Highbridge – GIM Credit Lux SA

9842224.12

Highbridge – GIM Credit Lux S.A.

(the “Company”)

€1,000,000,000 participating redeemable subordinated notes (the “Company Notes”)

Prospectus Directive and Irish Stock Exchange Listing Disclosures

This Information Memorandum has been approved by the Central Bank of Ireland (the “Central

Bank”), as competent authority under Directive 2003/71/EC, as amended (including by

Directive 2010/73/EU, to the extent that such amendments have been implemented in a relevant

member state of the European Economic Area) (the “Prospectus Directive”). The Central Bank

only approves this Information Memorandum as meeting the requirements imposed under Irish

and EU law pursuant to the Prospectus Directive.

Application has been made to the Irish Stock Exchange for the Company Notes to be admitted to

the official list of the Irish Stock Exchange (the “Official List”) and trading on its regulated

market (the “Main Securities Market”). It is expected that the Company Notes will be admitted

to the Official List and to trading on the Main Securities Market on or about 26 June 2015. The

Main Securities Market is a regulated market for the purposes of Directive 2004/39/EC. Such

approval relates only to the Company Notes which are to be admitted to trading on the Main

Securities Market or other regulated markets for the purposes of Directive 2004/39/EC or which

are to be offered to the public in any member state of the European Economic Area. References

in this Information Memorandum to Company Notes being “listed” (and all related references)

shall mean that the Company Notes have been admitted to the Official List and admitted to

trading on the Main Securities Market.

This document comprises a prospectus for the purposes of Article 5 of the Prospectus Directive

and for the purpose of giving information with regard to the Company and the Company Notes

which, according to the particular nature of the Company and the Company Notes, is necessary

to enable investors to make an informed assessment of the assets and liabilities, financial

position, profit and losses and prospects of the Company.

The Company accepts responsibility for the information contained in this Information

Memorandum. To the best of the knowledge of the Company (who has taken all reasonable care

to ensure that such is the case) the information contained in this Information Memorandum is in

accordance with the facts and does not omit anything likely to affect the import of such

information.

The SubCo accepts responsibility for the SubCo information contained in this Information

Memorandum. To the best of the knowledge of the SubCo (which has taken all reasonable care

to ensure that such is the case), the SubCo information contained in this Information

Memorandum is in accordance with the facts and does not omit anything likely to affect the

import of such information.

The language of the Prospectus is English. Certain legislative references and technical terms

have been cited in their original language in order that the correct technical meaning may be

ascribed to them under applicable law.

9842224.12

For the Exclusive Use of: ______________________________ Copy Number: _____


société anonyme de titrisation

Registered office: 46, Avenue J.F. Kennedy L-1855 Luxembourg

RCS B: 193.463

___________________________

INFORMATION MEMORANDUM

___________________________

Investment Adviser:

Highbridge Principal Strategies, LLC

40 West 57th Street

33rd

Floor

New York, New York 10019

26 June 2015

This Information Memorandum has been prepared for the consideration of prospective investors in the Highbridge – GIM Credit Lux S.A and in order to admit the Company Notes to listing on the Official List and to trading on the Main Securities Market of the Irish Stock Exchange.

Except as otherwise expressly set forth herein, distribution or disclosure of any of the contents of this Information Memorandum without the prior

written consent of the investment adviser is prohibited.

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9842224.12

INFORMATION MEMORANDUM


Highbridge – GIM Credit Lux S.A. (the “Company”) is a securitization company incorporated as a société

anonyme de titrisation under (1) The Law of 10 August 1915 on commercial companies, as amended and (2) The

Law of 22 March 2004 on securitization, as amended, each of the Grand Duchy of Luxembourg, incorporated in

2014. The Company has purchased a nominal equity interest in and has exposure, indirectly through its investment

in Highbridge – GIM Credit Master Lux S.à r.l., a company incorporated as a société à responsabilité limitée under

The Law of 10 August 1915 on commercial companies, as amended, of the Grand Duchy of Luxembourg

(“SubCo”), to a diversified portfolio owned by SubCo consisting primarily of first lien loans purchased in primary

or secondary markets in accordance with the investment guidelines described in “The Company & SubCo –

Investment Strategy” (the “Investment Guidelines”). Such exposure will be attained by investing in profit

participating notes issued by SubCo (the “SubCo Notes”) and potentially through direct investments or activities of

the Company. It is expected that such direct investments or activities of the Company (if made) would consist of

short-term investments made from potential excess funds of the Company. SubCo’s investments are generally

expected to be denominated in U.S. dollars and purchased in primary or secondary markets. With the prior approval

of the Advisory Committee (as defined below), SubCo may obtain leverage by one of several means, including total

return swaps or other forms of leverage, collateralized by its assets in accordance with the Investment Guidelines.

There can be no assurance that the Company’s and SubCo’s investment objectives will be achieved,

and investment results may vary substantially over time.

Highbridge Principal Strategies, LLC (“HPS”), a Delaware limited liability company, will act as

investment adviser (the “Investment Adviser”) of the Company under the terms of an investment advisory

agreement (the “Investment Advisory Agreement”) and as trading manager (the “Trading Manager”) of SubCo

under the terms of an investment management agreement (the “Investment Management Agreement”).

Ms. Purnima Puri and Mr. Serge Adam will serve as co-Portfolio Managers with respect to SubCo’s

investment mandate.

HPS is a subsidiary of Highbridge Capital Management, LLC (“Highbridge”), which itself is a subsidiary

of JPMorgan Asset Management Holdings Inc. (“JPMAM”). JPMAM is a subsidiary of JPMorgan Chase & Co.

(together with its affiliates, “JPM”). Highbridge formed HPS in 2007 to focus on managing debt and equity

investments, including loan, mezzanine, credit opportunities, private equity and other investments. Highbridge is

headed by Scott Kapnick, former Management Committee member, Co-Head of Global Investment Banking and

member of the Principal Investment Area Investment Committee at the Goldman Sachs Group.

The Company is privately issuing to selected affiliates and controlled subsidiaries and entities of

Assicurazioni Generali S.p.A. that are non-U.S. Persons (the “Noteholders”) participating redeemable subordinated

notes (the “Company Notes”). Each Company Note will have a denomination of EUR 100,000 and the total

principal amount of the Company Notes to be issued will be EUR 1,000,000,000. Company Notes will be issued in

registered form only and will not be rated. All Company Notes (irrespective of whether they form part of one or

different series) will be of a single class, will rank equally and will entitle the holders thereof to participate on a pro

rata basis in the profits of the Company as set forth herein.

The Company will endeavor to list the Company Notes on the Irish Stock Exchange (the “ISE”) within 2

months following March 30, 2015, the date of their issuance. If any Company Notes are not listed on the ISE within

2 months following the date of their issuance, the Company shall have another 30 Business Days to cause the

Company Notes to be listed on the ISE. If the Company Notes are not listed at the end of such additional period,

each Noteholder shall have the right to redeem such unlisted Company Notes as set forth under “Redemptions –

Extraordinary Redemption Right”.

BNP Paribas Securities Services, Luxembourg Branch and/or certain of its affiliates to whom BNP Paribas

Securities Services, Luxembourg Branch has delegated some tasks, a société en commandite par actions (S.C.A.)

incorporated under the laws of France, registered with the Registre du Commerce et des Sociétés of Paris under

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9842224.12

number 552 108 011, whose registered office is at 3, rue d'Antin - 75002 Paris, France and acting through its

Luxembourg branch whose office is at 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg and

registered with the Luxembourg Register of Commerce and Companies under number B 86.862 (collectively,

“BNP”), acts as administrator, loan administrator, cash manager, paying agent, transfer agent, registrar and

custodian to the Company and SubCo. TMF Luxembourg S.A. (“TMF”), a company validly organised and existing

under the laws of the Grand-Duchy of Luxembourg, having its registered office and principal place of business at

46A, Avenue J.F Kennedy, L-1855 Luxembourg, registered with the Luxembourg Register of Trade and Companies

(R.C.S. Luxembourg) under number B 15302, will provide certain domiciliation services to the Company and

SubCo. Such service providers may be replaced with the consent of the Advisory Committee, and it is expected

that, following the initial issuance of the Company Notes, TMF will be replaced as domiciliation agent to the

Company and Subco.

BNP, in its capacity as administrator (the “Administrator”), and/or HPS will make available to each

prospective investor or its authorized representative the opportunity to ask questions of, and receive answers from,

the Administrator and/or HPS concerning the terms and conditions of this issuance. Prospective investors should

direct inquiries to Faith Rosenfeld, Chief Administrative Officer of HPS (telephone number (212) 287-6747;

electronic mail address [email protected]).

_____________________________________

All references to “$” in this Information Memorandum (together with any amendments or supplements

hereto, this “Memorandum”), unless stated otherwise, are to U.S. dollars.

All references to “€” in this Information Memorandum, unless stated otherwise, are to Euros.

mailto:[email protected]

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NOTICES

THIS INFORMATION MEMORANDUM (TOGETHER WITH ANY AMENDMENTS OR SUPPLEMENTS

HERETO, THIS “MEMORANDUM”) IS BEING FURNISHED TO PROSPECTIVE INVESTORS FOR USE

SOLELY IN CONNECTION WITH THE COMPANY NOTES DESCRIBED HEREIN. ITS USE FOR ANY

OTHER PURPOSE IS IMPROPER AND PROHIBITED.

THIS MEMORANDUM IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO THE ARTICLES OF

ASSOCIATION OF THE COMPANY (AS MAY BE AMENDED OR RESTATED FROM TIME TO TIME, THE

“COMPANY ARTICLES”), THE SUBSCRIPTION AGREEMENT RELATING TO THE COMPANY NOTES

(THE “SUBSCRIPTION AGREEMENT”), THE TERMS AND CONDITIONS OF THE COMPANY NOTES

AND THE SUBCO NOTES, THE ARTICLES OF ASSOCIATION OF SUBCO, THE INVESTMENT

ADVISORY AGREEMENT BETWEEN HIGHBRIDGE PRINCIPAL STRATEGIES, LLC (“HPS”) AND THE

COMPANY (“THE INVESTMENT ADVISORY AGREEMENT”), AND THE INVESTMENT MANAGEMENT

AGREEMENT BETWEEN HPS AND SUBCO (“THE INVESTMENT MANAGEMENT AGREEMENT”),

COPIES OF WHICH WILL BE MADE AVAILABLE UPON REQUEST AND WHICH SHOULD BE

REVIEWED PRIOR TO PURCHASING COMPANY NOTES. IN THE EVENT THAT THE DESCRIPTION IN

OR TERMS OF THIS MEMORANDUM ARE INCONSISTENT WITH OR CONTRARY TO THE ARTICLES,

THE SUBSCRIPTION AGREEMENT, THE TERMS AND CONDITIONS OF THE COMPANY NOTES AND

THE SUBCO NOTES, THE ARTICLES OF ASSOCIATION OF SUBCO, THE INVESTMENT ADVISORY

AGREEMENT OR THE INVESTMENT MANAGEMENT AGREEMENT, THE ARTICLES, THE

SUBSCRIPTION AGREEMENT, THE TERMS AND CONDITIONS OF THE COMPANY NOTES AND THE

SUBCO NOTES, THE ARTICLES OF ASSOCIATION OF SUBCO, THE INVESTMENT ADVISORY

AGREEMENT AND THE INVESTMENT MANAGEMENT AGREEMENT SHALL CONTROL. NO PERSON

HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATIONS IN

RELATION TO THE COMPANY NOTES OTHER THAN AS CONTAINED IN THIS MEMORANDUM. ANY

SUCH STATEMENTS, IF MADE, MUST NOT BE RELIED UPON. STATEMENTS IN THIS MEMORANDUM

ARE MADE AS OF THE DATE HEREOF UNLESS STATED OTHERWISE HEREIN, AND NEITHER THE

DELIVERY OF THIS MEMORANDUM AT ANY TIME, NOR ANY SALE HEREUNDER, SHALL UNDER

ANY CIRCUMSTANCES CREATE AN IMPLICATION THAT THE INFORMATION CONTAINED HEREIN

IS CORRECT AS OF ANY TIME SUBSEQUENT TO SUCH DATE.

PROSPECTIVE INVESTORS SHOULD MAKE THEIR OWN INVESTIGATION OF THE INVESTMENT

DESCRIBED HEREIN, INCLUDING THE MERITS AND RISKS INVOLVED AND THE LEGALITY AND

TAX CONSEQUENCES OF SUCH AN INVESTMENT. PROSPECTIVE INVESTORS SHOULD NOT

CONSTRUE THE CONTENTS OF THIS MEMORANDUM AS LEGAL, TAX, INVESTMENT OR

ACCOUNTING ADVICE. THE COMPANY NOTES HAVE NOT BEEN FILED WITH OR APPROVED OR

RECOMMENDED BY ANY U.S. FEDERAL OR STATE, OR ANY NON-U.S., SECURITIES COMMISSION

OR REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT

CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS MEMORANDUM. ANY

REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. THIS MEMORANDUM DOES NOT

CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION TO ANY PERSON OR ENTITY TO

WHICH IT IS UNLAWFUL TO MAKE SUCH OFFER OR SOLICITATION IN SUCH JURISDICTION.

THE COMPANY NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S.

SECURITIES ACT OF 1933, AS AMENDED (THE “1933 ACT”), THE SECURITIES LAWS OF ANY STATE

IN THE UNITED STATES OR THE LAWS OF ANY NON-U.S. JURISDICTION. THE COMPANY NOTES

WILL BE SOLD UNDER THE EXEMPTION PROVIDED BY SECTION 4(A)(2) OF THE SECURITIES ACT

AND REGULATION D OR REGULATION S PROMULGATED THEREUNDER AND OTHER EXEMPTIONS

OF SIMILAR IMPORT IN THE LAWS OF THE STATES OF THE UNITED STATES AND OTHER NON-U.S.

JURISDICTIONS WHERE THE COMPANY NOTES MAY BE SOLD. THE COMPANY WILL NOT BE

REGISTERED AS AN INVESTMENT COMPANY UNDER THE U.S. INVESTMENT COMPANY ACT OF

1940, AS AMENDED (THE “1940 ACT”). CONSEQUENTLY, NOTEHOLDERS WILL NOT BE AFFORDED

THE PROTECTIONS OF THE 1940 ACT.

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WHILE THE COMPANY AND/OR SUBCO MAY TRADE COMMODITY FUTURES AND/OR COMMODITY

OPTIONS CONTRACTS IN CONNECTION WITH ITS HEDGING ACTIVITY WITH THE APPROVAL OF

THE ADVISORY COMMITTEE (AS DEFINED BELOW), HPS (AS DEFINED BELOW) IS EXEMPT FROM

REGISTRATION AS A COMMODITY POOL OPERATOR WITH THE COMMODITY FUTURES TRADING

COMMISSION (THE “CFTC”) WITH RESPECT TO THE COMPANY AND SUBCO PURSUANT TO THE

EXEMPTION UNDER CFTC RULE 4.13(A)(3) FOR PRIVATELY-OFFERED COMMODITY POOLS WHOSE

PARTICIPANTS ARE LIMITED TO HIGHLY SOPHISTICATED INVESTORS. IN ADDITION, EACH

POOL’S USE OF COMMODITY INTERESTS (WHICH INCLUDE FUTURES, OPTIONS ON FUTURES AND

SWAPS) IS LIMITED SUCH THAT AT ALL TIMES EITHER: (A) THE AGGREGATE INITIAL MARGIN

AND PREMIUMS REQUIRED TO ESTABLISH COMMODITY INTEREST POSITIONS DOES NOT EXCEED

FIVE PERCENT OF THE LIQUIDATION VALUE OF EACH POOL’S INVESTMENT PORTFOLIO; OR (B)

THE AGGREGATE NET NOTIONAL VALUE OF SUCH POOL’S COMMODITY INTEREST POSITIONS

DOES NOT EXCEED ONE-HUNDRED PERCENT OF THE LIQUIDATION VALUE OF SUCH POOL’S

INVESTMENT PORTFOLIO. AS A RESULT OF CLAIMING THE EXEMPTION UNDER RULE 4.13(A)(3),

HPS WILL NOT BE REQUIRED TO COMPLY WITH THE DISCLOSURE, REPORTING AND

RECORDKEEPING REQUIREMENTS GENERALLY APPLICABLE TO REGISTERED COMMODITY POOL

OPERATORS, INCLUDING DELIVERY TO PARTICIPANTS IN THE POOL OF A DISCLOSURE

DOCUMENT AND A CERTIFIED ANNUAL REPORT DESIGNED TO MEET CFTC REQUIREMENTS. THIS

MEMORANDUM HAS NOT BEEN, AND IS NOT REQUIRED TO BE, FILED WITH THE CFTC, AND THE

CFTC HAS NOT REVIEWED OR APPROVED THIS MEMORANDUM OR THE ISSUING OF THE

INTERESTS.

THE COMPANY NOTES MAY BE ACQUIRED FOR INVESTMENT PURPOSES ONLY. THE COMPANY

NOTES ARE FREELY TRANSFERABLE EXCEPT FOR CERTAIN LIMITED CIRCUMSTANCES SET

FORTH HEREIN. INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE

FINANCIAL RISKS OF THIS INVESTMENT FOR AN INDEFINITE PERIOD OF TIME.

NO PERSON HAS BEEN AUTHORIZED TO MAKE ANY REPRESENTATIONS OR PROVIDE ANY

INFORMATION RELATING TO THE COMPANY NOTES OTHER THAN WHAT IS CONTAINED IN THIS

MEMORANDUM, AND NO OFFERING LITERATURE HAS BEEN AUTHORIZED.

AN INVESTMENT IN THE COMPANY NOTES IS SPECULATIVE AND INVOLVES CERTAIN RISKS AND

CONFLICTS OF INTEREST DESCRIBED IN THIS MEMORANDUM. NO ASSURANCE CAN BE GIVEN

THAT THE COMPANY’S INVESTMENT OBJECTIVES WILL BE ACHIEVED AND IT SHOULD BE

REMEMBERED THAT THE VALUE OF THE COMPANY NOTES MAY DECREASE AS WELL AS

INCREASE, AND THAT INVESTORS MAY NOT RECEIVE, UPON REDEMPTION, THE AMOUNT THEY

INVESTED AND MAY LOSE THEIR ENTIRE INVESTMENTS.

IN MAKING AN INVESTMENT DECISION INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF

THE COMPANY AND THE TERMS OF THE COMPANY NOTES, INCLUDING THE MERITS AND RISKS

INVOLVED.

NOTWITHSTANDING ANYTHING TO THE CONTRARY HEREIN, EACH PROSPECTIVE INVESTOR (AND

EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF SUCH PROSPECTIVE INVESTOR) MAY

DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND (I) THE U.S. INCOME

AND FRANCHISE TAX TREATMENT AND THE U.S. INCOME AND FRANCHISE TAX STRUCTURE OF

THE COMPANY AND ANY OF ITS TRANSACTIONS AND (II) ALL MATERIALS OF ANY KIND

(INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT ARE PROVIDED TO THE PROSPECTIVE

INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE INSOFAR AS SUCH

TREATMENT AND/OR STRUCTURE RELATES TO A U.S. INCOME OR FRANCHISE TAX STRATEGY

PROVIDED TO SUCH PROSPECTIVE INVESTOR. FOR THE AVOIDANCE OF DOUBT, (A) EXCEPT TO

THE EXTENT OTHERWISE ESTABLISHED IN PUBLISHED GUIDANCE BY THE IRS, TAX TREATMENT

AND TAX STRUCTURE SHALL NOT INCLUDE THE NAME OF, CONTACT INFORMATION FOR, OR

ANY OTHER SIMILAR IDENTIFYING INFORMATION REGARDING THE COMPANY OR ANY OF ITS

INVESTMENTS (INCLUDING THE NAMES OF ANY EMPLOYEES OR AFFILIATES THEREOF) AND (B)

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NOTHING IN THIS PARAGRAPH SHALL LIMIT THE ABILITY OF A PROSPECTIVE INVESTOR TO

MAKE ANY DISCLOSURE TO THE INVESTOR’S TAX ADVISORS OR TO THE IRS OR ANY OTHER

TAXING AUTHORITY.

INVESTMENTS IN COMPANY NOTES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED

OR ENDORSED IN ANY WAY BY, HPS, HIGHBRIDGE, JPM (AS DEFINED BELOW), ANY OF THEIR

AFFILIATES, OR ANY OTHER BANK. NONE OF HPS, HIGHBRIDGE, JPM, ANY OF THEIR AFFILIATES,

THE U.S. FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER BANK OR

GOVERNMENTAL AGENCY, DIRECTLY OR INDIRECTLY, GUARANTEES, ASSUMES OR OTHERWISE

INSURES THE OBLIGATIONS OR PERFORMANCE OF THE COMPANY OR OF ANY FUND OR

COMPANY IN WHICH THE COMPANY OR ANY SUBSIDIARY OF THE COMPANY INVESTS. ANY

LOSSES IN THE COMPANY ARE BORNE SOLELY BY INVESTORS IN THE COMPANY AND NOT BY

HPS, HIGHBRIDGE, JPM OR ANY OF THEIR AFFILIATES; THEREFORE ANY LOSSES OF JPM AND ITS

AFFILIATES IN THE COMPANY WILL BE LIMITED TO LOSSES ATTRIBUTABLE TO THE INTERESTS

IN THE COMPANY OR SUBCO (IF ANY) HELD BY JPM AND ITS AFFILIATES IN THEIR CAPACITY AS

INVESTORS IN SUCH ENTITY.

CERTAIN INFORMATION CONTAINED IN THIS MEMORANDUM CONSTITUTES “FORWARD-

LOOKING STATEMENTS,” WHICH CAN BE IDENTIFIED BY THE USE OF FORWARD-LOOKING

TERMINOLOGY SUCH AS “MAY,” “WILL,” “SHOULD,” “EXPECT,” “ANTICIPATE,” “TARGET,”

“PROJECT,” “ESTIMATE,” “INTEND,” “CONTINUE” OR “BELIEVE,” OR THE NEGATIVES THEREOF OR

OTHER VARIATIONS THEREON OR COMPARABLE TERMINOLOGY. DUE TO VARIOUS RISKS AND

UNCERTAINTIES, ACTUAL EVENTS OR RESULTS OR THE ACTUAL PERFORMANCE OF THE

COMPANY MAY DIFFER MATERIALLY FROM THOSE REFLECTED OR CONTEMPLATED IN SUCH

FORWARD-LOOKING STATEMENTS.

AS USED HEREIN, “$” OR “DOLLARS” MEANS U.S. DOLLARS AND “€” MEANS EUROS.

FOR ALL PURPOSES OF THIS MEMORANDUM, EXCEPT AS EXPRESSLY PROVIDED HEREIN OR

UNLESS THE CONTEXT OTHERWISE REQUIRES, (I) THE WORDS “INCLUDING,” “INCLUDES,”

“INCLUDE,” AND WORDS OF SIMILAR IMPORT SHALL BE DEEMED TO BE FOLLOWED BY THE

PHRASE “WITHOUT LIMITATION” AND SHALL BE REGARDED AS A REFERENCE TO NON-

EXCLUSIVE AND NON-CHARACTERIZING ILLUSTRATIONS AND (II) IN ANY CASE WHERE HPS,

HIGHBRIDGE, JPM, THE INVESTMENT ADVISER OR THE TRADING MANAGER IS AUTHORIZED OR

REQUIRED TO TAKE AN ACTION, MAKE ANY DETERMINATION OR GIVE ANY APPROVAL OR

CONSENT, IT SHALL DO SO IN ITS SOLE DISCRETION OR SOLE JUDGMENT TAKING INTO ACCOUNT

ANY CONSIDERATIONS IT DEEMS APPROPRIATE. IN THE EVENT OF ANY CONFLICT OR

INCONSISTENCY BETWEEN THE DEFINITION OF A DEFINED TERM IN THIS MEMORANDUM AND

THE SAME TERM IN THE COMPANY ARTICLES OR THE TERMS AND CONDITIONS OF THE

COMPANY NOTES, THE DEFINITION IN THE COMPANY ARTICLES OR TERMS AND CONDITIONS OF

THE COMPANY NOTES SHALL CONTROL.

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TABLE OF CONTENTS

Page

OVERVIEW OF PRINCIPAL TERMS ........................................................................................................................ 1

STRUCTURE CHART ............................................................................................................................................... 12

RISK FACTORS ......................................................................................................................................................... 13

CONFLICTS OF INTEREST...................................................................................................................................... 26

THE COMPANY & SUBCO ...................................................................................................................................... 33

THE INVESTMENT ADVISER & THE TRADING MANAGER ............................................................................ 36

THE ADMINISTRATOR ........................................................................................................................................... 40

THE DOMICILATION AGENT ................................................................................................................................ 41

NOTEHOLDER ADVISORY COMMITTEES .......................................................................................................... 41

FEES, COMPENSATION AND EXPENSES ............................................................................................................ 42

CURRENCY ............................................................................................................................................................... 44

DESCRIPTION OF THE COMPANY........................................................................................................................ 45

DESCRIPTION OF SUBCO ....................................................................................................................................... 46

SUBSCRIPTIONS FOR COMPANY NOTES ........................................................................................................... 47

SUITABILITY REQUIREMENTS; LIMITATIONS ON TRANSFERABILITY ..................................................... 48

REDEMPTIONS ......................................................................................................................................................... 50

DISTRIBUTIONS ....................................................................................................................................................... 51

VALUATION OF SUBCO’S ASSETS ...................................................................................................................... 52

CERTAIN UNITED STATES TAX CONSIDERATIONS ........................................................................................ 52

CERTAIN LUXEMBOURG TAX CONSIDERATIONS .......................................................................................... 55

CERTAIN OTHER REGULATORY CONSIDERATIONS ...................................................................................... 57

ANTI-MONEY LAUNDERING REGULATIONS .................................................................................................... 60

GENERAL INFORMATION ...................................................................................................................................... 62

ADDITIONAL INFORMATION................................................................................................................................ 63

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APPENDIX A INVESTMENT GUIDELINES AND CHECKLIST ........................................................................ A-1

APPENDIX B SUBSCRIPTION AGREEMENT ..................................................................................................... B-1

APPENDIX C COMPANY NOTES TERMS AND CONDITIONS ........................................................................ C-1

APPENDIX D SUBCO NOTES TERMS AND CONDITIONS .............................................................................. D-1

APPENDIX E CONTACT INFORMATION .......................................................................................................... E-1

APPENDIX F FORM ADV PART 2A ..................................................................................................................... F-1

APPENDIX G RESTRICTIONS ON SALES IN SELECTED JURISDICTIONS ................................................... G-1

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RCS B: 193.463

____________

OVERVIEW OF PRINCIPAL TERMS

The following overview is intended to highlight certain information contained in the body of this

Information Memorandum (together with any amendments or supplements hereto, this “Memorandum”). This

overview is qualified in its entirety by information appearing elsewhere in this Memorandum, the terms and

conditions of the Company Notes (as defined below), the terms and conditions of the SubCo Notes (as defined

below) and the Articles of Association of the Company or SubCo (as applicable, the “Company Articles” and

“SubCo Articles”).

THE COMPANY: Highbridge – GIM Credit Lux S.A., a securitization company incorporated as a

société anonyme de titrisation under (1) The Law of 10 August 1915 on

commercial companies, as amended and (2) The Law of 22 March 2004 on

securitization, as amended, each of the Grand Duchy of Luxembourg (the

“Company”), was incorporated on December 16, 2014 with a share capital of

EUR 31,000 as an orphan entity and a special purpose vehicle whose objects

and purposes are primarily the issue of securities.

The directors of the Company are: Fabian Sires, Christiaan van Arkel and Faith

Rosenfeld. One or more of the directors may be replaced as directors of the

Company.

SUBCO: Highbridge – GIM Credit Master Lux S.à r.l., a company incorporated as a

société à responsabilité limitée under The Law of 10 August 1915 on

commercial companies, as amended, of the Grand Duchy of Luxembourg

(“SubCo”), was incorporated on December 17, 2014 with a share capital of

USD 20,000 by the Company.

The managers of SubCo are: Fabian Sires, Johannes de Zwart and Faith

Rosenfeld. One or more of the managers may be replaced as managers of

SubCo.

THE SHAREHOLDER: Palaos S.à r.l., a société à responsabilité limitée incorporated under the laws of

the Grand Duchy of Luxembourg on November 11, 2014 with a share capital of

EUR 12,500, is currently the sole shareholder of the Company. It is expected

that, following the initial issuance of the Company Notes, all of the shares of

the Company will be transferred to another entity. The holder of the shares of

the Company shall be referred to herein as the “Shareholder.” The Shareholder

has entered into a services agreement with Arendt (as defined below) under

which it may only exercise its voting rights as Shareholder in accordance with

instructions from Arendt & Medernach.

The Company is the sole shareholder of SubCo.

INVESTMENT OBJECTIVE

AND STRATEGY:

The Company has purchased equity interests in and has exposure, indirectly

through its investment in SubCo, to a diversified portfolio owned by SubCo

consisting primarily of first lien loans purchased in primary or secondary

markets in accordance with the investment guidelines attached hereto as Exhibit

A (the “Investment Guidelines”). Such exposure will be attained by investing

in profit participating notes issued by SubCo (the “SubCo Notes”) and

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potentially through direct investments or activities of the Company. It is

expected that such direct investments or activities of the Company (if made)

would consist of short-term investments made from potential excess funds of

the Company. SubCo’s investments are generally expected to be denominated

in U.S. dollars and purchased in primary or secondary markets.

With the prior approval of the Advisory Committee, SubCo may obtain

leverage by one of several means, including total return swaps or other forms of

leverage, collateralized by its assets in accordance with the Investment

Guidelines.

There can be no assurance that the Company’s and SubCo’s investment

objectives will be achieved, and investment results may vary substantially

over time.

INVESTMENT ADVISER

AND TRADING MANAGER:

Highbridge Principal Strategies, LLC (“HPS”), a Delaware limited liability

company, will act as investment adviser (the “Investment Adviser”) of the

Company under the terms of an investment advisory agreement (the

“Investment Advisory Agreement”) and as trading manager (the “Trading

Manager”) of SubCo under the terms of an investment management agreement

(the “Investment Management Agreement”).

The Investment Adviser’s role as investment adviser to the Company will be

non-discretionary, including without limitation, with respect to the Company’s

investment in SubCo Notes, while the Trading Manager will actively manage

SubCo’s investment activities on a discretionary basis.

The Investment Adviser and Trading Manager will, in all cases, be the same

entity. Noteholders will be given the opportunity to redeem their Company

Notes prior to a resignation by the Investment Adviser or Trading Manager

becoming effective. The appointment of a new Investment Adviser and

Trading Manager will require the consent of the Advisory Committee (as

defined below).

Ms. Purnima Puri and Mr. Serge Adam will serve as co-Portfolio Managers

with respect to SubCo’s investment mandate.

HPS is a subsidiary of Highbridge Capital Management, LLC (“Highbridge”),

which itself is a subsidiary of JPMorgan Asset Management Holdings Inc.

(“JPMAM”). JPMAM is a subsidiary of JPMorgan Chase & Co. (together with

its affiliates, “JPM”).

ADMINISTRATOR;

DOMICILIATION AGENT:

BNP Paribas Securities Services, Luxembourg Branch and/or certain of its

affiliates to whom BNP Paribas Securities Services, Luxembourg Branch has

delegated some tasks, a société en commandite par actions (S.C.A.)

incorporated under the laws of France, registered with the Registre du

Commerce et des Sociétés of Paris under number 552 108 011, whose

registered office is at 3, rue d'Antin - 75002 Paris, France and acting through its

Luxembourg branch whose office is at 33, rue de Gasperich, L-5826

Hesperange, Grand Duchy of Luxembourg and registered with the Luxembourg

Register of Commerce and Companies under number B 86.862 (collectively,

“BNP”, and BNP, in its capacity as administrator, the “Administrator”) and

TMF Luxembourg S.A. (“TMF”), a company validly organised and existing

under the laws of the Grand-Duchy of Luxembourg, having its registered office

and principal place of business at 46A, Avenue J.F Kennedy, L-1855

Luxembourg, registered with the Luxembourg Register of Trade and

Companies (R.C.S. Luxembourg) under number B 15302, will provide certain

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administrative, custodian and domiciliation services to the Company and

SubCo. It is expected that, following the initial issuance of the Company

Notes, TMF will be replaced as domiciliation agent to the Company and Subco.

ELIGIBLE INVESTORS: The Company Notes shall be purchased outside the United States by certain

affiliates and controlled subsidiaries and entities of Assicurazioni Generali

S.p.A. that are non-U.S. Persons. The term “non-U.S. Person” means,

generally, any person who is not a “U.S. Person” within the meaning of (i)

Regulation S under the U.S. Securities Act of 1933, as amended, (ii) the U.S.

Commodity Exchange Act, as amended, and (iii) Section 7701(a)(30) of the

U.S. Internal Revenue Code of 1986, as amended. Such meanings are set forth

in Company’s subscription agreement.

Investors subject to the U.S. Employee Retirement Income Security Act of

1974, as amended (“ERISA”), may not purchase Company Notes.

COMPANY NOTES: The Company has issued participating redeemable subordinated notes (the

“Company Notes”) to investors (each such investor, upon purchase of the

Company Notes, a “Noteholder”). The Company intends the Company Notes

to be treated as Genussscheine for purposes of German law.

The Company Notes are direct and limited recourse obligations of the

Company. Each Company Note will have a denomination of EUR 100,000 and

the total principal amount of the Company Notes to be issued will be EUR

1,000,000,000. The Company Notes will be issued in registered form only and

will not be rated. All Company Notes (irrespective of whether they form part

of one or different series) will be of a single class, will rank equally and will

entitle the holders thereof to participate on a pro rata basis in the profits of the

Company as set forth herein. The assets of the Company and the Assets of

SubCo and the proceeds thereof are the only remedy available to the

Noteholders for the purpose of recovering amounts payable in respect of the

Company Notes. Please see “Terms & Conditions of the Company Notes.”

Within three years of the date of the initial issuance of Company Notes (the

“Initial Issuance Date”) the Company may issue additional Company Notes (the

“Issuance Period”). Company Notes will generally be issued in series, with a

new series established each time additional Company Notes are issued.

Each Company Note will have a maturity date that is seven years from the

Initial Issuance Date and will be redeemable prior to maturity as set forth below

under “Redemptions.” Accordingly, unless redeemed prior to maturity,

Company Notes issued on different dates will have the same maturity dates.

Upon maturity, the Company Notes will be redeemed for an amount calculated

as set forth in the Memorandum and the terms and conditions of the Company

Notes.

The amount paid upon any redemption of a Company Note prior to maturity

will be calculated as set forth in the Memorandum and the terms and conditions

of the Company Notes.

For as long as any Company Notes are outstanding, neither the Company nor

SubCo will incur any indebtedness (other than for fees, expenses and other

liabilities incurred in the ordinary course of Company’s and SubCo’s

operations) without the prior consent of the Advisory Committee.

The Company will endeavor to list the Company Notes on the Irish Stock

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9842224.12

Exchange (the “ISE”) within 2 months following March 30, 2015, the date of

their issuance. If any Company Notes are not listed on the ISE within 2 months

following the date of their issuance, the Company shall have another 30

Business Days to cause the Company Notes to be listed on the ISE. If the

Company Notes are not listed at the end of such additional period, each

Noteholder shall have the right to redeem such unlisted Company Notes as set

forth under “Extraordinary Redemption Right” below.

SUBCO NOTES: SubCo shall issue participating redeemable notes to the Company in

consideration for a subscription price in the amount of the net proceeds

received by the Company from the issuance of the Company Notes to the

Noteholders. No SubCo Notes shall be issued to a person other than the

Company and certain other persons as described under “Alignment of Interests”

below; except as set forth in “Redemptions,” “Extraordinary Acceleration” and

“Extraordinary Redemption Right” below.

SubCo Notes will generally be issued in series corresponding to series of

Company Notes, with a new series established each time additional SubCo

Notes are issued.

RECYCLING: SubCo may re-invest within five years of the Initial Issuance Date (the

“Recycling Period”) or such longer period approved of by the Advisory

Committee, any proceeds from its investments, excluding fees and interests

paid by the relevant borrowers, up to the principal amount of such investments.

At each calendar month-end, if SubCo holds cash (excluding amounts awaiting

distribution to holders of SubCo Notes, amounts reserved in respect of pending

investments and amounts used to satisfy or provide for any fees, costs, expenses

and/or debt or other obligations) in excess of 10%, or such greater percentage

as may be mutually agreed by the Trading Manager and the Advisory

Committee, of the estimated Net Asset Value of SubCo on such date as

calculated by the Administrator within 1 day of such date (without reduction for

the outstanding value of the SubCo Notes), such excess will be distributed by

SubCo to the holders of the SubCo Notes, except as otherwise resolved by the

Advisory Committee. The Company, in turn, will distribute to Noteholders

within 1 business day following the receipt of the corresponding distribution

from SubCo its portion of such excess pro rata in accordance with the face

value of the Company Notes held by each Noteholder as of the end of the

applicable calendar month net of amounts reserved in respect of pending

investments, expenses and/or debt still due by the Company at the applicable

calendar month-end or other obligations. The net asset value of SubCo shall

equal the fair market value of SubCo’s assets less SubCo’s liabilities (excluding

the outstanding value of the SubCo Notes), in each case as determined by the

Administrator in accordance with Luxembourg GAAP (“Net Asset Value”).

Following delivery of notice of termination of the Investment Management

Agreement, the Trading Manager shall not purchase any additional investments

(but may, for the avoidance of doubt, dispose of existing investments and

continue any hedging program requested by a majority of the Noteholders and

approved by the Advisory Committee).

ALIGNMENT OF

INTERESTS:

Certain senior personnel of HPS deemed eligible in the discretion of the Board

of Managers are expected to purchase SubCo Notes in an aggregate amount of

at least $5 million.

The Trading Manager may rebate some or all of its Management Fee and/or

Incentive Fee (each as defined below) with respect to any holder of SubCo

Notes and intends to rebate some or all of the Management Fee and/or

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Incentive Fee with respect to certain principals, employees and/or affiliates of

the Trading Manager, Highbridge or JPM. Any such rebate may be effected by

SubCo retaining the amount of the rebated fees and issuing to the applicable

holder of SubCo Notes additional SubCo Notes in an amount equal to the

amount of rebated fees. For the avoidance of doubt, such rebate will not reduce

the $5 million dollar minimum amount referenced above and such additional

SubCo Notes will not have liquidity terms better than those available to other

Noteholders or holders of SubCo Notes, as applicable.

CURRENCY: All subscription amounts in respect of the Company Notes and all distributions

to the Noteholders will be made in euros. All calculations or determinations of

value (including for purposes of calculating the Incentive Fee and Management

Fee payable by SubCo), however, shall be performed using U.S. dollars as the

base currency, and except as otherwise provided herein, all non-U.S. dollar

assets and liabilities shall be considered to be the U.S. dollar equivalent thereof.

The Company or SubCo may seek to hedge the U.S. dollar-Euro currency

exposure of the Noteholders upon the request of a majority of Noteholders if

the Advisory Committee has consented to implementation of a U.S. dollar-Euro

currency hedging program, provided that, per the Investment Guidelines,

SubCo may not invest in loans denominated in a currency other than U.S.

dollars without Advisory Committee and majority Noteholder consent.

MANAGEMENT FEE &

INCENTIVE FEE:

In consideration for the services rendered pursuant to the Investment

Management Agreement, SubCo shall pay to the Trading Manager a

management fee (the “Management Fee”) and an incentive fee (the “Incentive

Fee”) in accordance with the Investment Management Agreement.

DISTRIBUTIONS: Generally, to the extent permitted by applicable law, the Company will make

distributions of Current Proceeds (as defined below) at the end of each calendar

quarter to Noteholders; provided, however, that the Board of Directors or its

delegate may determine to make distributions at such other times as it may

determine in its sole discretion.

Such distributions by the Company to Noteholders will generally consist of the

net profits received by the Company from SubCo with respect to the applicable

series of SubCo Notes (which will be primarily based on SubCo’s net cash

interest receipts from its investments) (“Current Proceeds”) and will be made

pro rata in accordance with the face value of the Company Notes held by each

Noteholder within each series of Company Notes as of the end of the applicable

calendar quarter. The Company or SubCo, in its sole discretion, may use or

reserve some or all of the Current Proceeds for current or estimated expenses

(including Management Fees and Incentive Fees), liabilities or contingencies of

any kind or if the Investment Adviser or Trading Manager determines in good

faith that a distribution of Current Proceeds would be adverse to the Company

or SubCo due to unusual market environments, the terms of borrowings or

otherwise. Neither the Company nor SubCo will be required to make

distributions unless it has a sufficient amount of Current Proceeds (as

determined by the Investment Adviser or the Trading Manager, as applicable)

to distribute at such time.

Should a Noteholder wish for its allocable portion of the Current Proceeds

available for distribution to be retained by the Company and SubCo rather than

distributed, such Noteholder may elect as such by so indicating in the

subscription agreement. Such election, once made, may be changed at the

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request of the relevant Noteholder. Distributions retained in this manner either

will be credited to the series from which they originated or result in the

issuance to the applicable Noteholder of additional Company Notes of a new

series in an amount equal to the amount of the retained distribution.

NOTEHOLDER ADVISORY

COMMITTEES:

A separate advisory committee will be established with respect to each of the

Company and SubCo (together, the “Advisory Committee”), each of which shall

be comprised of at least three representatives of Noteholders, nominated by such

Noteholders and appointed by the Board of Directors and the Board of Managers

(which appointment will not be unreasonably withheld), as applicable, and one

non-voting observer appointed by the board of managers of the Shareholder, provided that no member of the Advisory Committee shall be an affiliate,

employee, agent or representative of the Investment Adviser or Trading Manager,

but that any such person may serve as the non-voting investment adviser

representative, non-voting trading manager representative or non-voting observer

of the Advisory Committee. The Advisory Committee will (i) provide such advice

and counsel as is requested by the Investment Adviser or Trading Manager in

connection with potential conflicts of interest involving the Company and/or

SubCo, including, where appropriate, approval or disapproval of transactions or

other matters giving rise to such conflicts, and (ii) provide such other advice and

counsel, or approve or disapprove such other matters, as are reasonably requested

by the Investment Adviser or Trading Manager. In addition, the consent of the

Advisory Committee shall be required (w) with regard to the extension of the

Issuance Period and/or of the Recycling Period, (x) in connection with any

amendment of the Investment Advisory Agreement or Investment Management

Agreement, any change to the main service providers listed on Schedule A thereof

or any termination of the Investment Advisory Agreement or Investment

Management Agreement by the Company or SubCo, as applicable, (y) in

connection with any termination, transfer or assignment of the Investment

Advisory Agreement or Investment Management Agreement, or the duties and

obligations under the Investment Advisory Agreement or Investment Management

Agreement, by the Investment Adviser or the Trading Manager, or the

appointment of a new investment adviser or trading manager in place of the

Investment Adviser or the Trading Manager and (z) in connection with any

borrowing by the Company and/or SubCo and the adoption of any currency

hedging program. The Advisory Committee’s recommendation shall be required

with regard to variations and deviations from the Investment Guidelines. Any

approval and/or recommendation by the Advisory Committee shall require the

consent of the majority of its members. Notwithstanding the foregoing, the

Investment Adviser, the Trading Manager, the Board of Directors and the Board of

Managers will retain ultimate responsibility for making all decisions relating to the

operation, conduct and management of the business and affairs of the Company

and SubCo, as applicable. Any member of the Advisory Committee nominated by

a Noteholder may be removed by such Noteholder, and a new member may then

be nominated by such Noteholder for appointment by the Board of Directors. The

operations of the Advisory Committee shall be governed by the Advisory

Committee’s charter.

ORGANIZATIONAL,

OPERATING AND OTHER

EXPENSES:

The Company bears its own operating and other expenses, including, but not

limited to, (i) organizational expenses, (ii) administrative, legal, audit,

directors’ fees, internal and external accounting fees and expenses (including

expenses of updating the governing documents of the Company), (iii) other

operating expenses (including costs of investor communications (including

reports to the Noteholders), tax filing preparation expenses and taxes or

assessments (if any)), (iv) rating agency fees, (v) expenses related to Euro-U.S.

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9842224.12

dollar conversion and hedging with respect to the Company Notes and profit

and loss arising from those hedging activities (such fees and expenses listed in

(iv) and (v) “Investor Expenses”) and (vi) extraordinary or non-recurring

expenses.

As the Company invests in SubCo Notes, which participate in the profits of

SubCo, the Company is also indirectly subject to the expenses of SubCo. These

expenses include expenses similar to those outlined above with respect to the

Company and also include the cost of investments and associated expenses

(including all investment and transaction fees and expenses such as fees to agents

and settlement costs, brokerage commissions, interest expenses and other expenses

associated with leverage, custodial fees, bank service fees and other charges for or

related to transactions), research, data fees, company or analyst conferences, due

diligence meetings and travel and lodging expenses related thereto, certain costs of

computer hardware, computer software, telecommunications equipment and

services, research, equipment leases and other equipment, and professional fees

relating to investments.

Notwithstanding the foregoing, the ordinary and recurring expenses (excluding

organizational expenses, Investor Expenses, Incentive Fees, Management Fees

and, to the extent any permitted indebtedness is approved by the Advisory

Committee, expenses related to such indebtedness) for the Company and SubCo

shall not in the aggregate exceed 0.12% per annum of the aggregate purchase price

of the outstanding Company Notes, provided that the Advisory Committee and the

Trading Manager will consult in good faith in case of large redemptions

(cumulatively more than 20% of the aggregate subscriptions) and will periodically

review in good faith in light of actual expenses incurred. At any time during each

fiscal year, the Advisory Committee members may request and receive from the

Trading Manager a full and detailed list of the expenses charged to the Company

and/or to SubCo up to the date of the request.

The Company or SubCo, as applicable, will pay or reimburse HPS or its affiliates

if they incur the expenses set forth above in connection with their activities for the

Company or SubCo.

The Investment Advisor and the Trading Manager shall pay their own overhead

expenses.

RISK FACTORS AND

POTENTIAL CONFLICTS

OF INTEREST:

An investment in Company Notes is speculative and involves a high degree of

risk. Risks described herein apply to investments made by the Company

directly as well as indirectly through SubCo. There can be no assurance that

the Company’s or SubCo’s investment objective will be achieved, and

investment results may vary substantially from year to year. In addition, there

are significant and potential conflicts of interest, including conflicts among the

Noteholders and the Company, on one hand, and Highbridge, HPS or JPM, on

the other hand. For example, Highbridge employs trading strategies that are

substantially similar to SubCo’s trading strategy on behalf of other clients.

Certain risks of investing in the Company and potential conflicts of interest

relating thereto are described in more detail under the heading “Risk Factors”

and under the heading “Conflicts of Interest.” Each prospective investor is

urged to consider and evaluate such risks and conflicts prior to making

any decision to invest in the Company.

PRINCIPAL AND AGENCY

CROSS TRANSACTIONS:

The Company and any entities through which the Company invests indirectly,

including without limitation SubCo (collectively, the “Company Entities”), may

engage in principal and/or agency cross transactions with or through JPM with

respect to which JPM will receive commissions, fees or mark-ups, in all cases

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9842224.12

subject to applicable law, including the Dodd-Frank Wall Street Reform and

Consumer Protection Act (the “Dodd-Frank Act”). An agency cross transaction

arises when an investment adviser, or any broker-dealer affiliated with the

adviser, acts as a broker in a securities transaction for both an advisory client

and a person on the opposite side of the transaction. The affiliated broker-

dealer basically transfers (or crosses) the securities from one account to

another. Company Entities would not be able to enter into principal

transactions with JPM, or any of its affiliates, absent consent on a transaction-

by-transaction basis before completion of each such transaction. In addition,

Company Entities would not be able to enter into agency cross transactions

through JPM absent consent on a blanket prospective basis and disclosures on a

transaction-by-transaction basis. The ability of Company Entities to enter into

the transactions described above may be further limited due to the Dodd-Frank

Act and certain provisions therein known as the “Volcker Rule.” Please see

“Certain Other Regulatory Considerations” in the Memorandum and,

specifically, “—Federal Banking Laws” therein.

Advisory Committee approval will be required in order for Company Entities to

enter into principal transactions with JPM in a manner consistent with

applicable law, including Section 206(3) of the Investment Advisers Act of

1940, as amended (the “Advisers Act”). Agency cross transaction will be

executed through the use of a methodology to determine the transfer price

deemed fair and equitable by the Board of Directors, the Board of Managers or

the other applicable Company Entity’s governing body. Noteholders, the

Company and SubCo will be bound by any principal transaction consents

granted by the Advisory Committee.

USE OF PROCEEDS: The proceeds received by the Company from the issue of the Company Notes

shall be used for general expenses, the purchase of the equity interest in SubCo

and to subscribe for the SubCo Notes. After payment of expenses and the

reserves for expenses and liabilities of the Company, issue proceeds are used to

subscribe for SubCo Notes or otherwise pursue the investment program. The

proceeds received by SubCo from the sale of the SubCo Notes, after payment

of expenses and the establishment of necessary reserves, will be used to pursue

its investment program. The Company, SubCo and/or HPS, on behalf of the

applicable Company Entity, may create reserves or special accounts at any time

to cover expenses of such Company Entity or contingencies of any kind

(including unspecified contingencies, even if such reserves, holdbacks or

special accounts are not required in accordance with Luxembourg generally

accepted accounting principles).

REDEMPTIONS: Subject to the following terms and conditions and to the exceptions noted

elsewhere herein, a Noteholder may, upon at least 90 days’ prior written notice

to the Company, redeem all or any portion of its Company Notes as of

December 31, 2016 and as of every second December 31 thereafter (i.e.,

December 31, 2018, December 31, 2020, etc.) (each, a “Redemption Date”).

