Rion Master

Fund Ltd

Fund Investment Objectives

The investment objective of the Partnership (through its investment in the Master Fund) is to achieve attractive, risk-adjusted returns over a market cycle through investments in a variety of securitized products and credit instruments. The Partnership is a relative value fund that focuses on exploiting opportunities in the structured products markets. The Partnership, through its investment in the Master Fund, will invest in a variety of assets and engage in many different trading strategies, including but not limited to negative basis packages, capital structure relative value, purchasing and selling of fundamentally mispriced securities, and various short-term trading strategies in structured products. The Partnership also intends to capture relative mispricing between structured products and general fixed income, credit, and equity markets. The Partnership will employ modest leverage, limited directional bias depending on market conditions and a rigorous risk management process which will pay special attention to tail events such as absence of liquidity and large changes in inter-market correlations.