuer or structured credit collateral (as applicable) and, after giving effect to such indebtedness, the Insolvent Company (i) was insolvent, (ii) was engaged in a business for which the remaining assets of the Insolvent Company constituted unreasonably small capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in whole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the Insolvent Company, or to recover amounts previously paid by such issuer in satisfaction of such indebtedness. The measure of insolvency for purposes of the foregoing will vary. Generally, an Insolvent Company would be considered insolvent at a particular time if the sum of its debts were greater than all of its property at a fair valuation, or if the present fair saleable value of its assets were less than the amount that would be required to pay its probable liabilities on its existing debts as they became absolute and matured. There can be no assurance as to what standard a court would apply in order to determine whether the Insolvent Company was “insolvent” after giving effect to the incurrence of the indebtedness constituting the Structured Credit Security or the Structured Credit Security collateral or that, regardless of the method of valuation, a court would not determine that the Insolvent Company was “insolvent” upon giving effect to such incurrence. In addition, in the event of the insolvency of an Insolvent Company, payments made on such Structured Credit Security or Structured Credit Security collateral could be subject to avoidance as a “preference” if made within a certain period of time (which may be as long as one year) before insolvency. In general, if payments on a Structured Credit Security or Structured Credit Security collateral are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured either from the initial recipient or from subsequent transferees of such payments. However, a court in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from a Shareholder only to the extent that such court has jurisdiction over such holder or its assets. Moreover, it is likely that avoidable payments could not be recaptured directly from a holder that has given value in exchange for its interest, in good faith and without knowledge that the payments were avoidable. Nevertheless, there can be no assurance that a Shareholder will be able to avoid recapture on this or any other basis. “Widening” Risk - For reasons not necessarily attributable to any of the risks described herein (for example, supply/demand imbalances or other market forces), the prices of Structured Credit Securities may decline substantially. In particular, purchasing assets at what may appear to be “undervalued” levels is no guarantee that these assets will not be trading at even lower levels at a time of valuation or at the time of sale. It may not be possible to predict, or to hedge against, such “spread widening” risk.

Nature of Structured Credit Collateral - Collateral underlying Structured Credit Securities is subject to credit, market, liquidity and interest rate risk. When a transaction is initially structured, it is generally established to withstand certain assumed declines in market value with respect to its collateral. If any declines exceed such assumed levels, however, payments on the Structured Credit Securities could be adversely affected. To the extent that a default occurs with respect the collateral, and it is sold or otherwise disposed of within a structured finance structure, it is not likely that the proceeds of such sale or disposition will be equal to the amount of principal and interest owed to the structure with respect to such collateral.

Reliable sources of statistical information do not exist with respect to the default rates for many types of collateral. In addition, historical economic performance of a particular type of collateral is not necessarily indicative of its future performance. The market value of the collateral generally will fluctuate with, among other things, the financial condition of the obligors of the collateral, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry, and changes in prevailing interest rates. Current interest rates are at very low levels (compared to the levels before the onset of the period of global financial distress); in the event that such interest rates increase, the market value of collateral may be more volatile.

CDO and CLO issuers may find that, as a practical matter, investment opportunities are not available to them for a variety of reasons. At any time there may be a limited universe of investments that would satisfy the investment requirements of a particular CDO or CLO. CDO collateral may consist of high yield debt securities, loans, ABS, MBS and other instruments, which often are rated below investment grade (or of equivalent credit quality).