Upon the Company’s receipt of a redemption notice for a particular

Redemption Date, the Company shall immediately provide the notice to SubCo.

Upon SubCo’s receipt of such notice, the Trading Manager shall determine

which securities to liquidate, taking into account the overall diversification and

liquidity of SubCo’s remaining securities, and shall use commercially

reasonable efforts to distribute liquidation proceeds to the Company. The

Company shall in turn use commercially reasonable efforts to distribute

redemption proceeds within 30 days of the applicable Redemption Date,

provided that there can be no assurances that redemption proceeds will be paid

in such time period and, under certain circumstances, the Company may extend

the payment period for redemption proceeds. Notwithstanding the foregoing,

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9842224.12

the Company may determine not to effect partial redemptions of Company

Notes in amounts less than EUR 1,000,000. The Company, in consultation

with the Investment Adviser, may waive such notice and other requirements

and/or limitations and/or permit redemptions at other times.

The amount paid upon redemption of a Company Note will be calculated as set

forth in the Memorandum and the terms and conditions of the Company Notes.

The Company may compel redemption of any or all of a Noteholder’s

Company Notes in the event that the Board of Directors, after receipt of written

advice of counsel, reasonably determines that the continued holding of

Company Notes by such Noteholder (i) may result in adverse legal, tax or

regulatory consequences to the Company, the Investment Adviser, Highbridge

or to the Noteholders generally or (ii) is in violation of applicable law or

regulation.

Redemption proceeds will be paid in cash or, upon the request of a Noteholder

or the determination of the Investment Adviser with the consent of the

Advisory Committee, in kind. Cash redemption proceeds will be paid by wire

transfer at the expense of the redeeming Noteholder. In-kind delivery of

redemption proceeds may take the form of delivery of SubCo Notes or

investments of SubCo, with the value of either confirmed by a third-party

valuation agent selected by the Trading Manager and approved by a majority of

the Noteholders. The Company may withhold up to 10% of the proceeds of a

complete redemption until the Company has received the audited financial

statements for the relevant year and any resulting adjustments have been made.

The Company, in consultation with the Investment Adviser, may suspend or

defer redemptions, the calculation of the Company’s net assets and/or the

payment of redemption proceeds during the existence of any state of affairs as a

result of which the board of managers of SubCo (the “Board of Managers”) is

unable to value and/or dispose of SubCo’s assets (or, in the opinion of the

Investment Adviser, it is not reasonably practicable or would be prejudicial to

Noteholders to do so).

EXTRAORDINARY

ACCELERATION:

Should a Noteholder cease to be able to hold Company Notes by reason of

applicable law or regulations, the Noteholder shall be entitled to accelerate the

Company Notes held by it by giving written notice of such acceleration to the

Company and requesting delivery to such Noteholder of SubCo Notes, pro rata

according to the aggregate number of Company Notes outstanding; provided

that, this right to accelerate is subject to the requesting Noteholder meeting all

eligibility requirements and not subjecting SubCo or the holders of SubCo

Notes to any adverse tax or regulatory consequences.

EXTRAORDINARY

REDEMPTION RIGHT: If (i) the anticipated tax treatment of the Company and the Company Notes (as

set out in the section "Tax Considerations" below) contemplated in the tax

opinion delivered by Arendt (as defined below) is not or no longer achieved,

(ii) significant unanticipated taxes are triggered at the level of SubCo, (iii) the

continued holding of Company Notes by a Noteholder may result in adverse

legal, tax or regulatory consequences to the Noteholder or is in violation of law

or regulation applicable to a Noteholder or (iv) Company Notes are not listed

on the ISE within the timeframe set forth above under “Company Notes,” the

affected Noteholders will have the right, but shall not be obliged, to redeem the

applicable Company Notes held by them as of the month-end no sooner than 90

days following their written request for such redemption, regardless of whether

such date would otherwise be a Redemption Date. Proceeds of any such

extraordinary redemption will be paid as set forth under “Redemptions” above.

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The terms and conditions of the SubCo Notes provide for substantially identical

extraordinary redemption rights.

TRANSFER

RESTRICTIONS:

Notes are freely transferable, provided that a Noteholder may not transfer

Company Notes if such transfer would,

(i) cause a dissolution of the Company under Luxembourg law;

(ii) cause the Company’s or SubCo’s assets to be deemed to be “plan

assets” for purposes of ERISA (as defined below);

(iii) cause the Company or SubCo to be an “investment company” within

the meaning of the Investment Company Act;

(iv) result in any adverse tax consequences to the Company or SubCo (or

to the Noteholders generally);

(v) cause the Investment Adviser or Highbridge to be in violation of the

Advisers Act and the rules promulgated thereunder; or

(vi) violate, or cause the Company, SubCo, the Investment Adviser or

Highbridge to violate, any applicable law or regulation, including any

applicable securities laws.

Insofar and as long as a German insurance company holds Company Notes as

part of its guarantee assets ("Sicherungsvermögen" as defined in Section 66 or

Section 115 of the German Insurance Supervisory Act

(Versicherungsaufsichtsgesetz)) and such German insurance company is either

in accordance with Section 70 of the German Insurance Company Act

(Versicherungsaufsichtsgesetz) under the legal obligation to appoint a trustee

(Treuhänder) or is subject to similar legal requirements, such German

insurance company shall transfer such Company Notes only with the prior

written consent of such trustee or its authorised representative appointed in

accordance with Section 70 of the German Insurance Supervisory Act, as

amended from time to time.

NO SHAREHOLDER

RIGHTS:

Holders of Company Notes do not have shareholder-like management or control

rights.

REPORTS TO

NOTEHOLDERS:

Noteholders will receive month-end performance statements. Noteholders also

will receive annual financial statements of Company audited by

PricewaterhouseCoopers LLP.

SUBORDINATION: The rights under the Company Notes constitute direct obligations of the Company

which, in the event of the liquidation of the Company shall be subordinated to

other obligations of the Company, inter alia obligations vis-à-vis any transactional

party, such as the Administrator.

NO TRANCHING: The Company shall not be permitted to issue any instruments which do not rank

pari passu with the Company Notes, but which are fully or partially senior or

subordinated to the Company Notes.

PORTFOLIO REVIEW: Upon request, personnel of the Investment Adviser and the Trading Manager

will make themselves available to meet with Noteholders quarterly to review

SubCo’s portfolio.

TAX CONSIDERATIONS: The Company will be formed as a Luxembourg securitization company fully-

taxable in Luxembourg and subject to Luxembourg corporate income taxes at

ordinary rates. Commitments assumed vis-à-vis the Company’s shareholders and

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9842224.12

creditors (including dividend distributions and interest accruing under the

Company Notes) will be tax deductible expenses, whether or not paid.

Income and gains derived by the Company (net of general and deductible costs)

will be offset by a deductible expense corresponding to commitments (whether

paid or accrued and left outstanding in a reserve account of the Company) vis-à-

vis the holders of the Company Notes.

Payments made by the Company under the Company Notes will not be subject

to any withholding tax in Luxembourg, subject to the assumptions set forth

under “Certain Luxembourg Tax Considerations”.

The Company will be classified as an association taxable as a corporation for

U.S. federal income tax purposes.

Each Noteholder is urged to consult its tax advisors with respect to the specific

U.S. federal, state, local and non-U.S. tax and/or filing consequences of holding

the Company Notes.

For a more detailed discussion of certain tax consequences of holding the

Company Notes, please see “Risk Factors—Certain Tax Risks” and “Tax

Aspects.”

FISCAL YEAR-END: December 31 of each year.

RELATIONSHIP WITH

JPM:

HPS and Highbridge are directly or indirectly owned by JPM. Subject to

applicable law, JPM may seek to provide services to Company Entities, as

described herein, and no compensation received by JPM will be shared with the

Company. This affiliation with JPM also requires compliance with certain

provisions of the Bank Holding Company Act of 1956, as amended. Please see

“Certain Other Regulatory Considerations” and specifically, please see “—Bank

Holding Company Act of 1956” therein. Additionally, the ability of JPM to

provide services to Company Entities may be further limited due to the Dodd-

Frank Act, including the “Volcker Rule.” Please see “Risk Factors” and

specifically, “Trading Risks—Effect on the Company of the Dodd-Frank Wall

Street Reform and Consumer Protection Act” therein.

COUNSEL: Arendt & Medernach (“Arendt”) acts as Luxembourg counsel and Fried, Frank,

Harris, Shriver & Jacobson LLP (“Fried Frank”) acts as U.S. counsel to the

Company in connection with the Company Notes. Arendt and Fried Frank also

act as counsel to HPS and its affiliates. In connection with the issuance of

Company Notes and subsequent advice to the Company, HPS and its affiliates,

Arendt and Fried Frank will not be representing Noteholders. No independent

counsel has been retained to represent Noteholders.

SUBSCRIPTIONS FOR

NOTES:

Persons interested in subscribing for Company Notes will be furnished with, and

will be required to complete and return to the Administrator, subscription

documents and certain other documents.

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STRUCTURE CHART

The below graphic displays the relationship among the Trading Manager, the Shareholder, the Company and SubCo,

is for illustrative purposes only and is entirely qualified by the rest of this Memorandum. For the avoidance of

doubt, the abbreviation “PPN” in the below graphic refers to the SubCo Notes.

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9842224.12

RISK FACTORS

Investment in the Company Notes is speculative and involves substantial risks, including the risk of loss of

a Noteholder’s entire investment. There can be no assurance that the Company’s or SubCo’s investment objectives

will be achieved or that there will be any return of or on any invested capital, and investment results may vary

substantially from year to year. The Company Notes are a potentially suitable investment only for sophisticated

investors for whom an investment in the Company Notes does not represent a complete investment program and

who, after consultation with their investment, legal and tax advisors, fully understand and are capable of assuming

the risks of an investment in the Company Notes. Prospective purchasers should consider all of the risks involved in

an investment in the Company Notes, including, without limitation, the following risks, before subscribing for the

Company Notes. In addition, there are significant actual and potential conflicts of interest that may arise in

connection with the Company and SubCo. Prospective purchasers should be aware of such conflicts, including for

example one or more of those set forth under “Conflicts of Interest” below. As SubCo’s investment program

develops over time, an investment in the Company Notes may be subject to additional and different risks and

potential conflicts of interest. Where appropriate, the discussion herein relating to activities of the Company

includes risks related to activities engaged in by the Company directly as well as indirectly through SubCo or other

entities. It should be noted that the success of an investment in the Company is dependent on the activities of

SubCo; any risk or conflict of interest with a potentially adverse effect on SubCo will have a correspondingly

adverse effect on the Company. For the avoidance of doubt, this Memorandum, including the following risks

factors, potential conflicts of interest and certain tax and regulatory considerations, is qualified by the Company

Notes Terms and Conditions and the SubCo Notes Terms and Conditions attached to this Memorandum.

Trading Risks

Limited Operating History. The Company and SubCo have limited operating history upon which

prospective investors can evaluate their performance. In addition, the performance of other securitization vehicles,

investment vehicles, funds or accounts managed by HPS or Highbridge is not necessarily indicative of the

performance of the Company or SubCo, since these entities will make different investments than such other

vehicles, funds and accounts. SubCo’s investment program should be evaluated on the basis that there can be no

assurance that it will be successful.

Investments to Be Made. SubCo invests in a diversified, actively managed portfolio consisting primarily

of broadly syndicated senior secured loans purchased in primary or secondary markets. Secured debt investments

may be subject to the risk that SubCo’s security interests in the underlying collateral are not properly or fully

perfected. Compounding these risks, the collateral securing debt investments will often be subject to casualty or

devaluation risks. SubCo may purchase low rated or unrated debt securities within the limits set in the Investment

Guidelines. Such securities may offer higher yields than higher rated securities, but may generally involve greater

volatility of price and risk of principal and income, including the possibility of default by, or bankruptcy of, the

issuers of the securities. In addition, the markets for such securities may be illiquid. SubCo may invest in private

and public debt owed by companies. Where assets are traded on a principal-to-principal basis rather than on

exchanges, SubCo may enter into contracts with dealers as principal to purchase certain securities. Such

transactions are not subject to exchange rules. SubCo may purchase securities issued by companies and

governments of countries other than the United States in accordance with the Investment Guidelines.

Bank Loans. SubCo’s investment program may include investments in bank loans. These obligations are

subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent

conveyance under relevant creditors’ rights laws; (ii) so-called lender-liability claims by the issuer of the

obligations; (iii) environmental liabilities that may arise with respect to collateral securing the obligations; and (iv)

limitations on the ability of SubCo to directly enforce compliance by the obligor with the terms of the instrument

evidencing such loan obligation, or enforce any rights of set-off against the obligor.

To the extent permitted by the Advisory Committee, in purchasing a participation, SubCo may not directly

benefit from the collateral supporting the related loan obligation. As a result, SubCo would assume the credit risk of

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both the obligor and the selling institution, which would remain the legal owner of record of the applicable loan.

Participations are typically sold strictly without recourse to the selling institution, and the selling institution will

generally make no representations or warranties about the underlying loan, the portfolio companies, the terms of the

loans or any collateral securing the loans. Certain loans have restrictions on assignments and participations which

may negatively impact SubCo’s ability to exit from all or part of its investment in a loan.

High Yield Debt Instruments. To the extent permitted by the Investment Guidelines or otherwise upon

the recommendation of the Advisory Committee following a proposal by the Trading Manager, SubCo may

purchase high yield bonds and other debt products, which are rated in the lower rating categories by the various

credit rating agencies (or in comparable non-rated securities). Debt instruments in the lower rating categories are

subject to greater risk of loss of principal and interest than higher-rated securities and are generally considered to be

speculative with respect to the issuers’ capacity to pay interest and repay principal. They are also generally

considered to be subject to greater risk than securities with higher ratings in the event of deterioration of general

economic conditions. Because investors generally perceive that there are greater risks associated with the lower-

rated securities, the yields and prices of such securities may tend to fluctuate more than those of higher-rated

securities. The market for lower-rated securities is thinner and less active than that for higher-rated securities, which

can adversely affect the prices at which these securities can be sold. In addition, adverse publicity and investor

perceptions about lower-rated securities, whether or not based on fundamental analysis, may contribute to a decrease

in the value and liquidity of such lower-rated securities. In addition, rating agencies may downgrade certain

securities held by SubCo. The reduced credit quality of securities held by SubCo may cause the value of such

securities to decrease. Further, no assurances can be given that the ratings on such securities accurately reflect their

risk profiles.

Leverage. With the prior approval of the Advisory Committee, SubCo may obtain leverage collateralized

by its assets for use in its investment program in accordance with the Investment Guidelines. Leverage may take a

variety of forms, including total return swaps and other derivatives, loans for borrowed money, trading on margin

and the use of inherently leveraged instruments. As a result of the use of leverage, the possibilities of profit and loss

are increased. Borrowing money to purchase investments (including through margin loans) will provide SubCo with

the advantages of leverage, but exposes it to increased capital risk and higher current expenses. Any gain in the

value of securities purchased with borrowed money or income earned from these investments that exceeds interest

paid on the amount borrowed would cause SubCo’s Net Asset Value to increase faster than would otherwise be the

case. Conversely, any decline in the value of the securities purchased would cause SubCo’s Net Asset Value to

decrease faster than would otherwise be the case.

SubCo will provide collateral to the lenders from which it borrows. This may expose SubCo to the risk

that, for whatever reason, including without limitation the default, insolvency, negligence, misconduct or fraud of

such lenders, SubCo may not reacquire the ownership of such interests upon the repayment by SubCo of such loans

or otherwise be made whole for any losses. Also, SubCo may forfeit all or a portion of its collateral if SubCo

defaults on such loans. While the Trading Manager will cause SubCo to borrow only from lenders the Trading

Manager believes to be creditworthy, recent developments underscore that lenders’ credit risk could deteriorate

extremely rapidly and unexpectedly under certain circumstances and there can be no absolute certainty that such

lenders will return such interests to SubCo upon the repayment of such loans.

Potential Inability to Obtain Leverage. The credit markets remain volatile and the availability of, and

commercially reasonable terms associated with, indebtedness has become increasingly more difficult to ascertain.

Because of this, there can be no assurance that SubCo will be able to obtain the desired amount of leverage or that

leverage will be accessible by SubCo at any time. If leverage is available to SubCo, there can be no assurance that

such leverage will be on terms favorable to SubCo and/or terms comparable to terms obtained by competitors,

including with respect to interest rates. The failure by SubCo to obtain leverage on favorable terms or at all could

adversely affect the returns of SubCo and impair its ability to achieve its investment objective.

Debtor Risks. A fundamental risk associated with SubCo’s investment activities is the risk that a

corporate debtor will be unable to make principal and interest payments when due. Companies in which SubCo

invests could deteriorate as a result of an adverse development in their business, a change in the competitive

environment, an economic downturn or legal, tax or regulatory changes, among other factors. As a result,

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companies which SubCo expected to be stable may experience financial or business difficulties, including operating

at a loss or having significant variations in operating results or requiring substantial additional capital to support

their operations or to maintain their competitive position.

The companies in which SubCo invests may be highly leveraged within the limits set forth in the

Investment Guidelines, which may have significant consequences to these companies and SubCo as an investor. For

example, a highly leveraged company may be (i) limited in its ability to borrow money for its working capital,

capital expenditures, debt service requirements, strategic initiatives or other purposes; (ii) required to dedicate a

substantial portion of its cash flow from operations to the repayment of its indebtedness, thereby reducing funds

available for other purposes; and (iii) more highly leveraged than some of its competitors, which may place it at a

competitive disadvantage.

Highly leveraged companies may also be subject to restrictive financial and operating covenants, which

may preclude favorable business activities or the financing of future operations or capital needs. However, highly

leveraged companies whose loans do not subject them to financial and operating covenants may be subject to a

separate set of risks.

Instead of using proceeds of debt to make strategic investments or invest in operating or financial assets, or

for working capital, a company may use such proceeds to pay a dividend to stockholders. As a result, these

companies may have limited capital to respond to changing conditions and to take advantage of business

opportunities. A highly leveraged company will be subject to increased exposure to adverse economic factors, such

as a significant rise in interest rates, a severe downturn in the economy or deterioration in the condition of that

company or its industry.

A company may be forced to take other actions to satisfy its obligations if it is unable to generate sufficient

cash flow to meet principal and interest payments. The company may try reducing or delaying capital expenditures,

selling assets, seeking additional capital, or restructuring or refinancing indebtedness. The value of SubCo’s

investment in such company could be significantly reduced or even eliminated if such strategies are not successful

and do not permit the company to meet its scheduled debt service obligations.

Further, the continuing conditions in the worldwide credit markets could adversely affect the companies in

which SubCo may invest. Certain companies may not be able to refinance existing leverage or access the additional

capital they may need to grow or maintain their businesses in the current financial markets.

SubCo may invest in loans that have limited mandatory amortization requirements. While such a loan may

obligate the borrower to repay the loan out of asset sale proceeds or with annual excess cash flow, such requirements

may be subject to substantial limitations and/or “baskets” that would allow a portfolio company to retain such

proceeds or cash flow, thereby extending the expected weighted average life of the investment. In addition, a low

level of amortization of any debt over the life of the investment may increase the risk that the borrower will not be

able to repay or refinance loans when they come due.

SubCo’s investments may be subject to early redemption features, refinancing options, pre-payment

options or similar provisions which, in each case, could result in an issuer repaying the principal on an obligation

earlier than expected. This may happen when there is a decline in interest rates, or when performance allows

refinancing with lower cost debt. To the extent early prepayments increase, they may have a material adverse effect

on SubCo’s investment objectives and the profits on capital invested in fixed income investments.

Ratings may not be indicative of the risks of an investment.

Moreover, companies in which SubCo invests may face intense competition, including competition from

companies with greater financial resources, more extensive development, manufacturing, marketing and other

capabilities, and a larger number of qualified personnel.

Priority of Repayment. The characterization of an investment as senior debt or senior secured debt does

not mean that such debt will necessarily have repayment priority with respect to all other obligations of a portfolio

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company. Portfolio companies may have, and/or may be permitted to incur, other debt and liabilities that rank

equally with or senior to the senior loans in which SubCo invests. If other indebtedness is incurred that ranks in

parity in right of payment or proceeds of collateral with respect to debt securities in which SubCo invests, SubCo

would have to share on an equal basis any distributions with other creditors in the event of a liquidation,

reorganization, insolvency, dissolution or bankruptcy of such a portfolio company. Where SubCo holds a first lien

to secure senior indebtedness, the portfolio companies may be permitted to issue other senior loans with liens that

rank junior to the first liens granted to SubCo. The intercreditor rights of the holders of such other junior lien debt

may, in any liquidation, reorganization, insolvency, dissolution or bankruptcy of such a portfolio company, affect

the recovery that SubCo would have been able to achieve in the absence of such other debt.

Even where the senior loans held by SubCo are secured by a perfected lien over a substantial portion of the

assets of a portfolio company and its subsidiaries, the portfolio company and its subsidiaries will often be able to

incur a substantial amount of additional indebtedness, which may have an exclusive lien over particular assets. For

example, debt and other liabilities incurred by non-guarantor subsidiaries of portfolio companies will be structurally

senior to the debt held by SubCo. Accordingly, any such debt and other liabilities of such subsidiaries would, in the

event of liquidation, dissolution, insolvency, reorganization or bankruptcy of such subsidiary, be repaid in full

before any distributions to an obligor of the loans held by SubCo. Furthermore, these other assets over which other

lenders have a lien may be substantially more liquid or valuable than the assets over which SubCo has a lien.

Effect of Changes in Interest Rates on Investments. Many loans, especially fixed rate loans, decline in

value when long-term interest rates increase. Declines in market value, if not offset by any corresponding gains on

hedging instruments, may ultimately reduce earnings or result in losses to SubCo. In addition, in a low interest rate

environment, borrowers may be less likely to prepay their debts and loans may therefore remain outstanding for a

longer period of time.

Non-Performing Nature of Debt. It is anticipated that certain debt instruments purchased by SubCo will

become non-performing and possibly default. Furthermore, the obligor or relevant guarantor may also be involved

in bankruptcy or liquidation. Loans to companies operating in workout modes or under Chapter 11 of the U.S.

Bankruptcy Code are, in certain circumstances, subject to certain potential liabilities that may exceed the amount of

the loan. For example, under certain circumstances, lenders who have inappropriately exercised control of the

management and policies of a debtor may have their claims subordinated or disallowed or may be found liable for

damages suffered by parties as a result of such actions. In the event of the insolvency of a participation seller, under

the laws of the United States and various state laws, SubCo may be treated as a general creditor of such seller and

may not have any exclusive or senior claim with respect to the seller’s interest in, or the collateral with respect to,

the loan. Consequently, SubCo may be subject to the credit risk of the participation seller as well as that of the

issuer. If SubCo invests in loans in which it has a direct contractual relationship with the borrower, there are

additional risks involved. For example, if a loan is foreclosed, SubCo could become part owner of any collateral,

and would bear the costs and liabilities associated with owning and disposing of the collateral. As a result, SubCo

may be exposed to losses resulting from default and foreclosure. Any costs or delays involved in the effectuation of

a foreclosure of the loan or a liquidation of the underlying assets will further reduce the proceeds and thus increase

the loss. There is no assurance that SubCo will correctly evaluate the value of the assets collateralizing a loan. In

the event of a reorganization or liquidation proceeding relating to the borrower, SubCo may lose all or part of the

amounts advanced to the borrower and any repayment may be significantly delayed. There is no guarantee that the

protection of SubCo’s interests is adequate, including the validity or enforceability of the loan and the maintenance

of the anticipated priority and perfection of the applicable security interests. Furthermore, there is no assurance that

claims may not be asserted that might interfere with enforcement of SubCo’s rights.

Certain Guarantees. SubCo may invest in debt that is guaranteed by a subsidiary of the issuer. In some

circumstances, guarantees of secured debt issued by subsidiaries of a portfolio company and held by SubCo may be

subject to fraudulent conveyance or similar avoidance claims made by other creditors of such subsidiaries under

applicable insolvency laws. As a result, such creditors may take priority over the claims of SubCo under such

guarantees. Under U.S. federal or state fraudulent transfer law, a court may void or otherwise decline to enforce

such debt and SubCo would no longer have any claim against such portfolio company or the applicable guarantor.

In addition, the court might direct SubCo to disgorge any amounts already received from the portfolio company or a

guarantor. In some cases, significant subsidiaries of portfolio companies may not guarantee the obligations of the

portfolio company; in other cases, a portfolio company may have the ability to release subsidiaries as guarantors of

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the portfolio company’s obligations. The repayment of such investments may depend on cash flow from

subsidiaries of a portfolio company that are not themselves guarantors of the portfolio company’s obligations.

Non-Recourse Obligations. SubCo may invest in certain securities that are non-recourse obligations of

issuers. Such obligations are payable solely from proceeds collected in respect of collateral pledged by an issuer to

secure such obligations. None of the owners, officers, directors or incorporators of the issuers, trustees, any of their

respective affiliates or any other person or entity will be obligated to make payments on the obligations.

Consequently, SubCo, as holder of the obligations, must rely solely on distributions of proceeds of collateral debt

obligations and other collateral pledged to secure obligations for payments due in respect of principal thereof and

interest thereon. If distributions of such proceeds are insufficient to make payments on the obligations, no other

assets will be available for such payments and following liquidation of all the collateral, the obligations of the

issuers to make such payments will be extinguished.

Investments in Undervalued Assets. SubCo may invest in undervalued loans and other assets as part of

its investment strategy. The identification of investment opportunities in undervalued loans and other assets is a

difficult task, and there is no assurance that such opportunities will be successfully recognized or acquired. While

investments in undervalued assets offer the opportunity for above-average capital appreciation, these investments

involve a high degree of financial risk and can result in substantial or complete losses.

SubCo may incur substantial losses related to assets purchased on the belief that they were undervalued by

their sellers, if they were not in fact undervalued at the time of purchase. In addition, SubCo may be required to

hold such assets for a substantial period of time before realizing their anticipated value, and, there is no assurance

that the value of the assets would not decline further during such time. Moreover, during this period, a portion of

SubCo’s assets would be committed to those assets purchased, thus preventing SubCo from investing in other

opportunities. In addition, SubCo may finance such purchases with borrowed funds and thus will have to pay

interest on such borrowed amounts during the holding period.

Risk of Publicly Traded Securities. SubCo will invest in publicly traded securities. These investments

are subject to certain risks, including the risk of loss from counterparty defaults and the risks arising from the

volatility of the global fixed-income and equity markets. When buying a publicly traded security, SubCo may be

unable to obtain financial covenants or other contractual rights that SubCo might otherwise be able to obtain in

making privately-negotiated investments. Moreover, SubCo may not have the same access to information in

connection with investments in public securities, either when investigating a potential investment or after making an

investment, as compared to a privately-negotiated investment. Publicly traded securities that are rated by rating

agencies are often reviewed and may be subject to downgrade, which generally results in a decline in the market

value of such security. Furthermore, SubCo may be limited in its ability to make investments and to sell existing

investments in public securities because HPS may have material, non-public information regarding the issuers of

those securities or as a result of other HPS policies, as the case may be. Accordingly, there can be no assurance that

SubCo will continue to make investments in public securities or, if it does, as to the amount it will invest. The

inability to sell securities in these circumstances could materially adversely affect the investment results of SubCo.

Lender Liability Considerations, Equitable Subordination, Disallowance of an Assigned Claim, and

Possible Recharacterization of Claims by a Bankruptcy Court. Several judicial decisions in the United States

have upheld the right of borrowers to sue lending institutions on the basis of various evolving legal theories

(collectively termed “lender liability”). Generally, lender liability is founded upon the premise that an institutional

lender has violated an implied or contractual duty of good faith and fair dealing owed to the borrower or has

assumed a degree of control over the borrower resulting in a creation of a fiduciary duty owed to the borrower or its

other creditors or shareholders. While believed to be unlikely, because of the nature of certain of its investments,

SubCo could be subject to allegations of lender liability. Under U.S. legal principles, if a lender or bondholder (a)

intentionally takes an action that results in the undercapitalization of a borrower to the detriment of the borrower’s

other creditors; (b) engages in deceptive conduct or fraud, makes misrepresentations, or breaches fiduciary duties, to

the detriment of such creditors; (c) uses its influence as a stockholder or creditor to dominate or control a borrower

or its board of directors to the detriment of other creditors of such borrower; or (d) engages in other inequitable

conduct to the detriment of such other creditors, a bankruptcy court may equitably subordinate the claim of the

offending lender or bondholder or, if such claim is assigned by the offending lender or bondholder, a court may

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subordinate the claim of an assignee. For example, if a lender engaged in wrongful conduct that warrants equitable

subordination of its claim against the issuer, and the lender subsequently assigns its claim to SubCo, such claim

asserted by SubCo may be equitably subordinated based on the lender’s conduct. Because of the potential of HPS or

its affiliates to have investments in several positions in the same, different or overlapping levels of a portfolio

company’s capital structure, SubCo may be subject to claims from creditors of a portfolio company that the

investments should be equitably subordinated to the payment of other obligations of the portfolio company by

reason of the conduct of SubCo or HPS and its affiliates, notwithstanding the Trading Manager’s compliance with

the standard of care applicable to its relationship with SubCo. In addition, under certain circumstances, a U.S.

bankruptcy court could also recharacterize claims held by SubCo as equity interests, and thereby subject such claims

to the lower priority afforded equity claims in certain restructuring scenarios. If claims held by SubCo are equitably

subordinated or recharacterized as equity interests, the return on investment or anticipated distributions expected to

be received by SubCo from a particular investment could be materially adversely affected. Moreover, if a creditor

receives a payment or other transfer that is voidable under U.S. bankruptcy law and subsequently assigns the claim,

it is possible that the assignee would not be able to enforce the claim against the debtor. For example, if a lender

received and did not return a voidable preferential payment made before the debtor filed for bankruptcy, and the

claim is subsequently assigned to SubCo, it is possible that SubCo’s claim against the debtor would be disallowed.

Please see “—Bankruptcy Claims” below.

Exposure to Certain Financial Institutions. SubCo may invest in debt instruments issued by financial

institutions, such as investment and commercial banks, insurance companies, savings and loan associations,

mortgage originators and other companies engaged in the financial services industry (collectively, “financial

institutions”). Significant risks that could affect the financial condition and results of operations of financial

institutions include, but are not limited to, fluctuations in interest rates, exchange rates, equity and commodity prices

and credit spreads caused by global and local market and economic conditions; credit-related losses that can occur as

a result of an individual, counterparty or issuer being unable or unwilling to honor its contractual obligations; the

potential inability to repay short-term borrowings with new borrowings or assets that can be quickly converted into

cash while meeting other obligations; operational failures or unfavorable external events; potential changes to the

established rules and policies of various U.S. and non-U.S. legislative bodies and regulatory and exchange

authorities, such as U.S. federal and state securities, bank regulators and industry participants; risks associated with

litigation, investigations and/or proceedings by private claimants and governmental and self-regulatory agencies

arising in connection with a financial institution’s activities; and its continuing ability to compete effectively in the

market. While financial institutions seek to manage these and other risks through risk management policies and

procedures, there can be no assurance that such any financial institution’s risk management practices will be

effective.

Non-Publicly Traded and Illiquid Securities. Although SubCo is not expected to invest initially in

illiquid securities, such investments may be made in the future with Advisory Committee consent. Limitations on

resale may have an adverse effect on the marketability of portfolio securities, and SubCo might be unable to dispose

of securities purchased in private placements or other illiquid securities promptly or at reasonable prices. SubCo

might also have to register such restricted securities in order to dispose of them, resulting in additional expense and

delay. Adverse market conditions could impede a public offering of securities. Such investments may be difficult

or impossible to sell or, if salable, may be salable only at a substantial discount to their perceived value.

In addition, due to their illiquid nature, SubCo may be unable to dispose of non-publicly traded or illiquid

securities promptly or at a reasonable price. Consequently, if the Company experienced substantial redemptions of

capital at a time when a material portion of SubCo’s portfolio was invested in non-publicly traded or illiquid

securities, redeeming or non-redeeming Noteholders could be adversely affected. Redeeming Noteholders could

receive cash redemptions leaving SubCo with an increasingly illiquid portfolio. Alternatively, the Company could

suspend redemptions. Because there is little or no market for non-publicly traded or illiquid securities, the valuation

assumptions with respect to such investments may prove incorrect. Such valuations will affect the Company’s net

asset value and therefore the price at which Noteholders may purchase or redeem Company Notes or the amount of

the Management Fee or Incentive Fee. The Company, in its sole discretion, may make a retroactive adjustment to

the net asset value at which Company Notes are purchased or redeemed based on subsequent adjustments to the

Company’s net asset value. The Administrator, in consultation with HPS, will adhere to applicable accounting

procedures and guidelines in valuing such investments. Although the Company believes that its estimated

valuations are reasonable and prudent, actual results could differ materially from these estimated valuations.

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Fraud. Of paramount concern in debt investing is the possibility of material misrepresentation or omission

on the part of the borrower. Such inaccuracy or incompleteness may adversely affect the valuation of the collateral

underlying the loans or may adversely affect the ability of SubCo to perfect or effectuate a lien on the collateral

securing the loan. Although the Trading Manager will bring its professional skill and expertise to bear in making

investment decisions for SubCo, SubCo and the Trading Manager will rely upon the accuracy and completeness of

representations made by borrowers to the extent reasonable, but neither SubCo nor the Trading Manager can

guarantee the accuracy or completeness of such representations. Under certain circumstances, payments to SubCo

may be reclaimed if any such payment or distribution is later determined to have been a fraudulent conveyance.

Litigation. The Trading Manager, the Company and/or SubCo may be named as defendants in civil

proceedings. The expense of defending against claims by third parties and paying any amounts pursuant to

settlements or judgments would generally be borne by the Company and would reduce net assets.

Liquidity Risk. Liquidity risk includes the risk of SubCo’s failure to fund trading activities at settlement

dates or to liquidate or trade securities positions in a timely manner at a reasonable price. SubCo may invest in

securities, including swaps and other derivatives, which are subject to legal or other restrictions on transfer, which

are thinly-traded or for which no liquid market exists or which otherwise become illiquid or difficult to trade. The

market prices, if any, for such securities tend to be volatile and may not be readily ascertainable, and SubCo may not

be able to trade them when it desires to do so or to realize what it perceives to be their fair value. Trading restricted

and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts,

considerably worse pricing and other expenses than does trading eligible securities on national securities exchanges

or in the over-the-counter markets or that are otherwise more liquid. SubCo may not readily be able to exit such

positions, including due to contractual prohibitions. Restricted securities may sell at a price lower than similar

securities that are not subject to restrictions on resale.

Suspensions of Trading. Each exchange typically has the right to suspend or limit trading in all securities,

futures and other instruments that it lists. Such a suspension might render it impossible for the Trading Manager to

liquidate positions and, accordingly, expose SubCo to losses.

Investing in Non-U.S. Securities. SubCo’s investing in non-U.S. securities involves considerations that

are not applicable to investing in U.S. securities, including unfavorable changes in currency rates and exchange

control regulations, reduced and less reliable information about issuers and markets, less stringent accounting

standards, illiquidity of securities and markets, higher brokerage commissions and custody fees, local economic or

political instability and greater market risk in general. In particular, investing in securities of issuers located in

emerging market countries involves additional risks, such as exposure to economic structures that are generally less

diverse and mature, and political systems that can be expected to have less stability, than those of developed

countries. Certain countries may restrict investment by foreigners in issuers or industries deemed sensitive to

relevant national interests and may lack developed legal structures governing private and foreign investments and

private property. The typically small size of the securities markets in emerging markets and the possibility of a low

or nonexistent trading volume may also result in a lack of liquidity and in price volatility. In addition, interest,

dividends, capital gains and other income paid by non-U.S. issuers may be subject to withholding and other non-

U.S. taxes that may decrease the net return on these investments. The above notwithstanding, investments by SubCo

outside the U.S. and Canada require prior consultation with the Advisory Committee.

Prime Broker and Custodian Risk; Clearing Brokers. Depending on prevailing market practices and

applicable law, securities and loans owned by SubCo may be registered or titled in the name of SubCo’s prime

brokers or other custodians rather than in the name of SubCo. If a prime broker or other custodian became

insolvent, SubCo could experience significant losses if the available assets and applicable customer protection

regimes were inadequate. Different results, including loss of applicable regulatory protections, also may occur in

the event that the customer of a prime broker or other custodian permitted it to (i) rehypothecate or lend its assets or

(ii) transfer its assets to a prime broker or other entity that is not subject to the same regulatory regime. In certain

jurisdictions, assets may be borrowed, lent or otherwise used by the prime broker or other custodian for its own

purposes. In the event of the insolvency of the prime broker or other custodian, customers may rank as unsecured

creditors and may not be able to recover equivalent assets in full or at all.

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In addition, funds held in connection with contracts priced and settled in a foreign currency may be held in

secured amount accounts located in different jurisdictions with regulations that may differ from those applicable to

SubCo’s principal prime broker or other custodian. SubCo assets held in these depositories are subject to the risk

that events could occur that would hinder or prevent the availability of these funds for distribution to customers

including SubCo. Such events might include actions by the government of the jurisdiction in which the depository

is located, including expropriation, taxation, moratoria and political or diplomatic events.

In the event of the insolvency of a broker, SubCo may encounter delays in establishing its rights to assets

held by the insolvent prime broker or other custodian.

Moreover, pursuant to the contracts entered into between SubCo and its prime brokers or other custodians,

SubCo may be required to post significant margin amounts under certain circumstances. If unable to meet such

requirements, the prime broker or other custodian would be authorized to close out the positions of SubCo. An

immediate closing of SubCo’s positions would expose SubCo to the risk that its positions would be liquidated at

unfavorable prices.

Exchange Rate Fluctuations; Currency Considerations. A portion of SubCo’s assets may be invested in

securities and other instruments denominated in various currencies and in other financial instruments, the price of

which is determined with reference to such currencies. The Company or SubCo may seek to hedge currency

exposure if the Advisory Committee has consented thereto, but it may not always be practicable or economical to do

so. As a result of such factors or due to the Advisory Committee’s determination not to approve hedging, the

Noteholders may be exposed to significant unhedged currency risk for extended periods. To the extent unhedged,

the value of SubCo’s positions in investments will fluctuate with the exchange rates of the currencies in which

SubCo’s investments are denominated, as well as the price changes of the investments in the various local markets

and currencies. In such cases, an increase in the value of one of these currencies compared to the other currencies in

which SubCo makes investments will reduce the effect of any increases and magnify the effect of any decreases in

the prices of SubCo’s investments in their local markets and may result in a loss to SubCo. Conversely, a decrease

in the value of one of the currencies in which SubCo makes investments will have the opposite effect. In addition,

the Management Fee and Incentive Fee are calculated in U.S. dollars, while returns to Noteholders will be in euros.

Accordingly, the lack of a U.S. dollar – euro currency hedge may result in such fees being calculated on the basis of

assets and returns of SubCo that are greater than those realized by Noteholders due to currency fluctuations.

Furthermore, SubCo may incur costs in connection with conversions between various currencies. Currency

exchange dealers realize a profit based on the difference between the prices at which they are buying and selling

various currencies. Thus, a dealer normally will offer to sell currency to SubCo at one rate, while offering a lesser

rate of exchange should SubCo desire immediately to resell that currency to the dealer. SubCo will conduct its

currency exchange transactions either on a spot (i.e., cash) basis at the spot rate prevailing in the currency exchange

market, or through entering into forward or options contracts to purchase or sell the currencies needed. It is

anticipated that certain of SubCo’s currency exchange transactions will occur at the time securities are purchased

and will be executed through the local broker or custodian acting for SubCo.

SubCo may seek to protect the value of some portion or all of its portfolio holdings against currency

fluctuations by engaging in hedging transactions, but there can be no assurance that such hedging transactions will

be effective. SubCo may enter into forward contracts on currencies, as well as purchase put or call options on

currencies, in various markets. There can be no guarantee that instruments suitable for hedging currency or market

shifts will be available at the time when SubCo wishes to use them or will be able to be liquidated when SubCo

wishes to do so.

In addition, any currency hedging transactions entered into by SubCo may include a credit component,

pursuant to which SubCo may be required to grant to its hedging counterparty a security interest in certain of

SubCo’s assets. Such security interest may include an undivided interest in all of SubCo’s assets, and may not be

limited solely to the assets to which the hedge relates. Accordingly, in such a case, if SubCo defaults with respect to

a currency hedging transaction relating to certain of SubCo’s assets, then the hedging counterparty could lay claim

to an interest in all of SubCo’s assets, including those not related to the hedging transaction.

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Effect on the Company and SubCo of the Dodd-Frank Wall Street Reform and Consumer Protection

Act. Among other changes to applicable law, the Dodd-Frank Act has been enacted and the Volcker Rule will

restrict banking entities from acquiring or retaining any equity or other ownership interest in, or sponsoring, certain

private funds (referred to in the final rules implementing the Volcker Rule as “covered funds”). However, the final

rules permit a banking entity to organize and offer a covered fund if certain conditions are satisfied, including the

requirement that the banking entity does not acquire an equity interest or other ownership interest in the covered

fund except for a permitted investment (generally, not more than 3% of the total number or value of outstanding

ownership interests of the fund) as defined in the final regulations. See “Certain Other Regulatory Considerations—

Federal Banking Laws.”

The Volcker Rule’s prohibition on “covered transactions,” as defined in section 23A of the Federal Reserve

Act, between the Trading Manager or any of its affiliates on the one hand, and the Company, SubCo or any other

covered fund that is controlled by the Company or SubCo on the other hand, will restrict the activities of SubCo.

There may be certain investment opportunities, investment strategies or actions that the Trading Manager will not

undertake on behalf of SubCo in view of JPM’s relationship to the Company, SubCo or JPM’s client or firm

activities. Further, the investment opportunities, investment strategies or actions of SubCo may be limited in order

to comply with the Volcker Rule’s restriction on material conflicts of interest. A fund that is not advised by JPM or

its affiliates, including HPS, may not be subject to these considerations.

Notwithstanding the foregoing, the anticipated investment by certain senior personnel of HPS in SubCo

Notes is expected to be in compliance with and permitted by the Volcker Rule.

Changing Regulatory Environment. In addition to the enactment of the Dodd-Frank Act, the regulatory

environment for private investment funds is evolving, and changes in regulation could occur, during the term of the

Company, that may adversely affect the Company and its investment results, or some or all of the Noteholders.

There is a possibility that prior to the maturity date of the Company Notes and/or before all the Company Notes are

redeemed, the Company and/or SubCo may be subject to new or revised legislation or regulations, which may be

enforced by entirely new governmental agencies. Similarly, the Company and/or SubCo may be adversely affected

as a result of new or revised legislation, or regulations imposed by the SEC, the U.S. Commodity Futures Trading

Commission (the “CFTC”), the U.S. Internal Revenue Service (the “Service”), the U.S. Federal Communications

Commission (the “FCC”), the Alternative Investment Fund Managers Directive (the “AIFM Directive”) or other

U.S. or non-U.S. governmental regulatory authorities or self-regulatory organizations that supervise the financial

markets. The Company, SubCo and/or some or all of the Noteholders also may be adversely affected by changes in

the interpretation or enforcement of existing laws and rules by these governmental authorities and self-regulatory

organizations. It is impossible to determine the extent of the impact of any new laws, regulations or initiatives that

may be proposed, or whether any of the proposals will become law. Compliance with any new laws or regulations

could be more difficult and expensive, and may affect the manner in which the Company and/or SubCo conduct

business. Furthermore, new regulations may impair the ability of SubCo to obtain the leverage it seeks to pursue its

investment strategies. New laws or regulations may also subject the Company, SubCo and/or some or all of the

Noteholders to increased taxes or other costs. See also “—Government Policies and Changes in Laws” below.

Government Policies and Changes in Laws. Governmental regulatory activity, especially that of the

Board of Governors of the U.S. Federal Reserve System, may have a significant effect on interest rates and on the

economy generally, which in turn may affect the price of the securities in which SubCo plans to deal. High interest

rates, the imposition of credit controls or other restraints on loans to finance takeovers or other acquisitions could

diminish the number of merger tender offers, exchange offers or other acquisitions, and as a consequence have a

materially adverse effect on the activities of SubCo. Moreover, changes in U.S. Federal or state tax laws, U.S.

Federal or state securities and bankruptcy laws or in accounting standards may make corporate acquisitions or

restructurings less desirable or make risk arbitrage less profitable. Amendments to the U.S. Bankruptcy Code or

other relevant laws could also alter an expected outcome or introduce greater uncertainty regarding the likely

outcome of an investment situation.

Adverse Effect of Economic Conditions on the Company and SubCo. The Company and SubCo may

be adversely affected by deteriorations in the financial markets and economic conditions throughout the world, some

of which may magnify the risks described in this Memorandum and have other adverse effects. Deteriorating

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market conditions could result in increasing volatility and illiquidity in the global credit and equity markets

generally and, in particular, to the high-yield bond and loan markets. The duration and ultimate effect of adverse

market conditions cannot be forecast, nor is it known whether or the degree to which such conditions may remain

stable or worsen. Deteriorating market conditions and uncertainty regarding economic markets generally could

result in declines in the market values of potential investments or declines in the market values of investments after

they are acquired by SubCo. Such declines could lead to weakened investment opportunities for SubCo, and thus

could prevent the Company from successfully meeting its investment objectives or could require SubCo to dispose

of investments at a loss while such unfavorable market conditions prevail.

Competitive Debt Environment. The business of investing in debt investments is highly competitive and

involves a high degree of uncertainty. Market competition for investment opportunities includes traditional lending

institutions, including commercial and investment banks, as well as a growing number of non-traditional

participants, such as hedge funds, private equity funds, mezzanine funds, and other private investors, as well as

business development companies, or BDCs, and debt-focused competitors, such as issuers of collateral loan

obligations, or CLOs, and other structured loan funds. Some of these competitors may have access to greater

amounts of capital and to capital that may be committed for longer periods of time or may have different return

thresholds than SubCo, and thus these competitors may have advantages not shared by SubCo. In addition,

competitors may have incurred, or may in the future incur, leverage to finance their debt investments at levels or on

terms more favorable than those available to SubCo. Strong competition for investments could result in fewer

investment opportunities for SubCo, as certain of these competitors are establishing investment vehicles that target

the same or similar investments that SubCo intends to purchase. Moreover, identifying attractive investment

opportunities is difficult and involves a high degree of uncertainty. The Trading Manager may identify an

investment that presents an attractive investment opportunity but may not be able to complete such investment in a

manner that meets the objectives of SubCo. The Company may bear significant expenses incurred by SubCo in

connection with the identification of investment opportunities and investigating other potential investments that are

ultimately not consummated, including expenses related to due diligence, transportation and legal, accounting and

other professional services as well as the fees of other third-party advisers.

Trading and Investing Affiliates. With the approval of Board of Managers, SubCo may effect certain

investments through limited partnerships, limited liability companies, corporations or other vehicles sponsored or

managed by the Trading Manager or its affiliates or third parties. A creditor having a claim that relates to a

particular investment held by any such vehicle may be able to satisfy such claim against all assets of such vehicle,

without regard to SubCo’s rights with respect to such vehicle.

Principal Transactions and Counterparty Risk. SubCo may trade in spot and forward contracts on

foreign currencies, securities and other off-exchange transactions, with banks, broker/dealers or other counterparties,

including JPM and its affiliates, as principals, in all cases subject to applicable law, including the Dodd-Frank Act.

There is less protection against defaults in principal trading than in trades on exchanges since principal trades are not

effected on or through an exchange or a clearing house. Over-the-counter transactions are subject to the risk of non-

performance by the counterparty, and may be illiquid in the event of default by the counterparty or due to a lack of

an active market in such instruments. Such “counterparty risk” is accentuated for contracts with longer maturities

where events may intervene to prevent settlement, or where SubCo has concentrated its transactions with a single

counterparty or small group of counterparties. SubCo is not restricted from dealing with any particular counterparty

or from concentrating any or all of its transactions with one counterparty.

Trading on Non-U.S. Exchanges. SubCo may purchase and sell securities, futures, options and currencies

on exchanges located outside the United States, where the regulations of the SEC and the CFTC do not apply.

Trading on a foreign exchange may involve certain risks not applicable to trading on U.S. exchanges, such as

exchange controls, expropriation, burdensome or confiscatory taxation, moratoriums, or political or diplomatic

events.

Turnover. SubCo’s trading decisions may be made on the basis of short-term market considerations.

Therefore, the portfolio turnover rate could be significant, requiring substantial floor brokerage, exchange and

brokerage commissions and fees.

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Concentration and Diversification of Risk. The Trading Manager intends to cause SubCo to hold a

diversified portfolio. However, if SubCo’s investments are more concentrated than currently expected (with respect

to number of investments, industry, type of instrument or otherwise), SubCo could be adversely affected.

Risks Related to the Company and SubCo

Dependence on the Investment Team. The success of the Company and SubCo depends in substantial

part on the skill and expertise of the investment team of the Trading Manager (the “Investment Team”). There can

be no assurance that the members of the Investment Team will continue to be available to manage SubCo or will

continue to be affiliated with the Trading Manager throughout the life of SubCo or will continue to be available to

manage SubCo. The unavailability of members of the Investment Team to manage SubCo’s investment program

could have a material adverse effect on Company.

Inability of the Company and SubCo to Meet their Investment Objectives. The Trading Manager

cannot provide assurances that it will be able to identify, choose, make or realize investments of the type targeted for

SubCo, or that SubCo will be able to invest fully its committed capital. There is also no guarantee that the Trading

Manager will be able to source attractively priced investments for SubCo within a reasonable period of time. There

can be no assurance that the Company will be able to generate returns for Noteholders or that returns will be

commensurate with the risks of SubCo’s investments. SubCo, and thus the Company, may not be able to achieve its

investment objectives or return targets and Noteholders may lose some or all of their invested capital.

