SPM Structured Servicing

Holdings, L.P.

Fund Investment Objectives

Performance shown is audited and net of all fees. SPM SSH does not claim AIMR-PPS compliance. No money was managed during the thirteen months (1997- January 1998) when SPM was being formed. No representation is made that future performance will be similar to these past results. The actual performance fee, which is calculated annually, may differ substantially from the accrued fee assumed here for the current year's net performance. The sole purpose of the use of the S&P 500 and LB Aggregate Bond Index is to establish little or no correlation between these indices and SSH. This is for illustrative purposes only and does not guarantee performance. Performance includes reinvestment of profits. Structured Portfolio Management (SPM) offers a hedge strategy designed to generate consistent returns of LIBOR + 15% net of fees with low correlation to most major market sectors. SPM applies this market neutral strategy to a portfolio of (AA credit or better) residential mortgage-backed securities to take advantage of the arbitrage between two sectors in the mortgage market that are priced differently, the conforming and non-conforming sectors. AUM reflects Master Fund assets.