Price Volatility Risk - The prices of Structured Credit Securities are highly volatile. Price movements are influenced by, among other things: changing supply and demand relationships; trade, fiscal, monetary and exchange control programs and policies of governments; United States and foreign political events and policies; changes in national and/or international interest rates and rates of inflation; currency devaluations and revaluations, and market sentiments. Adjustable Rate Mortgage-Backed Securities and Floating Rate CMOs - Certain mortgage-backed securities are backed by adjustable rate loans. The market value of adjustable rate mortgage securities may be adversely affected if the mortgage loans underlying these securities contain provisions limiting the amount by which their rates may be adjusted upward (periodic rate caps) in response to rising interest rates, or limiting the amount by which payments may be increased to accommodate upward adjustments in interest rates (periodic payment caps). The market value of adjustable rate securities may also be adversely affected to the extent that mortgages are subject to lifetime rate caps. Certain CMOs pay interest rates which float in direct or inverse relation to an underlying reference rate. These securities are typically backed by fixed rated mortgage loans. Most floating rate and inverse floating rate CMOs are subject to lifetime rate caps and floors, which may also adversely affect their returns in certain rate environments. In addition, since they are backed by fixed rate mortgage collateral, their returns may also be affected by the prepayment behavior of the underlying fixed rate mortgages. Certain CMO tranches may, through structural features, leverage both prepayment risk and the sensitivity of coupon return to rate changes.

Residential Mortgage-Backed Securities - Holders of RMBS bear various risks, including credit, market, interest rate, structural and legal risks. RMBS represent interests in pools of residential mortgage loans secured by one to four family residential mortgage loans. Such loans may be prepaid at any time. Residential mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity, although such loans may be securitized by government agencies and the securities issued are guaranteed. The rate of defaults and losses on residential mortgage loans will be affected by a number of factors, including general economic conditions and those in the area where the related mortgaged property is located, the borrower’s equity in the mortgaged property and the financial circumstances of the borrower. If a residential mortgage loan is in default, foreclosure of such residential mortgage loan may be a lengthy and difficult process, and may involve significant expenses. Furthermore, the market for defaulted residential mortgage loans or foreclosed properties may be very limited.

At any one time, a portfolio of RMBS may be backed by residential mortgage loans with disproportionately large aggregate principal amounts secured by properties in only a few states or regions. As a result, the residential mortgage loans may be more susceptible to geographic risks relating to such areas, such as adverse economic conditions, adverse events affecting industries located in such areas and natural hazards affecting such areas, than would be the case for a pool of mortgage loans having more diverse property locations. In addition, the residential mortgage loans often include so called “jumbo” mortgage loans, having original principal balances that are higher than the Fannie Mae and Freddie Mac loan balance limitations. As a result, such portfolio of RMBS may experience increased losses.

Prepayments on the underlying residential mortgage loans in an issue of RMBS 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 residential 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 residential mortgage loans, the rate of prepayment on the underlying residential 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 issue of RMBS. RMBS are particularly susceptible to prepayment risks as they generally do not contain prepayment penalties and a reduction in interest rates will increase the prepayments on the RMBS, resulting in a reduction in yield to maturity for holders of such securities. RMBS may be backed by non-conforming mortgage loans, which are mortgage loans that do not qualify for purchase by government-sponsored agencies such as Fannie Mae and Freddie Mac because of credit characteristics that do not satisfy Fannie Mae and Freddie Mac guidelines, including loans to mortgagors whose creditworthiness and repayment ability do not satisfy Fannie Mae and Freddie Mac underwriting guidelines and loans to mortgagors who may have a record of credit write-offs, outstanding judgments, prior bankruptcies and other negative credit items. Accordingly, non-conforming mortgage loans are likely to experience rates of delinquency, foreclosure and loss that are higher, and that may be substantially higher, than mortgage loans originated in accordance with Fannie Mae or Freddie Mac underwriting guidelines. The majority of mortgage loans made in the United States qualify for purchase by government- sponsored agencies. The principal differences between conforming mortgage loans and non-conforming mortgage loans include the applicable loan-to-value ratios, the credit and income histories of the related mortgagors, the documentation required for approval of the related mortgage loans, the types of properties securing the mortgage loans, the loan sizes and the mortgagors’ occupancy status with respect to the mortgaged properties. As a result of these and other factors, the interest rates charged on non-conforming mortgage loans are often higher than those charged for conforming mortgage loans. The combination of different underwriting criteria and higher rates of interest may also lead to higher delinquency, foreclosure and losses on non-conforming mortgage loans as compared to conforming mortgage loans.