No Right to Control the Company or SubCo’s Operations. The Company is managed exclusively by its

Board of Directors and SubCo is managed exclusively by the Board of Managers and the Trading Manager.

Noteholders do not make decisions with respect to the management, disposition or other realization of any

investment, the day-to-day operations of the Company or SubCo, or any other decisions regarding the Company or

SubCo’s business and affairs. Specifically, Noteholders do not have an opportunity to evaluate for themselves the

relevant economic, financial and other information regarding investments by SubCo. Noteholders should expect to

rely solely on the ability of the Board of Directors, the Board of Managers and the Trading Manager, as applicable,

with respect to the operations of the Company and SubCo.

Substantial Fees and Expenses. The Company pays directors’ fees, brokerage commissions and other

execution, leverage and administrative costs of the Company whether or not SubCo makes any trading profits.

While it is difficult to predict the expenses of the Company and SubCo, such expenses may represent a substantial

percentage of the Company and SubCo’s net assets. The expenses may vary depending on, among other things, the

degree of leverage utilized by SubCo. The Company must therefore make substantial profits from its investment in

SubCo to avoid depletion or exhaustion of its assets from these fees and expenses. In addition, the Incentive Fee

payable to the Trading Manager will be based on realized and unrealized gains and losses as of the end of the

applicable period for which such compensation is calculated. As a result, an Incentive Fee could be made with

respect to unrealized gains which may never be realized. Further, payment of an Incentive Fee based on trading

profits may create an incentive for the Trading Manager to select riskier or more speculative investments than would

be the case in the absence of such compensation.

Effects of Substantial Redemptions. Substantial requests for redemption by Noteholders could induce

SubCo to liquidate positions sooner than would otherwise be desirable, which could adversely affect the

performance of the Company and SubCo. In addition, regardless of the period of time in which redemptions occur,

the resulting reduction in SubCo’s net assets, and thus in its equity base, could make it more difficult for SubCo to

diversify its holdings and achieve its investment objective. In addition, SubCo may become increasingly illiquid

upon the redemption of a large investor or substantial requests for redemptions by other Noteholders.

Effects of Suspensions of Redemptions. The Board of Directors, in consultation with the Investment

Adviser, may suspend or defer redemptions, the calculation of the Company’s net assets and/or the payment of

redemption proceeds during the existence of any state of affairs as a result of which the Board of Managers is unable

to value and/or dispose of SubCo’s assets (or, in the opinion of the Investment Adviser, it is not reasonably

practicable or would be prejudicial to Noteholders to do so). During the period of such suspension or deferral, the

Noteholders wishing to redeem their Company Notes will continue to bear all risks of an investment in SubCo and,

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should the value of SubCo’s investments decrease during this period, the ultimate price at which Noteholders are

able to redeem their Company Notes may decrease as well.

Limited Liquidity of Investment. No market for the Company Notes exists or can be expected to

develop, and there are significant restrictions on redemption of Company Notes as set forth under “Redemptions.”

The Company notes are freely transferable according to the conditions set forth in the terms and conditions of the

Company Notes.

Recourse to the Company’s and SubCo’s Assets. The assets of the Company and SubCo, including any

investments made by SubCo and any capital held by the Company or SubCo, are available to satisfy all liabilities

and other obligations of the Company or SubCo, as applicable. If the Company or SubCo become subject to a

liability, parties seeking to have the liability satisfied may have recourse to the Company’s or SubCo’s assets

generally and may not be limited to any particular asset, such as the investment giving rise to the liability.

Compulsory Redemption of a Noteholder. The Company may compel redemption of any or all of a

Noteholder’s Company Notes in the event that the Board of Directors, after receipt of written advice of counsel,

reasonably determines that the continued holding of Company Notes by such Noteholder (i) may result in adverse

legal, tax or regulatory consequences to the Company, the Investment Adviser, Highbridge or to the Noteholders

generally or (ii) is in violation of applicable law or regulation, in each case in compliance with the terms and

conditions of the Company Notes.

Conflicts of Interest and Other Activities of Highbridge, the Administrator and Their Affiliates.

Conflicts of interest exist in the structure and operation of the Company’s and SubCo’s business as described below

under the heading “Conflicts of Interest.”

Activities of HPS, Highbridge and their Principals. HPS, Highbridge and their principals manage other

investment vehicles, funds and accounts that use a credit opportunities strategy that is substantially similar to the

strategy employed by SubCo. HPS, Highbridge and their principals may manage additional investment vehicles,

funds and accounts in the future using similar or in some cases identical strategies to SubCo’s. There is no specific

limit in the Investment Advisory Agreement or the Investment Management Agreement as to the number of

accounts which may be managed or advised by HPS. In addition, certain of HPS’s or Highbridge’s principals may

own other asset management companies and may own all or a portion of and/or become directors of other

companies including, but not limited to, those in which SubCo invests. Such companies may use different business,

investment and trading strategies than those used by HPS for SubCo.

Lack of Investment Company Act and Certain Commodity Exchange Act Regulation. Neither the

Company nor SubCo is required to, and neither will, register as an investment company under the Investment

Company Act of 1940, as amended (the “1940 Act”), and, accordingly, the provisions of the 1940 Act (which,

among other matters, require investment companies to have a majority of disinterested directors and regulate the

relationship between the adviser and the investment company) will not be applicable. While each of the Company

and SubCo may be considered to be a commodity pool because of certain futures trading activities, HPS is exempt

from registration as a commodity pool operator with respect to the Company and SubCo pursuant to CFTC Rule

4.13(a)(3) promulgated under the CEA. Therefore, HPS will not be required to comply with the disclosure,

reporting and recordkeeping requirements generally applicable to registered commodity pool operators, including

delivery to participants of a disclosure document and a certified annual report designed to meet CFTC requirements.

Notwithstanding the foregoing, the Investment Adviser and the Trading Manager are subject to the

Advisers Act and are accordingly subject to fiduciary duties with respect to the Company and SubCo, as applicable.

Valuation of Company Assets. Since the Company’s principal asset is its investment in SubCo, the

valuation of SubCo’s assets is substantially dependent on the manner in which SubCo is valued. The Board of

Managers has delegated its authority to value the assets and liabilities of SubCo to the Administrator, in consultation

with the Trading Manager. When no market exists for an investment or when the Board of Managers determines

that the market price does not fairly represent the value of the investment, the Administrator, in consultation with the

Trading Manager will value such investment as it reasonably determines. The Administrator and the Trading

Manager each have a conflict of interest in providing such valuations because the Management Fee and Incentive

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Fee payable to the Trading Manager, and the administrative fee payable to the Administrator are based on the values

assigned to such investments. All valuations of the assets and liabilities of SubCo will be confirmed by the

Custodian. Please see “Valuation of SubCo’s Assets” below.

Trade Error. Although the Trading Manager exercises due care in making and implementing investment

decisions, employees of the Trading Manager may from time to time make errors with respect to trades made on

behalf of SubCo. The Trading Manager will not be liable to SubCo for any trading losses, liabilities, damages,

expenses or costs resulting from trade errors by SubCo except those losses, liabilities, damages, expenses or costs (i)

resulting from the Trading Manager’s gross negligence, bad faith or intentional misconduct and (ii) that may not be

waived or limited under applicable law.

Indemnification. The Company may be required to indemnify the Investment Adviser, or any of the

Investment Adviser’s officers, directors, members, employees or partners for liabilities incurred in connection with

the Investment Advisory Agreement in accordance with the relevant provisions contained in the Investment

Advisory Agreement. Such liabilities may be material and may have an adverse effect on the returns to the

Noteholders. The indemnification obligation of the Company would be payable from the assets of the Company.

Certain Tax Risks

Noteholders will be subject to various tax risks, including those described below. References in the

discussion below to the Company’s investments, indebtedness, activities and items of income, gain, loss and

deduction include those that are indirectly attributable to the Company as a result of the Company’s investment in

SubCo, and any other entity through which the Company invests that is fiscally transparent for purposes of the

applicable tax law being discussed.

U.S. Federal Income Tax Treatment of the Company

Non-U.S. corporations engaged (directly or through certain pass-through entities) in a trade or business in

the United States are subject to U.S. federal income tax on their net income therefrom at regular corporate tax rates

and also may be subject to the 30% branch profits tax. Whether a non-U.S. corporation is engaged in a U.S. trade or

business is a factual determination. If the only trade or business activity of the Company in the United States is

trading stocks, securities or certain derivatives for its own account (directly or through SubCo or other entities

classified as partnerships or disregarded entities for tax purposes), the Company is expected to satisfy the conditions

of a statutory “safe harbor” that treats a non-U.S. corporation that trades in stock or securities in the United States as

not being engaged in a U.S. trade or business. If, however, the Company fails to operate in a manner that meets the

conditions of this safe harbor, the Company could become subject to regular U.S. federal income taxation.

Tax Risks for Noteholders

The tax treatment and tax filing obligations of a Noteholder in its jurisdiction of tax residence will depend

entirely upon the laws of such jurisdiction and may include the risks that, (i) a Noteholder will be subject to special

tax and tax filing requirements in its jurisdiction of tax residence as a result of an investment in the Company, and

(ii) a Noteholder will be subject to tax without a corresponding receipt of cash as a result of unfavorable timing

differences between income recognition for tax purposes and cash distributions by the Company.

The Company and SubCo are each subject to the risk of audit and, in the event of an adverse determination

in connection with any such audit, the Company, SubCo and/or the Noteholders may be liable for additional taxes

and could be required to file amended tax returns. Subsequent developments in U.S. federal income tax laws and

applicable state, local or non-U.S. tax laws, (which may be applied retroactively) could have a material effect on the

tax treatment of the Company and SubCo and/or the tax consequences of the ownership and disposition of Notes by

a Noteholder.

Although the Company generally intends to provide Noteholders with certain annual financial information

following the close of the Company’s taxable year in order to assist Noteholders in the preparation of their tax

returns, such information may not be timely or sufficient for a Noteholder to file a tax return in its jurisdiction of tax

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residence. Accordingly, Noteholders should be prepared to apply for any available extensions of time to file their

tax returns.

THE FOREGOING LIST OF RISK FACTORS DOES NOT PURPORT TO BE A COMPLETE ENUMERATION

OR EXPLANATION OF THE RISKS INVOLVED WITH AN INVESTMENT IN THE COMPANY NOTES.

PROSPECTIVE INVESTORS ARE ENCOURAGED TO SEEK THE ADVICE OF INDEPENDENT LEGAL

COUNSEL IN EVALUATING THE RELATIVE RISKS OF AN INVESTMENT IN THE COMPANY NOTES.

CONFLICTS OF INTEREST

It should be noted that the success of an investment in the Company is dependent on the activities of

SubCo; any conflict of interest with a potentially adverse effect on SubCo will have a correspondingly adverse effect

on the Company. The following inherent or potential conflicts of interest should be considered by prospective

investors before subscribing for the Company Notes:

Relationship among the Company, SubCo, HPS and HPS’s Principals. The Trading Manager may

have a conflict of interest between its responsibility to act in the best interests of the Company and SubCo, on the

one hand, and any benefit, monetary or otherwise, that may result to it or its affiliates from the operation of the

Company and SubCo, on the other hand. For example, HPS (in its capacity as Trading Manager) receives the

Management Fee based on the net assets of SubCo. Consequently, HPS (in its capacity as Trading Manager) might

have an interest in engaging in relatively safe investments in order to receive its Management Fee. On the other

hand, HPS (in its capacity as Trading Manager) receives, subject to applicable law, an Incentive Fee, which may

create an incentive for HPS (in its capacity as Trading Manager) to recommend more speculative investments for

SubCo than it would otherwise in the absence of such performance-based compensation. In addition, the method of

calculating the Incentive Fee may result in conflicts of interest between HPS, on the one hand, and the Noteholders,

on the other hand, with respect to the management and disposition of investments.

The functions performed by the Trading Manager are not exclusive. The officers and employees of the

Trading Manager and its affiliates will devote such time as the Trading Manager deems necessary to carry out the

operations of SubCo effectively. The Trading Manager has rendered in the past and will continue to render in the

future various services to others (including investment vehicles and accounts which have the ability to participate in

similar types of investments as those of SubCo) and perform a variety of other functions that are unrelated to the

management of SubCo and the selection and acquisition of SubCo’s investments.

To the extent permitted by applicable law and the Investment Management Agreement, SubCo may make

temporary investments that may include investments in money market funds or cash equivalent investments

sponsored by affiliates of HPS (including JPM) with respect to which such affiliates may receive fees from SubCo.

Although the terms of the Investment Advisory Agreement and the Investment Management Agreement generally

reflect industry practices and conventions, they were not negotiated at arm’s length, and HPS’ management and

trading decisions will not be subject to review by an independent third party.

Relationship among the Company, SubCo, HPS, Highbridge and JPM; Counterparty Transactions

with JPM. HPS is a subsidiary of Highbridge. Highbridge is, in turn, owned by JPMAM, a subsidiary of JPM.

The Company and SubCo may participate as a counterparty with, or as a counterparty to, JPM in

connection with certain currency and interest rate hedging and other transactions, in all cases subject to applicable

law, including the Advisers Act and the Dodd-Frank Act. In this regard, SubCo may establish a borrower or other

relationship with JPM to facilitate and improve execution with respect to transactions of SubCo. Once applicable,

the Volcker Rule’s prohibition on “covered transactions,” as defined in section 23A of the Federal Reserve Act, will

prohibit, among other items, extensions of credit from JPM or any of its affiliates to SubCo.

Advisory Committee approval will be required in order for Company Entities to enter into principal

transactions with JPM in a manner consistent with applicable law, including Section 206(3) of the Advisers Act.

Agency cross transaction will be executed through the use of a methodology to determine the transfer price deemed

fair and equitable by the Board of Directors, the Board of Managers or the other applicable Company Entity’s

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governing body. Noteholders, the Company and SubCo will be bound by any principal transaction consents granted

by the Advisory Committee.

HPS may from time to time select JPM as executing broker in transactions for the Company Entities. HPS

will be acting in its capacity as trading manager, and JPM will receive normal consideration for the services it

renders. From time to time, HPS may use electronic communication networks or other alternative trading systems in

which JPM has an ownership interest.

Allocation of Investment Opportunities; Co-Investment. SubCo expects to co-invest alongside one or

more investment funds or accounts sponsored or managed by Highbridge, HPS or their affiliates (including managed

accounts or similar investment vehicles) (“Other HPS Investors”) that are appropriate for SubCo and such Other

HPS Investors. Where SubCo co-invests alongside one or more Other HPS Investors, investments will be allocated

among SubCo and such Other HPS Investors taking into account such factors as the Trading Manager deems

appropriate, including (i) each entity’s investment objectives and capital available for investment (including

leverage, if applicable), (ii) the structure of certain transactions and/or (iii) legal, tax, regulatory or other

considerations, including ERISA (as defined below). The Other HPS Investors may have different investment

periods from SubCo and may exit a position when SubCo remains invested, or vice versa, potentially having an

impact on SubCo’s investments (for example, on their interim mark-to-market valuations).

Differing Interest. SubCo will be investing alongside Other HPS Investors, and one or more of such Other

HPS Investors may be given certain governance or other rights or may be subject to terms and conditions that are

more favorable than those applicable to SubCo. Such Other HPS Investors may make decisions that are more

beneficial to themselves than to SubCo. Further, investments may benefit one or more of the Other HPS Investors

disproportionately to their benefit to SubCo. Conversely, the interests of one or more of the Other HPS Investors in

one or more investments may, in the future, be adverse to that of SubCo, and the Trading Manager may be

incentivized not to undertake certain actions on behalf of SubCo in connection with such investments, including the

exercise of certain rights SubCo may have, in view of the investment of one or more of the Other HPS Investors in

such investments. HPS will manage SubCo’s investments in a professional manner and to bring those matters to the

Advisory Committee that it deems appropriate in light of the Advisory Committee’s charter, the terms and

conditions of the Company Notes and the HoldCo Notes and the disclosure in this Memorandum.

Although it is expected that SubCo will, when it co-invests alongside an Other HPS Investor generally

dispose of its interest in an investment in the same proportion as, and on the same terms as, the Other HPS Investors

dispose of their interests in such investment, subject to legal, tax, regulatory or other considerations, as determined

by the Trading Manager in its sole discretion, there can be no assurance that the interests in an investment held by

SubCo will be harvested on as favorable terms as the interests in such investment held by the Other HPS Investors.

Further, the disposal by an Other HPS Investor may depress the market value of the continuing investment of SubCo

or may reduce the price available to SubCo, which may also be disposing of its investment.

JPM’s Investment Banking, Trading, Advisory and Other Activities. JPM has, and continues to seek

to develop, banking and other financial and advisory relationships with numerous domestic and overseas companies

and governments. JPM also advises and represents potential buyers and sellers of businesses worldwide. SubCo

may invest in such an entity represented by JPM or with which JPM has a banking or other financial relationship.

JPM also has relationships with, and represents, entities that may have invested in or may wish to invest in

companies in which SubCo invests or may wish to invest. In addition, JPM may represent, or may provide

acquisition financing to, a client competing with SubCo for an investment in a company. In providing services to its

clients, JPM may recommend activities that would compete with or otherwise adversely affect SubCo or SubCo’s

investments. It should be recognized that, under certain circumstances, identified actual or potential conflicts arising

from such relationships may indirectly preclude SubCo from engaging in certain transactions and may constrain

SubCo’s investment flexibility.

From time to time, the activities of SubCo may be restricted because of regulatory requirements applicable

to JPM or its internal policies designed to comply with, limit the applicability of, or that otherwise relate to such

requirements. An investment fund not affiliated with JPM would not be subject to some of those considerations in

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relation to transactions with JPM. There may be periods when the Trading Manager may not initiate or recommend

certain types of transactions, or may otherwise restrict or limit its advice in certain securities, derivatives and other

instruments issued by or related to companies for which JPM is performing investment banking, market making or

other services or has proprietary positions. For example, when JPM is engaged in an underwriting or other

distribution of securities of, or advisory services for, a company, SubCo may be prohibited from or limited in

purchasing or selling securities of that company. In addition, there may be certain investment opportunities,

investment strategies or actions that the Trading Manager will not undertake on behalf of SubCo in view of JPM’s

client or firm activities.

If permitted by applicable law, including the Volcker Rule, SubCo may make short-term investments of

excess cash in money-market funds and other instruments sponsored and/or managed by JPM. In connection with

any of these investments, the Company will pay all fees pertaining to investments in such money-market funds, and,

in such event, no portion of any fees otherwise payable by the Company will be offset against fees payable in

accordance with any of these investments (i.e., there could be “double fees” involved in making any of these

investments). In these circumstances, as well as in other circumstances in which JPM receives any fees or other

compensation in any form relating to the provision of services, no accounting or repayment to the Company will be

required.

JPM may provide financial, consulting, investment banking and other services to, and receive customary

compensation from, an entity which is the issuer of a security or the borrower with respect to a loan investment,

purchased or held by SubCo. In addition, JPM may provide financial, consulting, investment banking and other

services to HPS or Highbridge. Any fees or other compensation received by JPM in connection with such activities

will not be shared with the Company or any investor in the Company. Such compensation could include financial

management fees or fees in connection with restructurings or mergers and acquisitions, as well as underwriting or

placement fees, financing or commitment fees, trustee fees and brokerage fees. Moreover, when JPM provides or

arranges financing to a borrower in which SubCo has invested, the holder of the senior securities (which may

include JPM) may have, and in the event of the borrower’s financial distress or insolvency will have, interests

substantially divergent from those of the Company. There can be no assurance that JPM will be able to

accommodate the interests of the Company or its investors.

JPM may derive ancillary benefits from providing investment advisory, distribution, transfer agency,

administrative and other services to the Company and/or SubCo, and providing such services to the Company and/or

SubCo may enhance JPM’s relationships with various parties, facilitate additional business development and enable

JPM to obtain additional business and generate additional revenue. In addition, JPM may derive ancillary benefits

from certain decisions made by the Trading Manager. While the Trading Manager will make decisions for SubCo in

accordance with its obligations to manage SubCo appropriately, the fees, allocations, compensation and other

benefits to JPM (including benefits relating to business relationships of JPM) arising from those decisions may be

greater as a result of certain portfolio, investment, service provider or other decisions made by the Trading Manager

for SubCo than they would have been had other decisions been made which also might have been appropriate for

SubCo.

Under certain circumstances, SubCo may invest in connection with a transaction in which JPM, HPS and/or

Highbridge or their affiliates, principals or employees (the “Affiliated Group”) have already invested or are expected

to participate. In some cases, HPS may invite the Affiliated Group to co-invest with SubCo because, for example,

the investment opportunity is larger than the typical investment amount for SubCo or because co-investing with the

Affiliated Group may provide SubCo or the portfolio company in which SubCo invests with certain benefits. In

such cases, the amount available for investment by SubCo may be correspondingly reduced to permit the Affiliated

Group the opportunity to co-invest. Where an investment is allocated among SubCo as well as one or more

members of the Affiliated Group, such investment opportunity may be allocated based on such factors as available

capital, applicable diversification criteria, investment objectives, expected investment pipeline, and legal, tax and

regulatory considerations. SubCo may also partner with other entities in which the Affiliated Group holds an

investment or with which the Affiliated Group has a significant business relationship. HPS has the discretion to

grant co-investment rights and to determine the terms of any co-investment by SubCo, and the terms on which

Affiliated Group may co-invest in an investment opportunity may be substantially different, and potentially more

favorable, than the terms on which SubCo invests.

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In addition, the terms of SubCo’s investment, including the type of instrument purchased, may be different

from the terms of the Affiliated Group’s investment or the type of instrument the Affiliated Group purchases.

Conflicts could arise after the Affiliated Group on the one hand, and SubCo on the other hand, make investments in

the same issuer with respect to the issuer’s strategy, growth and financing alternatives and with respect to the

manner and timing of SubCo’s exit from the investment compared to the Affiliated Group’s’ exit. Should the

Affiliated Group invest in a different type of instrument from the instrument purchased by SubCo, additional

conflicts may arise, particularly if the issuer experiences financial difficulties.

The Affiliated Group may also have short positions in the same security or instrument or a different

security or instrument in the same issuer as a security or instrument purchased by SubCo, which may present

additional conflicts, particularly if the issuer experiences financial difficulties.

JPM may also, subject to applicable law, make a market in, and conduct proprietary trading activities for its

own account or for the account of its clients in securities of, or other investments in, companies in which SubCo has

invested. Such activities will be conducted independently of SubCo and could affect the value of the investments

held by SubCo.

Under the Volcker Rule, (A) neither Highbridge nor any of its affiliates will be permitted to enter into a

transaction with the Company, SubCo, or with any other covered fund that is controlled by the Company or SubCo,

that would be a “covered transaction,” as defined in section 23A of the U.S. Federal Reserve Act, as if Highbridge

and its affiliates were member banks and the Company, SubCo or such other fund were affiliates thereof and (B)

Highbridge will be required to comply with section 23B of the Federal Reserve Act, as if Highbridge were a

member bank and each of the Company and SubCo were an affiliate thereof. See “Certain Other Regulatory

Considerations—Federal Banking Laws.”

Competition Among the Accounts Managed by the Trading Manager, Highbridge, JPM and Their

Affiliates. The Affiliated Group is actively engaged in advisory, trade support and management services for

multiple investment vehicles, funds and accounts (each, an “Affiliated Group Account”), including, without

limitation, Highbridge Principal Strategies Credit Opportunity Fund, Ltd and Highbridge Principal Strategies Credit

Opportunity Fund, L.P. The Affiliated Group sponsors unregistered investment funds as well as investment funds

registered under the 1940 Act. Those activities also include managing assets of employee benefit plans that are

subject to the U.S. Employee Retirement Income Security Act of 1974, as amended, and related regulations. The

Affiliated Group may sponsor or manage additional investment vehicles, funds and accounts in the future. The

Affiliated Group may employ the same or different trading strategies for the various Affiliated Group Accounts it

manages or otherwise advises. To the extent Affiliated Group Accounts invest in parallel with SubCo, they may

compete with SubCo for allocation of portfolio positions. Affiliated Group Accounts, however, as a result of their

size and diversification among strategies, establish proportionally larger positions than SubCo. Finally, the

Investment Team may receive different compensation for management of SubCo than it receives for management of

certain Affiliated Group Accounts, which may create an incentive for the Investment Team to favor such Affiliated

Group Accounts over SubCo. In addition, the Affiliated Group Accounts pursue investments in senior secured

loans, senior secured bonds and unsecured high yield bonds. Investment opportunities that may potentially be

appropriate for SubCo may also be appropriate for other Affiliated Group Accounts, and such Affiliated Group

Accounts may compete with SubCo for positions and may compensate the Affiliated Group better than SubCo.

Investments which are within the investment objectives of SubCo may be allocated to other Affiliated Group

Accounts, including Other HPS Investors, and there is no assurance SubCo will be allocated those investments it

wishes to pursue. In addition, investors should note that such other Affiliated Group Accounts may use different

leverage, be subject to different fee structures, permit more frequent redemptions and/or withdrawals, be subject to

different constraints, have more frequent or different investor reporting, be subject to different regulatory restrictions

and/or focus on different investments than SubCo. Investments of such other Affiliated Group Accounts, including

Other HPS Investors, and SubCo may not be parallel for such, and various other reasons, including different inflows

and outflows of capital, variations in strategy, redemption and/or withdrawal rights, governmental limitations on

investment and other differences. The results of the investment activities of SubCo may differ significantly from the

results achieved by Affiliated Group Accounts that implement the same or a similar investment strategy as SubCo.

Notwithstanding the foregoing, the Investment Adviser and the Trading Manager are subject to the Advisers Act and

are accordingly subject to fiduciary duties with respect to the Company and SubCo, as applicable.

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In addition, prior to the maturation date of the Company Notes and/or the redemption of all the Company

Notes, the Affiliated Group may sponsor or manage investment vehicles, funds and accounts that are similar to

SubCo. As a result, SubCo may not be afforded the chance to participate in attractive investment opportunities in

which other Affiliated Group Accounts are given the opportunity to participate, or in some cases may be allocated a

small part of an investment opportunity within the investment objectives of SubCo when other Affiliated Group

Accounts are allocated a larger portion. SubCo may be prohibited (due to, for example, preemptive or other rights

granted to other investment funds or regulatory limitations) from pursuing certain investment opportunities and may

find that its ability to participate in any particular opportunity may be substantially limited.

Positions taken by Affiliated Group Accounts may also dilute or otherwise negatively affect the values,

prices or investment strategies associated with investments held by SubCo. For example, this may occur when

investment decisions regarding SubCo are based on research or other information that is also used to support

portfolio decisions for other Affiliated Group Accounts. When JPM or an Affiliated Group Account implements a

portfolio decision or strategy ahead of, or contemporaneously with, similar portfolio decisions or strategies for

SubCo (whether or not the portfolio decisions emanate from the same research analysis or other information),

market impact, liquidity constraints, or other factors could result in SubCo receiving less favorable investment

results, and the costs of implementing such portfolio decisions or strategies could be increased or SubCo could

otherwise be disadvantaged.

In addition, the Affiliated Group and one or more Affiliated Group Accounts (including SubCo), may

invest in different instruments or classes of securities of the same issuer. As a result, one or more Affiliated Group

Accounts may have different investment objectives or pursue or enforce rights with respect to a particular issuer in

which SubCo has invested, and those activities may have an adverse effect on SubCo. For example, if SubCo holds

debt instruments of an issuer and an Affiliated Group Account holds equity securities of the same issuer, then if the

issuer experiences financial or operational challenges, SubCo, which holds the debt instrument, may seek a

liquidation of the issuer, whereas the Affiliated Group Account, which holds the equity securities, may prefer a

reorganization of the issuer. In addition, SubCo, along with other Affiliated Group Accounts, may pursue or enforce

rights with respect to a particular issuer, or HPS and/or JPM may pursue or enforce rights with respect to a particular

issuer jointly on behalf of SubCo and other Affiliated Group Accounts. SubCo may be negatively impacted by the

activities by or on behalf of such other Affiliated Group Accounts, and transactions for SubCo may be impaired or

effected at prices or terms that may be less favorable than would otherwise have been the case had a particular

course of action with respect to the issuer of the securities not been pursued with respect to such other Affiliated

Group Accounts. In addition, in certain instances personnel of HPS may obtain information about the issuer that

would be material to the management of other Affiliated Group Accounts that could limit the ability of personnel of

HPS to buy or sell securities of the issuer on behalf of SubCo. These conflicts are magnified with respect to issuers

that become insolvent. It is possible that in connection with an insolvency, bankruptcy or similar proceeding SubCo

may be limited (by applicable law, courts or otherwise) in the positions or actions it may be permitted to take due to

other interests held or actions or positions taken by JPM, Affiliated Group Accounts, Highbridge and HPS. Please

see “Risk Factors—Bankruptcy Claims” above. Finally, in certain instances, personnel of the Affiliated Group may

obtain information about the issuer that is material to the management of other Affiliated Group Accounts and that

could limit the ability of personnel of HPS to buy or sell securities of the issuer on behalf of SubCo.

Without limiting the generality of the foregoing, members of the Affiliated Group may trade for their own

accounts and manage accounts for other individuals or entities, including entities in which the Affiliated Group or its

directors or employees may hold an interest, either directly in managed accounts or indirectly through investments in

private investment entities. Any of such accounts may pay different fees, trade with different amounts of leverage

or utilize different trading strategies than SubCo. In addition, SubCo may enter into transactions with such

accounts, and the Affiliated Group may invest in and trade the same securities and instruments on behalf of such

accounts that SubCo invests in and trades. The Affiliated Group or its personnel may have income or other

incentives to favor such accounts. The records of any such investments by members of the Affiliated Group will not

be open to inspection by Noteholders. HPS, however, will not knowingly or deliberately favor any such accounts

over SubCo in its dealings on behalf of such accounts.

For the foregoing reasons, among others, the Affiliated Group and its portfolio managers, including the

Investment Team, may have a conflict of interest between acting in the best interests of SubCo and such other

Affiliated Group Accounts. HPS has developed policies and procedures that provide that it will allocate investment

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opportunities and make purchase and sale decisions among SubCo and its other clients in a manner that it considers,

in its sole discretion and consistent with its fiduciary obligation to its clients, to be reasonable. In many cases, these

policies may result in the pro rata allocation of limited opportunities across accounts, but in many other cases, the

allocations may reflect numerous other factors based upon HPS’ good faith assessment of the best use of such

limited opportunities relative to the objectives, limitations and requirements of each of its clients and applying a

variety of factors, including those described herein. HPS seeks to treat all clients reasonably in light of all factors

relevant to managing an account, and in some cases it is possible that the application of the factors described herein

may result in allocations in which certain accounts may receive an allocation when other accounts (including

SubCo) do not. Similarly, HPS may cause the liquidation of such positions for SubCo and its other clients in its

discretion in accordance with the foregoing principles. Such allocations or liquidations may benefit another client

instead of SubCo or may be detrimental to SubCo.

Moreover, the results of the investment activities of SubCo may differ significantly from the results

achieved by the Affiliated Group for other Affiliated Group Accounts. The Trading Manager will manage SubCo

and the other Affiliated Group Accounts it manages in accordance with their respective investment objectives and

guidelines; however, the Affiliated Group may give advice and take action, with respect to any current or future

Affiliated Group Accounts that may compete or conflict with the advice the Trading Manager may give to SubCo,

including with respect to the timing or nature of actions relating to certain investments.

The Trading Manager’s management of SubCo may benefit JPM. For example, SubCo may, subject to

applicable law, invest directly or indirectly in the securities, secured loans or other obligations of companies

affiliated with JPM or in which an Affiliated Group Account has an equity, debt or other interest. In addition,

SubCo may engage in investment transactions that may result in other Affiliated Group Accounts being relieved of

obligations or otherwise divesting of investments or cause SubCo to have to divest certain investments, in all cases

subject to applicable law, including the Dodd-Frank Act. The purchase, holding and sale of investments by SubCo

may enhance the profitability of JPM’s or other Affiliated Group Accounts’ own investments in and its activities

with respect to such companies. Without limiting the generality of the foregoing, SubCo may invest in indebtedness

of portfolio companies affiliated with JPM or in which JPM and/or an Affiliated Group Account has an equity or

other interest, and may acquire such indebtedness either directly or indirectly through syndicate or secondary market

purchases. Such investments may benefit JPM.

Future investment activities by HPS on behalf of other clients may give rise to additional conflicts of

interest and demands on HPS’s time and resources.

Subject to requirements of applicable law, and without limiting the generality of the foregoing, HPS may

from time to time cause an investment vehicle or client account it manages to sell or transfer a security or an

instrument to another Affiliated Group Account, including SubCo. HPS may engage in the practice of cross trading

in order to “rebalance” the portfolios (where a particular client account or investment vehicle needs liquidity or

where investment objectives differ), to reduce or eliminate transaction costs or market impact, to combine accounts

or otherwise. The cross trade will be executed through the use of a methodology that SubCo has determined to be

fair and equitable to calculate the transfer price. An inherent conflict of interest exists when HPS engages in the

practice of “cross trading.”

SubCo may purchase certain loans, or portions thereof, some time after the date of origination of such

loans. Loans are assigned at their fair market value at the time of the assignment. However, it may be difficult or

impossible to establish a fair market value based on market or other third-party pricing for loans, over-the-counter or

illiquid instruments, including those to be purchased from other entities managed by HPS, Highbridge or their

respective affiliates. Moreover, HPS may recommend that SubCo purchase loans from a fund affiliated with HPS,

in which case an independent valuation firm will approve or disapprove the price at which SubCo will purchase such

loans.

Participation in Financings Arranged by JPM. JPM operates in the leveraged finance markets and

participates as arranger of senior and other financings and securitizations in the syndicated loan market and the high-

yield market for financing acquisitions and recapitalizations. SubCo may, subject to applicable law, invest in

transactions in which JPM acts as originator and/or arranger and receives fees from these sponsors. In certain of

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these transactions, SubCo may purchase securities and receive representations and warranties directly from the

issuer, including in purchases by SubCo from or alongside JPM. In other circumstances, SubCo may, in all cases

subject to applicable law, including the Dodd-Frank Act, purchase securities from JPM or other parties and in so

doing may rely on an offering memorandum rather than direct representations and warranties from the issuer, and

may purchase such securities at different times and/or on different terms than other purchasers. If SubCo were to

purchase securities from JPM, or if JPM were to receive a fee from an issuer for placing securities with SubCo,

certain conflicts of interest would be inherent in the transaction.

Valuation of Assets. Certain investments and other assets in which SubCo may directly or indirectly

invest may not have a readily ascertainable market value and will be valued by the Administrator, in consultation

with the Trading Manager in accordance with its established valuation policies which have been agreed to with the

Trading Manager; provided that all valuations shall be confirmed by the Custodian. In addition, when the

Administrator, in consultation with the Trading Manager determines that the market price does not fairly represent

the value of an investment, the Administrator, in consultation with the Trading Manager, will value such investment

at fair value as it reasonably determines. The Administrator and the Trading Manager each have a conflict of

interest in providing such valuations because the Management Fee and Incentive Fee payable to HPS in its capacity

as the Investment Adviser and the administrative fee payable to the Administrator, are based on the values assigned

to such investments.

Selection of Prime Brokers and Placement Agents. SubCo’s prime broker(s) may provide a variety of

services to SubCo and other clients of the Trading Manager, which may include, but are not limited to, clearance

and settlement of transactions, placement agent services, custody of the clients’ investment instruments and cash,

extending margin credit to clients, arranging for stock loans to implement short sales, lending of the clients’

portfolio assets to third parties and capital introduction services whereby the Trading Manager may be afforded the

opportunity to make a presentation regarding its services to certain qualified investors by the prime broker(s). While

prime broker(s) and/or its affiliates generally provide capital introduction services at no additional cost and certain

other services at favorable or below market rates, the Trading Manager, and not SubCo, may be the principal or sole

beneficiary of those services, thus presenting a potential conflict of interest between SubCo and the Trading

Manager, which is responsible for selecting the prime broker(s) and negotiating such person’s brokerage, margin

and other fees. The Trading Manager may have prime brokerage relationships with other clients of the Trading

Manager which may benefit such other clients of the Trading Manager, thus presenting a potential conflict of

interest between such other clients, SubCo and the Trading Manager.

Moreover, certain placement agents may be affiliated with broker(s) of SubCo. Such brokers would

indirectly benefit from the services of such brokers’ affiliated placement agents that place the Company Notes by

increasing the assets upon which such brokers receive fees from SubCo.

Limits on Conflicts of Interest. Under the Volcker Rule, HPS, Highbridge and JPM are permitted to

organize and offer a covered fund, which may include a securitization vehicle like the Company, only if the activity

would not involve or result in a material conflict of interest (as defined in the final rules implementing the Volcker

Rule) between HPS, Highbridge and JPM and their clients, customers and counterparties. See “Certain Other

Regulatory Considerations—Federal Banking Laws.” The investment opportunities, investment strategies or actions

of the Company and SubCo may be limited in order to comply with this restriction.

EACH OF JPMORGAN, HIGHBRIDGE, THE INVESTMENT ADVISER AND THE TRADING

MANAGER HAS IN PLACE PROCEDURES TO IDENTIFY AND ADDRESS CONFLICTS OF

INTEREST IN A MANNER THAT ATTEMPTS TO TREAT ALL CLIENTS FAIRLY. HOWEVER

THERE CAN BE NO ASSURANCE THAT ANY CONFLICT OF INTEREST CAN BE RESOLVED IN A

MANNER THAT IS IN THE BEST INTEREST OF THE COMPANY OR SUBCO.

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RCS B: 193.463

____________

THE COMPANY & SUBCO

Structure

Highbridge – GIM Credit Lux S.A., a securitization company incorporated as a société anonyme de

titrisation under (1) The Law of 10 August 1915 on commercial companies, as amended and (2) The Law of 22

March 2004 on securitization, as amended, each of the Grand Duchy of Luxembourg (the “Company”), was

incorporated on December 16, 2014 with a share capital of EUR 31,000 as an orphan entity and a special purpose

vehicle whose objects and purposes are primarily the issue of securities.. The Company has invested substantially

all of the proceeds from the issue of the Company Notes in the profit participating notes issued by Highbridge –

GIM Credit Master Lux S.à r.l., a company incorporated as a société à responsabilité limitée under The Law of 10

August 1915 on commercial companies, as amended, of the Grand Duchy of Luxembourg (“SubCo”) on December

17, 2014 with a share capital of USD 20,000. For tax, legal, regulatory or other reasons, SubCo may make

investments directly or, with the consent of the Board of Managers, may invest indirectly through one or more

subsidiaries or other entities managed by the Trading Manager (defined below) or its affiliates, if appropriate for tax

or structuring purposes.

Palaos S.à r.l., a société à responsabilité limitée incorporated under the laws of the Grand Duchy of

Luxembourg with a share capital of EUR 12,500, is currently the sole shareholder of the Company. It is expected

that, following the initial issuance of the Company Notes, all of the shares of the Company will be transferred to

another entity. The holder of the shares of the Company shall be referred to herein as the “Shareholder”. The

Shareholder has entered into a services agreement with Arendt under which it may only exercise its voting rights as

Shareholder in accordance with instructions from Arendt & Medernach.

The Company is the sole shareholder of SubCo.





The Investment Adviser’s role as investment adviser to the Company will be non-discretionary, including

without limitation, with respect to the Company’s investment in SubCo Notes, while the Trading Manager will

actively manage SubCo’s investment activities on a discretionary basis in accordance with the Investment

Guidelines.

The Investment Adviser and Trading Manager will, in all cases, be the same entity. Noteholders will be

given the opportunity to redeem their Company Notes prior to a resignation by the Investment Adviser or Trading

Manager becoming effective. The appointment of a new Investment Adviser and Trading Manager will require the

consent of the Advisory Committee.

Investment Team

The investment activities of SubCo are overseen by the following principals of HPS who have substantial

experience in both private and public credit investing and risk management and whose experience in credit investing

and market knowledge HPS believes may create a synergy of investment ideas, due diligence, credit analyses and

investment opportunities:

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Scott Kapnick. Mr. Kapnick is Chief Executive Officer of Highbridge. Mr. Kapnick joined the Firm in

2007 as CEO of Highbridge Principal Strategies (“HPS”) to establish and grow Highbridge’s presence in public and

private credit. Before joining Highbridge, Mr. Kapnick was a Management Committee Member, Partner, and Co-

Head of Global Investment Banking at Goldman Sachs Group, positions he held from 2001 to 2006. He also served

as Co-Chief Executive Officer of Goldman Sachs International from 2005 to 2006 and spent 12 out of his 21 years

at the firm in Europe (London and Frankfurt). Mr. Kapnick was named Partner in 1994. Mr. Kapnick is a graduate

of Williams College and holds a combined JD/MBA from the University of Chicago. He also studied at the London

School of Economics & Political Science. Mr. Kapnick is a member of the Council on Foreign Relations, Chairman

of the Churchill Archives Centre Campaign Board and serves on the Board of Directors of the Naples Botanical

Garden, Aileron Therapeutics and Room to Read.

Purnima Puri. Ms. Puri is a Partner and founding member of HPS and is the Portfolio Manager for the

Highbridge Credit Opportunities Fund and the Highbridge Leveraged Loan Fund. Prior to joining Highbridge in

2007, Ms. Puri was a Principal at Redwood Capital Management, a credit opportunities hedge fund. Before joining

Redwood, she was with Goldman Sachs for five years on both the Credit Arbitrage Desk, a proprietary trading desk

at Goldman Sachs, and in the Principal Investment Area. From 1993 to 1995, Ms. Puri was part of Lazard Frères’

Restructuring and Mergers and Acquisitions Group. Ms. Puri received a BA in Mathematics from Northwestern

University and an MBA from Harvard Business School.

Serge Adam. Mr. Adam is a Managing Director of HPS and serves as co-Portfolio Manager of SubCo.

Prior to joining HPS in 2011, Mr. Adam was a Senior Managing Director and Portfolio Manager at Sandell Asset

Management, where he managed its credit portfolio with peak assets of $3.5 billion. Prior to joining Sandell in

2001, he was a Vice President in Banco Santander’s proprietary distressed group. From 1995 to 1997, Mr. Adam

worked at Lehman Brothers where he was an analyst in the Leverage Finance group of the Investment Banking

division. Mr. Adam received a BS in Mechanical Engineering from the Massachusetts Institute of Technology.

Scot French. Mr. French is a Partner and founding member of HPS and the Portfolio Manager for the

Highbridge Mezzanine Fund. Prior to joining Highbridge in 2007, Mr. French spent three years at Citigroup as a

Managing Director and Head of Private Investments for Citigroup Global Special Situations, a credit-focused, on-

balance sheet proprietary investment fund managing over $8 billion globally. Within Citigroup Global Special

Situations, Mr. French managed a $1.5 billion portfolio of private mezzanine and private equity investments in

North America, Europe and Latin America. Prior to joining Citigroup, Mr. French worked for Goldman Sachs from

1999 to 2004 and focused on mergers and acquisitions as well as high-yield capital markets. Previously, Mr. French

worked in high-yield capital markets and mergers and acquisitions at Salomon Brothers Inc. from 1994 to 1999 and

for Price Waterhouse from 1992 to 1994. Mr. French graduated from the University of Illinois.

Michael Patterson. Mr. Patterson is a Partner of HPS and the Portfolio Manager for the Highbridge

Specialty Loan Funds. Mr. Patterson joined HPS in 2007 as a founding member, establishing the European business

before returning to the United States in 2009. He was also co–Portfolio Manager of the 2008 Highbridge Leveraged

Loan Partners Fund. Prior to joining Highbridge, Mr. Patterson was with Silver Point Capital, most recently as co-

head of its European operation. At Silver Point, he oversaw both distressed debt and performing credits, including

serving on the boards of directors of multiple distressed companies. Mr. Patterson began his investing career in the

Principal Investment Area at Goldman Sachs, where he focused on private equity and mezzanine transactions. Prior

to working at Goldman, Mr. Patterson served as an officer in the United States Navy. He holds an AB in applied

mathematics from Harvard College and an MBA from Stanford University’s Graduate School of Business, where he

was an Arjay Miller Scholar.

Faith Rosenfeld. Ms. Rosenfeld is a Partner and Chief Administrative Officer and a founding member of

HPS. Prior to joining Highbridge in 2007, Ms. Rosenfeld was a Partner at CCMP Capital, the successor

organization to JPMorgan Partners, the private equity business of JPMorgan Chase, where she had also been a

Partner. While at CCMP and JPMP, Ms. Rosenfeld's responsibilities included portfolio management, valuation of

the portfolio, risk management, investor relations and fundraising. Ms. Rosenfeld joined JPMorgan Partners in

January 2001 following the acquisition by JP Morgan Chase of The Beacon Group, a private equity and advisory

firm of which Ms. Rosenfeld was a Founding Partner. Ms. Rosenfeld began her career at Goldman, Sachs & Co.

where she had various positions within the Investment Banking Division including five years serving as the Chief

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Operating Officer of that Division prior to her departure. Ms. Rosenfeld has a BA from Wellesley College and an

MBA from The Wharton School at the University of Pennsylvania.

Investment Objective

The Company’s principal investment objective is to generate attractive risk-adjusted returns with an

emphasis on capital preservation and a view towards liquidity.

In order to pursue its investment objective, the Company has purchased a nominal equity interest in and has

exposure, indirectly through its investment in SubCo, to a diversified portfolio owned by SubCo consisting

primarily of first lien loans purchased in primary or secondary markets in accordance with the investment

guidelines. Such exposure will be attained by investing in the profit participating SubCo Notes and potentially

through direct investments or activities of the Company. It is expected that such direct investments or activities of

the Company (if made) would consist of short-term investments made from potential excess funds of the Company.

SubCo’s investments are generally expected to be denominated in U.S. dollars and purchased in primary or

secondary markets.

Investment Strategy

The Company seeks to provide investors with attractive risk-adjusted returns, primarily through floating

rate income balanced by an objective of long-term principal preservation. The Company intends to provide

investors with exposure to a diversified, actively managed portfolio consisting primarily of broadly syndicated

loans.

SubCo’s investment activities are subject to the investment guidelines attached to the Investment

Management Agreement (as defined below).

Investment Period; Recycling

SubCo may re-invest within five years of the Initial Issuance Date (the “Recycling Period”) or such longer

period approved of by the Advisory Committee, any proceeds from its investments, excluding fees and interests paid

by the relevant borrowers, up to the principal amount of such investments. At each calendar month-end, if SubCo

holds cash (excluding amounts awaiting distribution to holders of SubCo Notes, amounts reserved in respect of

pending investments and amounts used to satisfy or provide for any fees, costs, expenses and/or debt or other

obligations) in excess of 10%, or such greater percentage as may be mutually agreed by the Trading Manager and

the Advisory Committee, of the estimated Net Asset Value of SubCo on such date as calculated by the

Administrator within 1 day of such date (without reduction for the outstanding value of the SubCo Notes), such

excess will be distributed by SubCo to the holders of the SubCo Notes except as otherwise resolved by the Advisory

Committee. The Company, in turn, will distribute to Noteholders within 1 business day following the receipt of the

corresponding distribution from SubCo its portion of such excess pro rata in accordance with the face value of the

Company Notes held by each Noteholder as of the end of the applicable calendar month net of amounts reserved in

respect of pending investments, expenses and/or debt still due by the Company at the applicable calendar month-end

or other obligations. The net asset value of SubCo shall equal the fair market value of SubCo’s assets less SubCo’s

liabilities (excluding the outstanding value of the SubCo Notes), in each case as determined by the Administrator in

accordance with Luxembourg GAAP (“Net Asset Value”).

Following delivery of notice of termination of the Investment Management Agreement, the Trading

Manager shall not purchase any additional investments (but may, for the avoidance of doubt, dispose of existing

investments and continue any hedging program requested by a majority of the Noteholders and approved by the

Advisory Committee).

Sourcing of Investments

It is expected that investment ideas will be generated from both the primary and secondary markets. HPS

expects that SubCo will purchase a significant portion of its loan investments in newly issued loan investments as

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part of the broad market syndication. HPS believes its extensive capabilities across a full spectrum of non-

investment grade corporate credit strategies provides broad market insights, enhanced research capabilities and a

deep network of investment sourcing relationships. HPS believes the ability of the various funds for which it acts as

investment manager to buy mezzanine debt securities, bridge loans and senior secured loans makes HPS a valuable

financing partner for private equity sponsors and underwriters and provides it with broader access to investment

opportunities. The HPS team has deep and long-standing relationships with a broad range of underwriters, and the

investment professionals often are periodically invited to new transactions early and receive early stage calls from

dealers with loan bids and offerings. As a result, HPS believes that SubCo may benefit from HPS’ access to

investment opportunities from both the primary and secondary markets.

Substantially all of the payment by the subscribers for Company Notes shall be applied (after expenses and

reserves for Company-level obligations) towards the purchase of SubCo Notes. SubCo will, in turn, use

substantially all of the proceeds from the sale of SubCo Notes to fund the purchase of SubCo’s initial portfolio from

an investment fund managed by the Trading Manager at a price to be determined according to the procedure set

forth hereinafter. The Trading Manager proposes the purchase price as of the date of execution of the Investment

Management Agreement. If, following the execution of the Investment Management Agreement, the Advisory

Committee disputes the purchase price of such an asset, it shall provide written notice to the Trading Manager of

such determination within two (2) business days of execution of the Investment Management Agreement, and the

Trading Manager and the Advisory Committee shall use commercially reasonable efforts to resolve the issue

(including by making any purchase price adjustments with respect to the applicable asset as the Trading Manager

and the Advisory Committee shall mutually determine). If such issue is not resolved to the Advisory Committee’s

satisfaction within three (3) business days of such notice to the Trading Manager, the applicable asset shall be

removed from the list of assets being transferred.

