Master Fund, Ltd.

Fund Investment Objectives

The Partnership seeks to benefit from an actively traded portfolio of mostly fixed income securities with a focus on ABS and MBS. Investments will be primarily focused on smaller, off-the-run securities, where the General Partner can utilize its skill and experience in analyzing, valuing, and trading these complex securities. Specifically, the General Partner will concentrate on (i) secondary positions in asset-backed and mortgage-backed markets, (ii) smaller bonds which may only be valued in the $1 million to $5 million range, (iii) bonds issued by small or one-time issuers, (iv) bonds in which the underlying collateral may be unusual and (v) bonds with desirable structural characteristics. The General Partner believes the secondary market for ABS and MBS is relatively inefficient, since most investment banks are more concerned with their underwriting of new issues and only provide secondary trading as a service to their customers and to support their new issue deals. In addition, most investors in the ABS and MBS space are concentrated in on-the-run issues, or those securities that are included in the various indices utilized by traditional long-only investors, such as the Barclays Capital Aggregate Bond Index, which only represents a fraction of the outstanding bonds in the ABS and MBS universe. As a result, bonds in the secondary market often trade at a significant yield premium (price discount) compared to new issues. The Partnership will employ active trading (buying and selling of bonds) and leverage as a means of capturing the value in these off-the-run bonds. The Partnership will seek to mitigate funding risk through the use of term and rolling repurchase financing and through the maintenance of a significant cash reserve. Other risks in the portfolio, including credit and duration (interest rate) risk will be regularly monitored and may be hedged using a variety of instruments designed to offset said risks, including, but not limited to, swaps, caps and floors, futures and forward contracts. The targeted average interest rate duration of the portfolio over time is expected to be one year.