RMBS may contain certain credit enhancement features intended to enhance the likelihood that holders of such securities will receive regular payments of interest and principal. If delinquencies or defaults occur on the mortgage loans underlying such RMBS, neither the related servicers nor any other entities will advance scheduled monthly payments of interest and principal on delinquent or defaulted mortgage loans if such advances are not likely to be recovered within those transactions. There can be no assurance that the credit enhancement, if any, applicable to RMBS owned by a CDO Security will adequately cover any shortfalls in cash available to make payments on such RMBS as a result of such delinquencies or defaults. If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, the related CDO Security may suffer losses with respect to its ownership of such RMBS.

The increase in monthly payments on adjustable rate mortgage loans may result in higher delinquency rates. Borrowers with adjustable rate mortgage loans are being exposed to increased monthly payments when the related mortgage interest rate adjusts upward from the initial fixed rate or a low introductory rate. Borrowers seeking to avoid these increased monthly payments by refinancing their mortgage loans may no longer be able to find available replacement loans at comparably low interest rates. A decline in housing prices may also leave borrowers with insufficient equity in their homes to permit them to refinance. Furthermore, borrowers who intend to sell their homes on or before the expiration of the fixed rate periods on their mortgage loans may find that they cannot sell their properties for an amount equal to or greater than the unpaid principal balance of their loans. These events, alone or in combination, may contribute to higher delinquency rates and, as a result, adversely affect the performance and market value of RMBS and CDO Securities backed by RMBS. RMBS may provide that the servicer is required to make advances in respect of delinquent mortgage loans. However, servicers experiencing financial difficulties may not be able to perform these obligations. Servicers who have sought bankruptcy protection may, due to application of the provisions of bankruptcy law, not be required to advance such amounts. Even if a servicer were able to advance amounts in respect of delinquent mortgage loans, its obligation to make such advances may be limited to the extent that it does not expect to recover such advances due to the deteriorating credit of the delinquent mortgage loans. In addition, a servicer’s obligation to make such advances may be limited to the amount of its servicing fee. In addition, numerous residential mortgage loan originators and servicers that originate and service subprime mortgage loans have recently experienced serious financial difficulties and, in some cases, bankruptcy. Those difficulties have resulted in part from declining markets for mortgage loans as well as from claims for repurchases of mortgage loans previously sold under provisions that require repurchase in the event of early payment defaults, or for material breaches of representations and warranties made on the mortgage loans, such as fraud claims. Such financial difficulties may have a negative effect on the ability of servicers to pursue collection on mortgage loans that are experiencing increased delinquencies and defaults and to maximize recoveries on sale of underlying properties following foreclosure. The inability of the originator to repurchase such mortgage loans in the event of early payment defaults and loan representation breaches may also affect the performance of RMBS backed by those mortgage loans. These difficulties may adversely affect the performance and market value of RMBS originated, serviced or subserviced by these companies. As a result, the performance and market value of CDO Securities backed by RMBS also may be adversely affected.

Under certain circumstances, including a failure to perform its servicing obligations or a bankruptcy of the servicer and, in some cases, certain loss and/or delinquency triggers being exceeded, investors will be entitled to remove and replace the existing servicer. There is no guarantee, however, that a suitable servicer could be found to assume the obligations of the existing servicer, and the transition of servicing responsibilities to a replacement servicer could have an adverse effect on performance of servicing functions during or following a transition period and result in an increase in delinquencies and losses and a decrease in recoveries.

RMBS may be subordinated to one or more other senior classes of securities of the same series for purposes of, among other things, offsetting losses and other shortfalls with respect to the related underlying mortgage loans. In addition, in the case of certain RMBS, no distributions of principal will generally be made with respect to any class until the aggregate principal balances of the corresponding senior classes of securities have been reduced to zero. As a result, the subordinate classes are more sensitive to risk of loss and write-downs than senior classes of such securities.