By subscribing for Company Notes, each Noteholder will be deemed to have consented to the acquisition

of such assets from such investment fund at such price to be determined according to the above mentioned

procedure. For the avoidance of doubt, in addition to the assets acquired from such investment fund, SubCo’s initial

portfolio will also include certain “top-up” positions in respect of such assets purchased in the market for a price less

than or equal to the maximum purchase price reflected on Schedule C of the Investment Management Agreement.

Investment Philosophy and Process

The Trading Manager’s investment process is driven by rigorous fundamental analysis. In analyzing

investments, the Trading Manager considers asset value, liquidation value, yield, liquidity, covenants and catalysts

for capital appreciation or depreciation, although other factors may be considered depending on the investment

opportunity being analyzed. The portfolio management process emphasizes industry and issuer diversification,

performance monitoring and relative value analysis against comparable issuers and securities.

Leverage

With the prior approval of the Advisory Committee, SubCo may obtain leverage by one of several means,

including total return swaps or other forms of leverage, collateralized by its assets in accordance with the Investment

Guidelines. As a result of the use of leverage, the possibilities of profit and loss are increased.

THE COMPANY’S AND SUBCO’S INVESTMENT APPROACH IS SPECULATIVE AND ENTAILS

RISKS. PLEASE SEE “RISK FACTORS”. THERE CAN BE NO ASSURANCE THAT THE INVESTMENT

OBJECTIVES OF THE COMPANY AND SUBCO WILL BE REALIZED.

THE INVESTMENT ADVISER & THE TRADING MANAGER





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The Investment Adviser’s role as investment adviser to the Company will be non-discretionary, including



Guidelines.

The Investment Adviser and Trading Manager will, in all cases, be the same entity. Noteholders will be

given the opportunity to redeem their Company Notes prior to a resignation by the Investment Adviser or Trading

Manager becoming effective. The appointment of a new Investment Adviser and Trading Manager will require the

consent of the Advisory Committee.

Certain senior personnel of HPS deemed eligible in the discretion of the Board of Managers are expected to

purchase SubCo Notes in an aggregate amount of at least $5 million.

The Trading Manager may rebate some or all of its Management Fee and/or Incentive Fee (each as defined

below) with respect to any holder of SubCo Notes and intends to rebate some or all of the Management Fee and/or

Incentive Fee with respect to certain principals, employees and/or affiliates of the Trading Manager, Highbridge or

JPM. Any such rebate may be effected by SubCo retaining the amount of the rebated fees and issuing to the

applicable holder of SubCo Notes additional SubCo Notes in an amount equal to the amount of rebated fees. For the

avoidance of doubt, such rebate will not reduce the $5 million dollar minimum amount referenced above and such

additional SubCo Notes will not have liquidity terms better than those available to other Noteholders or holders of

SubCo Notes, as applicable.

HPS is a subsidiary of Highbridge Capital Management, LLC (“Highbridge”), which itself is a subsidiary

of JPMorgan Asset Management Holdings Inc. (“JPMAM”). JPMAM is a subsidiary of JPMorgan Chase & Co.

(together with its affiliates, “JPM”). The principal business of HPS is to act as the trading manager of investment

funds. Highbridge formed HPS in 2007 to focus on managing debt and equity investments, including loan,

mezzanine, credit opportunities, private equity and other investments. HPS is headed by Scott Kapnick. Please see

“The Company & SubCo—Investment Team” above for biographies of senior HPS employees.

Highbridge is a global alternative investment management firm founded in 1992. Since its inception, the

firm has developed a leading, diversified investment platform that includes hedge funds, traditional asset

management products and private equity. With approximately 330 employees, including approximately 125

investment professionals, Highbridge manages capital for sophisticated investors, including financial institutions,

public and corporate pension funds, endowments, foundations and family offices, as well as individuals. The firm is

based in New York with offices in London and Hong Kong.

Selected background information of the senior management of Highbridge is presented below for

informational purposes. Please note that it is anticipated that certain of these individuals will not be providing

specific services to the Company, SubCo, Investment Adviser or the Trading Manager.

Scott Kapnick. Please see “The Company & SubCo—Investment Team” above for Mr. Kapnick’s

biography.

Chris Hayward. Mr. Hayward is a Managing Partner and the Chief Operating Officer of Highbridge. Mr.

Hayward is a member of the Executive Committee of Highbridge. Prior to joining Highbridge in 2010, Mr.

Hayward was Managing Director and Chief Operating Officer for Global Equities Markets at Bank of America

Merrill Lynch. Prior to this role, Mr. Hayward was Global Finance Director for Merrill Lynch. Earlier senior

positions at Merrill Lynch included Global Treasurer and Head of Holding Company Supervision Initiatives as well

as leadership roles in Risk Management. Mr. Hayward joined Merrill Lynch in 1997 from Bankers Trust where he

held senior positions in Risk Advisory Services and Global Risk Management. He started his career as a digital

telecommunications engineer at AT&T Network Systems/Bell Labs. Mr. Hayward is Chairman of the Finance &

Audit Committee and member of the Executive Committee of the New York non-profit organization PENCIL which

supports public schools. Mr. Hayward received an MBA in Finance and Public Policy from the University of

Chicago.

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Paul Knollmeyer. Mr. Knollmeyer is a Managing Director and Chief Financial Officer of Highbridge.

Prior to joining Highbridge in 2010, Mr. Knollmeyer was Chief Operating Officer and Member of the Investment

and Business Committees for Ortelius Capital Partners, a fund of hedge funds firm focused on investing in

distressed debt, special situations and long/short equity. Previously, Mr. Knollmeyer also worked as Executive Vice

President and Chief Financial Officer for The Griffin Group and as Chief Operating Officer of Ascendant Capital

Partners. Mr. Knollmeyer began his career working for Price Waterhouse from 1987 to 1993. Mr. Knollmeyer

received a BS from Lehigh University.

Yoohyun Katherine Choi. Ms. Choi is a Managing Director and the General Counsel of Highbridge. Ms.

Choi is a member of the Executive Committee of Highbridge. She joined Highbridge in 2006. Prior to joining

Highbridge, Ms. Choi was part of the investment management practice at Arnold & Porter LLP, where she

specialized in advising on the legal aspects of investment fund structuring, marketing, operations and investor

communications as well as counseling on regulatory matters. Ms. Choi received a J.D. from Georgetown University

Law Center, where she served on the Articles Selection Committee of the Journal of Law and Policy in International

Business.

John Oliva. Mr. Oliva is a Managing Director and the Chief Compliance Officer (“CCO”) of Highbridge.

Mr. Oliva is a member of the Executive Committee of Highbridge. Prior to joining Highbridge in 2008, he was a

Managing Director and the CCO of J.P. Morgan Investment Management Inc. as well as several other of

JPMorgan’s registered investment advisers in the Americas. At JPMorgan, he also served as a Managing Director

and Global Head of Private Equity Compliance and as the CCO for JPMP and One Equity Partners. Prior to joining

JPMP, Mr. Oliva was a Managing Director and the head of Global Investment Banking Compliance at J.P. Morgan

Securities LLC. Mr. Oliva began his career at Donaldson Lufkin Securities Corporation and UBS/PaineWebber

where he held senior compliance management positions. Mr. Oliva is a member of the SIFMA Legal and

Compliance Division, former senior member of the Bond Markets Association’s Fixed Income Committee, former

Hearing Board Member of the NYSE and a founding member of the Private Equity Compliance/Legal Roundtable.

The Company Investment Advisory Agreement

The Company has entered into an Investment Advisory Agreement with HPS (such agreement, the

“Investment Advisory Agreement”) pursuant to which HPS acts as Investment Adviser (HPS acting in such role, the

“Investment Adviser”) for the Company. The Investment Advisory Agreement shall continue until the earliest of (1)

the mutual agreement of the Investment Adviser and the Company to terminate the Investment Advisory Agreement,

(2) the redemption or other termination of all of the Company Notes under circumstances such that the Board of

Directors does not have a reasonable expectation that further Company Notes will be issued shortly thereafter, (3)

the completion of the liquidation of the Company, (4) the termination date set forth in a notice of termination

delivered by the Company to the Investment Adviser, with the consent of the Advisory Committee, not less than 60

days prior to the termination date set forth therein and (5) the termination date set forth in a notice of termination

delivered by the Investment Adviser to the Company not less than 9 months prior to the termination date set forth

therein.

The Investment Adviser’s role as investment adviser to the Company is non-discretionary, including



Guidelines.

The Company will bear all of the risk with regard to all of the investments and transactions effected or

facilitated by it. The Investment Adviser does not make any representation, warranty or guarantee as to the success

or profitability of any investment, and the Company has received no such representation, warranty or guarantee from

the Investment Adviser or any of its affiliates, principals, officers, directors, members, managers, employees, agents

or representatives. None of the Investment Adviser, or any of its officers, directors, members, employees or partners

(each, an “Investment Adviser Indemnified Person”) shall be liable to the Company or any other individual,

partnership, corporation, limited liability company, trust or other entity who is party to or bound by the Company

Investment Advisory Agreement for any losses, claims, damages or liabilities, including liabilities in respect of taxes

(and any interest, additions to tax, penalties or expenses relating to any such taxes) (collectively, “Damages”) arising

out of, related to or in connection with any act or omission performed or omitted by it in connection with the

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Company Investment Advisory Agreement, the Company Articles, the Company Notes or this Memorandum, except

for any Damages resulting from such Investment Adviser Indemnified Person’s fraud, Gross Negligence (as defined

in the Investment Advisory Agreement), willful misconduct, bad faith, willful disregard of fiduciary duties, any

knowing and material violation of any applicable law or any other intentional and criminal wrongdoing on the part

of such Investment Adviser Indemnified Person. An Investment Adviser Indemnified Person shall, to the fullest

extent permitted by applicable law, be treated as having acted in good faith and with the requisite degree of care if

such Investment Adviser Indemnified Person has relied on reports and written statements of the directors, officers,

employees, agents, stockholders, members, managers and partners of an issuer of an Investment or Related Person

with respect to the applicable Investment, unless such Investment Adviser Indemnified Person had reason (taking

into account such Investment Adviser Indemnified Person’s professional skills and expertise) to believe that such

reports or statements were not true and complete. Potential Noteholders should understand that the Investment

Adviser’s relationship with the Company is non-discretionary and its advice regarding the investment and/or

disposition of the Company’s assets is in no way binding upon the Company.

The Investment Advisory Agreement provides that the Company will, to the fullest extent permitted by

applicable law, indemnify and hold harmless each Investment Adviser Indemnified Person from and against any

Damages arising out of, related to or in connection with the Company Investment Advisory Agreement or the

Company’s business or affairs, except for any such Damages resulting from an Investment Adviser Indemnified

Person’s fraud, Gross Negligence, willful misconduct, bad faith, willful disregard of fiduciary duties, any knowing

and material violation of any applicable law or any other intentional and criminal wrongdoing on the part of such

Investment Adviser Indemnified Person. The Company’s indemnification obligations under the Investment

Advisory Agreement terminate on the second anniversary of the Company’s final distribution of assets to

Noteholders. The Investment Advisory Agreement further provides that the foregoing provisions shall not be

construed to relieve any Investment Adviser Indemnified Person of any liability to the extent that such liability may

not be waived, modified or limited under applicable law.

Investment Management Agreement

SubCo has entered into an Investment Management Agreement with HPS (the “Investment Management

Agreement”) pursuant to which HPS, as the Trading Manager, provides the services described below as an agent and

attorney-in-fact for SubCo. The Investment Management Agreement shall continue until the earliest of (1) the

mutual agreement of the Trading Manager and SubCo, (2) the redemption or other termination of all of the SubCo

Notes under circumstances such that the Board of Managers does not have a reasonable expectation that further

SubCo Notes will be issued shortly thereafter, (3) the completion of the liquidation of SubCo, (4) the termination

date set forth in a notice of termination delivered by SubCo to the Trading Manager, with the consent of the

Advisory Committee, not less than 60 days prior to the termination date set forth therein and (5) the termination date

set forth in a notice of termination delivered by the Trading Manager to SubCo not less than 9 months prior to the

termination date set forth therein.

The Trading Manager is responsible for all trading operations of SubCo. The Trading Manager, directly or

through its affiliates, among other things, (i) makes all investment decisions for SubCo, (ii) monitors the

performance of SubCo, (iii) consults with the Administrator (defined below) with respect to the valuation of

SubCo’s assets, (iv) monitors compliance of SubCo with all regulatory requirements applicable to its operations, (v)

negotiates the terms of all agreements to be entered into on behalf of SubCo, (vi) retains brokers, opens accounts,

borrows funds (subject to the consent of the Advisory Committee), pledges assets, and enters into loan facilities and

other instruments, including, without limitation, prime brokerage agreements, pledge agreements and placement

agent agreements on behalf of SubCo and (vii) provides financial, accounting, legal/compliance, technology,

investor relations and other back-office services to SubCo.

SubCo will bear all of the risk with regard to all of the investments and transactions effected or facilitated

by the Trading Manager on its behalf. The Trading Manager does not make any representation, warranty or

guarantee as to the success or profitability of any investment, and SubCo has not received any such representation,

warranty or guarantee from the Trading Manager or any of its affiliates, principals, officers, directors, members,

managers, employees, agents or representatives. None of the Trading Manager, or any of its officers, directors,

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members, employees or partners (each, a “Trading Manager Indemnified Person”) shall be liable to SubCo or any

other individual, partnership, corporation, limited liability company, trust or other entity who is party to or bound by

the Investment Management Agreement for any Damages arising out of, related to or in connection with any act or

omission performed or omitted by it in connection with the SubCo, the Investment Management Agreement, the

SubCo Articles, the SubCo Notes or this Memorandum, except for any Damages resulting from such Trading

Manager Indemnified Person’s fraud, Gross Negligence, willful misconduct, bad faith, willful disregard of fiduciary

duties, any knowing and material violation of any applicable law or any other intentional and criminal wrongdoing

on the part of such Trading Manager Indemnified Person.

The Investment Management Agreement provides that SubCo will, to the fullest extent permitted by

applicable law, indemnify the Trading Manager Indemnified Persons from and against any Damages arising out of,

related to or in connection with the Investment Management Agreement or SubCo’s business or affairs, except for

any such Damages resulting from a Trading Manager Indemnified Person’s fraud, Gross Negligence, willful

misconduct, bad faith, willful disregard of fiduciary duties, any knowing and material violation of any applicable

law or any other intentional and criminal wrongdoing on the part of such Trading Manager Indemnified Person.

SubCo’s indemnification obligations under the Investment Management Agreement terminate on the second

anniversary of SubCo’s final distribution of assets to holders of SubCo Notes. The Investment Management

Agreement further provides that the foregoing provisions shall not be construed to relieve any Trading Manager

Indemnified Person of any liability to the extent that such liability may not be waived, modified or limited under

U.S. law.

THE ADMINISTRATOR

BNP Paribas Securities Services, Luxembourg Branch and/or certain of its affiliates to whom BNP Paribas

Securities Services, Luxembourg Branch has delegated some tasks, a société en commandite par actions (S.C.A.)

incorporated under the laws of France, registered with the Registre du Commerce et des Sociétés of Paris under

number 552 108 011, whose registered office is at 3, rue d'Antin - 75002 Paris, France and acting through its

Luxembourg branch whose office is at 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg and

registered with the Luxembourg Register of Commerce and Companies under number B 86.862 (collectively,

“BNP”), acts as administrator, loan administrator, cash manager, paying agent, transfer agent, custodian and

registrar to the Company and SubCo.

The Board of Directors and Board of Managers have delegated some tasks in relation to day-to-day

administration of the Company and SubCo, respectively, to BNP, in its capacity as administrator (the

“Administrator”). In connection therewith, the Board of Directors may require that the Administrator, among other

things, (i) transmit communications to Noteholders, including the Company’s monthly and annual reports; (ii)

accept and/or reject subscriptions for Company Notes; (iii) maintain the principal corporate records and books of

account of the company; (iv) disburse distributions, fees and advisory compensation; (v) value the Company’s and

SubCo’s assets and computes and publish the Company’s and SubCo’s Net Asset Value on a monthly basis;

(vi) approve and effect transfers and redemptions of the Company Notes; and (vii) conduct “Know Your Customer”

and anti-money laundering processes. In addition, the Board of Directors may (or may delegate to the Administrator

the responsibility to) (a) waive the limitations and/or requirements with respect to redemptions and all applicable

notice periods and (b) in consultation with the Investment Adviser, may suspend or defer redemptions, the

calculation of the Company’s net assets and/or the payment of redemption proceeds during the existence of any state

of affairs as a result of which the Board of Managers is unable to value and/or dispose of SubCo’s assets (or, in the

opinion of the Investment Adviser, it is not reasonably practicable or would be prejudicial to Noteholders to do so).

The Administrator is also expected to hold the Company’s bank account. The Administrator performs duties similar

to those mentioned in this paragraph for SubCo. The Administrator may consult with HPS in connection with the

performance of any of its duties with respect to the Company and SubCo. Without limiting the generality of the

foregoing, the Administrator generally consults with HPS with respect to items (v), (a) and (b) above.

The administration agreements entered into between the Administrator and the Company and between the

Administrator and SubCo (collectively, the “Administration Agreement”) provide that the Administrator will be

liable to the Company and/or SubCo for certain costs and liabilities resulting from the Administrator’s breach of the

Administration Agreement, fraud, negligence or bad faith or willful default. In addition, under the Administration

Agreement, the Company and SubCo will indemnify the Administrator from and against any and all losses arising

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from the performance of services under the Administration Agreement other than losses resulting from the fraud,

negligence or willful default of the Administrator or the Administrator’s breach of the Administration Agreement.

The Administration Agreement may be terminated (i) upon not less than 45 days’ prior written notice from

the Company or (ii) upon not less than 180 days’ prior written notice from the Administrator.

The Company and SubCo may, with the consent of the Advisory Committee, engage other entities (in

addition to or in replacement of BNP Paribas Securities Services, Luxembourg Branch and/or certain of its affiliates

to whom BNP Paribas Securities Services, Luxembourg Branch has delegated some tasks) to serve as administrator

or otherwise to provide such services to the Company and SubCo.

The Administrator receives customary fees and reimbursement of expenses for its administration of the

Company and SubCo as agreed between the Company, SubCo and the Administrator.

The Company and SubCo have also each entered into a custody agreement (collectively, the “Custody

Agreement”) with the Administrator. Under the Custody Agreement, the Company and SubCo each agree to

indemnify the Administrator from and against any and all losses arising from the performance of the services under

the Custody Agreement, other than losses which result from the breach of the Custody Agreement, or the

negligence, willful default, bad faith or fraud by the Administrator or any of its branches, or affiliates or any entity

(including the Administrator’s subsidiaries and affiliates) to which the Administrator has delegated all or part of its

safekeeping, clearing and settlement duties as depositary of the Company Notes and SubCo Notes held by it

pursuant to the Custody Agreement. In consideration of the custody services provided to the Company and SubCo

under the Custody Agreement, the Administrator is entitled to receive from each of the Company and SubCo a fee

as set out in a separate fee letter agreed between the Administrator and each of the Company and SubCo. The

Administrator may terminate the Custody Agreement upon 180 days notice to the Company or SubCo as applicable,

and each of the Company and SubCo, as applicable, may terminate the Custody Agreement upon 45 days notice to

the Administrator. Upon termination of the Custody Agreement, each of the Company and SubCo may appoint one

or more successor custodians.

THE DOMICILATION AGENT

TMF Luxembourg S.A. (“TMF”), a company validly organised and existing under the laws of the Grand-

Duchy of Luxembourg, having its registered office and principal place of business at 46A, Avenue J.F Kennedy, L-

1855 Luxembourg, registered with the Luxembourg Register of Trade and Companies (R.C.S. Luxembourg) under

number B 15302, will act as domiciliation agent for each of the Company and SubCo. TMF is a leading global

provider of high-value business services to clients operating and investing globally. TMF helps companies with

international structuring, accounting, corporate secretarial, HR and payroll, fund administration and structured finance.

Pursuant to the terms of the service agreements between TMF and each of the Company and SubCo, TMF

will (i) provide the registered office of the Company and SubCo; (ii) provide two private directors for the Company,

and two private managers for SubCo; (iii) maintain the corporate records of the Company and SubCo, and (iv)

supervise matters related to the local registration with Luxembourg Register of Commerce and Companies.

TMF will be paid fees for its services and be entitled to indemnification pursuant to its service agreement with

each of the Company and SubCo. TMF may be replaced with the consent of the Advisory Committee, and it is

expected that, following the initial issuance of the Company Notes, TMF will be replaced as domiciliation agent to the

Company and Subco.

NOTEHOLDER ADVISORY COMMITTEES

A separate advisory committee will be established with respect to each of the Company and SubCo

(together, the “Advisory Committee”), each of which shall be comprised of at least three representatives of

Noteholders, nominated by such Noteholders and appointed by the Board of Directors and the Board of Managers

(which appointment will not be unreasonably withheld), as applicable, and one non-voting observer appointed by the

board of managers of the Shareholder, provided that no member of the Advisory Committee shall be an affiliate,

employee, agent or representative of the Investment Adviser or Trading Manager, but that any such person may

serve as the non-voting investment adviser representative or non-voting observer of the Advisory Committee. The

Advisory Committee will (i) provide such advice and counsel as is requested by the Investment Adviser or Trading

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Manager in connection with potential conflicts of interest involving the Company and/or SubCo, including, where

appropriate, approval or disapproval of transactions or other matters giving rise to such conflicts, and (ii) provide

such other advice and counsel, or approve or disapprove such other matters, as are reasonably requested by the

Investment Adviser or Trading Manager. In addition, the consent of the Advisory Committee shall be required (w)

with regard to the extension of the Issuance Period and/or of the Recycling Period, (x) in connection with any

amendment of the Investment Advisory Agreement or Investment Management Agreement, any change to the main

service providers listed on Schedule A thereof or any termination of the Investment Advisory Agreement or

Investment Management Agreement by the Company or SubCo, as applicable, (y) in connection with any transfer or

assignment of the Investment Advisory Agreement or Investment Management Agreement, or the duties and

obligations under the Investment Advisory Agreement or Investment Management Agreement, by the Investment

Adviser or the Trading Manager, or the appointment of a new investment adviser or trading manager in place of the

Investment Adviser or the Trading Manager and (z) in connection with any borrowing by the Company and/or

SubCo and the adoption of any currency hedging program. The Advisory Committee’s recommendation shall be

required with regard to variations and deviations from the Investment Guidelines. Any approval and/or

recommendation by the Advisory Committee shall require the consent of the majority of its members.

Notwithstanding the foregoing, the Investment Adviser, the Trading Manager, the Board of Directors and the Board

of Managers will retain ultimate responsibility for making all decisions relating to the operation, conduct and

management of the business and affairs of the Company and SubCo, as applicable. Any member of the Advisory

Committee nominated by a Noteholder may be removed by such Noteholder, and a new member may then be

nominated by such Noteholder for appointment by the Board of Directors. The operations of the Advisory

Committee shall be governed by the Advisory Committee’s charter.

FEES, COMPENSATION AND EXPENSES

Management Fee and Incentive Fee

In consideration for the services rendered pursuant to the Investment Management Agreement, SubCo

shall pay to the Trading Manager a management fee (the “Management Fee”) and an incentive fee (the “Incentive

Fee”) in accordance with the Investment Management Agreement.

Organizational, Operating, Brokerage and Other Expenses

The Company bears its own operating and other expenses, including, but not limited to, (i) organizational

expenses, (ii) administrative, legal, audit, directors’ fees, internal and external accounting fees and expenses

(including expenses of updating the governing documents of the Company), (iii) other operating expenses (including

costs of investor communications (including reports to the Noteholders), tax filing preparation expenses and taxes or

assessments (if any)), (iv) rating agency fees, (v) expenses related to Euro-U.S. dollar conversion and hedging with

respect to the Company Notes, and profit and loss arising from those hedging activities (such fees and expenses

listed in (iv) and (v) “Investor Expenses”) and (vi) extraordinary or non-recurring expenses.

As the Company invests in SubCo Notes, which participate in the profits of SubCo, the Company is also

indirectly subject to the expenses of SubCo. These expenses include expenses similar to those outlined above with

respect to the Company and also include the cost of investments and associated expenses (including all investment

and transaction fees and expenses such as fees to agents and settlement costs, brokerage commissions, interest

expenses and other expenses associated with leverage, custodial fees, bank service fees and other charges for or

related to transactions), research, data fees, company or analyst conferences, due diligence meetings and travel and

lodging expenses related thereto, certain costs of computer hardware, computer software, telecommunications

equipment and services, research, equipment leases and other equipment, and professional fees relating to

investments.

Notwithstanding the foregoing, the ordinary and recurring expenses (excluding organizational expenses,

Investor Expenses, Incentive Fees, Management Fees and, to the extent any permitted indebtedness is approved by

the Advisory Committee, expenses related to such indebtedness) for the Company and SubCo shall not in the

aggregate exceed 0.12% per annum of the aggregate purchase price of the outstanding Company Notes, provided

that the Advisory Committee and the Trading Manager will consult in good faith in case of large redemptions

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(cumulatively more than 20% of the aggregate subscriptions) and will periodically review in good faith in light of

actual expenses incurred.

The Company or SubCo, as applicable, will pay or reimburse HPS or its affiliates if they incur the expenses set

forth above in connection with their activities for the Company or SubCo.

HPS shall bear its own Overhead Expenses as Investment Adviser and Trading Manager. “Overhead

Expenses” means all salaries and employee benefit expenses of employees of the Investment Advisory or Trading

Manager and related overhead (including rent, utilities and other similar items) resulting from the activities of such

employees on behalf of the Company or SubCo, as applicable, or in connection with the Investment Advisory

Agreement or the Investment Management Agreement, as applicable; provided, that, for the avoidance of doubt, the

Overhead Expenses to be borne by the Investment Adviser or Trading Manager shall not include any expenses to be

borne by the Company or SubCo, as applicable, pursuant to, as applicable, the Company Articles, the SubCo

Articles, the Terms and Conditions of the Company Notes, the Terms and Conditions of the SubCo Notes and this

Memorandum.

Brokerage Commissions

Each Company Entity pays its own brokerage commissions, exchange, clearing and National Futures

Association fees and other transaction costs and bears all interest costs on debit balances and earns all interest on

credit balances maintained in its accounts. Funds held by clearing brokers in excess of margin requirements are

generally used to pay down debit balances. Company Entities’ uninvested cash may be invested in temporary

investments as permitted by the Investment Management Agreement, including, but not limited to, money-market

funds sponsored or managed by JPM or U.S. treasury bills.1 See “Conflicts of Interest—JPM’s Investment Banking,

Trading, Advisory and Other Activities.” Brokerage commissions for Company Entities’ trading activity may be

substantial. In addition, many of the securities transactions executed for Company Entities may not include explicit

commissions. For example, many of SubCo’s securities are traded based on a bid-ask spread where the broker-

dealer’s compensation is included in the execution price.

The Trading Manager does not receive any commissions or fees for clearing or execution in connection with

the Company Entities’ trading. However, the Company Entities may engage in principal and/or agency cross

transactions with or through JPM with respect to which JPM will receive commissions, fees or mark-ups, in all cases

subject to applicable law, including the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-

Frank Act”). An agency cross transaction arises when an investment adviser, or any broker-dealer affiliated with the

adviser, acts as a broker in a securities transaction for both an advisory client and a person on the opposite side of the

transaction. Generally, the affiliated broker-dealer basically transfers (or crosses) the securities from one account to

another. The Company Entities would not be able to enter into principal transactions with JPM absent consent on a

transaction by transaction basis before completion of each such transaction. In addition, the Company Entities would

not be able to enter into agency cross transactions through JPM absent consent on a blanket prospective basis and

disclosures on a transaction by transaction basis. The ability of the Company Entities to enter into the transactions

1 Pursuant to Section 2(b)(xiv) of the Investment Management Agreement, such temporary investments may include

(i) debt instruments issued or guaranteed by the United States; (ii) interest-bearing deposits in commercial banks,

savings and loan associations, brokerage firms or other financial institutions with a total capital and surplus of at

least $500 million and which have a rating for its long-term unsecured and non credit-enhanced debt obligations by

at least two ratings agencies of A or higher by Standard & Poor’s Rating Services or Fitch Ratings Ltd, A2 or higher

by Moody’s Investor Services Limited, or similar rating by another rating agency belonging to the Nationally

Recognized Statistical Rating Organization; or (iii) money market funds with assets of at least $100 million

belonging to a bank or financial institution which has a rating for its long-term unsecured and non credit-enhanced

debt obligations by at least two ratings agencies of A or higher of Standard & Poor’s Rating Services or Fitch

Ratings Ltd, A2 or higher by Moody’s Investor Services Limited, or similar rating by another rating agency

belonging to the Nationally Recognized Statistical Rating Organization; and to the extent permitted by applicable

law and provided that the above mentioned conditions are matched, such short-term investments may include

investments in money market funds or cash equivalent investments sponsored by Affiliates of the Trading Manager

(including JPMorgan) with respect to which such Affiliates may receive fees from SubCo.

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described above may be further limited due to the Dodd-Frank Act and certain provisions therein known as the

“Volcker Rule.” Please see “Risk Factors” and specifically, “Trading Risks—Effect on the Company and SubCo of the

Dodd-Frank Wall Street Reform and Consumer Protection Act” therein.

Advisory Committee approval will be required in order for Company Entities to enter into principal

transactions with JPM in a manner consistent with applicable law, including Section 206(3) of the Advisers Act.

Agency cross transaction will be executed through the use of a methodology to determine the transfer price deemed

fair and equitable by the Board of Directors, the Board of Managers or the other applicable Company Entity’s

governing body. Noteholders, the Company and SubCo will be bound by any principal transaction consents granted

by the Advisory Committee. Please see “Conflicts of Interest” and specifically, “—Relationship Among the

Company, SubCo, HPS, Highbridge and JPM; Counterparty Transactions with JPM” therein.

In addition, the Trading Manager and its affiliates may benefit indirectly from payments made by the

Company and SubCo. Please see “—Best Execution; Soft Dollars” below.

Best Execution; Soft Dollars

In choosing brokers and dealers, HPS is not required to consider any particular criteria. For the most part,

HPS seeks the best combination of brokerage cost and execution quality. However, HPS is not required to select the

broker or dealer that charges the lowest transaction cost, even if that broker provides execution quality comparable

to other brokers or dealers. HPS may consider the value of various services or products, beyond execution, that a

broker/dealer provides to the Company, SubCo and/or HPS. Selecting a broker/dealer in recognition of such other

services or products is known as paying for those services or products with “soft dollars.” Because many of those

services could benefit HPS, HPS may have a conflict of interest in allocating the Company and SubCo’s brokerage

business. Although HPS does not expect to utilize soft dollars in connection with managing SubCo’s investments,

to the extent it does so HPS intends to comply with Section 28(e) of the U.S. Securities Exchange Act of 1934,

except with respect to securities transactions for which Section 28(e) is unavailable. Under Section 28(e), HPS’ use

of the Company’s and/or SubCo’s commission dollars to acquire research products and services is not a breach of its

fiduciary duty to the Company and/or SubCo -- even if the brokerage commissions paid are higher than the lowest

available -- as long as (among certain other requirements) HPS determines that the commissions are reasonable

compensation for both the brokerage services and the research acquired. For these purposes, “research” means

services or products used to provide lawful and appropriate assistance to HPS in making investment decisions for its

clients. The types of research HPS may acquire include: reports or other information about particular companies or

industries; economic surveys and analyses; recommendations as to specific securities; financial publications;

portfolio evaluation services; financial database software and services; computerized news, pricing and order-entry

services; and other products or services that may enhance HPS’ investment decision making. The “safe harbor”

under Section 28(e) applies to the use of the Company’s and/or SubCo’s “soft dollars” even when the research

acquired is used in making investment decisions for clients other than the Company and/or SubCo. Conversely, the

research information provided to HPS by brokers through which other clients of HPS or its affiliates effect securities

transactions may be used by HPS or their affiliates in providing services to the Company and/or SubCo. The safe

harbor is not available where transactions are effected on a principal basis with a markup or markdown paid to the

broker-dealer, and is not available for services or products that do not constitute research.

Directors’ Fees; Manager’s Fee

In respect of each of the independent directors, the Company pays an annual fee of €2,500 and an annual

compliance fee of €250. SubCo pays in respect of its independent managers an annual fee of €2,500 and an annual

compliance fee of €250. The Company bears its allocable portion of such fee.

CURRENCY

All subscription amounts in respect of the Company Notes and all distributions to the Noteholders will be

made in euros. All calculations or determinations of value (including for purposes of calculating the Incentive Fee

and Management Fee payable by SubCo), however, shall be performed using U.S. dollars as the base currency, and

except as otherwise provided herein, all non-U.S. dollar assets and liabilities shall be considered to be the U.S. dollar

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equivalent thereof. The Company or SubCo may seek to hedge the U.S. dollar-Euro currency exposure of the

Noteholders upon the request of a majority of Noteholders if the Advisory Committee has consented to

implementation of a U.S. dollar-Euro currency hedging program, provided that, per the Investment Guidelines,

SubCo may not invest in loans denominated in a currency other than U.S. dollars without Advisory Committee and

majority Noteholder consent.

DESCRIPTION OF THE COMPANY

Organization

The Company is a securitization company incorporated as a société anonyme de titrisation under (1) The

Law of 10 August 1915 on commercial companies, as amended and (2) The Law of 22 March 2004 on

securitization, as amended, each of the Grand Duchy of Luxembourg, in 2014 with a share capital of EUR 31,000 as

an orphan entity and a special purpose vehicle whose objects and purposes are primarily the issue of securities by

the Shareholder. The Noteholders will not be liable for any debt, obligation or default of the Company beyond the

subscription price of the Company Notes.

The Shareholder, a société à responsabilité limitée incorporated under the laws of the Grand Duchy of

Luxembourg, shall be the sole shareholder of the Company.

Business Overview

The Company has purchased a nominal equity interest in and has exposure, indirectly through its

investment in SubCo, to a diversified portfolio owned by SubCo consisting primarily of first lien loans purchased in

primary or secondary markets in accordance with the investment guidelines. Such exposure will be attained by

investing in the profit participating SubCo Notes and potentially through direct investments or activities of the

Company. It is expected that such direct investments or activities of the Company (if made) would consist of short-

term investments made from potential excess funds of the Company. For the avoidance of doubt, the Company’s

equity interest in SubCo is the only equity interest the Company owns or expects to own at any point. SubCo’s

investments are generally expected to be denominated in U.S. dollars and purchased in primary or secondary

markets. The Company has issued Company Notes to investors.

Capitalization

The issued share capital of the Company is set at thirty-one thousand euro (EUR 31,000) consisting of

thirty-one thousand (31,000) shares having a nominal value of one euro (EUR 1) each. Each share, upon issue, will

be entitled to share in the profits, losses and dividends of the Company and in its capital and assets on liquidation.

The Company’s shares are issued in registered form and may not be converted into shares in bearer form.

No share certificates will be issued to shareholders. The Company does not intend to issue any additional shares.

Directors

The following persons are the directors of the Company:

Fabian Sires. Fabian currently holds the position of Director Operations/Client Services at TMF Group. Fabian

started his career with PwC Luxembourg in 1999 as an Accountant in the Corporate and Trust department. Before

joining TMF Group in 2014, Fabian held the position of Senior Manager for another well-known services provider

in Luxembourg servicing major PE houses around the globe. Fabian has 15 years of experience in the private equity

industry and was providing Directorships to well-known PE houses. He holds a bachelor’s degree in accounting and

speaks French and English. Fabian’s address is Fabian Sires; c/o TMF Luxembourg S.A.; 46A, Avenue J.F

Kennedy; L-1855 Luxembourg.

Christiaan van Arkel. Christiaan has worked in the financial service industry in various positions in Curacao, The

Netherlands, and Luxembourg for more than 15 Years. His experience is in international management, corporate and

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accounting services with holding, financing companies, license and royalty companies. Christiaan has worked for

companies including Komdeur Lawyers, Antilliaanse Verffabriek, KPMG Curacao, Amaco Management Services,

ANT Trust and TMF Luxembourg S.A. Christiaan joined TMF Luxembourg S.A. in 2008 and he currently works in

the role of Team Leader within the Client Administration department, servicing private clients, private equity firms

and multinationals. In this role he heads up a team of 16 persons and is responsible for the day to day management,

planning and operations of his client administration team. Christiann’s address is Christiaan van Arkel; c/o TMF

Luxembourg S.A.; 46A, Avenue J.F Kennedy; L-1855 Luxembourg.

Faith Rosenfeld. Please see “The Company & SubCo—Investment Team” above for Ms. Rosenfeld’s biography.

Faith’s address is Faith Rosenfeld; c/o Highbridge Capital Management; 40 West 57th

Street, Floor 32; New York,

NY 10019.

It is expected that, following the initial issuance of the Company Notes, one or more of the initial directors

will be replaced as directors of the Company.

Termination of the Company

The Company may be dissolved at any time and without cause by a resolution of the general meeting of

shareholders, adopted in the manner required for an amendment of the Company Articles.

Company Contact Information

The registered office and the mailing address of the Company is 46, Avenue J.F. Kennedy L-1855

Luxembourg. The registration number of the Company is B 193.463. The Company can be reached by telephone

via TMF at +352 42 71 71.

DESCRIPTION OF SUBCO

Organization

SubCo is a company incorporated as a société à responsabilité limitée under The Law of 10 August 1915

on commercial companies, as amended, of the Grand Duchy of Luxembourg on December 17, 2014 with a share

capital of USD 20,000 by the Company.

Business Overview

SubCo will gain exposure to a diversified portfolio owned by SubCo consisting primarily of first lien loans

purchased in primary or secondary markets in accordance with the Investment Guidelines. SubCo’s investments are

generally expected to be denominated in U.S. dollars and purchased in primary or secondary markets.

Capitalization

The issued share capital of SubCo is USD 20,000, represented by twenty thousand (20,000) shares with a

nominal value of one dollar (USD 1) each. Each share, upon issue, will be entitled to share in the profits, losses and

dividends of SubCo and in its capital and assets on liquidation.

All SubCo shares are in registered form. No share certificates will be issued to SubCo’s shareholders.

SubCo does not intend to issue additional shares. SubCo may redeem its own shares.

Managers

The following persons are the managers of SubCo:

Fabian Sires. Please see “Description of the Company—Directors” above for Mr. Sires’s biography. Fabian’s

address is Fabian Sires; c/o TMF Luxembourg S.A.; 46A, Avenue J.F Kennedy; L-1855 Luxembourg.

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Hans de Zwart. Hans currently holds the position of Deputy Managing Director at TMF Group, having joined the

organisation in 2008. Prior to taking up this role, Hans held the position of Client Servicing Director and prior to

joining TMF Group, Hans worked, in various managerial roles, for another well-known financial services provider

in both the Netherlands and in Curacao. He holds a bachelor’s degree in tax law and has various degrees in

accounting and speaks Dutch and English. Hans’s address is Hans de Zwart; c/o TMF Luxembourg S.A.; 46A,

Avenue J.F Kennedy; L-1855 Luxembourg.

Faith Rosenfeld. Please see “The Company & SubCo—Investment Team” above for Ms. Rosenfeld’s biography.

Faith’s address is Faith Rosenfeld; c/o Highbridge Capital Management; 40 West 57th

Street, Floor 32; New York,

NY 10019.

It is expected that, following the initial issuance of the Company Notes, one or more of the initial managers

will be replaced as managers of SubCo.

Registered Office and Mailing Address

The registered office and the mailing address of SubCo is 46A, Avenue J.F. Kennedy, L-1855

Luxembourg. The registration number of SubCo is B 193.488. SubCo can be reached by telephone via the TMF at

+352 42 71 71.

Termination of SubCo

SubCo may be dissolved at any time and with or without cause by a resolution of the general meeting of

SubCo shareholders adopted in the manner required for an amendment of SubCo’s articles of associations.

SUBSCRIPTIONS FOR COMPANY NOTES

The Company has issued participating redeemable subordinated notes (the “Company Notes”) to investors

(each such investor, upon purchase of the Company Notes, a “Noteholder”). The Company intends the Company

Notes to be treated as profit participating notes within the meaning of German law (Genussscheine).

The Company Notes are direct and limited recourse obligations of the Company. Each Company Note will

have a denomination of EUR 100,000 and the total principal amount of the Company Notes to be issued will be

EUR 1,000,000,000. The Company Notes will be issued in registered form only and will not be rated. All

Company Notes (irrespective of whether they form part of one or different series) will be of a single class, will rank

equally and will entitle the holders thereof to participate on a pro rata basis in the profits of the Company as set forth

herein. Please see “Terms & Conditions of the Company Notes.”

Within three years of the date of the initial issuance of Company Notes (the “Initial Issuance Date”) the

Company may issue additional Company Notes (the “Issuance Period”). Company Notes will generally be issued in

series, with a new series established each time additional Company Notes are issued.

Each Company Note will have a maturity date that is seven years from the Initial Issuance Date and will be

redeemable prior to maturity as set forth under “Redemptions.” Accordingly, unless redeemed prior to maturity,

Company Notes issued on different dates will have the same maturity dates.

The minimum initial investment for the Company Notes is $5,000,000, and the minimum additional

investment for the Company Notes is $500,000. The Administrator, in its discretion, may waive either of the

foregoing minimum investment amounts (provided that the minimum initial investment amount shall not be less

than $100,000 (or such other amount as required by applicable law)). Investments may be made in cash or as

otherwise permitted by the Administrator in its sole discretion in accordance with the Company Articles. The

Company may reject any subscription in its sole discretion. Any portion of a subscription amount not accepted for

investment will be returned to the subscriber.

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For as long as any Company Notes are outstanding, neither the Company nor SubCo will incur any

indebtedness (other than for fees, expenses and other liabilities incurred in the ordinary course of the Company’s

and SubCo’s operations) without the prior consent of the Advisory Committee.

SUITABILITY REQUIREMENTS;

LIMITATIONS ON TRANSFERABILITY

The Company Notes shall be purchased outside the United States by certain affiliates and controlled

subsidiaries and entities of Assicurazioni Generali S.p.A. that are non-U.S. Persons (the “Noteholders”). The term

“non-U.S. Person” means, generally, any person who is not a “U.S. Person” within the meaning of (i) Regulation S

under the U.S. Securities Act of 1933, as amended, (ii) the U.S. Commodity Exchange Act, as amended, and (iii)

Section 7701(a)(30) of the U.S. Internal Revenue Code of 1986, as amended. Such meanings are set forth in

Company’s subscription agreement.

Prior to acceptance of any subscription for the Company Notes, each prospective purchaser must represent in

writing, by completing and signing the Company’s subscription documents, that, among other things:

(a) the prospective purchaser has such knowledge and experience in financial and business matters

that it is capable of evaluating the merits and risks of the proposed investment, and that it can bear the economic risk

of the investment (i.e., the prospective purchaser can afford a complete loss of the investment and can afford to hold

the investment for an indefinite period of time);

(b) the prospective purchaser is acquiring the Company Notes for investment purposes and solely for

its own account and not with a view to or present intention of reselling it; provided that this representation does not

prejudice the right of investors to dispose of the Company Notes in accordance with the Company Notes Terms and

Conditions;

(c) The Company will, during the course of the issuance and prior to the sale of the Company Notes,

afford the prospective purchaser the opportunity to ask questions and receive answers concerning the terms and

conditions of the issuance and to obtain any additional information, to the extent the Company possesses such

information or could acquire it without unreasonable effort or expense, necessary to verify the accuracy of the

information contained in this Memorandum; and

The suitability standards referred to above represent minimum suitability requirements for prospective

purchasers of the Company Notes, and the satisfaction of such standards by a prospective purchaser does not

necessarily mean that the Company Notes are a suitable investment for such prospective purchaser or that the

prospective purchaser’s subscription will be accepted. The Administrator may, in circumstances it deems appropriate,

increase such requirements. In addition, the Board of Directors (or the Administrator on the Company’s behalf) will

have the right, in its sole discretion, to reject a subscription for any reason or no reason.

Each prospective purchaser is urged to consult with its own advisers to determine the suitability of an

investment in the Company and the relationship of such an investment to the purchaser’s overall investment program

and financial and tax position. Each purchaser of the Company Notes is required to represent further that, after all

necessary advice and analysis, its investment in the Company is suitable and appropriate in light of the foregoing

considerations.

Notes are freely transferable, provided that, a Noteholder may not transfer Company Notes if such transfer

would,


(ii) cause the Company’s or SubCo’s assets to be deemed to be “plan assets” for purposes of ERISA (as

defined below);

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(iii) cause the Company or SubCo to be an “investment company” within the meaning of the Investment

Company Act;

(iv) result in any adverse tax consequences to the Company or SubCo (or to the Noteholders generally);

(v) cause the Investment Adviser or Highbridge to be in violation of the Advisers Act and the rules

promulgated thereunder; or

(vi) violate, or cause the Company, SubCo, the Investment Adviser or Highbridge to violate, any applicable law

or regulation, including any applicable securities laws.

Insofar and as long as a German insurance company holds Company Notes as part of its guarantee assets

("Sicherungsvermögen" as defined in Section 66 or Section 115 of the German Insurance Supervisory Act

(Versicherungsaufsichtsgesetz)) and such German insurance company is either in accordance with Section 70 of the

German Insurance Company Act (Versicherungsaufsichtsgesetz) under the legal obligation to appoint a trustee

(Treuhänder) or is subject to similar legal requirements, such German insurance company shall transfer such

Company Notes only with the prior written consent of such trustee or its authorised representative appointed in

accordance with Section 70 of the German Insurance Supervisory Act, as amended from time to time.

In the event of the death, incapacity, termination, bankruptcy, insolvency, liquidation or dissolution of a

Noteholder, the Company Notes of such Noteholder will continue at the risk of the Company’s business until such

Noteholder (or his or its legal representatives, upon his or its death, adjudication of incompetency, termination,

bankruptcy, insolvency, liquidation or dissolution) completely redeems from its Company Notes in accordance with

their terms. The legal representative of a Noteholder who has died, been adjudicated incompetent, been terminated

or declared bankrupt, become insolvent or been liquidated or dissolved may elect to be entered as the legal owner of

the Noteholder’s Company Notes in accordance with the terms of the Company Notes and applicable laws provided

that the consent of the Administrator has been obtained.

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REDEMPTIONS

Voluntary Redemptions

Subject to the following terms and conditions and to the exceptions noted elsewhere herein, a Noteholder

may, upon at least 90 days’ prior written notice to the Company, redeem all or any portion of its Company Notes as

of December 31, 2016 and as of every second December 31 thereafter (i.e., December 31, 2018, December 31, 2020,

etc.) (each, a “Redemption Date”). Upon the Company’s receipt of a redemption notice for a particular Redemption

Date, the Company shall immediately provide the notice to SubCo. Upon SubCo’s receipt of such notice, the

Trading Manager shall determine which securities to liquidate, taking into account the overall diversification and

liquidity of SubCo’s remaining securities, and shall use commercially reasonable efforts to distribute liquidation

proceeds to the Company. The Company shall in turn use commercially reasonable efforts to distribute redemption

proceeds within 30 days of the applicable Redemption Date, provided that there can be no assurances that

redemption proceeds will be paid in such time period and, under certain circumstances, the Company may extend

the payment period for redemption proceeds. Notwithstanding the foregoing, the Company may determine not to

effect partial redemptions of Company Notes in amounts less than EUR 1,000,000. The Company, in consultation

with the Investment Adviser, may waive such notice and other requirements and/or limitations and/or permit

redemptions at other times.

Redemption proceeds will be paid in cash or, upon the request of a Noteholder or the determination of the

Investment Adviser with the consent of the Advisory Committee, in kind. Cash redemption proceeds will be paid by

wire transfer at the expense of the redeeming Noteholder. In-kind delivery of redemption proceeds may take the

form of delivery of SubCo Notes or investments of SubCo, with the value of either confirmed by a third-party

valuation agent selected by the Trading Manager and approved by a majority of the Noteholders. The Company

may withhold up to 10% of the proceeds of a complete redemption until the Company has received the audited

financial statements for the relevant year and any resulting adjustments have been made.

The amount paid upon redemption of a Company Note will be calculated as set forth in the terms and

conditions of the Company Notes.

Compulsory Redemptions

The Company may compel redemption of any or all of a Noteholder’s Company Notes in the event that the

Board of Directors, after receipt of written advice of counsel, reasonably determines that the continued holding of

Company Notes by such Noteholder (i) may result in adverse legal, tax or regulatory consequences to the Company,

the Investment Adviser, Highbridge or to the Noteholders generally or (ii) is in violation of applicable law or

regulation. For the avoidance of doubt the Company may effect such compulsory redemptions at any time,

including during any period in which the Company has suspended redemptions as described below in “—Suspension

of Redemptions and/or Calculation of Net Asset Value.”

Suspension of Redemptions and/or Calculation of Net Asset Value

The Company, in consultation with the Investment Adviser, may suspend or defer redemptions, the

calculation of the Company’s net assets and/or the payment of redemption proceeds during the existence of any state

of affairs as a result of which the Board of Managers is unable to value and/or dispose of SubCo’s assets (or, in the

opinion of the Investment Adviser, it is not reasonably practicable or would be prejudicial to Noteholders to do so),

including during any period when SubCo has suspended the redemption of SubCo Notes. The Board of Directors

may temporarily suspend redemptions if necessary to liquidate positions in an orderly manner. The Administrator

will promptly notify Noteholders of any such suspension, and the termination of any such suspension, by means of a

written notice. To the extent that a pending request for redemption is not redeemed after such notice, the redemption

shall be effected as of the first Redemption Date following the recommencement of redemptions unless the Board of

Directors determine to effect such redemption sooner.

