400 Capital Credit

Opportunities Fund Ltd

Fund Investment Objectives

The 400 Capital Credit Opportunities Fund invests across the Residential Mortgage Backed Securities (RMBS), Commercial Mortgage Backed Securities (CMBS) and Asset Backed Securities (ABS) markets. The Fund will actively rotate across these sectors to capture the best risk adjusted return, and the portfolio will employ a long/short approach and the investment styles and strategies detailed further below. The Investment Manager anticipates pursuing two investment programs to achieve the Partnership's objectives of generating significant positive returns while minimizing the variability of those returns and the variance between its duration and the anticipated duration of the Partnership's capital: Relative Value and Absolute value. The execution of the Investment Manager's strategies revolves around three core functions: (1) Research and Quantitative Modeling, (2) Portfolio Management, and (3) Analytics, Surveillance, and Loss Mitigation. The members of the Investment Manager have been successful in the past integrating economic and market research with loan level prepayment, delinquency, and default analysis to identify attractive investment opportunities. The Investment Manager anticipates using a combination of similar proprietary and third party models and systems to analyse potential investments and evaluate performance risks on an ongoing basis. The commercial, residential and consumer loan and securities markets are the largest and most diversified debt markets in the world with over $5 trillion in outstanding debt. The 30 year evolution of these markets has led to a wide variety of investment and arbitrage opportunities across RMBS, ABS and CMBS with a wide variety of issuers and investors. Given the significant size of the market and its product fragmentation, the Principals of 400 Capital are confident there is a continuous supply of opportunity to achieve desired risk adjusted returns for investors. AUM reflects the aggregate of the various share classes and is reported in USD.