Violations of consumer protection laws may result in losses on RMBS. Applicable state laws generally regulate interest rates and other charges, require licensing of originators and require specific disclosures. In addition, other state laws, public policy and general principles of equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the loans backing RMBS. Depending on the provisions of the applicable law and the specific facts and circumstances involved, violations of these laws, policies and principles may limit the ability of the issuer of a RMBS to collect all or part of the principal of or interest on the underlying loans, may entitle a borrower to a refund of amounts previously paid and, in addition, could subject the owner of a mortgage loan to damages and administrative enforcement. Some of the mortgages loans backing a RMBS may have been underwritten with, and finance the cost of, credit insurance. From time to time, originators of mortgage loans that finance the cost of credit insurance have been named in legal actions brought by federal and state regulatory authorities alleging that certain practices employed relating to the sale of credit insurance constitute violations of law. If such an action was brought against such issuer with respect to mortgage loans backing such RMBS and was successful, it is possible that the borrower could be entitled to refunds of amounts previously paid or that such issuer could be subject to damages and administrative enforcement. In addition, numerous federal and state statutory provisions, including the federal bankruptcy laws and state debtor relief laws, also may adversely affect the ability of an issuer of a RMBS to collect the principal of or interest on the loans, and holders of the affected RMBS may suffer a loss if the applicable laws result in these loans becoming uncollectible.

ABS and MBS - General - The investment characteristics of ABS and MBS differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that the principal may be prepaid at any time because the underlying loans or other assets generally may be prepaid at any time.

Prepayment Risk - The frequency at which prepayments (including voluntary prepayments by the obligors and liquidations due to default and foreclosures) occur on loans underlying MBS and ABS will be affected by a variety of factors including the prevailing level of interest rates as well as economic, demographic, tax, social, legal and other factors. Generally, mortgage obligors tend to prepay their mortgage loans when prevailing mortgage rates fall below the interest rates on their mortgage loans. Although ABS are generally less likely to experience substantial prepayments than MBS, certain of the factors that affect the rate of prepayments on MBS also affect the rate of prepayments on ABS. However, during any particular period, the predominant factors affecting prepayment rates on MBS and ABS may be different.

In general, “premium” securities (securities whose market values exceed their principal or par amounts) are adversely affected by faster than anticipated prepayments, and “discount” securities (securities whose principal or par amounts exceed their market values) are adversely affected by slower than anticipated prepayments. Since many MBS and ABS will be discount securities when interest rates are high, and will be premium securities when interest rates are low, these MBS and ABS may be adversely affected by prepayments in any interest rate environment.

The adverse effects of prepayments may impact investors in two ways. First, particular investments may experience outright losses, as in the case of an interest-only security in an environment of faster actual or anticipated prepayments. Second, particular investments may underperform relative to hedges that a portfolio manager may have constructed for these investments. In particular, prepayments (at par) may limit the potential upside of many MBS to their principal or par amounts, whereas their corresponding hedges often have the potential for loss that is unlimited. Index Risk - Tolis may also invest in structured notes and variable rate MBS and ABS, including adjustable-rate mortgage securities, which are backed by mortgages with variable rates, the rate of interest payable under which varies with a designated rate or index. The value of these investments is closely tied to the absolute levels of such rates or indices, or the market’s perception of anticipated changes in those rates or indices. This introduces additional risk factors related to the movements in specific indices or interest rates that may be difficult or impossible to hedge, and that also interact in a complex fashion with prepayment risks. Subordinated Securities - Investments in subordinated MBS and ABS involve greater credit risk of default than the senior classes of the issue or series. Default risks may be further pronounced in the case of MBS and ABS secured by, or evidencing an interest in, a relatively small or less diverse pool of underlying loans. Certain subordinated securities absorb all losses from default before any other class of securities is at risk, particularly if such securities have been issued with little or no credit enhancement or equity. Such securities therefore possess some of the attributes typically associated with equity investments.

ABS - Through the use of trusts and special purpose corporations, various types of assets, primarily automobile and credit card receivables, are securitized in pass-through structures. Tolis may invest in these and other types of ABS that may be developed in the future. ABS are securities that entitle the holders thereof to receive payments that depend primarily on the cash flow from, or market value of, a specified pool of financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period, together with rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of ABS.