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Extraordinary Acceleration

Should a Noteholder cease to be able to hold Company Notes by reason of applicable law or regulations,

the Noteholder shall be entitled to accelerate the Company Notes held by it by giving written notice of such

acceleration to the Company and requesting delivery to such Noteholder of SubCo Notes, pro rata according to the

aggregate number of Company Notes outstanding; provided that, this right to accelerate is subject to the requesting

Noteholder meeting all eligibility requirements and not subjecting SubCo or the holders of SubCo Notes to any

adverse tax or regulatory consequences.

Extraordinary Redemption Right

If (i) the anticipated tax treatment of the Company and the Company Notes contemplated in the tax opinion

delivered by Arendt and Medernach and in this Information Memorandum is not or no longer achieved, (ii)

significant unanticipated taxes are triggered at the level of SubCo, (iii) the continued holding of Company Notes by

a Noteholder may result in adverse legal, tax or regulatory consequences to the Noteholder or is in violation of law

or regulation applicable to a Noteholder or (iv) Company Notes are not listed on the ISE within the timeframe set

forth above under “Company Notes,” the affected Noteholders will have the right, but shall not be obliged, to

redeem the applicable Company Notes held by them as of the month-end no sooner than 90 days following their

written request for such redemption, regardless of whether such date would otherwise be a Redemption Date.

Proceeds of any such extraordinary redemption will be paid as set forth under “Redemptions” above.

The terms and conditions of the SubCo Notes provide for substantially identical extraordinary redemption

rights.

DISTRIBUTIONS

Generally, to the extent permitted by applicable law, the Company will make distributions of Current

Proceeds (as defined below) at the end of each calendar quarter to Noteholders; provided, however, that the Board of

Directors or its delegate may determine to make additional distributions at such other times as it may determine in

its sole discretion.

Such distributions by the Company to Noteholders will generally consist of all available current income

distributions received by the Company from SubCo with respect to the applicable series of SubCo Notes (which will

be primarily based on SubCo’s net cash interest receipts from its investments) (“Current Proceeds”) and will be

made pro rata in accordance with the face value of the Company Notes held by each Noteholder within each series

of Company Notes as of the end of the applicable calendar quarter. The Company or SubCo, in its sole discretion,

may use or reserve some or all of the Current Proceeds for current or estimated expenses (including Management

Fees and Incentive Fees), liabilities or contingencies of any kind or if the Investment Adviser or Trading Manager

determines in good faith that a distribution of Current Proceeds would be adverse to the Company or SubCo due to

unusual market environments, the terms of borrowings or otherwise. Neither the Company nor SubCo will be

required to make distributions unless it has a sufficient amount of Current Proceeds (as determined by the

Investment Adviser or the Trading Manager, as applicable) to distribute at such time.

Should a Noteholder wish for its allocable portion of the Current Proceeds available for distribution to be

retained by the Company and SubCo rather than distributed, such Noteholder may elect as such by so indicating in

the subscription agreement. Such election, once made, may be changed at the request of the relevant Noteholder.

Distributions retained in this manner either will be credited to the series from which they originated or result in the

issuance to the applicable Noteholder of additional Company Notes of a new series in an amount equal to the

amount of the retained distribution.

Taxes payable by the Company or any of its subsidiaries or withholding taxes imposed on income of the

Company or any of its subsidiaries, as a result of the residence or domicile of any Noteholder, or otherwise as a

result of the tax status of any Noteholder, will be for the account of that Noteholder, and the amount of any such

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taxes will be treated as distributed to that Noteholder with subsequent distributions or redemptions to that

Noteholder being appropriately reduced. For the avoidance of doubt, the Incentive Fee will not be reduced to take

into account any of the taxes described above. The Company intends to satisfy its obligations to withhold taxes

from distributions to its Noteholders. However, the Company may require the relevant Noteholders to promptly pay

to the Company the amount necessary to reimburse the Company for any amounts so remitted but not withheld from

distributions. In addition, each Noteholder will indemnify and hold harmless the Company and the other

Noteholders from and against any liability (including any liability for taxes, penalties, additions to tax, interest or

failure to withhold taxes) with respect to income attributable to, or distributions or other payments to, such

Noteholder.

VALUATION OF SUBCO’S ASSETS

HPS will value investments at fair value based on independent third party pricing sources including, but not

limited to, the mid pricing composite prices as of 4PM EST obtained from Markit Pricing Data for bank loans. If

independent third party pricing source data is deemed to be inaccurate, or has insufficient contributor depth to

support it, the mid of broker quotes received from brokers including the broker who is the principal market maker

for the particular security, is used. However, if bid/ask levels are deemed abnormally wide, defined as greater than

100bps, a security is marked towards bid side plus 50bps.

The Company and SubCo may, from time to time, also establish or abolish reserves and/or holdbacks for

estimated or accrued expenses, liabilities or contingencies, including general reserves or holdbacks for unspecified

contingencies (even if such reserves or holdbacks are not in accordance with Luxembourg GAAP).

CERTAIN UNITED STATES TAX CONSIDERATIONS

The following section describes certain significant U.S. federal income tax consequences of, and certain

other considerations relating to, the acquisition, ownership and disposition of the Company Notes for a Noteholder

that is not an individual for U.S. federal income tax purposes and not a U.S. Tax Person (as defined below).

This section is based on the U.S. federal income tax laws in effect on the date of this Memorandum,

including the U.S. Internal Revenue Code of 1986, as amended (the “Code”), the existing and proposed U.S.

Treasury regulations promulgated under the Code, rulings of the IRS, and court decisions in existence on the date

hereof. Subsequent developments in the U.S. federal income tax laws, including changes in or differing

interpretations, which may be applied retroactively, could have a material effect on the U.S. federal income tax

treatment of the Company, SubCo and/or the U.S. federal income tax consequences of the acquisition, ownership

and disposition of the Company Notes by a Noteholder, as described in this section. Neither the Company nor

SubCo has sought any determination or ruling from the IRS or any other U.S. federal, state, local taxing authority

with respect to any of the tax issues affecting the Company, SubCo or the Noteholders. There can be no assurance

that the IRS or any other taxing authority will not take a different position concerning any of the tax consequences

described in this section or that any such position would not be sustained by a court.

This section does not address all of the tax consequences that may be relevant to a particular Noteholder,

including an investor that holds an Interest as part of a hedging, straddle, conversion, constructive sale or other

integrated transaction, to Noteholders that are subject to special treatment under applicable tax laws, or to a U.S.

person for U.S. federal income tax purposes (“U.S. Tax Person”) (i.e., (i) a citizen or resident of the United States

for such purposes, (ii) a corporation or partnership, or other entity or arrangement treated as a corporation or

partnership for such purposes, created or organized in or under the laws of the United States, any state thereof, or the

District of Columbia, or (iii) a trust or estate the income of which is subject to U.S. federal income taxation

regardless of its source). In addition, this section does not address the special tax consequences that may be

applicable to persons who are charitable remainder trusts or who hold interests in partnerships, grantor trusts and

other pass-through entities that hold Company Notes. If a Noteholder is a partnership (or an entity or arrangement

treated as a partnership) for U.S. federal income tax or any other applicable tax purposes, the tax treatment of such

Noteholder and/or the beneficial owners of such Noteholder may depend on the status of such Noteholder and/or its

beneficial owners, the activities of such Noteholder and/or its beneficial owners, and certain determinations made at

the Noteholder and/or beneficial owner level, and such a Noteholder and its beneficial owners are urged to consult

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their own tax advisors regarding the specific U.S. federal income tax consequences of, and other tax considerations

relating to, the acquisition, ownership and disposition of the Company Notes. This section is necessarily general

and does not constitute tax advice. ACCORDINGLY, EACH NOTEHOLDER SHOULD CONSULT WITH ITS

OWN TAX ADVISOR WITH RESPECT TO THE U.S. FEDERAL, STATE AND LOCAL AND NON-U.S. TAX

CONSEQUENCES TO IT OF THE ACQUISITION, OWNERSHIP, AND DISPOSITION OF THE COMPANY

NOTES TAKING INTO ACCOUNT SUCH NOTEHOLDER’S PARTICULAR CIRCUMSTANCES.

References in the discussion below to the Company’s investments, indebtedness, activities and items

of income, gain, loss and deduction include those that are indirectly attributable to the Company as a result of

the Company’s investment in SubCo, and any other entity through which the Company invests that is fiscally

transparent for purposes of the applicable tax law being discussed.

Status of the Company; Investment of the Company’s Assets

The Company has been formed as a securitization company incorporated as a société anonyme de

titrisation under (1) The Law of 10 August 1915 on commercial companies, as amended and (2) The Law of 22

March 2004 on securitization, as amended, each of the Grand Duchy of Luxembourg, that is classified as an

association taxable as a corporation for U.S. federal income tax purposes. For U.S. federal income tax purposes, the

Company Notes are expected to be treated as equity interests in the Company. As investors in an entity that is

treated as a corporation for U.S. federal income tax purposes, Noteholders that are not otherwise subject to U.S.

federal income tax will not be required to directly pay U.S. federal income taxes (other than any tax described under

“– U.S. Withholding Tax – Foreign Account Tax Compliance”) or file U.S. federal income tax returns in respect of

the Company’s income, but (subject to the discussion below) the Company will be, directly or indirectly, liable for

any such taxes and obligated to file any such tax returns.

The Company expects to invest all of its assets in the SubCo Notes and SubCo equity. SubCo is expected to

be treated as a partnership for U.S. federal income tax purposes. The SubCo Notes will be entitled to substantially

all of the distributions and net profits of SubCo. For U.S. federal income tax purposes, the SubCo Notes are

expected to be treated as equity interests in SubCo, and the Company is expected to be treated as owning

substantially all of the equity interests in SubCo. The remainder of this section assumes that both the Company

Notes and the SubCo Notes will be treated as equity for U.S. federal income tax purposes.

U.S. Federal Income Taxation of the Company

Section 864(b)(2) of the Code provides a safe harbor (the “Safe Harbor”) applicable to a non-U.S.

corporation (other than a dealer in securities) that engages in trading securities (including contracts or options to buy

or sell securities) in the United States for its own account pursuant to which such non-U.S. corporation will not be

deemed to be engaged in a U.S. trade or business. A non-U.S. corporation’s allocable share of a partnership’s

income items would similarly be exempt from U.S. federal income tax provided that the partnership’s activities

qualify under the Safe Harbor.

The Company expects to rely on the Safe Harbor with respect to its indirect activities through SubCo and

does not intend to otherwise be engaged in a U.S. trade or business which would subject the Company to U.S.

federal income tax on its net income. However, there can be no assurance that the IRS will not assert a contrary

position. If it were determined that the Company was engaged in the conduct of a U.S. trade or business, the

Company would be subject to U.S. federal income tax on its taxable income that was effectively connected with

such U.S. trade or business (and to the 30% branch profits tax as well on all or some portion of this income) and

could be subject to state and local taxes, as well as charges for interest and/or penalties.

U.S. Withholding Tax

In general, U.S. source interest income of the Company, which is not effectively connected with a U.S.

trade or business, will not be subject to the 30% U.S. withholding tax imposed under Section 881 of the Code,

provided that such interest qualifies as “portfolio interest” within the meaning of Section 881 of the Code. Interest

income that does not qualify as “portfolio interest” and other types of U.S. source income of the Company that is of

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a fixed or determinable annual or periodic nature, including dividends, which are not effectively connected with a

U.S. trade or business, will be subject to U.S. withholding tax at a flat rate of 30% (unless an exemption or lower tax

treaty rate applies) on the gross amount thereof. Although there is a tax treaty between the United States and

Luxembourg, no assurances can be provided that such treaty may be relied upon for the reduction or exemption of

U.S. taxes.

Foreign Account Tax Compliance. The Company and SubCo will not be subject to the tax imposed under

the U.S. withholding provisions commonly referred to as the Foreign Account Tax Compliance Act (“FATCA”),

provided that the Company and SubCo obtain certain information from their respective noteholders and comply with

certain registration and reporting requirements. If the Company and SubCo were not compliant with FATCA,

payments of most types of U.S. source income, including interest, dividends and similar payments, and payments

made after December 31, 2016 attributable to gross proceeds from the sale or other disposition of stocks, bonds, or

other debt instruments giving rise to U.S. source interest or dividends (collectively, “Withholdable Payments”), to

the Company and SubCo would be subject to a 30% U.S. withholding tax. In addition, each offshore entity in which

the Company and SubCo invest may be required to obtain and provide similar information to the IRS or other

jurisdictions, including under an intergovernmental agreement in order to be exempt from this 30% withholding tax.

Although the Company and SubCo will endeavor to satisfy any obligations imposed on them to avoid the imposition

of the FATCA withholding tax, the Company or SubCo may be unable to satisfy its reporting obligations and, as a

result, Withholdable Payments received by the Company or SubCo may be subject to the FATCA withholding tax.

Any Noteholder that fails to produce the required information or is otherwise not compliant with FATCA

could become subject to 30% withholding on all or a portion of any payments made by the Company after

December 31, 2016. Moreover, each Noteholder should be aware that as a result of an investment in the Company,

the tax authorities in the Noteholder’s jurisdiction of tax residence may be provided information relating to such

Noteholder pursuant to the provisions of FATCA, a treaty, an intergovernmental agreement or otherwise, directly or

indirectly by the Company. Each prospective Noteholder should consult its own tax advisors regarding the

possible implications of this withholding tax (and the reporting obligations that will apply to such Noteholder

under FATCA, a treaty, an intergovernmental agreement or otherwise, which may include providing certain

information in respect of such Noteholder’s owners).

Redemption of the Company Notes

Gain realized by Noteholders upon the sale, exchange or redemption of the Company Notes held as capital

assets should generally not be subject to U.S. federal income tax provided that the gain is not effectively connected

with the conduct of a U.S. trade or business of such Noteholders.

Gain realized by a Noteholder engaged in the conduct of a U.S. trade or business will be subject to U.S.

federal income tax upon the sale, exchange or redemption of its Company Notes if such gain is effectively connected

with its U.S. trade or business.

Noteholders may be required to make certain certifications to the Company as to the beneficial ownership

of the Company Notes and the non-U.S. status of such beneficial owners, in order to be exempt from U.S.

information reporting and backup withholding on a redemption of the Company Notes.

Jurisdiction of Tax Residence

The tax treatment and tax filing obligations of a Noteholder in its jurisdiction of tax residence will depend

entirely upon the laws of such jurisdiction and may vary considerably from jurisdiction to jurisdiction. The tax

information that the Company provides to any particular Noteholder may not be timely or sufficient for such

Noteholder to file a tax return in its jurisdiction of tax residence. Each Noteholder will be responsible for the

preparation and filing of its own tax returns, and Noteholders should be prepared to apply for any available

extensions of time to file their tax returns. In addition, each Noteholder should carefully consider that there may be

unfavorable timing differences between income recognition for tax purposes and cash distributions by the Company

and, in this regard, the Company and/or SubCo may reinvest its cash flow or use its cash flow to service its

indebtedness or pay other expenses of the Company or SubCo, as applicable, rather than making cash distributions.

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Accordingly, a Noteholder may incur income tax liabilities in its jurisdiction of tax residence (at rates

applicable to the types of income earned by the Company) in any given year that exceed cash distributions

made to the Noteholder with respect to such year.

Additional Considerations

U.S. State and Local Taxes. The Company may, but is not expected to, be directly or indirectly subject to

U.S. state and local taxes.

Non-U.S. Taxes. Investments outside the United States may directly or indirectly subject the Company to

additional tax (and filing) obligations in the jurisdictions where investments are made and/or where investment

activities are conducted. In particular, interest on debt obligations of non-U.S. issuers or obligors may be subject to

withholding taxes imposed by the jurisdictions in which such issuers or obligors are tax resident. In addition, if the

Company itself is determined to be directly or indirectly engaged in a trade or business under the laws of any

jurisdiction in which the Company directly or indirectly makes investments or is otherwise determined to be doing

business, there could be additional tax and tax filing obligations and, in this event, any such taxes could be material.

Tax Credits and Deductions. In certain circumstances, a Noteholder may be eligible to receive a credit or a

deduction in its jurisdiction of tax residence with respect to taxes paid to other taxing jurisdictions, including

withholding taxes, on or with respect to such Noteholder’s share of income from the Company. However, no

assurance can be provided that any such tax credit or deduction will be available or useable in any given case, or at

all, and each Noteholder will be responsible for claiming any tax credits or deductions that may be available to it.

Tax Determinations and Elections. The Company’s determinations with regard to tax elections, and

reporting of items of income, gain, loss and deduction, will be determined by the Board of Directors in its sole

discretion.

Potential Legislation (and Uncertain Tax Positions). Each Noteholder should be aware that tax laws and

regulations are changing on an ongoing basis, and such changes may apply with retroactive effect. Moreover, the

interpretation and application of tax laws and regulations by certain tax authorities may not be clear, consistent or

transparent. Uncertainty in the tax law may require the Company to accrue for potential tax liabilities even in

situations where the Company does not expect to be ultimately subject to such tax liabilities. Moreover, accounting

standards and/or related tax reporting obligations may change, giving rise to additional accrual and/or other

obligations. Each Noteholder should also be aware that other developments in the tax laws of the United

States or other jurisdictions could have a material effect on the tax consequences to the Company and/or the

Noteholders and such developments may require Noteholders to disclose certain additional information

(which may be provided to the IRS or other taxing authorities) or may subject such Noteholders to other

adverse consequences.

CERTAIN LUXEMBOURG TAX CONSIDERATIONS

The following is an overview of certain tax consequences of purchasing, owning and disposing of the

Company Notes. It does not purport to be a comprehensive description of all of the tax considerations that might be

relevant to an investment decision. It is included herein solely for preliminary information purposes. It is not

intended to be, nor should it be construed to be, legal or tax advice. It is a description of certain tax consequences for

investors with respect to the Company Notes and may not include tax considerations that arise from rules of general

application or that are generally assumed to be known to Noteholders. This overview is based on the laws in force

on the date of this Memorandum and is subject to any change in law that may take effect after such date. Please be

aware that the residency concept used under the respective headings below applies for Luxembourg income tax

assessment purposes only. Any reference in the present section to a tax, duty, levy impost or other charge or

withholding of a similar nature refers to Luxembourg tax law and/or concepts only. Also, please note that a

reference to Luxembourg income tax encompasses corporate income tax (impôt sur le revenu des collectivités),

municipal business tax (impôt commercial communal), a solidarity surcharge (contribution au fonds pour l’emploi),

as well as personal income tax (impôt sur le revenu) generally. Noteholders may further be subject to net wealth tax

(impôt sur la fortune) as well as other duties, levies or taxes. Corporate income tax, municipal business tax as well

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as the solidarity surcharge invariably apply to most corporate taxpayers who are residents of Luxembourg for tax

purposes. Individual taxpayers are generally subject to personal income tax and the solidarity surcharge. Under

certain circumstances, where an individual taxpayer acts in the course of the management of a professional or

business undertaking, municipal business tax may apply as well.

Taxation at the level of the Company

The net taxable profit of the Company will be subject to corporate income tax and municipal business tax at

ordinary rates in Luxembourg. For the year 2015, the maximum aggregate corporate income tax and municipal

business tax rate amounts to 29.22% (including the solidarity surcharge) for companies located in Luxembourg-City.

The taxable profits of a securitization vehicle are generally computed by application of the amended

income tax law of 4 December 1967 (loi concernant l'impôt sur le revenu). Under the amended law of March 22,

2004 on securitization, any commitments of a securitization vehicle owed to the investors and other creditors

(including interest that accrues under the Company Notes) are treated as tax deductible business expenses, whether

or not paid.

The Company will be exempt from net worth tax.

The incorporation of the securitization vehicle through a contribution in cash to its share capital as well as

further share capital increase and any other amendment to its articles of incorporation are subject to a fixed

registration duty of EUR 75.

Taxation at the Level of SubCo

From a Luxembourg tax perspective, SubCo will be considered as a Luxembourg tax resident company for

purposes of Luxembourg domestic tax law and for purposes of the double taxation treaties entered into by

Luxembourg. SubCo should therefore obtain, upon request, a tax residence certificate from the Luxembourg tax

authorities.

SubCo will be a fully taxable company subject to Luxembourg corporate taxes at ordinary rates.

Just like the Company, SubCo will be subject to a comprehensive tax liability on its worldwide income and

be fully subject to CIT and MBT at an aggregate rate of 29.22% for 2015 (including solidarity surcharge).

Interest income derived by SubCo from its investments will be fully-taxable income. Its taxable base will

however be reduced by its expenses. Interest that accrues under the SubCo Notes will be a tax deductible expense,

whether or not paid.

SubCo will be subject to net worth tax. Luxembourg imposes net worth tax on resident companies at the

rate of 0.5% applied on net assets as determined for net worth tax purposes. Net worth is referred to as the unitary

value (valeur unitaire), as determined at 1st January of each year. The unitary value is basically calculated as the

difference between (a) assets estimated at their fair market value (valeur estimée de réalisation or Gemeiner Wert)

and (b) liabilities vis-à-vis third parties.

The assets of SubCo will be taxable assets for net worth tax purposes. The SubCo Notes issued to the

Company will however be deductible liabilities so that the annual net worth tax burden of SubCo should not be

material.

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Withholding Taxes

Assuming there will be no Luxembourg individual resident Noteholder, payments made with respect to the

SubCo Notes and the Company notes will not be subject to any withholding tax in Luxembourg.

Interest payments made by SubCo under the SubCo Notes issued to the Company will not be subject to any

Luxembourg withholding tax.

THE FOREGOING DISCUSSION OF U.S. FEDERAL INCOME TAX CONSEQUENCES AND

NON-U.S. TAX CONSIDERATIONS SHOULD NOT BE CONSTRUED AS LEGAL ADVICE AND IS FOR

GENERAL INFORMATION ONLY. PROSPECTIVE NOTEHOLDERS SHOULD CONSULT THEIR

OWN TAX ADVISORS FOR FURTHER INFORMATION ABOUT THE TAX CONSEQUENCES TO

THEM OF THE ACQUISITION, OWNERSHIP, AND DISPOSITION OF THE COMPANY NOTES.

CERTAIN OTHER REGULATORY CONSIDERATIONS

Securities Act of 1933

The Company Notes have not been and will not be registered under the 1933 Act. The Company Notes are

being offered in reliance on the exemption from registration provided by Section 4(a)(2) of the 1933 Act and

Regulation S and Regulation D promulgated thereunder. As described herein, the Company Notes are subject to

significant restrictions on transfer and resale and, in any event, may not be transferred or resold except as permitted

under the Company Articles and unless registered under the 1933 Act or pursuant to an exemption from such

registration.

Investment Company Act of 1940

The Company is not registered as an investment company under the 1940 Act and, therefore, will not be

required to adhere to certain operational restrictions and requirements under the 1940 Act. The Company relies on

the exclusion provided in Section 3(c)(7) of the 1940 Act, which permits private investment companies to sell their

interests, on a private placement basis, to “qualified purchasers,” as defined in Section 2(a)(51) of the 1940 Act, and

“knowledgeable employees,” as defined under Rule 3c-5 of the 1940 Act. In order to ensure that the Company may

rely upon such exemptions, the Company will obtain appropriate representations and undertakings from its

Noteholders.

Investment Advisers Act of 1940

Highbridge is registered as an investment adviser under the U.S. Investment Advisers Act of 1940, as

amended (the “Advisers Act”). For certain important information regarding Highbridge and HPS, investors are

urged to review Highbridge’s Form ADV Part 2A. HPS is not registered as an investment adviser under the

Advisers Act in reliance on an exemption from the registration requirements under the Advisers Act. HPS will

become a registered investment adviser at a future date if it determines that registration is necessary or otherwise

appropriate in accordance with applicable law.

Commodity Exchange Act

While the Company and SubCo may trade commodity futures and/or commodity options contracts, HPS is

exempt from registration as a commodity pool operator with the CFTC with respect to the Company and SubCo

pursuant to the exemption under CFTC Rule 4.13(a)(3) for privately-offered commodity pools whose participants

are limited to highly sophisticated investors. In addition, each pool’s use of commodity interests (which includes

futures, options on futures and swaps) is limited such that at all times either: (a) the aggregate initial margin and

premiums required to establish commodity interest positions does not exceed five percent of the liquidation value of

each pool’s investment portfolio; or (b) the aggregate net notional value of such pool’s commodity interest positions

does not exceed one-hundred percent of the liquidation value of such pool’s investment portfolio. As a result of

claiming the exemption under Rule 4.13(a)(3), HPS will not be required to comply with the disclosure, reporting and

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recordkeeping requirements generally applicable to registered commodity pool operators, including delivery to

participants in the pool of a disclosure document and a certified annual report designed to meet CFTC requirements.

This Memorandum has not been, and is not required to be, filed with the CFTC, and the CFTC has not reviewed or

approved this Memorandum or the offering of Noteholders.

Federal Banking Laws

On July 21, 2010, President Obama signed into law the Dodd-Frank Act. The Dodd-Frank Act includes

certain provisions (known as the “Volcker Rule”) that restrict the ability of a banking entity, such as JPM or any of

its affiliates (including HPS), from acquiring or retaining any equity, partnership or other ownership interest in, or

sponsoring, certain private investment vehicles (“covered vehicles”), which may include a securitization vehicle like

the Company and SubCo, and prohibit certain transactions between a banking entity and any of its affiliates, on the

one hand, and a covered vehicle to which the banking entity or any of its affiliates serves, directly or indirectly, as

the investment manager or investment adviser, or that the banking entity or any of its affiliates sponsors or invests in

connection with organizing and offering the covered vehicle pursuant to the asset management exemption (or with

any other covered vehicle that is controlled by such fund), on the other hand. On December 10, 2013, the U.S.

Federal Deposit Insurance Corporation, the Federal Reserve Board, the Office of the Comptroller of the Currency,

the SEC and the CFTC approved final regulations implementing the Volcker Rule (the “final regulations”).

As implemented by the final regulations, the Volcker Rule permits a banking entity, such as JPM or one of

its affiliates, to acquire or retain an ownership interest in, or sponsor, in connection with organizing and marketing, a

covered vehicle, which may include the Company and SubCo, including serving as a general partner, managing

member or trustee of the fund or in any manner selecting or controlling (or having employees, officers, directors or

agents who constitute) a majority of the directors, trustees or management of the fund, in compliance with the

conditions of the permitted activity exemption. The conditions of the permitted activity exemption commonly

known as the asset management exemption, for example, include, among other things, the requirements that (i) the

banking entity (or an affiliate thereof) provide bona fide trust, fiduciary, or investment advisory services; (ii) the

covered vehicle is organized and offered only in connection with the provision of bona fide trust, fiduciary, or

investment advisory services and only to persons that are customers of such services of the banking entity (or an

affiliate thereof); (iii) the banking entity and its affiliates do not acquire or retain an equity interest, partnership

interest or other ownership interest in the covered vehicle except for a permitted investment (generally, not more

than 3% of the total number or value of outstanding ownership interests of the fund as defined in the final

regulations; but in no case may the aggregate of all of the permitted interests attributed to the banking entity and its

affiliates in all covered vehicles exceed 3% of the Tier 1 capital of the banking entity, as calculated pursuant to the

final regulations); (iv) (A) neither the banking entity that serves, directly or indirectly, as the investment manager,

investment adviser, or sponsor to a covered vehicle, or that sponsors or invests, in connection with organizing and

offering, a covered vehicle pursuant to the asset management exemption, nor any affiliate of the banking entity, may

enter into a transaction with the fund or with any other covered vehicle that is controlled by such fund, that would be

a “covered transaction,” as defined in section 23A of the U.S. Federal Reserve Act, as if the banking entity or any

affiliate thereof were a member bank and the covered vehicle were an affiliate of the banking entity or such affiliate,

unless an exception applies and (B) the banking entity that serves, directly or indirectly, as the investment manager,

investment adviser, or sponsor to a covered vehicle, or that sponsors or invests, in connection with organizing and

offering, a covered vehicle pursuant to the asset management exemption, complies with section 23B of the U.S.

Federal Reserve Act, 2

as if the banking entity were a member bank and such covered vehicle were an affiliate

thereof; (v) the banking entity and its affiliates do not, directly or indirectly, guarantee, assume, or otherwise insure

the obligations or performance of the covered vehicle or of any fund in which the covered vehicle invests; (vi) the

covered vehicle does not share with the banking entity or any of its affiliates, for corporate, marketing, promotional

or other purposes, the same name or a variation of the same name; (vii) no director or employee of the banking

entity (or an affiliate thereof) takes or retains an equity interest, partnership interest or other similar interest in the

covered vehicle, except for any director or employee of the banking entity (or such affiliate) who is directly engaged

in providing investment advisory or other services to the covered vehicle at the time the director or employee takes

2 Section 23B of the Federal Reserve Act generally requires, among other things, that the terms of transactions be

substantially the same, or at least as favorable to the banking entity, as those prevailing at the time for comparable

transactions with nonaffiliated companies.

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such an ownership interest; (viii) the banking entity clearly and conspicuously discloses to prospective and actual

investors in the covered vehicle, in writing, that any losses in such fund will be borne solely by investors in such

fund and not by the banking entity or its affiliates; therefore that the banking entity’s and any affiliate’s losses in

such covered vehicle will be limited to losses attributable to the ownership interests (if any) in such covered vehicle

held by the banking entity and such affiliate(s) in their capacity as investors in such covered vehicle or as a

beneficiary of a restricted profit interest held by the banking entity or any affiliate, among other things; and (ix) the

banking entity otherwise complies with any additional rules of the relevant agencies designed to ensure that losses in

such fund are borne solely by investors in such fund and not by the banking entity and its affiliates. In addition, no

transaction, class of transactions or activity will be permitted if (i) it would involve or result in a material conflict of

interest (as such term is defined in the final regulations) between the banking entity and its clients, customers or

counterparties; (ii) it would result, directly or indirectly, in a material exposure by the banking entity to a high-risk

asset or a high-risk trading strategy; or (iii) it poses a threat to the safety and soundness of the banking entity or to

the financial stability of the United States.

The Volcker Rule became effective on July 21, 2012 and the final regulations become effective on April 1,

2014. Pursuant to a Federal Reserve Board order issued on December 10, 2013, by July 21, 2015, or by such other

date as the Federal Reserve Board may specify, a banking entity must bring its activities and investments into

conformance with the Volcker Rule and its final implementing regulations. The Federal Reserve Board may grant

up to two one-year extensions of the conformance period if the extension would be consistent with the purposes of

the Volcker Rule and would not be detrimental to the public interest. For certain “illiquid funds,” the Federal

Reserve Board may grant an additional, up-to-five year extension of the conformance period to the extent necessary

for a banking entity to fulfill a contractual obligation that was in effect on May 1, 2010. The Federal Reserve Board

issued final rules to implement the Volcker Rule’s conformance period provisions on February 9, 2011, which rules

became effective on April 1, 2011.

Although it is not certain how all aspects of the Volcker Rule and its final implementing regulations will be

interpreted and applied, or the impact that the Volcker Rule and such final regulations will have on the Company

and SubCo or on JPM’s relationship to the Company and SubCo, certain impacts are likely. At the termination of

the applicable conformance period, all of JPM’s and its affiliates’ investments in, relationships with and activities

with respect to covered vehicles will have to comply with the Volcker Rule. That means, by way of example, some

or all of the following changes will have to be implemented:

JPM’s investment in the Company and SubCo, if any, will be limited to no more than 3% of the value of

the ownership interests of the Company, including any investment by JPM in SubCo and JPM’s pro rata share of

any ownership interest of SubCo that is held through the Company, and JPM’s aggregate permitted investments in

all covered vehicles will be limited to the maximum amount permitted by the final regulations, which amount cannot

be more than 3% of the tier 1 capital of JPM.

The Company, SubCo and all of their constituent entities will also have to be renamed to remove any

reference to JPM and its affiliates, to the extent applicable.

The Volcker Rule’s prohibition on “covered transactions,” as defined in section 23A of the U.S. Federal

Reserve Act,3 between JPM and any of its affiliates and the Company or SubCo, or any covered vehicle that is

controlled by the Company or SubCo, will have to be conformed to the extent required under the final regulations,

which may restrict the activities of the Company and SubCo. In addition, HPS and its affiliates may not be

permitted to absorb expenses of the Company or SubCo, whether in the form of a waiver of the fees and expenses

contractually agreed between the Company or SubCo and HPS in the governing documents of the Company or

SubCo, or otherwise. Further, the trading and other investment opportunities of SubCo may be limited in order to

comply with the restriction on material conflicts of interest. In addition, JPM is required to develop and provide for

the continued administration of a compliance program reasonably designed to ensure and monitor compliance with

3 “Covered transactions” include, among other things, a loan or extension of credit to an affiliate (including a

derivative transaction giving rise to “credit exposure” to an affiliate); a purchase of, or an investment in, a security

issued by an affiliate; a purchase of assets from an affiliate; and the issuance of a guarantee or letter of credit on

behalf of an affiliate.

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the prohibitions and restrictions of the Volcker Rule, including written policies and procedures, internal controls,

corporate governance, independent testing and audit, training and recordkeeping requirements.

There may be certain investment opportunities, investment strategies or actions that HPS will not undertake

on behalf of the Company or SubCo in view of JPM’s relationship to the Company and SubCo or JPM’s client or

firm activities, regardless of whether (i) HPS believes such opportunities, strategies or actions to be in the best

interest of the Company and SubCo or (ii) the consent and disclosure requirements of the Advisers Act could be

satisfied. Further, the investment opportunities, investment strategies or actions of the Company and SubCo may be

limited in order to comply with the Volcker Rule’s restriction on material conflicts of interest. A fund that is not

sponsored, advised or organized and offered by JPM and its affiliates may not be subject to these considerations.

HPS believes it may perform the services for the Company and SubCo contemplated herein without

violation of applicable United States banking laws and regulations. However, it is possible that future changes or

clarifications in statutes, regulations or interpretations concerning the permissible activities of bank holding

companies, as well as further judicial or administrative decisions and interpretations of present or future statutes or

regulations, could restrict (or possibly prevent) HPS from continuing to perform such services for the Company and

SubCo in the manner currently contemplated. In such event, HPS may agree to alter or restrict the exercise of its

powers to the extent necessary to permit it to continue to serve the Company and SubCo, while enabling the

Company and SubCo to continue to achieve their purposes and objectives.

Bank Holding Company Act of 1956

JPM is subject to regulation under state and federal law, including the BHCA and regulations of the Board

of Governors of the Federal Reserve System (the “Federal Reserve Board”).

Under the U.S. Gramm-Leach-Bliley Act (the “GLBA”), enacted in 1999, bank holding companies meeting

certain eligibility criteria may elect to become “financial holding companies,” which may engage in any activities

that are “financial in nature,” as well as in additional activities that the Federal Reserve Board and the U.S.

Department of the Treasury (the “U.S. Treasury Department”) determine are financial in nature or incidental or

complementary to financial activities. Under the GLBA, “financial activities” specifically include insurance,

securities underwriting and dealing, merchant banking, investment advisory and lending activities. JPM elected to

become a financial holding company as of March 13, 2000.

SubCo may be deemed to be indirectly controlled by JPM for purposes of the BHCA (“controlled”). As a

result, so long as SubCo is deemed “controlled,” SubCo will be limited in investment activities, including the

amount of SubCo’s equity investment in a particular issuer fund, the length of time that SubCo may hold such an

investment. During any time SubCo is deemed “controlled,” for purposes of calculating maximum permitted

ownership under various statutes, positions held by SubCo will be aggregated with positions held by JPM, entities

controlled by JPM and certain accounts managed by affiliates of JPM.

The Company and SubCo are also treated as affiliated entities for purposes of Sections 23A and B of the

Federal Reserve Act, as amended. Those sections require that banking subsidiaries of JPM comply with certain

standards and restrictions in dealing with affiliates such as the Company and SubCo.

ANTI-MONEY LAUNDERING REGULATIONS

As part of the Company’s responsibility to comply with regulations aimed at the prevention of money

laundering and terrorist financing, the Company and/or the Administrator may require a detailed verification of the

subscriber’s identity, any beneficial owner of the investor, and the source of the investor’s subscription payment.

Each of the Board of Directors and the Administrator reserves the right to request such information as is

necessary to verify the identity of a prospective investor and any underlying beneficial owner of the investor. Each

of the Board of Directors and the Administrator also reserves the right to request such identification evidence in

respect of a transferee of the Company Notes. In the event of delay or failure by the prospective investor or

transferee to produce any information required for verification purposes, the Company or the Administrator may

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9842224.12

refuse to accept or delay the acceptance of the application, or (as the case may be) to register the relevant transfer of

the Company Notes, or (in the case of a subscription for the Company Notes) any funds received will be returned

without interest to the account from which the monies were originally debited.

Each of the Company or the Administrator also reserves the right to refuse to transact any business,

including refusing to make any redemption payment or distribution to a Noteholder, if the Board of Directors or the

Administrator suspects or is advised that the payment of any redemption or distribution monies to such Noteholder

might result in a breach or violation of any applicable anti-money laundering laws or the laws and regulations

administered by the U.S. Department of Treasury’s Office of Foreign Assets Control (“OFAC”), or other laws or

regulations in any relevant jurisdiction (collectively, “AML/OFAC obligations”).

In the subscription agreement, each subscriber will be required to make such representations to the

Company as the Company, the Investment Adviser or the Administrator will require in connection with applicable

AML/OFAC obligations, including representations to the Company that such subscriber -- and if the subscriber is an

organization, to the best of its knowledge after appropriate due diligence, any person controlling or controlled by the

subscriber, each person holding a 10% or more beneficial equity interest in the subscriber, each senior management

official of the subscriber (director or executive officer or similar officer), and if the subscriber is privately owned,

each person having any beneficial equity interest in the subscriber -- is not (i) an individual or organization named

on the List of Specially Designated Nationals and Blocked Persons or any other similar list administered by OFAC,

as such list may be amended from time to time; (ii) an individual or organization otherwise prohibited by the OFAC

sanctions programs; or (iii) except as otherwise disclosed in writing to the Company, a current or former senior

political figure or an immediate family member or close associate of such an individual. Further, such subscriber

must represent to the Company that it is not a prohibited foreign shell bank.

Each subscriber will also be required to represent to the Company that amounts contributed by it to the

Company are not derived from any criminal enterprise or illegitimate activities.

Each subscriber agrees to notify the Company promptly in writing should it become aware of any change in

the information set forth in its representations. The subscriber is advised that, by law, the Company may be

obligated to block or “freeze the account” of such subscriber, either by prohibiting additional investments from the

subscriber, suspending the payment of redemption proceeds payable to the subscriber, suspending distributions to

the subscriber and/or segregating the assets in the account in compliance with governmental regulations. The Board

of Directors may also be required to report such action and to disclose the subscriber’s identity to OFAC or other

applicable governmental and regulatory authorities.

Anti-money laundering laws are continually developing and changing and at this point it is unclear what

steps the Board of Directors, SubCo and/or the Administrator may be required to take if additional anti-money

laundering laws or regulations are adopted; however, these steps may include prohibiting a Noteholder from making

subscription payments to the Company, depositing distributions to which such Noteholder would otherwise be

entitled to an escrow account and causing the redemption of such Noteholder’s Company Notes.

Where permitted, and subject to certain conditions, the Company may also delegate the maintenance of its

anti-money laundering procedures (including the acquisition of due diligence information) to a suitable person,

including, without limitation, the Administrator.

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9842224.12

GENERAL INFORMATION

ISIN Code:

The Common Code for the Company is 124337771 and International Securities Identification Number ("ISIN”) for

the Company Notes is LU1243377717.

Listing

Application has been made to the Irish Stock Exchange for the Company Notes to be admitted to the Official List

and trading on the Main Securities Market. It is anticipated that listing and admission to trading of the Company

Notes will take place on or about 26 June 2015. There can be no assurance that any such listing will be maintained.

Consents and Authorisations

The Company has obtained all necessary consents, approvals and authorisations in connection with the issue and

performance of the Company Notes. The issue of the Company Notes was authorised by a resolution of the board of

directors of the Company passed on March 20, 2015.

No Significant or Material Change

There has been no significant change in the financial or trading position or prospects of the Company since its

incorporation on December 16, 2014 and there has been no material adverse change in the financial position or

prospects of the Company since its incorporation.

There has been no significant change in the financial or trading position or prospects of SubCo since its

incorporation on December 17, 2014 and there has been no material adverse change in the financial position or

prospects of SubCo since its incorporation.

No Litigation

There are not and have not been since the date of incorporation of the Company, any governmental, legal or

arbitration proceedings (including pending or threatened proceedings of which the Company is aware) which have

or are likely to have a significant impact on the Company’s financial position or profitability.

There are not and have not been since the date of incorporation of SubCo, any governmental, legal or arbitration

proceedings (including pending or threatened proceedings of which SubCo is aware) which have or are likely to

have a significant impact on SubCo’s financial position or profitability.

Accounts

The Company commenced operations on 31 March, 2015, but to date has not produced audited accounts.

SubCo commenced operations on 31 March, 2015, but to date has not produced audited accounts.

So long as any Company Notes remain outstanding, copies of the most recently published annual audited financial

statements of the Company, can be obtained at the specified offices of the Company during normal business hours.

The Company will not prepare interim financial statements. The first financial statements of the Company will be in

63

9842224.12

respect of the period from incorporation to December 31, 2015. The auditors of the Company are

PricewaterhouseCoopers LLP of 1177 Avenue of the Americas, New York, New York 10036. The audit team is led

by a certified public accountant and the auditor is a member of the institut des réviseurs d'entreprises and is qualified

to practise as an auditor in Luxembourg.

Documents Available

Hard copies of the following documents may be inspected at the registered office of the Company during usual

business hours on any day (Saturdays, Sundays and public holidays excepted) for the term of the Company Notes:

the constitutive documents of the Company;

the Constituting Instrument relating to the Company Notes (including the Trust Terms and the

Agency Terms which are scheduled to the Constituting Instrument so as to constitute the Trust

Deed and the Agency Agreement);

the constitutive documents of the SubCo;

this Information Memorandum and any amendments and supplements thereto; and

any audited financial statements of the Company and SubCo once they have been published.

Expenses

The total expenses relating to the admission to trading on the Main Securitas Market of the Irish Stock Exchange

will be approximately €5,000.

Post-issuance Reporting

The Company intends to provide post-issuance information to Noteholders in relation to the Company Notes and the

performance of the SubCo Assets as described in “Overview of Principal Terms – Reports to Noteholders.”

Prescription

Claims against the Company for payment in respect of the Company Notes shall be prescribed and become void

unless made within ten years from the due date for payment, as per Luxembourg contract law.

ADDITIONAL INFORMATION

Accountants and Legal Counsel

Currently, PricewaterhouseCoopers LLP serves as independent auditor of the Company and SubCo.

Legal Representation. Fried Frank represents Highbridge, HPS, JPM and certain of their affiliates,

including certain of the affiliated investment funds, from time to time in a variety of different matters. Fried Frank

does not represent any or all of the Noteholder and will not be acting as counsel for the Noteholders. It is not

anticipated that, in connection with the organization or operation of the Company, the Board of Directors or the

Investment Adviser would engage counsel on behalf of, or to represent, the Noteholders. Furthermore, in the event

a conflict of interest or dispute arises between the Investment Adviser, on the one hand, and the Company or any

Noteholder, on the other hand, it will be accepted that Fried Frank is counsel to the Investment Adviser and not

64

9842224.12

counsel to the Company or any Noteholder, notwithstanding the fact that, in certain cases, Fried Frank’s fees are

paid through or by the Company.

Arendt and Medernach acts as legal counsel to the Board of Directors, the Company, SubCo and certain of

their affiliates. In connection with the Noteholders’ purchase of the Company Notes, Arendt and Medernach will

not be representing the Noteholders. No independent legal counsel has been retained to represent the Noteholders.

Arendt and Medernach’s representation of the Board of Directors, the Company and SubCo is limited to specific

matters as to which it has been consulted. There may exist other matters that could have a bearing on the Company

and/or SubCo as to which Arendt and Medernach has not been consulted. In addition, Arendt and Medernach does

not undertake to monitor compliance by SubCo and/or the Trading Manager with the investment program, valuation

procedures and other guidelines set forth herein, nor does Arendt and Medernach monitor ongoing compliance with

applicable laws. In connection with the preparation of this Memorandum, Arendt and Medernach’s responsibility is

limited to matters of Luxembourg law and it does not accept responsibility in relation to any other matters referred

to or disclosed in this Memorandum. There are times when the interests of the Noteholders may differ from those of

the Company and/or SubCo. Arendt and Medernach does not represent the Noteholders’ interests in resolving these

issues.

Portfolio Review

Upon request, personnel of the Investment Adviser and the Trading Manager will make themselves

available to meet with Noteholders quarterly to review SubCo’s portfolio.

Fiscal Year-End

The Company intends to close its fiscal year on December 31 of each calendar year.

Additional Information

The Board of Directors and the Administrator will make available to any proposed Noteholder such

additional information as they may possess, or as they can acquire without unreasonable effort or expense, to verify

or supplement the information set forth herein.

* * * * *

This Memorandum does not purport to be and should not be construed as a complete description of

the Company Articles and the SubCo Articles and is subject to the terms of each. Any potential investor in

the Company is encouraged to consult appropriate legal and tax counsel.

A-1

9842224.3

APPENDIX A

INVESTMENT GUIDELINES AND CHECKLIST

1

9807852.7

SubCo Investment Guidelines

These Investment Guidelines shall be applied with respect to all Investment at the time such Investment is

made, in each case with reference to the Net Asset Value of Subco at such time; provided that, in the six (6)

month period following the initial issuance of notes, the percentages expressed below shall be applied with

respect to an assumed account size of EUR €500M.

Unless otherwise approved by the Advisory Committee, Investments of SubCo shall be in accordance with the

following criteria:

I. General Principles:

1) The Advisory Committee has the option to review and amend the Investment Guidelines every 6 months

within the scope of non-investment grade credit instruments, while taking into account (but not being

bound by) the recommendation of the Trading Manager.

The Advisory Committee may request certain changes to the construction of SubCo’s portfolio including

requesting liquidation of certain positions to effect up to 100% turnover of the portfolio (excluding

repurchases) within a one (1) year period.

2) Loans shall be purchased by way of assignment; provided that, if a purchase can only be executed via

participation, the Trading Manager will promptly communicate such information to the Advisory

Committee to decide course of action

3) Any primary issuance loan must be subject to “most favored nation” status in which the party selling such

loan confirms that the pricing terms on which SubCo is purchasing the loan are at least as favorable as

pricing terms received by other parties purchasing such loan from such dealer.

4) SubCo shall not invest in cyclical industries

5) SubCo shall not invest in highly seasonal industries & poorly regulated industries

6) Investments in dividend recapitalizations are not allowed

7) Industry restrictions:

a) Prior to investing in any of the following sectors “shale gas” businesses and/or automotive, the

Trading Manager shall consult with the Advisory Committee

b) SubCo shall not make investments in the following sectors: tobacco, military, defense, waste

management

8) SubCo shall not invest in borrowers listed on the Ethical Companies List below

9) Investments shall be denominated in USD

10) Hedging: on a rolling forward basis (principal) if hedging program is approved by the Advisory Committee

11) Portfolio concentration limits:

a) Liquidity:

i) Higher liquidity bucket (min 50% of NAV) to include loans matching the following criteria:

First Lien Facility Size is minimum $750MM

at least 4 active dealers (for the avoidance of doubt, for a new issue loan, expected dealers

following its issuance and in the Trading Manager’s judgment)

2

9807852.7

ii) Less liquid bucket (max 50% of NAV)

Minimum First Lien facility Size is minimum $300 MM, lower amount can be acceptable only

if traded at strip and the overall amount meets in any case $300MM



iii) Asset can change the relevant bucket upon proposal of the Trading Manager to be approved by

the Advisory Committee

b) Single Borrower:

i) Higher liquidity bucket: maximum 7.5% of NAV exposure to any single borrower

ii) Less liquid bucket: maximum 5% of NAV exposure to any single borrower

iii) Top-Up Transaction in which the Trading manager is purchasing the new issue loan above the

average purchase price must consult the Advisory Committee. “Top-Up Transaction” means any

subsequent purchase of a new issue loan already held in SubCo’s portfolio, where such purchase

is made within two weeks of the initial issuance of such loan.

c) Industry concentration: 25% of NAV exposure to any single industry, determined in accordance with

the Global Industry Classification Standard “Industry”-level classifications (ie, 3rd level)

d) Issuer domicile: USA and Canada

e) Leverage: subject to prior approval of the Advisory committee

II. Borrower Level:

1. Size: minimum $100mm of EBITDA with a 25% bucket for companies with EBITDA lower than

$100MM but greater than $75mm, with customary adjustments in the Trading Manager’s judgment.

2. Positive KYC and background searches

3. Significant cushion on short term/ abl facilities and/or ample liquidity taken into consideration in

Trading Manager’s investment decision.

4. Minimum instrument rating (lower of S&P equivalent ratings): B to be reviewed annually- either

provided by (i) official rating agencies or (ii) other recognized rating agencies as long as they publish

or make available the mapping of their rating on the S&P scale. Not rated asset allowed to the extent

that the Trading Manager can provide a private rating or credit estimation.

5. Established management team and sponsor, in the Trading Manager’s judgment

6. Business model: the Trading Manager will evaluate the borrower’s business model in light of the

relevant industry

7. Three years of audited financials

Exception for borrowers carved out of larger entities, provided that (i) the borrower has a

Quality of Earnings Review and (ii) before the carve out the borrower was part of a group

with financials audited at least over the three previous years

8. Financial reporting requirements:

a. Full year financial accounts audited by one of the “big four” firms

b. Quarterly: full accounts to include “backlog” (when applicable)

III. Financing Structure – Liquidity Requirements:

1. Single investment cannot be greater than 5% of total tranche size

3

9807852.7

2. Must be 1st lien senior secured loans with a lien on assets (no Junior Capital, No Second Lien).

3. Appropriate security package in the Trading Manager’s judgment, including a pledge over core assets

(Opco shares and/or relevant subsidiaries) where applicable

4. Debt at Opco/ Midco Level and cross defaulted with ABL/RCF (where applicable) (No Topco or

Holdco Financing)

5. Equity cushion ≥ 30% (gross); transaction with equity cushion <30% but >20% are acceptable (i) with

prior Advisory Committee’s consent and (ii) up to a total amount of 20% of NAV (in aggregate for all

transactions with such feature).