Credit risk is an important issue in ABS because of the significant credit risks inherent in the underlying collateral and because issuers are primarily private entities. The structure of ABS and the terms of the investors’ interest in the collateral can vary widely depending on the type of collateral, the desires of investors and the use of credit enhancements. Although the basic elements of all ABS are similar, individual transactions can differ markedly in both structure and execution. Important determinants of the risk associated with issuing or holding the securities include the process by which principal and interest payments are allocated and distributed to investors, how credit losses affect the issuing vehicle and the return to investors in such ABS, whether collateral represents a fixed set of specific assets or accounts, whether the underlying collateral assets are revolving or closed-end, under what terms (including maturity of the asset-backed instrument) any remaining balance in the accounts may revert to the issuing entity and the extent to which the entity that is the actual source of the collateral assets is obligated to provide support to the issuing vehicle or to the investors in such ABS.

Holders of ABS bear various risks, including credit risks, liquidity risks, interest rate risks, market risks, operations risks, structural risks and legal risks. Credit risk arises from losses due to defaults by the obligors on the underlying collateral and the issuer’s or servicer’s failure to perform. These two elements can blur together as, for example, in the case of a servicer who does not provide adequate credit-review scrutiny to the serviced portfolio, leading to a higher incidence of defaults. ABS are generally rated by nationally recognized rating agencies. Market risk arises from the limited market for such securities and the cash-flow characteristics of such securities. One variability in cash flows comes from credit performance, including the presence of wind-down or acceleration features designed to protect the investor in the event that credit losses in the portfolio rise well above expected levels. Interest rate risk arises for the issuer from the relationship between the pricing terms on the underlying assets and the terms of the rate paid to security holders and from the need to mark to market the excess servicing or spread account proceeds carried on the balance sheet. For the holder of the security, interest rate risk depends on the expected life or repricing of the ABS, with relatively minor risk arising from embedded options. Liquidity risk can arise from increased perceived credit risk. Operational risk arises through the potential for misrepresentation of asset quality or terms by the originating institution, misrepresentation of the nature and current value of the assets by the servicer and inadequate controls over disbursements and receipts by the servicer. Legal risk can arise as a result of the procedures followed in connection with the origination of the underlying assets or the servicing thereof. ABS 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 addition, many transactions may have structural features that divert payments of interest and/or principal to more senior classes when the delinquency or loss experience of the pool exceeds certain levels. As a result, such securities may have a higher risk of loss as a result of delinquencies or losses on the underlying assets. In certain circumstances, payments of interest may be reduced or eliminated for one or more payment dates. Additionally, as a result of cash flow being diverted to payments of principal on more senior classes, the average life of such securities may lengthen. For example, in the case of certain ABS residential securities, no distributions of principal will generally be made with respect to any class until the aggregate principal balances of the more senior classes of securities have been reduced to zero. Subordinate ABS generally do not have the right to call a default or vote on remedies following a default unless more senior securities have been paid in full. As a result, a shortfall in payments to subordinate investors in ABS will generally not result in a default being declared on the transaction and the transaction will not be restructured or unwound. Furthermore, because subordinate ABS may represent a relatively small percentage of the size of the asset pool being securitized, the impact of a relatively small loss on the overall pool may be substantial to the holders of such subordinate securities.

The market value of ABS will generally fluctuate with, among other things, changes in prevailing interest rates, general economic conditions, the condition of certain financial markets, international political events, developments or trends in any particular industry, the financial condition of the issuer of the ABS and the obligors of the securitized assets underlying the ABS, and the terms of the ABS. Adverse changes in the financial condition of the issuers of the ABS or the obligors of the securitized assets underlying the ABS or in general economic conditions or both may result in a decline in the market value of the ABS. In addition, future periods of uncertainty in the United States’ economy and the economies of other countries in which issuers of the ABS (or the obligors of the securitized assets underlying the ABS) are domiciled and the possibility of increased volatility and default rates may also adversely affect the price and liquidity of the ABS.

Many ABS will have no, or only a limited, trading market. Trading in fixed income securities in general, including ABS and derivatives thereof, takes place primarily in over-the-counter markets consisting of groups of dealer firms that are typically major securities firms. Because the market for certain ABS and derivatives thereof is a dealer market, rather than an auction market, no single obtainable price for a given instrument prevails at any given time. Not all dealers maintain markets in all ABS at all times. The illiquidity of ABS may restrict Tolis’s ability to take advantage of market opportunities. Illiquid ABS may trade at a discount from comparable, more liquid investments. In addition, ABS may include privately placed securities that may or may not be freely transferable under the laws of the applicable jurisdiction or due to contractual restrictions on resale, and even if such privately placed securities are transferable, the value of such ABS could be less than what may be considered the fair value of such securities. Some or all of the loans underlying ABS (and RMBS) may be prepaid at any time. Defaults on and liquidations of the loans underlying ABS or RMBS may also lead to early repayment thereof. Prepayments on loans may be affected by a number of factors. If prevailing rates for similar loans fall below the interest rates on such loans, prepayment rates would generally be expected to increase. Conversely, if prevailing rates for similar loans rise above the interest rates on such loans, prepayment rates would generally be expected to decrease. ABS present certain additional risks that are not presented by MBS. Primarily, these securities do not have the benefit of the same security interest in the related collateral. Credit card receivables, for example, are generally unsecured and the debtors are entitled to the protection of a number of state and federal consumer loan laws, many of which give such debtors the right to set off certain amounts owed on please register to get more info

The Chief Compliance Officer has the primary responsibility of reviewing and monitoring all investments made for Tolis’s clients. Tolis conducts such review on an ongoing basis. Matters generally reviewed include specific securities held, adherence to investment guidelines and the performance of each client account.

Significant changes in market volatility, the value of the client’s portfolio or the performance of investment positions are examples of various factors that may prompt additional review of client accounts as deemed necessary by Tolis’s Investment Committee or Mr. Puliafico.

Reports Sent to Fund Investors

Each investor in a Fund receives: (i) monthly, unaudited statements; (ii) a monthly report on the affairs of such Fund; (iii) an annual financial report of the Fund audited by a nationally or internationally recognized accounting firm; and (iv) with respect to investors in the domestic feeder fund, tax information reported on IRS Form K‐1 annually.

Separate Account clients typically receive daily reporting with respect to the portfolio investments of such Separate Account.

Investors in the Funds should refer to the governing documents of each Fund for further information on the reports provided by a particular Fund to its investors. Each Separate Account client should refer to the account management agreement governing the relationship between Tolis and such Separate Account for further information on reporting. please register to get more info

Tolis and its affiliates may enter into arrangements to pay third parties who introduce clients to Tolis or its affiliates a portion of the advisory fees received by Tolis or its affiliates from such clients. Such arrangements will be disclosed to Tolis’s clients in accordance with, and otherwise comply with, Rule 206(4)-3 under the Advisers Act to the extent applicable. Tolis and its affiliates may enter into arrangements to pay to placement agents or third parties introducing investors to a Fund a portion of the advisory fees received by Tolis or its affiliates from such Fund. Tolis may also consider referrals of clients or investors to the Funds in determining its selection of broker- dealers for securities transactions. please register to get more info

Tolis will not have physical custody of any client assets, all of which are held by one or more qualified custodians, except for certain privately offered securities that are not required to be maintained with a qualified custodian.

Tolis may be deemed to have custody of the assets of the Funds as a result of its authority over the Funds. It is Tolis’s policy to cause each Fund with assets over which Tolis is deemed to have “custody” to be audited annually and distribute audited financial statements to investors no later than 120 days after the end of each fiscal year.

Separate Account clients should receive at least monthly statements from the broker dealer, bank or other qualified custodian that holds and maintains the client’s investment assets. Tolis urges its clients to carefully review such statements and compare such official custodial records to the account statements that Tolis may provide to its clients.