“Equity Cushion” has to be calculated as below:

- In case of sponsor driven transactions is the actual equity injected by sponsor(s) minusany dividend or cash previously distributed to the sponsor

- In case of sponsor-less transactions: Listed companies: market cap based upon the average closing price over last 90 days

before investment Unlisted companies: equity value calculated based upon current market multiple

providing evidence of the peers used

6. Junior cushion ≥40% (gross) to be calculated as the sum of the Equity Cushion defined above and

Junior Debt (the portion of the debt beneath the Senior First Lien) over the Enterprise Value (as

defined below)

7. Maximum legal maturity of 7 years

8. Maximum of 2 equity cures for covenant breaches (where relevant)

9. Debt sizing:

a. Gross senior leverage drawn at settlement date (including average RCF/ABL utilization and

any senior unsecured debt that is structurally senior to senior first lien debt) < 4.5x

b. Gross Total Leverage at settlement date <=6.0x

c. Gross senior leverage (as described in 9a) expected at refinancing (at maturity) not > than

3.5x (based on Trading Manager’s base case)

d. Gross Senior First Lien (including average RCF/ABL utilization) LTEV <= 60%, where Enterprise

Value is calculated:

unlisted companies: based upon current market multiple (providing evidence of thepeers used)

listed companies: sum of (i) market cap based upon the average closing price overlast 90 days and (ii) net1 financial debt (Senior First Lien and Junior Debt includingPreferred Equity if not already included in the market cap)

e. DSCR > 1.5x per base case, >1.2x per Trading Manager’s underwriting casef. Mandatory cash sweep

1Cash can be subtracted to the financial debt to the extent that (i) it is proven not to be trapped and (ii) using a normalized

figure

4

9807852.7

Ethical Companies List (list shall be in force until updated according to Advisory

Committee’s recommendation and update is provided in writing to Trading Manager)

All except:1. Tesco

2. Textron Inc.

3. Barrick Gold Corporation

4. Rio Tinto Ltd

5. Rio Tinto Plc

6. Hanwha Corporation

7. Serco Group Plc

8. GenCorp Inc

9. Vedanta Resources Plc.

10. Sterlite Industries Ltd.

11. Madras Aluminium Company Ltd.

12. Poongsan Corporation

13. Wal-Mart Stores Inc

14. Wal-Mart de Mexico SA de CV

15. Freeport Mc

16. MoRan Copper & Gold Inc

17. BAE Systems Plc.

18. Boeing Co.

19. Finmeccanica Sp.A.

20. Honeywell International Inc.

21. Northrop Grumman Corp.

22. Safran SA

23. Alliant Techsystems Inc.

24. EADSCo(EuropeanAeronauticDefenceandSpace Company)

25. EADS Finance BV

26. General Dynamics Corporation

27. L3 Communications Holdings Inc.

28. Lockheed Martin Corp.

29. Raytheon Co.

30. Singapore Technologies Engineering

31. Norilsk Nickel

32. Lingui Development Berhad Ltd33. Samling global Ltd

5

9807852.7

SubCo Investment Checklist

General Principles Status

Borrower Name (Group) Full Name of the borrower(s)

Opco/ Midco (No Topco or Holdco Financing)

For acquisition: sponsor name

No investment in borrowers on the Ethical Companies List Check the box

Listed Company Y / N

Instrument ID LX Code/ISIN/Bloomberg Code

Loans purchased by way of assignment, with AdvisoryCommittee recommendation if participation is required.

Loan Purchased By Assignment: Y / N

If N, Advisory Committee recommendation dated:(dd/mm/YYYY)

Primary Issuance Loan Must Be Subject to MFNRegarding Pricing.

Check the box

Borrower Industry Industry (with GICS “Industry” Code)

Do not invest in cyclical industries. Check the box

Do not invest in highly seasonal industries & poorlyregulated industries.

Check the box

Shale gas businesses or automotive Consultation with Advisory Committee on dd/mm/YYYY

Industry not allowed: tobacco, military, defense, waste

management

Check the box

Loan Purpose Specify purpose

Investments in dividend recapitalization are not allowed Check the box

Loan Currency (USD only) Check the box

Issuer Domicile USA, CAN

Portfolio Concentration Limits Status

Liquidity Bucket Higher Liquidity Bucket (minimum 50% of NAV):

Less Liquid Bucket (maximum of 50% of NAV):

First Lien Facility Size. Higher Liquidity Bucket ≥ $750mm:

Less Liquid Bucket ≥ $300mm unless traded at strip and the overall amount ≥ $300mm:

Number of Active Dealers Higher Liquidity Bucket, minimum of 4:

Less Liquid Bucket, minimum of 2:

Single Borrower Higher Liquid Bucket: maximum 7.5% of NAV:

6

9807852.7

Less Liquid Bucket: maximum 5% of NAV:

Top-Up Transaction (as defined in the InvestmentGuidelines)

Trading Manager is purchasing the new issue loan at orbelow the average purchase price. Check the box:

If not, Advisory Committee recommendation dated:(dd/mm/YYYY)

Industry Concentration. Maximum 25% of NAV exposure to any single industry (byGICS “Industry” Code):

[ ] % of latest NAV

Borrower Details Status

Minimum Size. Minimum $100mm of EBITDA with a 25% bucket for

companies with EBITDA lower than $100MM but greater

than $75mm, with customary adjustments in the Trading

Manager’s judgment

[provide borrower EBITDA]

Positive KYC and background Check the box:

Established Management Team and Sponsor (in Trading

Manager’s Judgment)

Check the box:

Significant cushion on short term/ abl facilities and/or

ample liquidity taken into consideration in Trading

Manager’s investment decision

Check the box:

available RCF Amount vs Commitment

available ABL Amount vs Commitment

Business Model Evaluated by Trading Manager in Light of

the Relevant Industry

Check the box:

Minimum Instrument Rating of B (Lower of S&P Equivalent

Ratings)*

*Unrated asset allowed to the extent that the Trading

Manager can provide a private rating or credit estimation.

*Instrument Rating [ ] / Date [ ] / Rating Agency [ ]

Three Years of Audited Financials

* Exceptions for borrowers carved out of larger entities

with a QofE report, provided that before the carve out the

borrower was part of a group with financials audited at

least over the three previous years.

Three Years of Audited Financials:

*Meets Exception:

Financial reporting requirements Full year financial accounts audited by one of the “big four”

firms: [Auditor Name]

Quarterly: full accounts include “backlog” (when

7

9807852.7

applicable):

Financing Structure – Liquidity Requirements Status

Position Size $[MM]

[ ] % of latest NAV

Single investment: Max 5% of total tranche size % Total Tranche

Instrument Type Only 1st lien senior secured loans with a lien on assets (noJunior Capital, No Second Lien)

Check the box:

Maximum legal maturity of 7 years [Maturity Date]

Appropriate Security Package in the Trading Manager’s

judgment

List of Security to include:

Pledge over core assets (Opco shares & relevant

subsidiaries) where applicable:

Debt Sizing1 Gross senior leverage drawn at settlement date (including

average RCF/ABL utilization and any senior unsecured

debt that is structurally senior to senior first lien debt) <

4.5x:

[provide Gross senior leverage]

Gross Total Leverage at settlement date ≤ 6.0x:

[provide Gross Total Leverage]

Gross senior leverage (as described in 9a) expected at

refinancing (at maturity) not > than 3.5x (based on Trading

Manager’s base case):

DSCR > 1.5x per base case, >1.2x per Trading Manager’s

underwriting case:

[provide DSCR]

Mandatory cash sweep: Y/N

No Topco or Holdco Financing Debt is at Opco / Midco Level and cross defaulted with

ABL/RCF (where applicable):

1Enterprise Value is calculated: (i) For unlisted companies, Enterprise Value is based upon current market multiple

(providing evidence of the peers used) and (ii) for listed companies: sum of (i) market cap based upon the averageclosing price over last 90 days and (ii) net* financial debt (Senior First Lien and Junior Debt including Preferred Equityif not already included in the market cap)

Cash can be subtracted to the financial debt to the extent that (i) it is proven not to be trapped and (ii) using a

normalized figure

8

9807852.7

Equity cushion (gross)

If it is a sponsor-driven transaction, the equity cushion isthe actual equity injected by sponsor(s) minus anydividend or cash previously distributed to the sponsor.

If it is a sponsor-less transaction: (i) for listed companies,the equity cushion is the market cap based upon theaverage closing price over the last 90 days beforeinvestment and (ii) for unlisted companies, the equity valueis calculated based upon current market multiple providingevidence of the peers used

[provide equity cushion (gross) amount]

Min ≥ 30% (gross):

If <30% but >20%:

Advisory Committee consent on (dd/mm/YYYY)

Limited to 20% of NAV (for all transactions with such

feature)

Junior cushion (gross)

*Calculated as the sum of the Equity Cushion and JuniorDebt (the portion of the debt beneath the Senior First Lien)over the Enterprise Value (as defined below)

[provide junior cushion (gross) amount]

Min ≥ 40%:

Enterprise Value (see footnote 1 above) $MM / date

Please provide evidence of calculation.

Gross Senior First Lien (including average RCF/ABL

utilization) LTEV ≤ 60%

Check the box:

[provide Gross Senior First Lien LTEV]

Financial Maintenance Covenants Y/N

If yes, describe

“headroom” amount

RCF/ABL (amount/describe covenant)

Incremental facility basket (amount/ describe

covenant)

Maximum of 2 Equity Cures for covenant breaches (whererelevant)

Check the box:

Loan Details Status

Trade Date Trade Date:

Purchase Price Purchase Price:

Pricing Libor Floor:

Spread:

OID:

Other fee:

B-1

9659577.19

APPENDIX B

SUBSCRIPTION AGREEMENT

Please see attached.

{01849632; 3; 9000-126 } 19675758.13

HIGHBRIDGE – GIM CREDIT LUX S.A.

SOCIÉTÉ ANONYME DE TITRISATION

PARTICIPATING NOTES

__________________________________________

Subscription Booklet

__________________________________________

If you decide not to participate in this sale, please return the Information Memorandum (together with all amendments thereof and supplements thereto), the Company Articles, the SubCo Articles and this Subscription

Booklet and all related documentation to BNP Paribas Securities Services, Luxembourg Branch; 33, Rue de Gasperich – L- 5826 Hesperange, Email: [email protected], Telephone: +352 26 96 61 742,

Facsimile: +352 26 96 97-58.


i9675758.13

INSTRUCTIONS

This subscription booklet (the “Subscription Booklet”) relates to the sale by Highbridge – GIMCredit Lux S.A., a securitization company incorporated as a société anonyme de titrisation under the laws of the Grand Duchy of Luxembourg (the “Company”), of participating redeemable subordinated notes (the “Company Notes”). Entities that would like to purchase Company Notes should complete this Subscription Booklet. This Subscription Booklet contains the materials necessary for a prospective investor to apply to become a holder of Company Notes (each, a “Noteholder”). This Subscription Booklet consists of the following:

o Subscription Agreement o Prospective Investor Questionnaire (the “Questionnaire”)o Signature Page (two copies)o Annexes

The primary purpose of this Subscription Booklet is to assist BNP Paribas Securities Services, Luxembourg Branch and/or certain of its affiliates to whom BNP Paribas Securities Services, Luxembourg Branch has delegated some tasks, notably BNP Paribas Financial Services, LLC (the “Administrator”), in determining whether a prospective investor is eligible under applicable laws to become a Noteholder.

The Administrator has been appointed by the Company to perform certain tasks as agent for the Company according to the terms of an administration agreement entered into by and between the Company and the Administrator.

For the purpose of taking care of some of the tasks assigned to it under the Administration Agreement and this Subscription Booklet, the Administrator will use the services and expertise of its affiliate located in the United States, BNP Paribas Financial Services, LLC. By completing this Subscription Booklet per the below instructions and submitting it to the Administrator acting on behalf of the Company in order to purchase Company Notes, the Noteholder hereby agrees that information pertaining to it and mentioned in the completed Subscription Booklet will be communicated outside the European Union, notably in the United States, for the purposes specified in this Subscription Booklet.

The Company will not register this sale of Company Notes under the U.S. Securities Act of 1933, as amended (the “Securities Act”), and will not register itself as an investment company under the U.S. Investment Company Act of 1940, as amended (the “Investment Company Act”). Instead, the Companywill rely on exemptions from these laws that are available only if each Noteholder satisfies certain criteria which are covered in this Subscription Booklet.

The Administrator, in its sole discretion, may reject any subscription if it determines that the subscriber does not satisfy the applicable legal standards and may also reject any subscription in whole or in part for any other reasonable reason.

Capitalized terms used in this Subscription Booklet and not otherwise defined in this Subscription Booklet shall have the meanings assigned to them in the information memorandum of the Companyrelating to the Company Notes (as amended or restated from time to time, the “Memorandum”).

Instructions

Prior to completing this Subscription Booklet, prospective investors should read the Memorandum, the Articles of Association of the Company, the Articles of Association of Highbridge –GIM Credit Master Lux S.à r.l., a company incorporated as a société à responsabilité limitée under the

ii9675758.13

laws of the Grand Duchy of Luxembourg (“SubCo”), and the terms and conditions of the Company Notes (the “Terms and Conditions”). Each prospective subscriber of Company Notes (each, a “Subscriber”) should then do the following:

General Subscription Matters:

o Read the Subscription Agreement.

o Complete the Questionnaire.

o Complete and sign two copies of the Signature Page.

Tax Matters:

o If the Subscriber is a “United States person” (as defined in Annex B), please complete and execute an IRS Form W-9 in accordance with the instructions accompanying the form.

o If the Subscriber is not a “United States person” (as defined in Annex B), please complete and execute the applicable IRS Form W-8 (e.g. W-8BEN (for individuals) or W-8BEN-E (for entities)) in accordance with the instructions accompanying the applicable forms.

o If you are treated as a partnership for U.S. federal income tax purposes and you are not a “United States person” (as defined in Annex B), in addition to IRS Form W-8IMY, please provide the applicable IRS Form W-9 or Form W-8 completed and executed by each of your beneficial owners.

o If you are treated as a Grantor Trust (as defined in Annex B) and you are not a “United States person” (as defined in Annex B), in addition to IRS Form W-8IMY, please provide the applicable IRS Form W-9 or Form W-8 completed and executed by each of your grantors.

o If you are a Disregarded Entity (as defined in Annex B), please provide the applicable IRS Form W-9 or Form W-8 completed and executed by your beneficial owner.

o Copies of the IRS forms described above are available with instructions at http://www.irs.gov.

Submission of Documents:

o Please send a pdf copy of the completed Subscription Booklet in draft form via electronic mail to the Administrator ([email protected]) with a copy to Faith Rosenfeld ([email protected]), Tyler Thorn ([email protected]) and [email protected]. Upon approval from the Administrator, please send a copy of the entire completed Subscription Booklet appropriately executed (and any additional required documents described herein) via facsimile or electronic mail with original documents by overnight courier to:


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c/o BNP Paribas Securities Services, Luxembourg Branch33, Rue de Gasperich – L- 5826 HesperangeEmail: [email protected]: +352 26 96 61 742Facsimile: +352 26 96 97-58

Compliance with these instructions will speed the review of your subscription request by the Administrator.

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Questions

If you have questions about completing this Subscription Booklet, feel free to contact the Administrator:

Highbridge – GIM Credit Lux S.A.c/o BNP Paribas Securities Services, Luxembourg Branch33, Rue de Gasperich – L- 5826 HesperangeEmail: [email protected]: +352 26 96 61 742Facsimile: +352 26 96 97-58

{01849632; 3; 9000-126 } 19675758.13

SUBSCRIPTION AGREEMENT

Highbridge – GIM Credit Lux S.A.c/o BNP Paribas Securities Services, Luxembourg Branch33, Rue de Gasperich – L- 5826 Hesperange

Ladies and Gentlemen:

1. Pursuant to this subscription agreement (the “Subscription Agreement”), the undersigned individual or entity (the “Subscriber”) hereby applies to subscribe for participating redeemable subordinated notes (the “Company Notes”) of Highbridge – GIM Credit Lux S.A., a securitization company incorporated as a société anonyme de titrisation under the laws of the Grand Duchy of Luxembourg (the “Company”), and become a holder thereof (each holder of Company Notes, a“Noteholder”) on the terms and conditions set forth in this subscription booklet (the “Subscription Booklet”, which includes this Subscription Agreement) and in the information memorandum of the Company (as amended or restated from time to time, the “Memorandum”) and the terms and conditions of the Company Notes (the “Terms and Conditions”), copies of which have been furnished to the Subscriber. Capitalized terms used in this Subscription Booklet and not otherwise defined in this Subscription Booklet shall have the meanings assigned to them in the Memorandum and/or the Terms and Conditions, as applicable. In the event of any conflict or inconsistency between the terms and conditions of the Subscription Agreement and the terms and conditions set forth in the Memorandum and/or the Terms and Conditions, the terms and conditions of the Memorandum and/or the Terms and Conditionswill control.

2. The Subscriber acknowledges receipt of copies of (i) the Terms and Conditions and (ii) the Memorandum describing the sale of Company Notes. In the event of any conflict or inconsistency between the Terms and Conditions and the Memorandum, the Terms and Conditions will control.

3. The Subscriber hereby, subject to the following sentence, subscribes for Company Notes in the principal amount set forth on the Signature Page hereto. The Subscriber may revoke its subscription for Company Notes if the Administrator has not accepted or rejected the subscription within one month following receipt of completed, correct Subscription Booklets (and related ancillary materials) from all of the proposed Noteholders.

4. The Subscriber acknowledges and agrees that BNP Paribas Securities Services,Luxembourg Branch and/or certain of its affiliates to whom BNP Paribas Securities Services, Luxembourg Branch has delegated some tasks, notably BNP Paribas Financial Services, LLC,(collectively, the “Administrator”) has been appointed by the Company as agent to perform certain tasks in relation to the Subscription Agreement and that the Administrator will notify the Subscriber in writing as to the acceptance, in whole or in part, or rejection of the Subscriber’s subscription for Company Notes. Company Notes will not be deemed to be sold or issued to, or owned by, the Subscriber until the date that the Subscriber’s subscription is accepted by the Administrator (notice of which shall be given promptly in writing to the Subscriber and which date shall not in any event occur prior to the initial closing of the sale of Notes). The Subscriber agrees that the board of directors of the Company (the “Board of Directors”)reserves the right at any time to allow any existing Noteholders to subscribe for additional Company Notes or to issue additional Company Notes. Following acceptance of this subscription, a copy of the fully completed Subscription Agreement as executed by both the Noteholder and the Administrator shall be promptly delivered to the Subscriber.

5. The Subscriber agrees to furnish to the Administrator all information that the Administratorhas requested in the Subscription Booklet or may hereafter reasonably require in order to determine

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whether or not the Subscriber is, or will be at the time the Administrator accepts the Subscriber’s subscription, a “qualified purchaser” for purposes of Section 3(c)(7) of the U.S. Investment Company Act of 1940, as amended (the “Investment Company Act”) and an “accredited investor” as defined in Regulation D promulgated under the U.S. Securities Act of 1933, as amended (the “Securities Act”) and to determine whether the assets of the Company constitute “plan assets” for purposes of the U.S. Employee Retirement Income Security Act of 1974, as amended (“ERISA”).

6. The Subscriber acknowledges that if the Subscriber is not a “qualified purchaser” and an “accredited investor,” it may not be permitted to become a Noteholder.

7. The Subscriber hereby acknowledges and agrees that (i) the Administrator will perform the tasks assigned to it in relation to this Subscription Agreement and, to do so, will significantly utilize the services and expertise of one of its affiliates located in the United States, BNP Paribas Financial Services, LLC, and (ii) that information pertaining to the Subscriber and mentioned in the completed Subscription Agreement and its annexes will be communicated outside the European Union, notably in the United States, in order for the Administrator to perform the tasks assigned to it under this Subscription Agreement.

8. The payment by the Subscriber for Company Notes may be applied (after expenses and reserves for Company-level obligations) towards the purchase of participating redeemable notes (the “SubCo Notes”) issued by Highbridge – GIM Credit Master Lux S.à r.l., a company incorporated as a société à responsabilité limitée under the laws of the Grand Duchy of Luxembourg (“SubCo”), shares in SubCo and to otherwise pursue the company’s investment program. SubCo will, in turn, use substantially all of the proceeds from the sale of SubCo Notes to fund the purchase of SubCo’s initial portfolio from an investment fund managed by the Trading Manager at a price determined by a third-party valuation agent selected by the Trading Manager and approved by the Noteholders. By entering into this Subscription Agreement and making the payment for Company Notes, the Subscriber will be deemed to have consented to the acquisition of such assets from such investment fund at such price. For the avoidance of doubt, (a) in addition to the assets acquired from such investment fund, SubCo’s initial portfolio will also include certain “top-up” positions purchased in the market and (b) pursuant to the Investment Management Agreement between the Trading Manager and SubCo, the Advisory Committee will have the right to object to the price at which assets in the initial portfolio are transferred to SubCo by such investment fund.

9. The Subscriber acknowledges and agrees that the Administrator, in its sole discretion, may reject this subscription for Company Notes if it determines that the Subscriber does not satisfy the applicable legal standards and may also reject this subscription for Company Notes in whole or in part for any other reasonable reason, notwithstanding execution by or on behalf of the Subscriber of the Signature Page.

10. If this subscription is rejected in full, or in the event the Administrator does not accept the Subscriber’s subscription (in which event this subscription shall be deemed to be rejected), the Signature Page shall thereafter have no force or effect. If this subscription is so rejected or deemed rejected, the Company shall return to the Subscriber, without interest or deduction, any payment tendered by the Subscriber and the Company, the Administrator, Highbridge Principal Strategies, LLC, a Delaware limited liability company (“HPS,” and HPS or any approved replacement, in their respective capacities as investment advisor of the Company, the “Investment Adviser”) and the Subscriber shall have no further obligations to each other hereunder.

11. The Subscriber acknowledges that the Company intends the Company Notes to be treated as profit participating notes within the meaning of German law (Genussscheine).

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12. Insofar and as long as a German insurance company holds Company Notes as part of its guarantee assets (Sicherungsvermögen) as defined in the German Insurance Supervisory Act(Versicherungsaufsichtsgesetz) and such German insurance company is either in accordance with Section 70 of the German Insurance Supervisory Act (Versicherungsaufsichtsgesetz) under the legal obligation to appoint a trustee (Treuhänder) or is subject to similar legal requirements, such German insurance company shall dispose of such Company Notes only with the prior written consent of such trustee or its authorised representative appointed in accordance with Section 70 of the German Insurance Supervisory Act, as amended from time to time, in accordance with the provisions laid down in the Terms and Conditions.

The Subscriber has indicated below whether it is a German insurance company being under the legal obligation to appoint a security trustee (Sicherheitentreuhänder) and holding the Company Notes as part of its guarantee assets (Sicherungsvermögen):

Yes No

13. The transferability of the Subscriber’s Company Notes will be subject to certain conditionsset forth in the Terms and Conditions.

14. Initial Representations. The Subscriber hereby represents and warrants to, and agrees with, each of the Administrator, the Investment Adviser and the Company that the following statements are true, accurate and not misleading as of the date hereof and will be true, accurate and not misleading as of the date the Administrator accepts the Subscriber’s subscription:

(a) The Subscriber’s Company Notes are being acquired for its own account, or for the account of a commingled pension trust or other institutional investor that has been specified in writing to the Company with this Subscription Booklet and over which the Subscriber exercises full investment discretion, solely for investment and not with a view to resale or distribution thereof.

(b) The Subscriber acknowledges that (i) the sale of Company Notes have not been and will not be registered under the Securities Act, and are being made in reliance upon U.S. federal and state exemptions for transactions not involving a public sale and (ii) the Company will not be registered as an investment company under the Investment Company Act. In furtherance thereof, the Subscriber (x) represents and warrants that the information relating to the Subscriber set forth in the Prospective Investor Questionnaire (the “Questionnaire”) attached hereto and forming a part of this Subscription Agreement is complete and accurate as of the date set forth on the Signature Page hereto and will be complete and accurate as of the date the Administrator accepts the Subscriber’s subscription (including information furnished in Part I “B. Subscriber Qualification” and Part II of the Questionnaire) and, (y) if the Administrator accepts the Subscriber’s subscription, agrees to notify the Administrator of any change in any such information (or if any representation or warranty herein becomes untrue or inaccurate) at or prior to the dissolution or termination of the Company or until the Subscriber ceases to be a Noteholder.

(c) The Subscriber (either alone or together with any advisors retained by such Person in connection with evaluating the merits and risks of prospective investments) has sufficient knowledge and experience in financial, business and tax matters generally so as to be capable of evaluating the merits and risks of purchasing Company Notes, including the risks set forth under the captions “Certain Risk Factors” and “Conflicts of Interest” in the Memorandum, and is able to bear the economic risk of such investment, including the risk of a complete loss. The Subscriber understands that a Noteholder’s Company Notes can only be transferred or redeemed, in accordance

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with the Terms and Conditions and the Memorandum, and, consequently, it acknowledges that it may bear the economic risk of its investment in the Company for an extended period of time.

(d) The Subscriber has been furnished with, prior to the execution of this Subscription Agreement, and has carefully read and understands, the Memorandum, the Terms and Conditions, Part 2A of the Form ADV (the “Form ADV”) of Highbridge Capital Management, LLC (“Highbridge”) and this Subscription Booklet, and has been given the opportunity to (i) ask questions of, and receive satisfactory answers from, the Administrator or the Investment Adviserconcerning the terms and conditions of this Subscription Booklet and the Terms and Conditions and other matters pertaining to an investment in the Company and (ii) obtain any additional information which the Administrator or the Investment Adviser can acquire without unreasonable effort or expense that is necessary to evaluate the merits and risks of an investment in the Company. In considering a subscription for Company Notes, the Subscriber has not relied upon any representations or warranties made by, or other information (whether oral or written) furnished by or on behalf of, or set forth in any publication or news article regarding, HPS, Highbridge, the Company, the Administrator, the Investment Adviser or any of their respective Affiliates or any director, officer, member, partner, employee, principal or agent of the Administrator, the Investment Adviser or any such Affiliate, other than as set forth in the Memorandum, the Subscription Booklet, the Terms and Conditions, the Form ADV, or any other due diligence questionnaire or marketing materials provided to the Subscriber or its Affiliate by any such party. The Subscriber has carefully considered and has, to the extent it believes such discussion necessary, discussed with its legal, tax, accounting and financial advisors (and has relied only on the advice of such advisors), the suitability of an investment in the Company in light of its particular tax and financial situation, and has determined that the Company Notes being subscribed for by it hereunder are a suitable investment for it. The Subscriber further acknowledges receipt of the Investment Adviser’s privacy policy. The Subscriber does not wish to have its non-public, personal information used by investment advisers affiliated with Highbridge and HPS for marketing purposes.

(e) The Subscriber, if it is a corporation, limited liability company, trust, partnership or other entity, is duly organized, validly existing and in good standing under the laws of its jurisdiction of organization and the execution, delivery and performance by it of this Subscription Agreement and adherence to the Terms and Conditions are within its powers, have been duly authorized by all necessary corporate or other action on its behalf, require no action by or in respect of, or filing with, any governmental body, agency or official (except as disclosed in writing to the Administrator and which have been obtained or fully complied with) and do not and will not contravene, or constitute a default under, any provision of applicable law or regulation or of its certificate of incorporation or other comparable organizational documents or any agreement, judgment, injunction, order, decree or other instrument to which the Subscriber is a party or by which the Subscriber or any of the Subscriber’s properties or assets is bound. It is understood and agreed by the Administrator that the Subscriber may report the subscription for Company Notescontemplated herein, including documentation related thereto, to applicable regulators. This Subscription Agreement constitutes, a valid and binding agreement of the Subscriber, enforceable against the Subscriber in accordance with its terms.

(f) In connection with the purchase of Company Notes, the Subscriber meets all suitability standards imposed by laws and regulations (for example, local laws and insurance laws)applicable to the Subscriber. If the Subscriber is a private investment company or a non-U.S. investment company exempt from registration under the Investment Company Act pursuant to Section 3(c)(1), 3(c)(7) or 7(d) thereunder, the Subscriber is not structured or operated for the purpose or as a means of circumventing the provisions of the Investment Company Act.

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(g) The Subscriber understands and, subject to the Terms and Conditions, agrees that, with the advance consent of the Board of Managers pursuant to the Investment Management Agreement between the Trading Manager and SubCo, the Administrator, the Trading Manager or any of their respective Affiliates may engage in “agency cross transactions,” as defined in Reg. Section 275.206(3)-2 (“Agency Cross Transactions”) promulgated by the U.S. Securities and Exchange Commission (the “SEC”) under the Advisers Act, in which the Investment Adviser or such Affiliate acts as a broker for both SubCo on one side of the transaction and for another Person on the other side of the transaction. The Subscriber understands and agrees that the Trading Manageror such Affiliate may receive commissions from, and have a potentially conflicting division of loyalties and responsibilities regarding, both parties to such Agency Cross Transactions. THIS CONSENT AS TO AGENCY CROSS TRANSACTIONS EFFECTED ON BEHALF OF THE SUBSCRIBER MAY BE REVOKED AT ANY TIME BY WRITTEN NOTICE FROM THE SUBSCRIBER TO THE ADMINISTRATOR. THIS CONSENT AS TO AGENCY CROSS TRANSACTIONS EFFECTED ON BEHALF OF SUBCO MAY BE REVOKED AT ANY TIME BY WRITTEN NOTICE TO THE ADMINISTRATOR FROM THE REQUIRED NOTEHOLDERS PURSUANT TO THE TERMS AND CONDITIONS.

(h) The Subscriber acknowledges that it may have or obtain material non-public information concerning companies with which it or its Affiliate is affiliated and the Subscriber represents, warrants and covenants that it will not disclose any such material non-public information to the Administrator, the Investment Adviser of any of their Affiliates or their respective employees.

(i) That representatives of the Subscriber and its Affiliates approached the Investment Adviser about the formation of the Company and the implementation of its investment strategy, and that SubCo is not being formed at the direct or indirect initiative of the Investment Adviser.

15. Ongoing Representations. The Subscriber further represents, warrants, covenants and agrees as follows:

(a) The Subscriber is not a participant-directed defined contribution plan (such as a 401(k) plan), or a partnership or other investment vehicle (i) in which its partners or participants have or will have any discretion as to their level of investment in the undersigned or in investments made by the undersigned (including the undersigned’s investment in Company Notes) or (ii) that is otherwise an entity managed to facilitate the individual decisions of its beneficial owners to invest in the Company.

(b) The Subscriber is not a Benefit Plan Investor1 or a governmental plan subject to any federal, state or local law substantially similar to Title I of ERISA or Section 4975 of the Code.

(c) Amounts invested in the Company Notes by the Subscriber either (i) are not “plan assets” within the meaning applied to such term for purposes of Title I of ERISA and section 4975 of the Code, or (ii) consist partially of plan assets, subject to the further representation, warranty, covenant and agreement that (xx) the portion of the amounts so contributed representing plan assets does not exceed 5%, and (yy) the “significant participation test” of the Department of Labor’s plan assets regulation, 29 CFR § 2510.3-101(f), is applicable to a determination of whether the

1 A “Benefit Plan Investor” is (i) any employee benefit plan subject to Title I of ERISA (e.g., U.S.

corporate plans), (ii) any plan subject to Section 4975 of the Code (e.g., IRAs) and (iii) any passive investment fund whose underlying assets include “plan assets” (generally because plans (described in (i) or (ii)) own 25% or more of a class of the investment fund’s equity interests).

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underlying assets of the Company contain plan assets notwithstanding the fact that, collectively, Subscriber and its Affiliates may hold 100% of Company Notes.

(d) The Subscriber is not aware of any applicable laws or regulations that might restrict its ability to make payments pursuant to the Terms and Conditions or otherwise fulfill its duties and obligations thereunder or hereunder.

(e) The Subscriber is not an employee or director of JPMorgan or an Affiliate thereof (including Highbridge or its subsidiaries).

(f) Certain Tax Representations and Covenants

(i) The Subscriber has been represented by such legal and tax counsel and others selected by the Subscriber as it has found necessary to consult concerning this transaction. With respect to the tax aspects of the investment, the Subscriber is relying upon the advice of its own personal tax advisors and upon its own knowledge and experience in tax matters with respect thereto.

(ii) The Subscriber has provided the Administrator or another designee on behalf of the Administrator (the “Designee”) with this Subscription Booklet a Form W-9 or an applicable Form W-8 which is correct, complete and validly executed.

(iii) The Subscriber agrees to provide the Company any information that the Company may reasonably request or require in order to comply with applicable United States or non-United States laws, including tax laws, or to reduce any United States or non-United States tax that may be imposed on the Company or any Noteholder. In addition, the Subscriber agrees to update information previously furnished under the preceding sentence if and when any such information is no longer true or correct and, upon request, to provide any additional information required pursuant to any change in law, or the application or interpretation thereof. Further, the Subscriber acknowledges that in order to enable the Company (x) to avoid U.S. withholding tax pursuant to Sections 1471 through 1474 of the Code, accompanying U.S. Treasury Regulations, intergovernmental agreements entered into thereunder and other official guidance or interpretations thereof, and any similar tax or penalty imposed by any other jurisdiction (“FATCA Withholding Tax”), (y) to avoid non-U.S. withholding taxes, or (z) to comply with any United States or non-United States laws, the Company may be obligated to require the Subscriber to provide, as appropriate, evidence of its identity, address and tax residence or such other information, or take such other actions (including obtaining required waivers), as may reasonably be required to enable the Company to comply with its obligations in this regard and that such information may be disclosed to the IRS, to the Luxembourg taxing authorities or other jurisdictions. If the Subscriber is an entity, it acknowledges that it may be required to provide such information or take such other actions (including obtaining required waivers) with respect to its direct and indirect beneficial owners. The Subscriber acknowledges and agrees that the Company reserves the right to compulsorily redeem the Subscriber’s Company Notes if it does not provide such information or take such other actions (including obtaining required waivers), or if it would not otherwise be exempt from FATCA Withholding Tax. The Subscriber further acknowledges that if the Subscriber does not provide the required information as to its direct and indirect owners or take such other actions (including obtaining required waivers), or if it would not otherwise be exempt from FATCA Withholding Tax, and the Company chooses to allow the Subscriber to remain a Noteholder, it is possible that a

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withholding tax might be imposed in respect of certain of the Company’s income, to the extent that such income is attributable to the Subscriber. In that case, the Company Note Terms and Conditions allow the Administrator to cause the Subscriber to bear the economic burden of such tax by specially allocating such charges to the Subscriber and/or withholding such tax from proceeds otherwise distributable to the Subscriber and in the event the Company fails to withhold such amounts, the Subscriber further acknowledges that the Company may require the Subscriber to reimburse the Companyor the Administrator, as applicable, for such amounts.

(iv) The Subscriber agrees to provide a written notice to the Administratorwithin 30 days of any of the representations, forms, agreements or certifications regarding its tax status no longer being true, correct or valid, and the Subscriber agrees to provide to the Administrator or the Designee updated versions of the tax forms, certifications and other information referenced herein upon such information no longer being true and correct, upon the expiration of any such form previously provided by the Subscriber (e.g., the applicable IRS Form W-9 or W-8) and upon the request of the Administrator or the Designee, and to provide the Administrator or the Designee with such further information as the Administrator or the Designee may reasonably require or as required pursuant to any change in law, or the application or interpretation thereof.

(g) The Subscriber hereby certifies that the information set forth in the Questionnaire is true and correct and certifies that the tax representations in Section 15(f) of this Subscription Agreement and the applicable IRS Form W-9 or Form W-8 are true and correct.

(h) The foregoing representations, warranties and agreements in this Section 15 shall survive the Administrator’s acceptance of the Subscriber’s subscription for Company Notes.

(i) The Subscriber is not a BHC Partner. “BHC Partner” means an entity that (A) is (i) a bank holding company, as defined in Section 2(a) of the Bank Holding Company Act of 1956, as amended (the “BHCA”); (ii) a person or entity subject to Section 4 of the BHCA irrespective of whether such person or entity is a bank holding company; (iii) a non-bank subsidiary (as defined in Section 2(d) of the BHCA) of a bank holding company or any such other person or entity; or (iv) an affiliate (as defined in Section 2(k) of the BHCA) of a bank holding company or any such other person or entity that is not a bank or a subsidiary of a bank and (B)notifies the Administrator in writing of its desire to be treated as a BHC Partner.

16. The Subscriber further represents, warrants, covenants and agrees as follows:

(a) (i) the Subscriber’s Company Notes are being acquired solely for its own account, own risk and own beneficial interest (except as provided for in any regulatory provisions on the protection of the restricted assets (gebundenes Vermögen) and except as provided for in provisions on the distribution of investment results between the Subscriber and the insurance policy holders), (ii) with respect to the Subscriber’s subscription for Company Notes, the Subscriber is not acting as an agent, representative, intermediary, nominee, derivative counterparty or in a similar capacity for any other Person, nominee account or beneficial owner, whether a natural person or Entity (as defined below) (each such natural person or Entity, an “Underlying Beneficial Owner”, which term, for the avoidance of doubt, will not include natural persons or Entities with an indirect beneficial or economic interest in the Company Notes being purchased by the Subscriber that results solely from (x) ownership of an interest in the Subscriber, (y) the operation of a general profit-and-loss transfer agreement (Gewinnabführungsvertrag) and/or domination agreement (Beherrschungsvertrag) with the

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Subscriber and/or (z) ownership of an insurance policy issued by the Subscriber), (iii) if the Subscriber is an entity, including, without limitation, a fund-of-funds, trust, pension plan or any other entity that is not a natural person (each, an “Entity”), the Subscriber has carried out thorough due diligence as to and established the identities of such Entity’s Related Person (as defined below), holds the evidence of such identities, will maintain all such evidence for at least five years from the date of the Subscriber’s final disposition of the Company Notes and will make such information available to the Company upon its reasonable request to the extent permitted by applicable law and (iv) the Subscriber does not have the present intention or obligation to sell, pledge, distribute, assign or transfer all or a portion of its Company Notes to any Underlying Beneficial Owner or any other Person;

A “Related Person” means, with respect to any Entity, any investor, director, senior officer, trustee, beneficiary or grantor of such Entity; provided that in the case of an Entity that is a Publicly Traded Company (as defined below), a Qualified Plan (as defined below) or an insurance company regulated under applicable law, the term “Related Person” shall exclude the investors, policy holders and beneficiaries of such Publicly Traded Company, such Qualified Plan or such insurance company to the extent that such investors, policy holders and beneficiaries would solely be a Related Person as a result of such role.

A “Publicly Traded Company” is an Entity whose securities are listed on a recognized national securities exchange or quoted on an automated quotation system, or a wholly-owned subsidiary of such an Entity.

A “Qualified Plan” means a tax qualified pension or retirement plan in which at least 100 employees participate that is maintained by an employer that is organized in the United States, or is a U.S. Governmental Entity (as defined below).

A “Governmental Entity” is any government or any state, department or other political subdivision thereof, or any governmental body, agency, authority or instrumentality in any jurisdiction exercising executive, legislative, regulatory or administrative functions of or pertaining to government.

(b) That the proposed investment by the Subscriber in the Company Notes does not directly or indirectly contravene applicable federal, state, international or other laws or regulations, including those of the United States and Luxembourg and applicable anti-money laundering laws (a “Prohibited Investment”). The Subscriber further represents and warrants that the funds invested by the Subscriber in the Company Notes are not derived from illegal or illegitimate activities, and that it complies with any applicable customer due diligence measures as required under the Luxembourg law of 12 November 2004 on the fight against money laundering and terrorist financing, as amended from time to time.

(c) Federal laws and regulations administered by the U.S. Treasury Department’s Office of Foreign Assets Control (“OFAC”) prohibit any U.S. citizen, permanent resident alien, entity organized under the laws of the United States, wherever located, or any Person in the United States (“U.S. Person”) from, among other things, engaging in transactions with or providing services to certain non-U.S. countries, entities and individuals. The identities of OFAC-prohibited countries, territories and persons (“Sanctioned Countries and Persons”) can be found at 31 C.F.R. Chapter V and on the list of Specially Designated Nationals and Blocked Persons available on the OFAC website at <www.treasury.gov/resource-center/sanctions/SDN-List/Pages/default.aspx>. The Subscriber hereby represents and warrants that none of the Subscriber or any of its Affiliates, or any Related Person, is a Sanctioned Country or Person, or a

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resident of a Sanctioned Country, nor is the Subscriber or any of its Affiliates, or any Related Person, a natural person or Entity with whom dealings by U.S. Persons are, unless licensed, prohibited under any laws or regulations administered by OFAC.

(d) That neither the Subscriber nor, if applicable, any Related Person, is a foreign bank without a physical presence in any country other than a foreign bank that (i) is an Affiliate of a depositary institution, credit union or foreign bank that maintains a physical presence in the United States or a foreign country, as applicable, and (ii) is subject to supervision by a banking authority in the country regulating such affiliated depositary institution, credit union or foreign bank. A foreign bank described in the preceding clauses (i) and (ii) is referred to herein as a “Regulated Affiliate,” and a foreign bank without a physical presence in any country that is not a Regulated Affiliate is referred to herein as a “Foreign Shell Bank.”

(e) That, notwithstanding anything to the contrary contained in any document (including the Terms and Conditions), if, following the Subscriber’s investment in the Company Notes, the Board of Directors reasonably believes that the investment is or has become a Prohibited Investment or if otherwise required by law, the Company may be obligated to “freeze the account” of the Subscriber, either by prohibiting additional capital contributions and/or restricting any distributions with respect to the Subscriber’s Company Notes. The Administratormay refuse to accept any subscription application if the Subscriber materially delays in producing or fails to produce any information required by the Administrator for the purpose of verificationunder (a) through (h) of this Section 16, and in that event, any funds received by the Company from the Subscriber will be returned without interest to the account from which the moneys were originally debited. In addition, in any such event, the Company may prohibit the Subscriber from making further purchases of Company Notes, depositing distributions to which the Subscriber would otherwise be entitled to an escrow account and causing the redemption of the Subscriber’s Company Notes, and, to the fullest extent permitted by applicable law, the Subscriber shall have no claim against any Person for any form of damages as a result of any of the actions described in this paragraph. The Company may also be required to report such action and to disclose the Subscriber’s identity or provide other information with respect to the Subscriber to OFAC or other Governmental Entities.

(f) That, except as otherwise disclosed to the Company in writing: (i) neither the Subscriber nor, if applicable, any Related Person, is resident in, or organized or chartered under the laws of, (A) a jurisdiction that has been designated by the U.S. Secretary of the Treasury under Section 311 of the USA PATRIOT Act of 2001 (the “PATRIOT Act”) as warranting special measures due to money laundering concerns or (B) any foreign country that has been designated as non-cooperative with international anti-money laundering principles or procedures by an intergovernmental group or organization, such as the Financial Action Task Force on Money Laundering, of which the United States is a member and with which designation the United States representative to the group or organization continues to concur (a “Non-Cooperative Jurisdiction”), (ii) the subscription funds of the Subscriber and, if applicable, any Related Person, do not originate from, nor will they be routed through, an account maintained at (A) a Foreign Shell Bank, (B) a foreign bank (other than a Regulated Affiliate) that is barred, pursuant to its banking license, from conducting banking activities with the citizens of, or with the local currency of, the country that issued the license or (C) a bank organized or chartered under the laws of a Non-Cooperative Jurisdiction or (D) designated as a financial institution of primary money laundering concern pursuant to Section 311 of the PATRIOT Act and (iii) unless otherwise disclosed to the Administrator in writing, neither the Subscriber nor, if applicable, any Related Person, is a senior foreign political figure, or any immediate family member or close

109675758.13

associate of a senior foreign political figure, in each case within the meaning of the PATRIOT Act.

(g) That any distributions paid to it will be paid to the same account from which its investment in the Company was originally remitted, unless the Administrator, in its sole discretion, agrees otherwise and only then to the extent permitted by law.

(h) To provide any information requested by the Administrator which the Administrator reasonably believes will enable the Company to comply with all applicable anti-money laundering laws, regulations, orders, directives or special measures, including any policies applicable to an investment held or proposed to be held by the Company or SubCo. The Subscriber understands and agrees that the Administrator may release confidential information about the Subscriber and, if applicable, any Related Person, to any Person, if such information has been requested by regulators (in which event it may be released to such regulators) or such information is required to be disclosed under applicable law, including the relevant rules and regulations concerning Prohibited Investments.

(i) To notify the Company within twenty business days (or at such time or times as the Administrator may request) if any of the foregoing representations or warranties become untrue or misleading at any time. If the Subscriber’s Subscription Agreement is accepted, except to the extent the Subscriber notifies the Company otherwise in advance, each representation and warranty will be deemed repeated with respect to each purchase of Company Notes as of the date such purchase is made.

(j) That the representations, warranties and agreements in this Section 16 shall survive the Administrator’s acceptance of the Subscriber’s subscription for Company Notes.

17. The Subscriber represents that it is not offering pursuant hereto to subscribe for Company Notes as a result of, or pursuant to, (i) any advertisement, article, notice, or other communication published in any newspaper, magazine, or similar medium (including any internet site whose information about the Company is not password protected) or broadcast over television or radio, or (ii) any seminar or meeting whose attendees, including the Subscriber, had been invited as a result of, or pursuant to, any of the foregoing. The Subscriber further represents that it was sold Company Notes through private negotiations, not through general solicitation or general advertising in the jurisdiction listed in the Investor’s permanent address set forth in the Questionnaire attached hereto and intends that the securities law of that jurisdiction govern the Subscriber’s subscription. The Subscriber acknowledges that by executing and delivering this Subscription Booklet the Subscriber will be deemed to have acknowledged and agreed that (i) the Subscriber did not become aware of the investment opportunity in the Company as a result of any public statements or interviews, and (ii) the Subscriber’s decision to invest in the Companyis based on its own independent evaluation of the risk and merits of investing in the Company and was not based on or otherwise influenced by any such public statements or interviews.

18. The Subscriber understands that, unless indicated below, the Company will periodically distribute (and not reinvest) Current Proceeds in accordance with the Memorandum and the Terms and Conditions unless the Subscriber elects otherwise.

By checking this box, the Subscriber hereby elects to have its allocable portion of the Current Proceeds available for distribution to be retained rather than distributed. The Company shall issue to the Subscriber additional Company Notes in the amount of any such retained Current Proceeds as described in the Memorandum. Such election may be changed at the written request of the Subscriber.

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19. The Subscriber hereby constitutes and appoints HPS and any one or more of its directors and officers as its true and lawful representative and attorney-in-fact, in its name, place and stead to make, execute, sign, deliver and file (i) all notices and other filings with agencies of the government of the Grand Duchy of Luxembourg and the U.S. federal government, of any state or local government, or of any other jurisdiction, which HPS considers necessary or desirable to carry out the purposes of the Terms and Conditions and the business of the Company; (ii) any certificate or document of any kind required by an applicable federal, state or local law; and (iii) all such other instruments, documents and certificates which may from time to time be required by the laws of the Grand Duchy of Luxembourg. The power of attorney granted hereby (a) shall survive and shall not be affected by the lack of capacity, insolvency, bankruptcy or dissolution of the Subscriber or the transfer of any portion of the Subscriber’s Company Notes and (b) shall extend to the Subscriber’s successors, assigns and legal representatives.

20. Except as otherwise agreed to in writing by the Investment Adviser, the Subscriber shall, to the fullest extent permitted by applicable law, indemnify and hold harmless each of the Company, SubCo, the Trading Manager, the Investment Adviser, or any of their respective officers, directors, agents, members, employees or partners (each, an “Indemnified Person”) against any losses, claims, damages or liabilities, including liabilities in respect of taxes (and any interest, additions to tax, penalties or expenses relating to any such taxes), arising out of, related to or in connection with any claim, action, proceeding or investigation arising out of or based upon any false representation or warranty, or breach of or failure by the Subscriber to comply with any covenant or agreement made by the Subscriber herein, or in any other document furnished to any Indemnified Person specifically supplementing the information in this Subscription Booklet by the Subscriber in connection with the subscription for Company Notes. The Subscriber shall reimburse each Indemnified Person for all expenses (including reasonable fees and expenses of counsel) as such expenses are incurred in connection with investigating, preparing, pursuing or defending any such claim, action, proceeding or investigation. The reimbursement, indemnity and contribution obligations of the Subscriber under this paragraph shall survive the Administrator’s acceptance of the Subscriber’s subscription for Company Notes (or, if this Subscription Agreement is not accepted pursuant to Section 10 above, such rejection) and shall be in addition to any liability which the Subscriber may otherwise have (including, without limitation, liabilities under the Terms and Conditions), and shall be binding upon and inure to the benefit of any successors, assigns, heirs and personal representatives of each Indemnified Person.

21. The Company will endeavor to list the Company Notes on the Irish Stock Exchange (the “ISE”) within 2 months following the date of their issuance. If any Company Notes are not listed on the ISE within 2 months following the date of their issuance, the Company shall have another 30 Business Days to cause the Company Notes to be listed on the ISE. If the Company Notes are not listed at the end of such additional period, the affected Noteholders will have the right, but shall not be obliged, to redeem the applicable Company Notes held by them as of the month-end no sooner than 90 days following their written request for such redemption, regardless of whether such date would otherwise be a Redemption Date (as defined in the Terms and Conditions).

22. The Administrator shall use commercially reasonable efforts to notify the Subscriber if it has actual knowledge of any change in, or modification in the interpretation or enforcement of, any U.S. or Luxembourg law, rule or regulation that could reasonably be expected to make any representation in this Subscription Booklet (including this Subscription Agreement and the Questionnaire) untrue.

23. Confidentiality

(a) The Subscriber agrees to keep confidential, and not to make any use of (other than for purposes reasonably related to its investment in Company Notes or for purposes of filing theSubscriber’s tax returns or for other routine matters required by law) nor to disclose to any person,

129675758.13

any confidential information or matter relating to the Company, SubCo, the Administrator, Highbridge or HPS and their respective affairs, including the identities of other investors in Company Notes, all materials used in connection with the sale of Company Notes (including the Terms and Conditions, the Memorandum, this Subscription Agreement and any related disclosure document), communications from the Administator or HPS and any information or matter related to any investment by the Company or SubCo (“Confidential Information”); provided that the Subscriber may disclose Confidential Information to its employees, agents, accountants, advisors (including financial advisors), investors (to the extent such investors are affiliates of the Subscriber) or representatives responsible for matters relating to the Company or SubCo on a need to know basis and it being understood that such Subscriber is responsible for the compliance by any such recipients with maintaining the confidentiality of Confidential Information (each such person being hereinafter referred to as an “Authorized Representative”); provided further that such Subscriberand its Authorized Representatives may disclose Confidential Information to the extent that (i) the Confidential Information being disclosed is publicly known at the time of proposed disclosure by such Subscriber or Authorized Representative, (ii) the Confidential Information otherwise is or becomes known to such Subscriber other than through a breach of confidentiality obligations to the Administrator, HPS or any of their affiliates by a person whom such Subscriber knows to be subject to such obligations, (iii) such disclosure is required by law or regulation (including any applicable accounting, reporting, information or tax law or regulation), (iv) such disclosure is required by any regulatory authority or self-regulatory organization having jurisdiction over such Subscriber or (v) such disclosure is approved in advance by the Administrator.

(b) Prior to making any disclosure pursuant to Section 23(a)(iii) or (iv), the Subscribershall, to the extent permitted by applicable law, provide the Administrator at least 30 calendar days’ prior written notice of such disclosure. Prior to any disclosure to any Authorized Representative, the Subscriber shall advise such Authorized Representative of the obligations set forth in this Section 23(b) and obtain the agreement of such person to be bound by the terms of such obligations.

(c) Except as provided otherwise in this Section 23, the Company, HPS and theAdministrator shall have the right not to provide the Subscriber with any Confidential Information that the Subscriber would otherwise be entitled to receive or to have access pursuant to this Subscription Agreement or otherwise if:

(i) the Company, SubCo or HPS is required by law or regulation or by a binding agreement with a third party (including confidentiality agreements with Portfolio Companies) to keep such information confidential;

(ii) the Company, HPS or the Administrator reasonably believes that the disclosure of such information to the Subscriber is not in the best interests of the Company and/or SubCo or could be harmful to the Company, SubCo, their investments or HPS, provided that the Company, HPS and the Administrator will not be permitted to rely on this Section 23(c)(ii) if the Confidential Information requested by the Subscriber is required for the Subscriber to comply with any applicable laws and/or regulations; or

(iii) the Company, HPS or the Administrator in good faith determines that it is reasonably foreseeable that such information could be disclosed by the Subscriber as a consequence of the Subscriber being subject to any “freedom of information,” “sunshine” or other law, rule or regulation that imposes upon the Subscriber an obligation to make certain information available to the public and the disclosure of such information would be materially detrimental to the Company, SubCo, their investments or HPS.

139675758.13

In the event the Company, HPS or the Administrator withholds Confidential Information from the Subscriber in accordance with this Section 23(c), the Company, HPS or the Administrator, after consultation with the Subscriber may make Confidential Information available only via a secured website in a non-downloadable, non-printable format, or via any other means that the Company, HPS or the Administrator determines will permit the Company or SubCo to provide Confidential Information to the Subscriber while precluding further disclosure of such information by the Subscriber. Notwithstanding the provisions of this Section 23, the Company, HPS or the Administrator shall not withhold income statements or balance sheets of the Company and/or SubCofrom the Subscriber or information regarding the investments of the Company or SubCo (which information may, if required by law or regulation or binding agreement with a third party, be presented on a no-names basis), in each case, to the extent required by the Subscriber to satisfy its obligations to any regulatory authority having jurisdiction over the Subscriber.

(d) Notwithstanding any other provision of this Subscription Agreement, the Subscriber(and each of its employees, representatives or other agents) may disclose to any and all persons, without limitation of any kind, the U.S. federal, state and local tax treatment and tax structure of the Company and/or SubCo and the Company’s and/or SubCo’s investments and all materials of any kind (including opinions or other tax analyses) that are provided to the Subscriber relating to such tax treatment or tax structure; provided that the foregoing does not constitute an authorization to disclose any nonpublic commercial or financial information (except to the extent relating to such tax structure or tax treatment).

For the avoidance of doubt, the information provided by the Administrator, Company, SubCo or HPS to the Advisory Committee will include information utilized by the Administratorand HPS in connection with the Company and/or SubCo and their investment activities, and such information will be shared with the Advisory Committee on such basis.

24. Neither this Subscription Agreement nor any provisions hereof shall be waived, modified, discharged or terminated except by an instrument in writing signed by the party against whom any waiver, modification, discharge or termination is sought.

25. This Subscription Agreement shall be binding upon and inure to the benefit of the parties and their successors, permitted assigns, heirs, estates, executors, administrators and personal representatives. If the Subscriber is more than one Person, the obligation of the Subscriber shall be joint and several, and the agreements, representations, warranties and acknowledgments herein contained shall be deemed to be made by and be binding upon each such Person and its successors, permitted assigns, heirs, estates, executors, administrators and personal representatives.

26. This Subscription Booklet (including this Subscription Agreement and the Questionnaire), the Terms and Conditions and the other agreements or documents referred to herein or in the Terms and Conditions contain the entire agreement of the parties, and there are no representations, covenants or other agreements except as stated or referred to herein and in such other agreements or documents.

27. To the fullest extent permitted by law, this Subscription Agreement is not transferable or assignable by the Subscriber.

28. This Subscription Agreement shall be governed by and construed in accordance with the laws of the Grand Duchy of Luxembourg, without regard to conflict of laws principles.

29. Any term or provision of this Subscription Agreement that is invalid or unenforceable in any jurisdiction shall, as to such jurisdiction, be ineffective to the extent of such invalidity or

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unenforceability without rendering invalid or unenforceable the remaining terms or provisions of this Subscription Agreement or affecting the validity or enforceability of any of the terms or provisions of this Subscription Agreement in any other jurisdiction.

30. THE COURTS OF THE GRAND DUCHY OF LUXEMBOURG SITUATED IN THE CITY OF LUXEMBOURG SHALL HAVE EXCLUSIVE JURISDICTION OVER ANY ACTION, SUIT OR PROCEEDING WITH RESPECT TO THIS SUBSCRIPTION AGREEMENT AND THE SUBSCRIBER AND THE COMPANY EACH HEREBY IRREVOCABLY WAIVES, TO THE FULLEST EXTENT PERMITTED BY LAW, ANY OBJECTION THAT IT MAY HAVE, WHETHER NOW OR IN THE FUTURE, TO THE LAYING OF VENUE IN, OR TO THE JURISDICTION OF, ANY AND EACH OF SUCH COURTS FOR THE PURPOSES OF ANY SUCH SUIT, ACTION, PROCEEDING OR JUDGMENT, AND FURTHER AGREES TO WAIVE ANY CLAIM THAT ANY SUCH SUIT, ACTION, PROCEEDING OR JUDGMENT HAS BEEN BROUGHT IN AN INCONVENIENT FORUM, ANY RIGHT TO JURY TRIAL, AND THE SUBSCRIBER AND THE COMPANY EACH HEREBY SUBJECTS ITSELF TO SUCH JURISDICTION. SUBJECT TO APPLICABLE LAW, THE PARTIES HEREBY AGREE THAT NO PUNITIVE OR CONSEQUENTIAL DAMAGES SHALL BE AWARDED TO THE SUBSCRIBER, THE COMPANYOR THE OTHER NOTEHOLDERS IN ANY SUCH ACTION, SUIT OR PROCEEDING.

31. This Subscription Booklet may be executed in counterparts with the same effect as if the parties executing the counterparts had all executed one counterpart.

By executing the Signature Page to this Subscription Booklet, the Subscriber agrees to be bound by the foregoing.

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PROSPECTIVE INVESTOR QUESTIONNAIRE

ALL INFORMATION CONTAINED IN THIS QUESTIONNAIRE WILL BE TREATED CONFIDENTIALLY (EXCEPT IN THE CIRCUMSTANCES DESCRIBED IN THE SUBSCRIPTION AGREEMENT AND BELOW). However, the Subscriber understands that the Company, the Investment Adviser and the Administrator are relying on the accuracy and completeness of the information furnished by the Subscriber, and that the Company, the Investment Adviser or the Administrator may to the extent permitted by applicable law present this Questionnaire to such parties as the Company, the Investment Adviser or the Administrator, each in its reasonable discretion, deems appropriate if called upon, in each case to establish that (i) the proposed sale of the Company Notes is exempt from registration under the Securities Act or meets the requirements of applicable state securities or Blue Sky laws, (ii) the Company is exempt from registration under the Investment Company Act, (iii) the Investment Adviser and their respective Affiliates are in compliance with the Advisers Act, (iv) the Investment Adviser, the Administrator and their respective Affiliates are in compliance with any law, rule or regulation, executive order or policy applicable to such Person (including, without limitation, any anti-money laundering laws(including any applicable customer due diligence measures as required under the Luxembourg law of 12 November 2004 on the fight against money laundering and terrorist financing, as amended from time to time), the PATRIOT Act or any privacy laws) or (v) the Company, the Investment Adviser, the Administrator, or their respective Affiliates are entitled to a reduction or exemption from any withholding or other taxes or any other obligation related to taxes. The Company, the Investment Adviser and the Administrator and any of their respective Affiliates, in connection with establishment and/or administration of a credit facility, may also to the extent permitted by applicable law present (or cause to be presented) from time to time all or any applicable portion of this Subscription Booklet (or extracts or other compilations therefrom) to the applicable lenders or any agent or other representative(s) of such lenders, including without limitation in connection with the exercise of rights and remedies by or on behalf of the lenders or such agent or other representative(s), provided that any person receiving such portion, extract or compilation first executes a customary non-disclosure agreement. In addition, the Company, the Investment Adviser, the Administrator and any of their respective Affiliates may to the extent permitted by applicable law disclose (or cause to be disclosed), in connection with this sale or the operations of the Company, identifying detail contained in this Subscription Booklet, either on an individual or compiled basis, as applicable, including the name and address of the Subscriber, its jurisdiction or domicile, and the amount of the Subscriber’s proposed subscription for Company Notesand purchase price paid therefore to the Company. Finally, the Subscriber understands that as a result of the distribution of Company Notes by the Company in certain jurisdictions, the Company may be required to (i) register in such jurisdictions and maintain in such jurisdictions a record of Noteholders and (ii) disclose information regarding the Subscriber and its Company Notes in connection with such registration. Furthermore, the Subscriber understands that the sale of Company Notes may be reported to the SEC or to state securities or Blue Sky commissioners pursuant to the requirements of applicable federal law and of various state securities or Blue Sky laws or regulations (including to meet the requirements for an exemption from registration thereunder). Capitalized terms used herein and not otherwise defined herein shall have the meanings assigned to them in the Subscription Agreement to which this Questionnaire is attached or the Terms and Conditions.

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The Questionnaire contains seven parts. Prospective investors should complete each applicable part.

Part I: Subscriber Information Form

Part II: Qualified Purchaser Questionnaire

Part III: Anti-Money Laundering Questionnaire

Part IV: Form PF Supplement

Part V: Bad Acts Certification and Disclosure

Part I: Subscriber Information Form(for all subscribers)

I-19675758.13

PART ITO BE COMPLETED BY ALL PROSPECTIVE SUBSCRIBERS

A. General Information

1. Identity of Subscriber

Legal Name: __________________________________________________________________

Principal place of business: ___________________________________________________(Number and Street)

________________________________________________________________________(City) (State) (Zip Code) (Country)

Address for correspondence (if different):____________________________________________(Number and Street)


Telephone number: _____________________________________________________________

Facsimile number: ______________________________________________________________

Legal form of entity: ____________________________________________________________

U.S. state or other jurisdiction in which incorporated or formed: _________________________

Date of incorporation or formation:_________________________________________________

U.S. state or non-U.S. country of residence: __________________________________________

Name of ultimate parent of Subscriber:______________________________________________

2. Authorized Individual Who Is Executing This Questionnaire on Behalf of the Subscriber

Name:________________________________________________________________________

Current position or title:__________________________________________________________




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3. Primary Contact Person

Name:________________________________________________________________________

Company name (if any): _________________________________________________________


Street address: _________________________________________________________________



Email: _______________________________________________________________________

Types of information this person should receive (please circle all that apply):

All CorrespondenceCapital CallsQuarterly and Annual Reports

Distribution InformationLegal InformationTax Information

4. Secondary Contact Persons (please name two)

Name:________________________________________________________________________



Street address: _________________________________________________________________



Email: _______________________________________________________________________




Name:________________________________________________________________________



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Street address: _________________________________________________________________



Email: _______________________________________________________________________




5. Investment Adviser or Other Professional (if any)1

Name:________________________________________________________________________



Street address: _________________________________________________________________



Email: _______________________________________________________________________




1 The Subscriber authorizes the Administrator and the Investment Adviser to discuss information related to

the Subscriber’s Company Notes with the individual(s) listed in this section.


I-49675758.13

6. Contribution/Distribution Information

All cash contributions from the Subscriber to the Company and all cash or in-kind distributions from the Company to the Subscriber must be made from or to, as the case may be, an account held in the name of the Subscriber. Contributions from or distributions to accounts held in the name of persons other than the Subscriber are not permitted.

a. Account Information for Wire Payments2 between Subscriber and Company

Name of bank: _________________________________________________________________

Address of bank: _______________________________________________________________(Number and Street)


Account name: _________________________________________________________________

Account number: _______________________________________________________________

ABA number:__________________________________________________________________

Sub-account name (if applicable): __________________________________________________

Sub-account number (if applicable): ________________________________________________

SWIFT code3:__________________________________________________________________

Further credit account name (if applicable): __________________________________________

Further credit account number (if applicable): ________________________________________

Name of banking officer:_________________________________________________________



b. Account Information for In-Kind Distributions of Securities

Financial institution: ____________________________________________________________

2 IMPORTANT NOTICE: Due to international banking regulations, if your cash contributions are being

wired from a non-U.S. account, your bank MUST send a SWIFT MT100 message and complete field 50 (“Ordering Customer”) and field 52D (“Ordering Institution”) on cash contribution wires. Your transaction may be delayed or rejected if this information is not provided.

3 Required for U.S. wire transfer to non-U.S. banks. Please contact your bank for more information.


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DTC number (available from your financial institution): ________________________________

Account name: _________________________________________________________________

Account number: _______________________________________________________________

Contact person: ________________________________________________________________



I-69675758.13

B. Subscriber Qualification

1. Accredited Investor

Company Notes will be sold only to investors who are “accredited investors” (as defined in Regulation D promulgated by the SEC pursuant to the Securities Act). Please indicate the basis of “accredited investor” status of the Subscriber by checking the applicable statement or statements.

The Subscriber has total assets in excess of $5,000,000, was not formed for the purpose of investing in the Company and is one of the following (check the applicable box below):

a corporationa partnershipa limited liability companya business trusta tax-exempt organization described in Section 501(c)(3) of the Code

The Subscriber is a personal (non-business) trust, other than an employee benefit trust, with total assets in excess of $5,000,000, which was not formed for the purpose of investing in the Company and whose decision to invest in the Company has been directed by a person who has such knowledge and experience in financial and business matters that he or she is capable of evaluating the merits and risks of the investment.

The Subscriber is licensed, or subject to supervision, by U.S. federal or state examining authorities as a “bank,” “savings and loan association,” “insurance company” or “small business investment company” (as such terms are used and defined in 17 CFR § 230.501(a)) or is an account for which a bank or savings and loan association is subscribing in a fiduciary capacity.

The Subscriber is registered with the SEC as a broker or dealer or an investment company, or has elected to be treated or qualifies as a “business development company” (within the meaning of Section 2(a)(48) of the Investment Company Act or Section 202(a)(22) of the Advisers Act).

The Subscriber is an employee benefit plan within the meaning of Title I of ERISA (including an individual retirement plan), which satisfies at least one of the following conditions (check the applicable box or boxes below):

it has total assets in excess of $5,000,000; or

the investment decision is being made by a plan fiduciary which is a bank, savings and loan association, insurance company or registered investment adviser; or

it is a self-directed plan (i.e., a tax-qualified defined contribution plan in which a participant may exercise control over the investment of assets credited to his or her account) and the decision to invest is made by those participants investing, and each such participant qualifies as an “accredited investor.”


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The Subscriber is an employee benefit plan established and maintained by a state, its political subdivisions or any agency or instrumentality of a state or its political subdivisions, which has total assets in excess of $5,000,000.

The Subscriber is a trust of which each and every grantor is an individual who is an “accredited investor” as defined in Rule 501 promulgated under the Securities Act, or an entity that is an “accredited investor,” in each case who can amend or revoke the trust at any time.

NOTE: If the Subscriber’s accreditation is based upon this item, the Subscriber represents and warrants that each grantor of the Subscriber is able to make the representation relatingto “accredited investor” status in Section 14(b) of the Subscription Agreement.

The Subscriber is an entity in which each and every one of the equity owners is an individual who is an “accredited investor” as defined in Rule 501 promulgated under the Securities Act, or an entity that is an “accredited investor.”

NOTE: If the Subscriber’s accreditation is based upon this item, the Subscriber represents and warrants that each equity owner of the Subscriber is able to make the representation relating to “accredited investor” status in Section 14(b) of the Subscription Agreement.

If the Subscriber does not qualify in an accredited category above (and is not a natural person or grantor trust), please indicate this in the space provided below.

____The Subscriber does not qualify in any accredited investor category indicated above.

2. Supplemental Data

(a) Briefly identify the Subscriber’s primary business:

______________________________________________________________________

______________________________________________________________________

(b) Is the Subscriber a wholly-owned or majority-owned subsidiary of another entity?

Yes No

(c) (i) Was the Subscriber organized for the specific purpose of acquiring Company Notes?

Yes No

(ii) The purchase amount of Subscriber’s Company Notes constitutes 40% or more of the Subscriber’s total assets, or 40% or more of the Subscriber’s committed capital:

Yes No


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(iii) The Subscriber is (A) a participant-directed defined contribution plan (such as a 401(k) plan) or (B) a partnership or other investment vehicle (x) in which its partners or participants have or will have any discretion to determine whether or how much of the Subscriber’s assets are invested in any investment made or to be made by the Subscriber (including the Subscriber’s investment in respect of its Company Notes) or (y) that is otherwise an entity managed to facilitate the individual decisions of its beneficial owners to invest in the Company:

Yes No

NOTE: If the Subscriber answers “Yes” to any of the above questions in Section 2(c), the Subscriber represents and warrants that each Person who is an equity owner of the undersigned is able to make the representation relating to “accredited investor” status in Section 14(b) of the Subscription Agreement.

(d) (i) If the Subscriber is a private investment company or a non-U.S. investment company exempt from registration under the Investment Company Act, in reliance, in whole or in part, on Section 3(c)(1), 3(c)(7) or 7(d) thereof, was the Subscriber formed on or before April 30, 1996?

Yes No N/A

(ii) If the answer to Question 2(d)(i) is “Yes,” please indicate whether or not the Subscriber has obtained the consent of its direct and indirect beneficial owners to be treated as a “qualified purchaser” as provided in Section 2(a)(51)(c) of the Investment Company Act and the rules and regulations thereunder.

Yes No

(e) Person(s) or affiliate(s) with control over assets/providing investment advice to the Company. Please indicate whether you are (i) a person (including an entity) who has discretionary authority or control with respect to the assets of the Company or (ii) a person (including an entity) who provides investment advice for a fee (direct or indirect) with respect to such assets or an “affiliate” of any such person described in (i) and/or (ii). For purposes of this representation, an “affiliate” is any person controlling, controlled by or under common control with the Company or any of its investment advisers, including by reason of having the power to exercise a controlling influence over the management or policies of the Company or its investment advisers(s).

Yes No

(f) Is the Subscriber acting on behalf of one or more Underlying Beneficial Owner(s)?

Yes No

NOTE: A Subscriber acts on behalf of one or more Underlying Beneficial Owner(s) if the Subscriber is acting as an agent, representative, intermediary, nominee, derivative


I-99675758.13

counterparty or in a similar capacity for any other Person, nominee account or beneficial owner, whether a natural person or Entity (whether directly or indirectly, including, without limitation, through any option, swap, forward or any other hedging or derivative transaction).

(g) Is the Subscriber a current or former senior government, political or military official, including the administrative and judicial branches of government, or an immediate family member or close associate of such person (a “politically exposed person”)?

Yes No

If yes, which government __________________________, what position in the government _________________________, and, if an immediate family member or close associate of a politically exposed person, what relationship to the politically exposed person ____________________?

(h) For the Company to ensure compliance with applicable National Futures Association (“NFA”) and Commodity Futures Trading Commission (“CFTC”) rules and regulations, the Company must ascertain the status of each Subscriber (or if such Subscriber is a collective investment vehicle, the commodity pool operator (“CPO”) of such Subscriber) required to be an NFA member and CFTC registrant. Accordingly, the Subscriber should check the statement below that applies to the Subscriber or its CPO. The Subscriber hereby certifies that (please indicate status):

(i) Is the Subscriber an investment fund or other collective investment vehicle?4

Yes No

(ii) If you answered “YES” to (i) above, is the commodity pool operator of the Subscriber registered with the CFTC or a member of the NFA?

Yes No

(iii) If you answered “NO” to (ii) above, please indicate by checkmark below the exclusion or exemption relied upon by the Subscriber’s commodity pool operator for not registering with the CFTC or being a member of the NFA.

CFTC Rule 4.5 (if you check this box, please provide documentation supporting exclusion)

CFTC Rule 4.13(a)(3) (if you check this box, please provide documentation supporting exemption)

4 A collective investment vehicle is any entity, such as a partnership or corporation, in which investors pool funds to invest in securities, commodity interests or other derivatives, generally under the management of a third party.


I-109675758.13

Other (if you check this box, please explain the basis upon which the Subscriber’s commodity pool operator is not registered with the CFTC)

3. Tax Information

(a) Please provide the Subscriber’s IRS employer identification number (if any):

_____________________________________________

(b) Please provide the Subscriber’s country of residence for tax purposes:

_____________________________________________

(c) Please provide the Subscriber’s global intermediary identification number (if applicable):

___________________________________

Part II: Qualified Purchaser Questionnaire(for all subscribers)

II-19675758.13

PART IITO BE COMPLETED BY ALL PROSPECTIVE INVESTORS

Each Subscriber must indicate whether it qualifies as a “qualified purchaser” for purposes of Section 3(c)(7) of the Investment Company Act. Please indicate the basis of the Subscriber’s status by checking the box or boxes below which are next to the categories under which the Subscriber qualifies as a “qualified purchaser.” In order to complete the following information, the Subscriber must read Annex A to this Questionnaire for the definition of “investments” and for interpretative guidance regarding “investments,” respectively.

The general rule for determining the value of “investments” in order to ascertain whether a Subscriber is a “qualified purchaser” is that the value of the aggregate amount of investments owned and invested on a discretionary basis by the Subscriber shall be their fair market value on the most recent practicable date or their cost.1 In each case, there shall be deducted from the amount of investments owned by the Subscriber the amount of any outstanding indebtedness incurred to acquire the investments owned by the Subscriber.

(a) A company (including a partnership, trust, limited liability company or corporation) that owns not less than $5,000,000 in “investments” and that is owned directly or indirectly by or for two or more natural persons who are related as siblings or spouses (including former spouses), or direct lineal descendants by birth or adoption, spouses of such persons, the estates of such persons, or foundations, charitable organizations or trusts established by or for the benefit of such persons (a “Family Company”).

NOTE: If the Subscriber selects this item and the Family Company is a trust that can be amended or revoked by the grantors at any time, the Subscriber represents and warrants that each grantor is able to make the representation relating to “qualified purchaser” status in Section 14(b) of the Subscription Agreement.

(b) A personal (non-business) trust that is not covered by (a) above which was not formed for the purpose of investing in the Company Notes as to which the trustee or other person authorized to make decisions with respect to the trust, and each settlor or other person who has contributed assets to the trust, is a person described in clause (a), (c) or (d) hereof or is a natural person who owns not less than $5,000,000 in “investments”.

NOTE: If the Subscriber selects this item, the Subscriber represents and warrants that the trustee and each settlor or other person who has contributed assets to the trust is able to make the representation relating to “qualified purchaser” status in Section 14(b) of the Subscription Agreement.

(c) A company (including a partnership, trust, limited liability company or corporation), acting for its own account or the accounts of other qualified purchasers, who in the aggregate owns and invests on a discretionary basis not less than $25,000,000 in “investments.”

1 This general rule is subject to the following provisos: (i) in the case of Commodity Interests (as defined in

Annex A), the amount of investments shall be the value of the initial margin or option premium deposited in connection with such Commodity Interests and (ii) a Family Company (as defined below) shall have deducted from the value of such Family Company’s investments any outstanding indebtedness incurred by an owner of the Family Company to acquire such investments.

Part II: Qualified Purchaser Questionnaire(for all subscribers)

II-29675758.13

NOTE: If the Subscriber selects this item and the company is a trust that can be amended or revoked by the grantors at any time, the Subscriber represents and warrants that each grantor is able to make the representation relating to “qualified purchaser” status in Section 14(b) of the Subscription Agreement.

(d) A “qualified institutional buyer” as defined in paragraph (a) of Rule 144A under the Securities Act, acting for its own account, the account of another “qualified institutional buyer,” or the account of a “qualified purchaser,” provided that (i) a dealer described in paragraph (a)(1)(ii) of Rule 144A must own and invest on a discretionary basis at least $25,000,000 in securities of issuers that are not affiliated persons of the dealer and (ii) a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, will not be deemed to be acting for its own account if investment decisions with respect to the plan are made by the beneficiaries of the plan, except with respect to investment decisions made solely by the fiduciary, trustee or sponsor of such plan.

(e) A company (including a partnership, limited liability company or corporation), each beneficial owner of the securities of which is a qualified purchaser.

NOTE: If the Subscriber selects this item, the Subscriber represents and warrants that each beneficial owner of the Subscriber is able to make the representation relating to “qualified purchaser” status in Section 14(b) of the Subscription Agreement.

Part III: Anti-Money Laundering Questionnaire(for all subscribers)

III-19675758.13

PART III

SUBSCRIBER REPRESENTATIONS AND WARRANTIES WITH RESPECT TO ANTI-MONEY LAUNDERING AND ANTI-TERRORISM FINANCING

A. Verification of Identity Requirements

To comply with applicable anti-money laundering and U.S. Treasury Department’s Office of Foreign Assets Control (“OFAC”) rules and regulations and any applicable customer due diligence measures as required under the Luxembourg law of 12 November 2004 on the fight against money laundering and terrorist financing, as amended from time to time, the Subscriber is required to provide the following information and documentation to the Administrator (kindly check the box to indicate documents provided):

1. For Individual Subscribers:

o (One of the following) Certified copy of a current valid Passport, National ID Card or Driver’s License (bearing photo and signature),

o (One of the following) Bank Reference, Professional Character Reference, Utility Bill or Bank Statement etc. (originals required)

2. For Corporate Subscribers:

o Certificate of Incorporation

o Memorandum & Articles of Association

o Most recent Financial Statements (preferably audited)

o Bank reference letter

o List or Register of Directors

o Register of Members

o Certificate of Incumbency/Good Standing

o Board Resolution authorizing the investment

o Powers of Attorney or Letters of Authority (if applicable)

o Specimen signatures of persons authorized to bind the investor with regard to its investments with name and office held printed underneath.

3. For Trust Subscribers:

o Certified copy of Trust Deed or Declaration (or equivalent)

o Trust mandate for making the investment (e.g. Trustee Minutes)

o Most recent financial accounts (preferably audited)


III-29675758.13

4. For Partnership Subscribers:

o Certified copy of Partnership Agreement and Good Standing (or equivalent)

o Certified Schedule of Partners

o Partnership mandate for making the investment (e.g. Partnership Minutes)

o Most recent financial accounts (preferably audited)

5. Please also provide the following, as applicable:

i. For a Company Subscriber, on at least two Directors (including an Executive Director where available), and Beneficial Owners with over 10% interest (or principal control),

ii. For a Partnership Subscriber, on at least two Partners (or the sole General Partner (if applicable) of a limited partnership), or

iii. For a Trust Subscriber, on the Trustee(s) and Settlor(s), and

iv. For all account signatories or authorised persons.

o If an individual, information (including but not limited to names and residences) together with the documents required of individual Subscribers listed above (unless an exemption is available for such individual)

o If a company, partnership or trust, the documents required of a company, partnership or trust Subscriber listed above (unless an exemption is available for such entity)

NOTE: ALL COPY DOCUMENTS MUST BE CERTIFIED BY A SUITABLE CERTIFIER, which includes such professionals as an attorney, accountant, notary public, judge, senior civil servant, government official or director or manager of a regulated credit or financial institution. The certifier should provide their name, signature, title, employer name or occupation and the date of certification. Preferably the certification should also read as “This document is certified by me as a true and accurate copy of the original.”

B. Additional Documents

The Administrator may require you to provide other documentation in addition to the items detailed above to comply with applicable anti-money laundering laws and regulations. Your Subscription Agreement will not be deemed complete until all of the required documentation listed above and additionally requested documentation is received by the Administrator.

Please forward all original documents by mail, with a copy also sent via facsimile or electronic mail, to Highbridge – GIM Credit Lux S.A. c/o BNP Paribas Securities Services, Luxembourg Branch, 33, Rue de Gasperich – L- 5826 Hesperange, Email: [email protected], Telephone: +352 26 96 61 742, Facsimile: +352 26 96 97-58.

NOTE: Any documents that are copies must be certified by a suitable certifier, which includes such professionals as an attorney, accountant, notary public, judge, senior civil servant, government official or director or manager of a regulated credit or financial institution. The certifier should provide their name, signature, title, employer name or



III-39675758.13

occupation and the date of certification. Preferably the certification should also read: “This document is certified by me as a true and accurate copy of the original.”

Part IV: Form PF Supplement(for all subscribers)

IV-19675758.13

PART IVFORM PF SUPPLEMENT

Indicate the one category that best describes the Investor:

Trust established by one or more individuals who are U.S. persons

Trust established by one or more individuals who are non-U.S. persons

Broker/dealer

Insurance company

Investment company registered under the Investment Company Act

Private Fund1

Nonprofit organization

Pension plan (excluding governmental pension plans)

Banking or thrift institution (proprietary)

State or municipal government entity2 (excluding governmental pension plans)

State or municipal government entity pension plan

A sovereign wealth fund

Non-U.S. official institution

Non-U.S. person acting as a third-party intermediary for a third-party beneficial owner

Other (please specify in detail)

1 Any issuer that would be an investment company as defined in Section 3 of the Investment Company Act, but for Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.

2 Any state or political subdivision of a state, including (i) any agency, authority, or instrumentality of the state or political subdivision; (ii) a plan or pool of assets controlled by the state or political subdivision or any agency, authority, or instrumentality thereof; and (iii) any officer, agent, or employee of the state or political subdivision or any agency, authority, or instrumentality thereof, acting in their official capacity.

Part V: Bad Acts Certification and Disclosure(for all subscribers)

V-19675758.13

PART VBAD ACTS CERTIFICATION AND DISCLOSURE

Rule 506(d) promulgated under the Securities Act provides that the exemption from the Securities Act registration requirements for sales of securities afforded by Rule 506 will not be available to an issuer, such as the Company, if, among other things, a beneficial owner of 20% or more of the issuer’s outstanding voting securities, calculated on the basis of voting power, engages in certain “bad acts” as set forth in Rule 506(d) (such a 20% or more owner, a “Bad Actor”). The questions below will assist the Company in determining whether any Investor Party (defined below) is a Bad Actor.

Have any of the following (which are “Bad Acts” as provided in Rule 506(d) of the Securities Act) occurred with respect to any of (i) the Subscriber, (ii) any other person with whom the Subscriber is subscribing, including the Subscriber’s spouse, if applicable and (iii) if the Subscriber is not the sole beneficial owner of the Subscriber’s Company Notes, any such beneficial owner1 (each of sub-clause (i), (ii) and (iii), a “Subscriber Party”)?

Check all applicable boxes.

(a) a conviction, within the past ten years, of any felony or misdemeanor2: (i) in connection with the purchase or sale of any security; (ii) involving the making of any false filing with the SEC; or (iii) arising out of the conduct of the business of an underwriter, broker, dealer, municipal securities dealer, investment adviser or paid solicitor of purchasers of securities;

(b) being subject to any order, judgment or decree of any court of competent jurisdiction, entered within the past five years, that, as of the date hereof, restrains or enjoins such person from engaging or continuing to engage in any conduct or practice3: (i) in connection with the purchase or sale of any security; (ii) involving the making of any false filing with the SEC; or (iii) arising out of the conduct of the business of an underwriter, broker, dealer, municipal securities dealer, investment adviser or paid solicitor of purchasers of securities;

(c) being subject to a final order of a state securities commission (or an agency or officer of a state performing like functions); a state authority that supervises or examines banks, savings associations, or credit unions; a state insurance commission (or an agency or officer of a state performing like functions); an appropriate federal banking agency; the CFTC; or the National Credit Union Administration that: (i) as of the date hereof, bars the person from: (A) association with an entity regulated by such commission, authority, agency, or officer; (B) engaging in the business of securities, insurance or banking; or (C) engaging in savings association or credit union activities; or (ii) constitutes a final order based on a violation of any law or regulation that prohibits fraudulent, manipulative, or deceptive conduct entered within the past ten years;

1 For purposes of this Part V, a “beneficial owner” is interpreted the same way as under Rule 13d-3 of the Exchange Act and means any person who, directly or indirectly, through any contract, arrangement, understanding, relationship or otherwise, under Exchange Act Rule 13d-3 has or shares, or is deemed to have or share, (i) voting power, which includes the power to vote, or to direct the voting of such security and/or (ii) investment power, which includes the power to dispose, or to direct the disposition of, such security.

2 Actions taken by non-U.S.-based courts and regulators do not need to be disclosed in this Part V.

3 Injunctions and orders issued by non-U.S.-based courts do not need to be disclosed in this Part V.


V-29675758.13

(d) being subject to an order of the SEC entered pursuant to section 15(b) or 15B(c) of the Exchange Act (15 U.S.C. 78o(b) or 78o-4(c)) or section 203(e) or (f) of the Advisers Act (15 U.S.C. 80b-3(e) or (f)) that, as of the date hereof: (i) suspends or revokes such person's registration as a broker, dealer, municipal securities dealer or investment adviser; (ii) places limitations on the activities, functions or operations of such person; or (iii) bars such person from being associated with any entity or from participating in the offering of any penny stock;

(e) being subject to any order of the SEC entered within the past five years that, as of the date hereof, orders the person to cease and desist from committing or causing a violation or future violation of: (i) any scienter-based anti-fraud provision of the federal securities laws, including without limitation section 17(a)(1) of the Securities Act (15 U.S.C. 77q(a)(1)), section 10(b) of the Exchange Act (15 U.S.C. 78j(b)) and 17 CFR 240.10b-5, section 15(c)(1) of the Exchange Act (15 U.S.C. 78o(c)(1)) and section 206(1) of the Advisers Act (15 U.S.C. 80b-6(1)), or any other rule or regulation thereunder; or (ii) section 5 of the Securities Act (15 U.S.C. 77e);

(f) being suspended or expelled from membership in, or suspended or barred from association with a member of, a registered national securities exchange or a registered national or affiliated securities association for any act or omission to act constituting conduct inconsistent with just and equitable principles of trade;

(g) having filed (as a registrant or issuer), or was or was named as an underwriter in, any registration statement or Regulation A offering statement filed with the SEC that, within the past five years, was the subject of a refusal order, stop order, or order suspending the Regulation A exemption, or is, as of the date hereof, the subject of an investigation or proceeding to determine whether a stop order or suspension order should be issued; or

(h) being subject to a United States Postal Service false representation order entered within the past five years, or is, as of the date hereof, subject to a temporary restraining order or preliminary injunction with respect to conduct alleged by the United States Postal Service to constitute a scheme or device for obtaining money or property through the mail by means of false representations.

If the Subscriber checks any of (a) – (h) above, the Subscriber should contact the Administratorand provide the dates and the summary of each Bad Act. The Subscriber may be required to provide additional information.

Except as disclosed in the Subscriber’s response above and any additional information requested by the Administrator, no Bad Act exists with respect to any Subscriber Party. The Subscriber agrees to provide the Company with any information that the Company may reasonably request in order to determine whether any Subscriber Party is a Bad Actor, including, without limitation, filings with, and records of, courts and regulators. The Subscriber agrees to promptly notify the Administrator if a Bad Act occurs with respect to any Subscriber Party. The Subscriber further agrees that if any Bad Act occurs with respect to any Subscriber Party, if any Subscriber Party would otherwise have the right to vote more than 20% of the Company’s outstanding voting equity securities (calculated on the basis of voting power), notwithstanding anything to the contrary in the Terms and Conditions, the voting rights with respect to the Company held by any Subscriber Party will be limited to 19.9% of the Company’s outstanding voting equity securities (calculated on the basis of voting power) unless and until the Company determines otherwise in its sole discretion. Furthermore, upon being notified of the occurrence of a Bad Act with respect to any Subscriber Party, the Investment Adviser, the Administrator and the Company may, in their sole discretion, take any action they determine necessary or advisable in connection with compliance with applicable regulations, including, without limitation, redeeming all or a portion of the Subscriber’s Company Notes in accordance with the Terms and Conditions.


V-39675758.13

J.P. Morgan Securities LLC Rule 506(e) Disclosure

Pursuant to the disclosure requirement of Rule 506(e) of Regulation D of the Securities Act, please note the following:

I. Auction Rate Securities Investigation and Litigation

Beginning in March 2008, several regulatory authorities initiated investigations of a number of industryparticipants, including J.P. Morgan Chase & Co. (“JPMC”) concerning possible state and federal securities law violations in connection with the sale of auction-rate securities (“ARS”). The market for many such securities had frozen and a significant number of auctions for those securities began to fail in February 2008. The actions generally alleged that JPMC and other firms manipulated the market for ARS by placing bids at auctions that affected these securities’ clearing rates or otherwise supported the auctions without properly disclosing these activities.

JPMC, on behalf of itself and affiliates, agreed to a settlement with the New York Attorney General’s Office which provided, among other things, that JPMC would offer to purchase at par certain ARS purchased from J.P. Morgan Securities LLC (“JPMS LLC”), Chase Investment Services Corp. and Bear, Stearns & Co. Inc. by individual investors, charities and small to medium-sized businesses. JPMC also agreed to a substantively similar settlement with the Office of Financial Regulation for the State of Florida and the North American Securities Administrators Association (“NASAA”) Task Force, which agreed to recommend approval of the settlement to all remaining states, Puerto Rico and the U.S. Virgin Islands. JPMC has finalized the settlement agreements with the New York Attorney General’s Office and the Office of Financial Regulation for the State of Florida. The settlement agreements provide for the payment of penalties totaling $25 million to all states and territories. To date, JPMC has entered into settlements with the majority of states and is in the process of finalizing settlement agreements with the remaining states. In connection with the settlements, a number of state securities commissions issued final orders against JPMC and its affiliates.

II. Commodity Exchange Act Investigation and Litigation

On March 8, 2012, JPMS LLC reached a settlement agreement with the U.S. Commodity Futures Trading Commission (the “CFTC”) to resolve its investigations of JPMS LLC relating to execution of a prearranged trade that was found to be noncompetitively executed and a fictitious sale. In connection with the settlement, the CFTC issued an order against JPMS LLC finding that JPMS LLC violated Section 4c(a)(1) of the Commodity Exchange Act.

III. Residential Mortgage-Backed Securities Judgment

On November 16, 2012, the U.S. Securities and Exchange Commission (the “SEC”) filed a complaint against JPMS LLC and other industry participants (the “Defendants”) in the District Court for the District of Columbia alleging that, in connection with an offering of residential mortgage-backed securities (“RMBS”) by a JPMS LLC affiliate, JPMS LLC failed to include in the RMBS prospectus supplement delinquency disclosure with respect to mortgage loans that provided collateral for the RMBS offering.

On January 8, 2013, the District Court entered a judgment that enjoined the Defendants from violating, directly or indirectly, Sections 17(a)(2) and (3) of the Securities Act. Additionally, the judgment required the Defendants to pay disgorgement in the amount of $177,700,000, prejudgment interest in the amount


V-49675758.13

of $34,865,536 and a civil monetary penalty of $84,350,000. The Defendants consented to the filing of the complaint and the entry of a final judgment without admitting or denying the allegations in the complaint, except as to jurisdiction.

IV. Municipal Reinvestment Instruments Judgment

On July 7, 2011, the SEC filed a complaint against JPMS LLC in the District Court of New Jersey alleging that JPMS LLC engaged in fraudulent practices, misrepresentations and omissions in connection with bidding on municipal reinvestment instruments and that such actions allegedly affected prices of certain reinvestment instruments, deprived certain municipalities of a presumption that their reinvestment instruments were purchased at a fair market value and/or jeopardized the tax-exempt status of certain securities.

On July 8, 2011, the District Court entered into a judgment against JPMS LLC that enjoined JPMS LLC from violating, directly or indirectly, Section 15(c)(1)(a) of the Exchange Act. The judgment also required JPMS LLC to pay disgorgement in the amount of $11,065,969, prejudgment interest in the amount of $7,620,380 and a civil monetary penalty of $32,500,000. JPMS LLC consented to the entry of the judgment without admitting or denying the allegations of the complaint, except as to jurisdiction.

V. Synthetic Collateralized Debt Obligation Judgment

On June 21, 2011, the SEC filed a complaint against JPMS LLC in the District Court of New York alleging that, in connection with the offering of a largely synthetic collateralized debt obligation (“CDO”), JPMS LLC represented that the collateral manager selected the CDO’s investment portfolio but failed to disclose that a hedge fund that took a short position on approximately half of the portfolio’s assets played a significant role in the selection process.

On June 29, 2011, the District Court entered a judgment that enjoined JPMS LLC from violating, directly or indirectly, Sections 17(a)(2) and (3) of the Securities Act.

Additionally, the judgment required JPMS LLC to pay disgorgement in the amount of $18,600,000, prejudgment interest in the amount of $2,000,000 and a civil monetary penalty of $133,000,000. Under the terms of the judgment, JPMS LLC also agreed to comply with undertakings relating to the marketing of certain investment products. JPMS LLC consented to the entry of the judgment without admitting or denying the allegations of the complaint, except as to jurisdiction.

Signature Page – Subscriber Original(for all subscribers)

9675758.13

SIGNATURE PAGE(Please sign both the Subscriber and the Administrator originals of the Signature Page)

This page constitutes the signature page for the Subscription Agreement and the Questionnaire relating to the sale of Company Notes in Highbridge – GIM Credit Lux S.A.

IN WITNESS WHEREOF, the Subscriber has executed and delivered this Subscription Agreement and the Questionnaire this ______ day of ____________________, 20___.

€ ___________________________________Company Note Subscription Applied For

____________________________________Print Name of Subscriber(s)

By:__________________________________(Signature)

Name:Title:

By:__________________________________(Signature)

Name:Title:

€ ___________________________________Company Note Subscription Accepted

Accepted and Agreed, as of ________________, 20___:

BNP Paribas Securities Services Luxembourg Branchas Administrator

By:Name:Title:

Signature Page – Administrator Original(for all subscribers)

9675758.13

SIGNATURE PAGE(Please sign both the Subscriber and the Administrator originals of the Signature Page)

This page constitutes the signature page for the Subscription Agreement and the Questionnaire relating to the sale of Company Notes in Highbridge – GIM Credit Lux S.A.

IN WITNESS WHEREOF, the Subscriber has executed this Subscription Agreement and the Questionnaire this ______ day of ____________________, 201__.

€ ___________________________________Company Note Subscription Applied For

____________________________________Print Name of Subscriber(s)

By:__________________________________(Signature)

Name:Title:

By:__________________________________(Signature)

Name:Title:

€ ___________________________________Company Note Subscription Accepted

Accepted and Agreed, as of ________________, 20___:

BNP Paribas Securities Services Luxembourg Branchas Administrator

By:Name:Title:

Annex A

A-19675758.13

DEFINITION OF “INVESTMENTS”

The term “investments” means:

1. Securities, other than securities of an issuer that controls, is controlled by, or is under common control with, the Subscriber that owns such securities; provided that securities issued by any of the following are considered to be “investments” for this purpose:

(i) an investment company or a company that would be an investment company but for the exclusions provided by Sections 3(c)(1) through 3(c)(9) of the Investment Company Act or the exemptions provided by Rule 3a-6 or 3a-7 promulgated under the Investment Company Act, or a commodity pool; or

(ii) a Public Company (as defined below); or

(iii) a company with shareholders’ equity of not less than $50 million (determined in accordance with generally accepted accounting principles) as reflected on the company’s most recent (and in any event not more than 16 months old) financial statements;

2. Real estate held for investment purposes;

3. Commodity Interests (as defined below) held for investment purposes;

4. Physical Commodities (as defined below) held for investment purposes;

5. To the extent not securities, Financial Contracts (as defined below) entered into for investment purposes;

6. In the case of a Subscriber that is a company that would be an investment company but for the exclusions provided by Section 3(c)(1) or 3(c)(7) of the Investment Company Act, or a commodity pool, any amounts payable to such Subscriber pursuant to a firm agreement or similar binding commitment pursuant to which a person has agreed to acquire an interest in, or make capital contributions to, the Subscriber upon the demand of the Subscriber; and

7. Cash and cash equivalents held for investment purposes.

Interpretive Guidance:

1. Real Estate. Real estate held for investment purposes excludes the following types of real estate used by the Subscriber or a Related Person (as defined below): (i) for personal purposes, (ii) as a place of business or (iii) in connection with a trade or business (unless the Subscriber is engaged primarily in the business of investing, trading or developing real estate and the real estate in question is part of such business). Residential real estate may be considered “held for investment” if deductions on the property are not disallowed by Section 280A of the Code.

2. Commodity Interests, Physical Commodities and Financial Contracts. A Commodity Interest or Physical Commodity owned, or a Financial Contract entered into, by a Subscriber who is engaged primarily in the business of investing, reinvesting or trading in Commodity Interests, Physical Commodities or Financial Contracts in connection with such business may be deemed to be held for investment purposes.

Annex A

A-29675758.13

3. Consolidation of Subsidiaries. For purposes of determining the amount of investments owned by a Subscriber that is a company, there may be included investments owned by majority-owned subsidiaries of the Subscriber and investments owned by a company (“Parent Company”) of which the Subscriber is a majority-owned subsidiary, or by a majority-owned subsidiary of the Subscriber and other majority-owned subsidiaries of the Parent Company.

4. Joint Investments. In determining whether a natural person is a “qualified purchaser,” there may be included in the amount of such person’s investments any investment held jointly with such person’s spouse, or investments in which such person shares with such person’s spouse a community property or similar shared ownership interest. In determining whether spouses who are making a joint investment in the Company Notes are “qualified purchasers,” there may be included in the amount of each spouse’s investments any investments owned by the other spouse (whether or not such investments are held jointly). There shall be deducted from the amount of any such investments the amount of any outstanding indebtedness incurred by such spouse to acquire such investments.

5. Certain Retirement Plans. In determining whether a natural person is a “qualified purchaser,” there may be included in the amount of such person’s investments any investments held in an individual retirement account or similar account the investments of which are directed by and held for the benefit of such person.

Additional Definitions

“Affiliate” of any Person means any other Person that, directly or indirectly through one or more intermediaries, controls, is controlled by or is under common control with, such Person. The term “control” means the possession, directly or indirectly, of the power to direct or cause the direction of the management and policies of a Person, whether through the ownership of voting securities, by contract or otherwise.

“Commodity Interests” means commodity futures contracts, options on commodity futures contracts, and options on physical commodities traded on or subject to the rules of:

(i) any contract market designated for trading such transactions under the Commodity Exchange Act and the rules thereunder; or

(ii) any board of trade or exchange outside the United States, as contemplated in Part 30 of the rules under the Commodity Exchange Act.

“Financial Contract” means any arrangement that:

(i) takes the form of an individually negotiated contract, agreement or option to buy, sell, lend, swap or repurchase, or other similar individually negotiated transaction commonly entered into by participants in the financial markets;

(ii) is in respect of securities, commodities, currencies, interest or other rates, other measures of value, or any other financial or economic interest similar in purpose or function to any of the foregoing; and

Annex A

A-39675758.13

(iii) is entered into in response to a request from a counterparty for a quotation, or is otherwise entered into and structured to accommodate the objectives of the counterparty to such arrangement.

“Physical Commodities” means any physical commodity with respect to which a Commodity Interest is traded on a market specified in the definition of Commodity Interests above.

“Public Company” means a company that:

(i) files reports pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended; or

(ii) has a class of securities that are listed on a Designated Offshore Securities Market, as defined by Regulation S of the Securities Act.

“Related Person” means, solely for the purposes of this Annex A, a person who is related to the Subscriber as a sibling, spouse or former spouse, or is a direct lineal descendant or ancestor by birth or adoption of the Subscriber, or is a spouse of such descendant or ancestor; provided that, in the case of a Family Company, a Related Person includes any owner of the Family Company and any person who is a Related Person of such an owner. (“Family Company” is defined above in the Questionnaire under item (a) of Part II).