The Funds’ statements prepared by the Administrator may vary from custodial statements based on accounting procedures, reporting dates, or valuation methodologies of certain securities. please register to get more info

Tolis has discretionary authority to make investment decisions for the Funds in accordance with, and in furtherance of, the applicable investment strategy as set forth in the applicable governing documents of each Fund. Investors in the Funds do not have the ability to impose limitations on the discretionary authority of Tolis.

Tolis may manage client accounts for which it may not have ongoing discretionary authority to execute transactions without the consent of the client. Securities transactions for such clients may be entered into on a stand-alone basis and not bundled with investments made by clients that have given Tolis full discretion to effect securities transactions. Accordingly, such “non-discretionary” clients should be aware that Tolis may place non-discretionary client trades prior to or subsequent to discretionary client trades, and therefore a disparity may exist in the price at which securities are sold for discretionary and non- discretionary accounts. In addition, a disparity may exist between the commissions charged to non- discretionary clients and the commissions charged to clients that have given Tolis full discretion. Therefore, non-discretionary clients should be aware that Tolis may not be able to maximize the transaction price and/or obtain volume discounts for non-discretionary clients. If it appears that a trade error has occurred, Tolis will review the relevant facts and circumstances to determine an appropriate course of action. Tolis has discretion to resolve a particular error in any appropriate manner. In the event that a client account incurs a trade error as a result of the gross negligence, willful misconduct or fraud of Tolis, the trade error will be corrected by Tolis as soon as practicable, in a manner such that the client incurs no loss. Profits or losses due to trade errors that result other than due to the gross negligence, willful misconduct or fraud of Tolis are borne by the client account. please register to get more info

As a fiduciary with proxy voting authority, Tolis has a duty to monitor corporate events and to vote proxies, as well as a duty to cast votes in the best interest of clients and not subrogate client interests to its own interests. Rule 206(4)-6 under the Advisers Act (the “Proxy Voting Rule”) places specific requirements on registered investment advisers with proxy voting authority.

In light of Tolis’s emphasis on fixed income and structured credit strategies, it is likely that proxy voting will be rare, and accordingly Tolis’s Investment Committee, in consultation with the Chief Compliance Officer, must pre-approve all proxy votes. Tolis’s policies and procedures are reasonably designed to ensure that it votes proxies in the best interest of its clients and addresses how it will resolve any conflict of interest that may arise when voting proxies.

However, should the need for Tolis to vote a proxy on behalf of any of its clients ever arise, Tolis will follow the procedure outlined below.

Any proxies received will be provided to the Investment Committee which, prior to voting such proxy, will determine if there are any conflicts of interest related to the proxy in question. If a potential conflict is identified, the Investment Committee will inform the Chief Compliance Officer of the details of such proxy and the perceived conflict of interest. The Investment Committee and the Chief Compliance Officer together will make a determination as to whether the conflict is material. If no material conflict is identified, Tolis will vote the proxy in question in accordance with the best interest of the relevant Fund or Separate Account.

If a material conflict is identified by the Investment Committee and Chief Compliance Officer, Tolis will generally seek to mitigate the conflict by either appointing an independent third party to vote such proxies or disclosing the conflict to the affected clients and giving such clients the opportunity to vote the proxies in question themselves. Tolis will deliver any completed proxies in accordance with instructions related to such proxy. Tolis will keep a record of its proxy voting policies and procedures, proxy statements received, votes cast, communications received and internal documents created that were material to voting decisions and Investor requests for proxy voting records and Tolis’s response. Clients may obtain information from Tolis about how it voted such Client’s securities and may obtain a copy of its proxy voting policies and procedures upon request by contacting Tolis’s Chief Compliance Officer, Salvatore Puliafico, at the address shown on the cover page of this Brochure. please register to get more info

Tolis is not aware of any financial condition that is reasonably likely to impair its ability to meet contractual commitments to its clients, and has not been the subject of a bankruptcy petition at any time. please register to get more info