Annex B

B-19675758.13

INTERNAL REVENUE SERVICE FORMS

Detailed instructions follow each tax form.

Instructions for investors that are United States persons:

o If you are a “United States person” for U.S. federal income tax purposes (as defined below), please complete and execute an IRS Form W-9 in accordance with the instructions accompanying the form.

Instructions for investors that are not United States persons:

o If you are not a “United States person” for U.S. federal income tax purposes (as defined below), please complete and execute the applicable IRS Form W-8 (e.g., W-8BEN (for individuals) or W-8BEN-E (for entities)) (or successor Form, as applicable) in accordance with the instructions accompanying the applicable form.

o If you are treated as a partnership for U.S. federal income tax purposes and you are not a “United States person” (as defined below), in addition to IRS Form W-8IMY, please provide the applicable IRS Form W-9 or Form W-8 completed and executed by each of your beneficial owners.

o If you are treated as a Grantor Trust (as defined below) and you are not a “United States person” (as defined below), in addition to IRS Form W-8IMY, please provide the applicable IRS Form W-9 or Form W-8 completed and executed by each of your grantors.

Instructions for investors that are Disregarded Entities:

o If you are a Disregarded Entity (as defined below), please provide an IRS Form W-9 or applicable IRS Form W-8 completed and executed by your beneficial owner.

Copies of the IRS forms described above are available with instructions at http://www.irs.gov.

“Disregarded Entity” means for U.S. federal income tax purposes:

An entity that is disregarded as separate from its owner within the meaning of U.S. Treasury Regulation Section 301.7701-2(c).

“Grantor Trust” means for U.S. federal income tax purposes:

A revocable trust or a trust that is treated as a “grantor trust” for U.S. federal income tax purposes under Sections 671-679 of the Code.

“United States person” means for U.S. federal income tax purposes:

(i) An individual who is a citizen of the United States or a “resident alien” for U.S. federal income tax purposes. In general, the term “resident alien” is defined for this purpose to include any individual who (i) holds an Alien Registration Card (a “green card”) issued by U.S. Citizenship and Immigration Services or (ii) meets a “substantial presence” test. The “substantial presence” test is generally met with respect to any calendar year if (i) the

Annex B

B-29675758.13

individual was present in the United States on at least 31 days during such year and (ii) the sum of the number of days in which such individual was present in the United States during such year, 1/3 of the number of such days during the first preceding year, and 1/6 of the number of such days during the second preceding year, equals or exceeds 183 days;

(ii) A corporation or a partnership (or other entity or arrangement treated as a corporation or partnership for such purposes) created or organized in or under the laws of the United States, any state thereof or the District of Columbia;

(iii) An estate the income of which is subject to U.S. federal income tax regardless of its source; or

(iv) A trust, if (x) a court within the United States is able to exercise primary supervision over its

administration and one or more “United States persons,” as defined herein, have the

authority to control all of its substantial decisions or (y) such trust was in existence on

August 20, 1996 and was treated as a domestic trust on August 19, 1996 and such trust has

an election in effect under applicable U.S. Treasury Regulations to be treated as a “United

States person.”

C-1

9659577.19

APPENDIX C

Company Notes Terms and Conditions

See separately provided document.

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TERMS AND CONDITIONS

The following is the text of the terms and conditions which will be applicable to the Notes.

1. THE NOTES

1.1 General

Highbridge – GIM Credit Lux S.A., a public limited liability company incorporated as

a "société anonyme" under the laws of the Grand Duchy of Luxembourg which has the

status of a securitisation company (société de titrisation) within the meaning of the law

of 22 March 2004 on securitisation, as amended (the “Securitisation Law”), having

its registered office at 46, Avenue J.F. Kennedy L-1855 Luxembourg, registered with

the Luxembourg Trade and Companies Register under number B193.463 (the

"Company") will issue participating redeemable subordinated notes (together, the

“Notes” pursuant to these terms and conditions (the “Terms and Conditions”) in a

maximum aggregate principal amount of EUR 1,000,000,000 and to be divided into

Notes with a nominal value of EUR 100,000 each.

For the avoidance of doubt, and as further set out in Condition 6.6 (Priority of

Payments), all payment obligations of the Company under the Notes will rank pari

passu and will be subject to these Terms and Conditions.

1.2 Form, Denomination and Title

The Notes are issued in registered form.

Notes are issued in Euros and with a denomination of EUR 100,000 each (for a total

amount of up to EUR 1,000,000,000).

The Company will maintain a register of holders of Notes (the “Register”). The person

whose name is registered in the relevant Register as being a holder of any Note shall

(except as otherwise required by law) be treated as its absolute owner for all purposes,

including the making of payments and no person shall be liable for so treating such

person as such.

Title to the Notes shall pass upon registration of the transfer thereof in the Register

and in accordance with Condition 13 hereof. No transfer of title to a Note may be

made without written documentation, in form and substance satisfactory to the

Company, being given to that effect by the transferor and the transferee to the

Company. Transfers of Notes in the Register will be effected without charge to the

holders of the Notes (the “Noteholders” and each a “Noteholder”), but upon payment

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of any tax or other governmental charges which may be imposed in relation thereto

and otherwise in accordance with Condition 13.

Upon request of a Noteholder, the Company shall, at the cost of such Noteholder,

issue a certificate evidencing one or more Notes. In case such certificate evidences

more than one Note, the Company shall upon request of the holder of record replace,

at the cost of such holder, such certificate by new certificates evidencing one or more

Notes.

Each holder of record shall promptly notify the Company of any mutilation, loss, theft,

or destruction of any certificate or certificates evidencing any Notes of which it is the

record holder. The Company shall issue a new certificate in place of any certificate

theretofore issued by it and alleged to have been mutilated, lost, stolen or destroyed,

upon satisfactory proof of such mutilation, loss, theft or destruction.

The Company intends the Notes to be treated as profit participating notes within the

meaning of German law (Genussscheine).

1.3 Eligible Investors

The Notes shall be issued to non-U.S. Persons only. The term “non-U.S. Person”

means, generally, any person who is not a “U.S. Person” within the meaning of (i)

Regulation S under the U.S. Securities Act of 1933, as amended, (ii) the U.S.

Commodity Exchange Act, as amended, and (iii) Section 7701(a)(30) of the U.S.

Internal Revenue Code of 1986, as amended.

1.4 Objective and Strategy

The Company will invest in the SubCo Notes (as defined below) and will gain

exposure to a diversified portfolio owned by SubCo through its holding of SubCo

Notes (as defined below)

1.5 Use of Proceeds

The proceeds of the issuance of the Notes shall be used for general corporate

purposes and in accordance with the terms of the investment advisory agreement as

attached hereto in Schedule 1. Upon receipt, such proceeds will be credited to the

Company Account and shall be applied as follows:

1. first, towards payment of the Expenses; and

2. second, to purchase and/or subscribe the SubCo Notes and shares in SubCo

as defined in Condition 3 or otherwise pursue the Company's strategy, it being

agreed that no such investments shall take place after the end of a period of 3

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years following the initial issuance of Notes save where approved unanimously

by the existing Noteholders.

For the purposes of these Terms and Conditions “Expenses” shall mean the

Company’s operating and other expenses, including, but not limited to:

(i) organizational expenses;

(ii) expenses related to Euro-U.S. dollar conversion and hedging of Note

purchase proceeds, distributions and investment exposure, and profit

and loss arising from such hedging activities;

(iii) administrative, custodial, domiciliation, legal, audit, directors’ fees,

internal and external accounting fees and expenses (including expenses

of updating the governing documents of the Company) and rating

agency fees;

(iv) taxes due by the Company;

(v) other operating expenses; and

(vi) extraordinary or non-recurring expenses including indemnification of the

Investment Adviser and other service providers to the Company.

1.6 Cancellation

All Notes redeemed shall be cancelled and may not be reissued or sold.

1.7 Rating

The Notes will not be rated.

1.8 Listing as a condition subsequent

The Company will endeavour to list the Notes on the Irish Stock Exchange (the “ISE”)

within 2 months following the date of their issuance.

If any Company Notes are not listed on the ISE within 2 months following the date of

their issuance, the Company shall have another 30 Business Days to cause the Notes

to be listed on the ISE.

If the Notes are not listed at the end of such additional period, each Noteholder shall

have the right to cause the Company to redeem such unlisted Notes as set forth in

Condition 8.3 (Extraordinary Redemption Right).

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1.9 Further Issues

Upon the determination of the Company to issue additional Notes, the Company shall

propose to each Noteholder to subscribe for new Notes (the “New Notes”), pro-rata to

its then current holding of Notes, and in accordance with provisions contained in the

subscription booklet signed by the relevant Noteholder and within the limits set therein.

Notes will generally be issued in series, with a new series established each time New

Notes are issued (each a “Note Series”), it being understood that each Notes Series

shall be subject to the same terms and conditions.

Noteholders can subscribe for the New Notes in excess of their pro-rata share in case

not all Noteholders subscribe for their pro-rata share.

Subscription for New Notes by non-Noteholders will only be permitted if approved

unanimously by the existing Noteholders.

The New Notes shall have the same terms and conditions as the outstanding Notes,

so that the same shall be consolidated, form a single class of notes with the

outstanding Notes, rank equally and entitle the Noteholders to participate on a pro rata

basis in the profits of the Company as set forth herein.

The Company will send a notice containing such offer to each Noteholder or its

representative in accordance with Condition 10, indicating all information and

documentation necessary in order to evaluate the new issuance.

New Notes may only be issued within the period of three (3) years following the initial

issuance of Notes (the “Issuance Period”) except as set forth below.

Notwithstanding the foregoing, New Notes may, in certain circumstances, be issued

automatically in connection with certain amounts otherwise distributable to a

Noteholder as described further herein, and any such automatic issuances (i) will only

be made to Noteholders entitled thereto; and (ii) will be permitted at any time prior to

the Maturity Date (as defined below), it being understood that such automatically

issued New Notes are expected to be listed in accordance with Condition 1.7 above.

1.10 Maturity Date

All Notes, regardless of their date of issuance, shall have a maturity of seven (7) years

starting on the date of the initial issuance of Notes (the “Maturity Date”).

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2. RIGHTS AND OBLIGATIONS UNDER THE NOTES

2.1 Status of the Notes

The Notes will rank equally amongst themselves.

2.2 Obligations under the Notes

The Notes are obligations solely of the Company. The Notes are not, and will not be

insured or guaranteed by any of the Company’s affiliates or any other third person or

entity and none of the foregoing assumes or will assume any liability or obligation to

the holders of the Notes if the Company fails to make any payment due in respect of

the Notes.

2.3 Subordination

The rights under the Company Notes constitute direct obligations of the Company

which, in the event of the liquidation of the Company shall be subordinated to the

ordinary liabilities of the Company (inter alia obligations vis-à-vis any transactional

party, such as the Administrator).

2.4 No shareholder rights

Noteholders do not have shareholder-like management or control rights.

2.5 No tranching

The Company shall not be permitted to issue any instruments which do not rank pari

passu with the Notes, but which are fully or partially senior or subordinated to the

Notes.

2.6 Reports

(a) The Noteholders will receive annual financial statements of the Company prepared in

accordance with Luxembourg generally accepted account principles audited by

PricewaterhouseCoopers (the “Auditor”). The Company fiscal year shall end on

December 31st of each year (“Fiscal Year”).

Upon the written request of one or more of the Noteholders, the books of account and

records of the Company, including with respect to prior periods, shall be prepared in

accordance with International Financial Reporting Standards.

(b) No later than 120 calendar days after the end of each Fiscal Year, the Company shall

prepare and cause the Auditor to audit, and shall deliver to each Noteholder, an

audited report setting forth as of the end of such Fiscal Year:

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i. a balance sheet of the Company as of the end of such Fiscal Year;

ii. an income statement of the Company for such Fiscal Year.

(c) No later than 45 calendar days after 30 June of each Fiscal Year (“Half Year”), the

Company shall prepare and shall deliver to each Noteholder, an unaudited report

setting forth as of the end of such Half Year:

i. a balance sheet of the Company as of the end of such Half Year;

ii. an income statement of the Company for such Half Year.

(d) No later than 45 calendar days after 30 September of each Fiscal Year (“Third

Quarter”), the Company shall prepare and shall deliver to each Noteholder, an

unaudited report setting forth as of the end of such Third Quarter:

i. a balance sheet of the Company as of the end of such quarter;

ii. an income statement of the Company for such three quarters period.

(e) No later than 1 Business Day after the end of each calendar month the Company shall

deliver to each Noteholder a month-end performance estimate. No later than 3

Business Days after the end of each calendar month, the Company shall deliver to

each Noteholder a final month-end performance statement based in the form set out in

Schedule 4, including:

i. the valuation and the position report in the form set out in Schedule 5 for each investment performed by SubCo (to the extent the relevant information has been received from SubCo);

ii. the fair market value of the Company’s assets less the Company’s liabilities (excluding the outstanding value of the Notes), in each case as determined in accordance with Luxembourg GAAP;

iii. the fair market value of the SubCo’s assets less SubCo’s liabilities (excluding the outstanding value of the SubCo Notes), in each case as determined in accordance with Luxembourg GAAP;

iv. the valuation of the Notes.

(f) No later than 45 calendar days after March 31st, June 30th, September 30th and

December 31st of each Fiscal Year or as soon as practicable thereafter, the Company

shall deliver to each Noteholder a monitoring note for each investment held by SubCo

as of such quarter end, based on the form set out in Schedule 6 (a “Monitoring

Note”).

(g) Every Friday, the Company shall deliver to each Noteholder the checklist set out in

Schedule 7 (if any transaction has been closed meanwhile by SubCo), evidencing that

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the investments concerning such transactions have been made in accordance with the

Investment Guidelines.

(h) As promptly as practicable after the end of each calendar quarter, the Company shall

deliver to each Noteholder its account statement including quarter-to-date and

inception-to-date information concerning all subscription of Notes made by and

distributions made to such Noteholder (return of capital and profit distribution

severally).

(i) As promptly as practicable after the end of each calendar quarter, the Company shall

deliver to each Noteholder a statement setting the quarter-to-date and inception-to-

date information concerning accrued and, severally, paid management fees,

performance fees and expenses charged to SubCo (to the extent such information

has been received from SubCo) and to the Company.

(j) All reporting for Noteholders as set forth in this Condition 2.6 shall be delivered by

BNP PARIBAS SECURITIES SERVICES, a société en commandite par actions

(S.C.A.) incorporated under the laws of France, registered with the Registre du

Commerce et des Sociétés of Paris under number 552 108 011, whose registered

office is at 3, rue d'Antin - 75002 Paris, France and acting through its Luxembourg

branch whose office is at 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of

Luxembourg and registered with the Luxembourg Register of Commerce and

Companies under number B-86.862 (the “Administrator”) to each Noteholder (or

such other person indicated by the relevant Noteholder ) via the Administrator’s online

dataroom and shall be deemed to have been delivered on the date the report is

delivered to an online dataroom. The Noteholders will have access to an online

system maintained by the Administrator for accessing Noteholders’ documents.

Notwithstanding the foregoing, the month-end performance estimate delivered

pursuant to clause (e) above will be delivered to the Noteholders via e-mail, rather

than through such online dataroom.

(k) Promptly after receiving such information, but in any event within 5 days, the

Company shall notify the Noteholders if any of Scott Kapnick, Purnima Puri and Serge

Adam resign from Highbridge Capital Management, LLC or Highbridge Principal

Strategies, LLC.

(l) The Company shall transmit all reports received in its capacity as noteholder of the

SubCo Notes in connection with the SubCo Notes to the Noteholders.

2.7 Limited Recourse

The Notes are direct and limited recourse obligations of the Company.

The Company's ability to satisfy its payment obligations under the Notes and its

operating and administrative expenses will be wholly dependent upon receipt by it of

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payments of sufficient amounts payable under the SubCo Notes in accordance with

the terms thereof.

Other than the foregoing, the Company will have no other funds available to meet its

obligations under the Notes and the Notes will not give rise to any payment obligation

in excess of the foregoing. Recourse to the Company shall be limited to the assets of

the Company and to the assets of SubCo and the proceeds thereof applied in

accordance with these Terms and Conditions. If the aforementioned assets and

proceeds prove ultimately insufficient (after payment of all claims ranking in priority to

amounts due under the Notes) to pay in full all principal and profits on the Notes, then

the Noteholders shall have no further recourse against the Company, SubCo or any

other person for any shortfall arising or any loss sustained.

The assets of the Company and the Assets of SubCo and the proceeds thereof are

the only remedy available to the Noteholders for the purpose of recovering amounts

payable in respect of the Notes.

Such assets and proceeds shall be deemed to be “ultimately insufficient” at such time

when the Company certifies, providing the Company independent auditor’s written

statement, to the Noteholders that no further assets are available and no further

proceeds can be realised therefrom to satisfy any outstanding claims of the

Noteholders, and neither assets nor proceeds will reasonably likely be so available

thereafter.

In respect of the Notes, the Noteholders shall, once such assets and proceeds are

deemed to be ultimately insufficient, have thereafter neither further claims against the

Company nor have recourse to the Company, SubCo or any other person for the loss

sustained and their claims shall be extinguished.

Each Noteholder shall be entitled to elect that the Notes held by such Noteholder be

secured and, in such case, the Company agrees to create appropriate security

interests over the Company’s assets. Each electing Noteholder has the right to waive

collateral for the Notes held by it if for legal, tax or regulatory reasons applicable to

each Noteholder. The enforcement of such security interests by the collateral agent

appointed under the relevant documentation shall be subject to a decision of

Noteholders representing a majority of the Notes.

2.8 Hedging

The Company may seek to hedge the U.S. dollar-Euro currency exposure of the

Noteholders upon the request of a majority of Noteholders if the Advisory Committee

has consented to implementation of a U.S. dollar-Euro currency hedging program.

3. SUBCO NOTES

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 9

The proceeds received by the Company from the issuance of the Notes, after

payment of the Expenses and the establishment of necessary reserves, are used to

subscribe for participating redeemable notes issued by Highbridge – GIM Credit

Master Lux S.à r.l., a private limited liability company incorporated as a "société à

responsabilité limitée" under the laws of the Grand Duchy of Luxembourg (“SubCo”

and the notes issued by SubCo, the “SubCo Notes”) or otherwise pursue the

Company’s strategy.

4. REPRESENTATIONS AND WARRANTIES OF THE COMPANY

The Company hereby represents and warrants that:

1. The Company is a validly organized and existing public limited liability company

incorporated as a "société anonyme" under the laws of the Grand Duchy of

Luxembourg, has the status of a securitisation company (société de titrisation)

within the meaning of the Securitisation Law and it has the corporate power and

authority to enter into these Terms and Conditions, to perform its obligations

hereunder and to issue the Notes.

2. The execution and the performance of these Terms and Conditions by the

Company have been duly authorized by the Company and no further corporate

action on the part of the Company or other approval is necessary to authorize

these Terms and Conditions and/or their performance.

5. GENERAL COVENANTS OF THE COMPANY

5.1 The Company hereby covenants that, so long as any of the Notes remain outstanding,

it will:

1. at all times keep such books of account as may be necessary to comply with all

applicable laws and so as to enable the financial statements of the Company to

be prepared and allow free access to Noteholders to the same at all reasonable

times and upon reasonable notice during normal business hours and to discuss

the same with responsible officers of the Company;

2. give notice in writing to the Noteholders forthwith upon becoming aware of any

Event of Default;

3. send to the Noteholders, in accordance with Condition 2.5 above, a copy of the

Company's balance sheet, profit and loss account and accompanying Auditor’s

report;

4. at all times use its best efforts to maintain its residence for tax purposes in

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Arendt – 016414-70004.12148856vEXEC 10

Luxembourg;

5. at all times comply with and perform all of its obligations under, and in respect

of, the Notes use its best efforts to procure that the other parties hereto comply

with and perform all their respective obligations thereunder; and

6. use its best efforts to maintain its status of securitisation company (société de

titrisation) within the meaning of the Securitisation Law and use its best efforts

not to take any actions which would cause it to be deemed an alternative

investment fund within the meaning of AIFMD.

5.2 Without prejudice to any securitisation activities that the Company might undertake,

the Company agrees that, without the prior approval of the board of directors of the

Company, it will not:

1. engage in any activity which is not reasonably incidental to any of the activities

which these Terms and Conditions provide or envisage;

2. purchase, own, lease or otherwise acquire any real property (other than

premises at its registered office in Luxembourg);

3. incur, except in connection with any credit facility, any indebtedness in respect

of borrowed money whatsoever or give any indemnity or assume any liability

whatsoever, except for indemnities in favour of the Investment Adviser, the

Administrator, the custodian, the domiciliation agent, the Auditor, any other

service provider to the Company and as permitted pursuant to these Terms and

Conditions;

4. dispose of any of its assets, except as permitted pursuant to these Terms and

Conditions;

5. except in connection with any credit facility or hedging activities, create or permit

to subsist any mortgage, pledge, lien (unless arising by operation of law) or

charge upon, or sell, transfer, assign, exchange or otherwise dispose of, the

whole or any part of, its assets, present or future (including any uncalled capital)

or its undertaking other than pursuant to these Terms and Conditions;

6. not purchase, subscribe for or otherwise acquire any shares (or other securities

or any interest therein) in, or incorporate, any other company or agree to do any

of the foregoing other than SubCo or otherwise in accordance with these Terms

and Conditions;

7. consolidate or merge with any other person or convey or transfer its properties

or assets substantially as an entirety to any other person; or

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8. amend or alter the articles of association of the Company.

Without prejudice to any securitisation activities that the Company might undertake,

the Company agrees that, without the prior approval of the Advisory Committee (as

defined in condition 12), it will commit to ensure that the validity or commit

effectiveness of these Terms and Conditions is not impaired and that these Terms and

Conditions are not amended, hypothecated, subordinated, terminated or discharged,

or that any person be released from any covenants or obligations with respect to

these Terms and Conditions, except as may be expressly permitted hereby.

5.3 The Investment Adviser and the trading manager of SubCo (the “Trading Manager”)

will, in all cases, be the same entity. Noteholders will be given the opportunity to

redeem their Notes prior to a resignation by the Investment Adviser or the Trading

Manager becoming effective. The appointment of a new Investment Adviser or

Trading Manager will require the consent of a majority of the members of the Advisory

Committee.

6. PERIODIC PAYMENTS

6.1 General

Periodic payments in respect of Notes shall be made by the Company no later than 1

Business Day after the receipt by the Company of periodic payments under the

SubCo Notes (a “Payment Date”) by wire transfer of same day funds to the

Noteholders to the account specified by the Noteholders; provided, however, that the

board of directors of the Company may determine to make additional distributions at

such other times as it may determine in its sole discretion, it being understood that

any outstanding amounts under these Terms and Conditions shall be paid at the

latest (i) as of the relevant Redemption Date or (ii) on the Maturity Date.

Such periodic payments to Noteholders will consist of the Net Profits received by the

Company from SubCo as well as any extraordinary or non-recurring income

(excluding any principal repayment) received in connection with the investments

financed by these Notes (“Current Proceeds”) and will be made pro rata in respect of

each series in accordance with the number of Notes of such series held by each

Noteholder as of the end of the applicable calendar quarter. The Company, in its sole

discretion, may pay or reserve some or all of the Current Proceeds for current or

estimated Expenses, liabilities or contingencies of any kind. The Company will not be

required to make distributions unless it has a sufficient amount of Current Proceeds to

distribute at such time.

The Company shall make the payments provided for in this Condition 6, in

accordance with its own calculations.

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All payments to Noteholders shall be subject to the condition that if a payment is

made to a Noteholder in breach of these Terms and Conditions, such Noteholder shall

repay the amount so received to the Company Account. The Company shall then pay

out the moneys so received in the way they were payable in accordance with these

Terms and Conditions on the Payment Date. If such repayment is not enforceable, the

Company is authorised and obliged to make payments in such a way that any over-

payments or under-payments made in breach of these Terms and Conditions are set-

off by correspondingly decreased or increased payments on any applicable Payment

Date.

Should a Noteholder wish for its allocable portion of periodic payments otherwise

payable under this Condition 6 to be retained by the Company rather than paid to it,

such Noteholder may elect as such by so indicating in the subscription agreement.

Such election, once made, may be changed by the relevant Noteholder in writing.

Periodic payments retained in this manner either will be credited to the series from

which they originated or result in the issuance to the applicable Noteholder of

additional Notes of a new series in an amount equal to the amount of the retained

periodic payments.

6.2 Business Days

If the date for any payment in respect of any Note is not a Business Day, such

payment shall be made on the following Business Day and shall not bear any interest

due to such delay.

“Business Day” means any day except a Saturday, Sunday or any holiday on which

commercial banks are closed in New York, NY, Paris, France, Frankfurt, Germany,

Cologne, Germany, Luxembourg or Milan, Italy.

6.3 Company Account

Issuance proceeds pursuant to the issuance of the Notes shall be credited to the

Company’s bank account (the “Company Account”) and be used in accordance with

Condition 1.4.

Payments (whether of principal or interest) received under the SubCo Notes shall be

credited to the Company Account and be applied by the Company on the relevant

Payment Date in accordance with the Priority of Payments.

6.4 Profit Participation

The Noteholders are entitled to receive a participation in the proceeds resulting from

any business and assets of the Company, namely the SubCo Notes (excluding, in

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each case, any principal repayments) after deduction of the Expenses, for the

avoidance of doubt, after taking into account any foreign exchange gains and losses

(the “Net Profits”) on the applicable Maturity Date or Payment Date, to be paid in

accordance with Condition 6.5 hereunder.

Net Profits and Current Proceeds will be allocated pro rata among the series of Notes

outstanding as of the end of each applicable period.

6.5 Priorities of Payments

On each Payment Date the aggregate amounts standing to the credit of the Company

Account in respect of item 1. and 2. below only, and on each Redemption Date (with

respect to Notes being redeemed) or Maturity Date (as further set forth in Condition 7)

the aggregate amounts standing to the credit of the Company Account in respect of

items 1. through 3., shall be applied by the Company in making the following

payments or provisions, if due and payable, in the following order of priority (the

“Priority of Payments”) to each applicable Noteholder with respect to each applicable

Note Series but, in each case, only to the extent that there are funds available for the

purpose and all payments or provisions of a higher priority that fall due to be paid or

provided for on such day have been made in full:

1. first in or towards the payment of all unpaid Expenses and/or any other fees,

costs and expenses and/or debt still due by the Company with respect to such

series at the Payment Date, the Maturity Date or the Redemption Date (as the

case may be);

2. second, in or towards payment of any Current Proceeds distributions with

respect to such series for the relevant period; and

3. third, in or towards payment on a pro rata basis of all amounts then due and

payable by the Company in respect of principal of the redeemed Notes of such

series.

SubCo may reinvest within 5 years of the date of the initial issuance of Notes (the

“Recycling Period”) or such longer period approved of by the Advisory Committee,

any proceeds from its investments, excluding fees and interests paid by the relevant

borrowers, up to the principal amount of such investments.

Notwithstanding the above order and priority of payment:

1. at each calendar month-end, if SubCo holds cash (excluding amounts awaiting

distribution to holders of SubCo Notes, amounts reserved in respect of pending

investments, all Expenses and/or any fees, costs and expenses and/or debt still

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 14

due by the Company at the Payment Date or other obligations) in excess of

10%, or such other percentage as may be mutually agreed by the Trading

Manager and the advisory committee of SubCo, of the estimated Net Asset

Value of SubCo on such date as calculated by the Administrator within 1 day of

such date, such excess will be distributed by SubCo to the holders of the SubCo

Notes as principal repayment, except as otherwise resolved by the advisory

committee of SubCo; and

2. the Company may settle Expenses at its sole discretion as and when necessary.

The Company, in turn, will distribute to Noteholders, within 1 day following the

Company’s receipt of the corresponding distribution from SubCo its portion of such

excess pro rata in accordance with the face value of the Notes held by each

Noteholder as of the end of the applicable calendar month, net of amounts reserved in

respect of pending investments, Expenses and/or any fees, costs and expenses

and/or debt still due by the Company at the Payment Date or other obligations.

For the purposes of this paragraph, the “Net Asset Value” of SubCo shall equal the

fair market value SubCo’s assets less the SubCo’s liabilities (excluding the

outstanding value of the SubCo Notes), in each case as determined in accordance

with Luxembourg GAAP.

7. REDEMPTION

7.1 At Maturity

Unless previously redeemed as specified below, each Note will be redeemed by the

Company at its nominal amount plus any accrued but unpaid Net Profits on the

Maturity Date subject to the limitations set out in Condition 2.4.

7.2 Optional redemption

Subject to the following terms and conditions, a Noteholder may, upon at least 90

days’ prior written notice to the Company, redeem all or any portion of its Notes as of

December 31, 2016 and as of every second December thereafter (i.e., December 31,

2018, December 31, 2020, etc.) (each, a “Redemption Date”). The Company, in

consultation with Highbridge Principal Strategies, LLC, a Delaware limited liability

company (the “Investment Adviser”), may waive such notice and other requirements

and/or limitations and/or permit earlier redemptions than the date deriving from the

notice.

Upon the Company’s receipt of a redemption notice for a particular Redemption Date,

the Company shall immediately provide a redemption notice to SubCo.

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 15

The Company shall in turn use commercially reasonable efforts to distribute

redemption proceeds within 30 days of the applicable Redemption Date, provided that

there can be no assurances that redemption proceeds will be paid within in such time

period and, under certain circumstances, the Company may extend the payment

period for the redemption proceeds. Notwithstanding the foregoing, the Company may

determine not to effect partial redemptions of Company Notes in amounts less than

EUR 1,000,000. The Company, in consultation with the Investment Adviser, may

waive such notice and other requirements and/or limitations and/or permit

redemptions at other times.

The Company may compel redemption of any or all of a Noteholder’s Notes in the

event that the board of directors of the Company, after receipt of written advice of

counsel, reasonably determines that the continued holding of Company Notes by such

Noteholder (i) may result in adverse legal, tax or regulatory consequences to the

Company, or to the other Noteholders generally or (ii) is in violation of applicable law

or regulation.

Redemption proceeds will be paid in cash or, upon the request of a Noteholder or the

determination of the Investment Adviser with the consent of the Advisory Committee,

in kind. Cash redemption proceeds will be paid by wire transfer at the expense of the

redeeming Noteholder. In-kind delivery of redemption proceeds may take the form of

delivery of SubCo Notes or investments of SubCo, with the value of either confirmed

by a third-party valuation agent approved by the Noteholders. The Company may

withhold up to 10% of the proceeds of a complete redemption until the Company has

received the audited financial statements for the relevant year and any resulting

adjustments have been made.

The Company, in consultation with the Investment Adviser, may suspend or defer

redemptions or the payment of redemption proceeds during the existence of any state

of affairs as a result of which the board of managers of SubCo (the “SubCo Board of

Managers”) is unable to value and/or dispose of SubCo’s assets (or, in the opinion of

the Investment Adviser, it is not reasonably practicable or would be prejudicial to

Noteholders to do so). The Company shall notify in writing the requesting Noteholder

the above mentioned circumstances, clarifying the reasons of the suspended or

deferred redemptions or of the suspended or deferred payment of redemption

proceeds and the related expected timeline for the redemptions or payment.

Notes of a particular series redeemed pursuant to this Condition 7.2 will be redeemed

at (i) the redeemed Notes’ principal and (ii) a pro-rata portion of the Net Profits in

respect of such series through the applicable Redemption Date, in each case subject

to the limitations set out in Condition 2.4.

7.3 Extraordinary Acceleration

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Arendt – 016414-70004.12148856vEXEC 16

Should the Notes of a particular series not or no longer be an eligible investment for

an Investor under applicable law or regulations, the Noteholder shall be entitled to

accelerate such Notes held by it by giving written notice of such acceleration to the

Company and to request delivery of the assets held by the Company other than

SubCo shares (in particular the SubCo Notes) pro rata to the aggregate number of

Notes of such series outstanding.

8. TAXATION

8.1 Taxation

Payments in respect of the Notes shall only be made after the deduction and

withholding of current or future taxes, levies or governmental charges, regardless of

their nature, which are imposed, levied or collected (collectively, "taxes") under any

applicable system of law or in any country which claims fiscal jurisdiction by, or for the

account of, any political sub-division thereof or government agency therein authorised

to levy taxes, to the extent that such deduction or withholding is required by law. The

Company shall account for the deducted or withheld taxes with the competent

government agencies and shall, upon request of a Noteholder, provide evidence

thereof.

8.2 Treatment of Taxes

Taxes payable by the Company or any of its subsidiaries as a result of the residence

or domicile of any Noteholder, or otherwise as a result of the tax status of any

Noteholder (including, for the avoidance of doubt, taxes imposed under the Foreign

Account Tax Compliance Act (“FATCA”) will be for the account of that Noteholder,

and the amount of any such taxes will be treated as paid to that Noteholder with

subsequent payments to that Noteholder being appropriately reduced. In the event

that any such taxes are not withheld from payments to the applicable Noteholder,

such Noteholder may be required to reimburse the Company for the amount of such

taxes. “Taxes” for purposes of this paragraph includes any interest, additions to tax,

penalties, or expenses relating to such taxes.

8.3 No Gross-Up

The Notes do not provide for gross-up payments in the case that any amount payable

under the Notes is or becomes subject to income taxes (including withholding taxes)

or taxes on capital. If any withholding or deduction on account of taxes is imposed

with respect to payments by the Company under the Notes, the amounts payable by

the Company under the Notes will be reduced by the amount of such withholding or

deduction.

8.4 Extraordinary Redemption Right

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 17

If (i) the anticipated tax treatment of the Company and the Notes is not or no longer

achieved, (ii) significant unanticipated taxes are triggered at the level of SubCo, (iii)

the continued holding of Notes by a Noteholder may result in adverse legal, tax or

regulatory consequences to the Noteholder or is in violation of law or regulation

applicable to a Noteholder or (iv) Notes are not listed on the ISE within the timeframe

set forth in Condition 1.7 above, the affected Noteholders will have the right, but shall

not be obliged, to cause the Company to redeem the applicable Notes held by them

as of the month-end no sooner than 90 days following their written request for such

redemption, regardless of whether such date would otherwise be a Redemption Date.

Proceeds of any such extraordinary redemption will be paid as set forth under

Condition 7 above.

9. EVENT OF DEFAULT

Upon the occurrence of an Event of Default which is continuing, the relevant Meeting

may declare the outstanding Notes immediately due and payable. “Event of Default”

means (i) the existence of an Insolvency Proceeding against the Company, (ii) the

existence of a Court order for the liquidation of the Company or (iii) the initiation by

SubCo of an Insolvency Proceeding and “Insolvency Proceeding” means with

respect to any person, the winding-up, liquidation, dissolution, bankruptcy,

receivership, insolvency or administration of such person or any equivalent or

analogous proceedings under the law of the jurisdiction in which such person is

incorporated (or, if not a company or corporation, domiciled) or of any jurisdiction in

which such person carries on business or has any assets including the seeking of an

arrangement, adjustment, protection or relief of creditors.

10. NOTICES

All notices to the Noteholders regarding the Notes shall be delivered in writing to the

Noteholders in accordance with the information contained in the Register.

11. MEETINGS OF NOTEHOLDERS, MODIFICATION AND WAIVER

The provisions of Article 94-2 second paragraph and Article 94-4 of the Luxembourg

law of 10 August 1915 relating to commercial companies, as amended (the

“Companies Law”) do not apply.

The Noteholders may constitute a meeting representing together the entire body of

Noteholders (the “Meeting”), created inter alia for the purposes of representation of

the common interests of the Noteholders in accordance with the provisions of the

Companies Law (save as otherwise stated above).

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Arendt – 016414-70004.12148856vEXEC 18

The Meeting may appoint one or several representatives of the body of Noteholders

(the “Representative(s)”) and determine their powers. When the Representative(s)

has/have been appointed, the Noteholders will no longer be able to exercise

individually the rights attached to their Notes, so delegated to such Representative,

against the Company.

A meeting of the Noteholders may be convened at any time by the Representative(s)

or by the management of the Company. The Representative(s), provided that

he/she/they has/have received an advance on his/her/their expenses, or the

management must convene a Meeting if Noteholders representing 5% or more of the

total amount of outstanding Notes so request. Any Meeting of the Noteholders will be

held in Luxembourg at the venue specified in the convening notice.

Every Noteholder will have the right to attend and vote at meetings of the Noteholders

in person or by proxy. Each Note shall carry one vote. A Meeting may be convened (i)

in the event of a merger involving the Company, (ii) in order to approve certain

changes to the Noteholders’ rights and (iii) generally, in order to determine any

measures aimed at defending the Noteholders’ interests or to ensure the exercise by

the Noteholders of their rights.

A Meeting may validly decide, with at least 50% quorum requirements upon first

convening (no quorum is required at a reconvened meeting), and by a simple majority

of the votes cast by the Noteholders present or represented at the meeting, upon the

appointment and removal of Representatives and the approval of any protective

measures taken in the general interests of the Noteholders.

In respect of any other decision, the Meeting may validly decide upon first convening

only if the Noteholders present or represented hold at least 50% of the total amount of

the Notes outstanding at that time. No quorum is required at a reconvened meeting.

The decisions at such meetings will be passed by the unanimity of the votes cast by

Noteholders present or represented.

Each Noteholder shall have the right, during the 15 days prior to the general meeting

of the Noteholders as a body, to consult or take copies, or cause an agent to do so on

its behalf, of the text of the proposed resolutions and the reports to be presented to

the meeting, at the registered office of the Company and, as the case may be, at any

other place specified in the convening notice.

The Company undertakes to make premises available to the Noteholders for their

meetings. Should a meeting of the Noteholders be convened, in particular for the

appointment of a Representative, all expenses relating thereto shall be borne by the

Company.

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 19

12. ADVISORY COMMITTEE

An advisory committee (the “Advisory Committee”) comprised of at least three

representatives of Noteholders, nominated by such holders of Company Notes and

appointed by the Company’s board of directors (which appointment will not be

unreasonably withheld) will be established with respect to the Company, provided that

no member of the Advisory Committee shall be an affiliate, employee, agent or

representative of the Investment Adviser, but that any such person may serve as the

investment adviser representative or observer of the Advisory Committee without any

voting power. A representative of the Company’s sole shareholder is entitled to also

attend as observer of the Advisory Committee without any voting power. The Advisory

Committee will (i) provide such advice and counsel as is requested by the Investment

Adviser in connection with potential conflicts of interest involving the Company

including, where appropriate, approval or disapproval of transactions or other matters

giving rise to such conflicts, and (ii) provide such other advice and counsel or approve

or disapprove such other matters, as are reasonably requested by the Investment

Adviser. In addition, the consent of the Advisory Committee shall be required (w) with

regard to the extension of the Issuance Period and/or of the Recycling Period, (x) in

connection with any amendment of the investment advisory agreement entered into by

the Company (“Investment Advisory Agreement”) or any termination of the

Investment Advisory Agreement by the Company, (y) in connection with any transfer

or assignment of the Investment Advisory Agreement, or the duties and obligations

thereunder, by the Investment Adviser, or the appointment of a new investment

adviser in place of the Investment Adviser and (z) in connection with borrowing by the

Company and/or the adoption of any currency hedging program. The Advisory

Committee’s recommendation shall be required with regard to variations and

deviations from the Investment Guidelines (as defined below). Any approval and/or

recommendation by the Advisory Committee shall require the consent of the majority

of its members. Notwithstanding the foregoing, the Investment Adviser and the board

of directors of the Company will retain ultimate responsibility for making all decisions

relating to the operation, conduct and management of the business and affairs of the

Company. Any member of the Advisory Committee nominated by a Noteholder may be

removed by such Noteholder, and a new member may then be nominated by such

Noteholder for appointment by the board of directors of the Company.

The Advisory Committee guidelines and administrative procedures are set out in

Schedule 2.

For the purposes of these Terms and Conditions, “Investment Guidelines” shall

mean the investment guidelines applying to the investment decisions of SubCo from

time to time and attached in Schedule 3.

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 20

13. TRANSFER OF NOTES

13.1 Noteholders may freely assign their Notes in accordance with these Terms and

Conditions. The rights and obligations arising from these Terms and Conditions shall

be binding on the heirs, executors, receivers or other representatives, and the

successors, right-holders and assignees of each Noteholder.

13.2 Notes are freely transferable, provided that, a Noteholder may not transfer Notes if

such transfer would,


(ii) cause the Company’s or SubCo’s assets to be deemed to be “plan

assets” for purposes of U.S. Employee Retirement Income Security Act

of 1974, as amended;

(iii) cause the Company or SubCo to be an “investment company” within the

meaning of the U.S. Investment Company Act;

(iv) result in any adverse tax consequences to the Company or SubCo (or to

the Noteholders generally);

(v) cause the Investment Adviser or Highbridge Capital Management, LLC

to be in violation of the U.S. Advisers Act and the rules promulgated

thereunder; or

(vi) violate, or cause the Company, SubCo, the Investment Adviser or

Highbridge Capital Management, LLC to violate, any applicable law or

regulation, including any applicable securities laws.

13.3 Any permitted transfer of Notes in accordance with this Condition shall be performed

through the execution of a transfer agreement in the form approved by the Company

duly notified to the Company and the registration of such transfer in the relevant

Register in accordance with Condition 1.2.

13.4 None of the Noteholders may create any lien, claim, option, pledge, charge,

encumbrance or any other type of preferential arrangement (including, without

limitation, title transfer for security purposes and retention agreement) having a similar

effect, nor grant any mandate with a view to the creation thereof, in respect of any of

the Notes.

13.5 Insofar and as long as a German insurance company holds Notes as part of its

guarantee assets ("Sicherungsvermögen" as defined in Section 66 or Section 115 of

the German Insurance Supervisory Act (Versicherungsaufsichtsgesetz)) and such

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 21

German insurance company is either in accordance with Section 70 of the German

Insurance Company Act (Versicherungsaufsichtsgesetz) under the legal obligation to

appoint a trustee (Treuhänder) or is subject to similar legal requirements, such

German insurance company shall transfer such Notes only with the prior written

consent of such trustee or its authorised representative appointed in accordance with

Section 70 of the German Insurance Supervisory Act, as amended from time to time.

For the purposes of this Condition, “transfer” shall include sales, exchange, transfer,

assignment and pledge or other disposal of all or part of the Notes.

14. MISCELLANEOUS

14.1 Place of Performance

Place of performance of the Notes shall be Luxembourg, Grand Duchy of

Luxembourg.

14.2 Partial Invalidity

Without prejudice to any other provision hereof, if one or more provisions hereof is or

becomes invalid, illegal or unenforceable in any respect in any jurisdiction or with

respect to any person or entity, or if the Company becomes aware of any omission

hereto of any terms which were intended to be included herein, such invalidity,

illegality, unenforceability in such jurisdiction or with respect to such person or entity

or such omission shall not, to the fullest extent permitted by applicable law, render

invalid, illegal or unenforceable such provision or provisions in any other jurisdiction or

with respect to any other person or entity hereto. Such invalid, illegal or unenforceable

provision or such omission shall be replaced by the Company, without the consent of

Noteholders, with a provision which comes as close as reasonably possible to the

commercial intentions of the invalid, illegal, unenforceable or omitted provision.

14.3 Non Petition

Without prejudice to the other provisions of these Conditions, each of the Noteholders

acknowledges and agrees that until the expiry of one (1) year and one (1) day after

the last outstanding Note will have been redeemed, none of the Noteholders nor any

party on its behalf shall initiate or join any person in initiating any Insolvency

Proceedings in relation to the Company or the Company provided that this Condition

shall not prevent any Noteholder from taking any steps against the Company which

do not amount to the initiation or the threat of initiation of any Insolvency Proceedings

in relation to the Company or the Company or the initiation or threat of initiation of

legal proceedings.

15. APPLICABLE LAW AND PLACE OF JURISDICTION

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 22

15.1 Governing Law

The form and content of the Notes and all of the rights and obligations of the

Noteholders and the Company under the Notes, as well as all other matters arising

from or connected with the Notes shall be governed in all respects by and shall be

construed in accordance with the laws of Luxembourg. The Company is governed by

the Securitisation Law. Articles 86 through 97 of the amended Luxembourg law of 10

August 1915 on commercial companies shall apply, except for the second paragraph

of Article 94-2 and for Article 94-4 and except as otherwise set out herein, notably

under Condition 11.

15.2 Jurisdiction

The exclusive place of jurisdiction for any action or other legal proceedings arising out

of or in connection with the Notes shall be the courts of Luxembourg, Grand Duchy of

Luxembourg. The Company and the Noteholders hereby submit to the jurisdiction of

such court.

15.3 Amendments

Any amendments to these Terms and Conditions shall require the consent of the

Company and the Noteholders in writing.

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 23

Signed on [***] 2015.


____________________________By:Title:

____________________________By:Title:

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 24

Schedule 1

Investment Advisory Agreement

965917 3.21

INVESTMENT ADVISORY AGREEMENT

IN V ESTM EN T A D V ISO RY A GREEM EN T (as amend ed from time to time,this“Agreement”)d ated as of M arch27 ,2015,by and amongH ighbrid ge P rincipalStrategies,L L C ,aD elaware limited liability company (“HPS”and ,in its capacity as investmentad viserto theC ompany,the “Investment Adviser”),and H ighbrid ge –GIM C red itL u x S.A .,asecu ritizationcompany incorporated as asocié té anonyme de titrisation u nd erthe laws of the Grand D u chy ofL u x embou rg(the “Company”).

W I T N E S S E T H :

W H EREA S,the C ompany has been formed forthe pu rposes setforth in the A rticles ofA ssociation of the C ompany (as amend ed orrestated from time to time,the “Articles”);

W H EREA S,the C ompany is expected to investsu bstantially allof its investable assets inH ighbrid ge – GIM C red it M aster L u x S.à r.l., a company incorporated as a socié té àresponsabilité limité e u nd erthe laws of the Grand D u chyof L u x embou rg(“SubCo”);

W H EREA S,pu rsu ant to the A rticles,the B oard of D irectors of the C ompany hasd etermined to engage H P S as investmentad viserto the C ompany and to execu te and d eliverthisA greement;and

W H EREA S,the InvestmentA d viserd esires to serve in su chcapacity u nd erthe terms andcond itions setforthherein.

N O W , TH EREFO RE, in consid eration of the mu tu al promises and u nd ertakingshereinaftersetforth,the parties hereto herebyagree as follows:

1. D efinitions. (a) The followingterms shallhave the followingmeanings forthepu rposes of this A greement:

“Advisers Act”means the U.S.InvestmentA d visers A ctof 1940,as amend ed from timeto time.

“Advisory Committee”shall have the meaning set forth in Section 5(b) of thisA greement.

“Affiliate”of any P erson means any otherP erson that,d irectly orind irectly throu ghoneormore intermed iaries,controls,is controlled by oris u nd ercommon controlwithsu chP erson.The term “control”means the possession,d irectly orind irectly,of the powerto d irectorcau sethe d irection of the managementand policies of a P erson,whether throu gh the ownership ofvotingsecu rities,by contractorotherwise.

“Agreement”shallhave the meaningsetforthin the preamble to this A greement.

“Articles”shallhave the meaningsetforthin the preamble to this A greement.

“Board of Directors”means the board of d irectors of the C ompany.

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965917 3.21

“Company”shallhave the meaningsetforthin the preamble to this A greement.

“Company Documents”means the A rticles,the Information M emorand u m and theTerms and C ond itions of the C ompanyN otes,collectively.

“Company Notes”means the participatingred eemable notes issu ed by the C ompany toinvestors from time to time in accord ance withthe C ompany D ocu ments.

“Confidential Information” shallhave the meaningsetforthin Section 27 of thisA greement.

“Damages”shallhave the meaningsetforthin Section 6(a)of this A greement.

“Gross Negligence”means reckless ind ifference to or a d eliberate d isregard of thegeneralstand ard of care setforth in Section 2(d )or actions which are withou tthe bou nd s ofreason.

“HCM”means H ighbrid ge C apitalM anagement,L L C .

“Highbridge”means H C M and its su bsid iaries,inclu d ingH P S.

“HPS”shallhave the meaningsetforthin the preamble to this A greement.

“Information Memorandum”means the Information M emorand u m of the C ompany,d ated Ju ne 26,2015 (su chmemorand u m,as presently in effectand as amend ed orsu pplementedfrom time to time).

“Investment”means the C ompany’s investmentin Su bC o and the C ompany’s short-terminvestments of cash in otherinstru ments d escribed herein mad e ord one forcash managementpu rposes.

“Investment Adviser” shall have the meaning set forth in the preamble to thisA greement.

“Investment Adviser Indemnified Person”shallhave the meaningsetforthin Section6(a)of this A greement.

“Investment Guidelines”means the investmentgu id elines of Su bC o.

“Investor Expenses”shallhave the meaningsetforthin Section 8 (b)of this A greement.

“Other HPS Investors”means other secu ritization vehicles,investment fu nd s oraccou nts sponsored ormanaged byH ighbrid ge orA ffiliates of H ighbrid ge.

“Overhead Expenses”shall have the meaning set forth in Section 8 (a) of thisA greement.

“Person”means any ind ivid u al,partnership,corporation,limited liability company,tru storotherentity.

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965917 3.21

“Proceeding”means any action,claim,su it,investigation orproceed ingby orbefore anycou rt,arbitrator,governmentalbod yorotheragency.

“Related Person”means,with respectto any Investment,any P erson (other than theC ompany or Su b C o)thatis,d irectly or ind irectly,involved in any transaction related to,orgivingrise to,su chInvestment,orany A ffiliate of an issu erof an Investment.

“SubCo”shallhave the meaningsetforthin the preamble to this A greement.

“SubCo Management Agreement”shallhave the meaningsetforthin Section 4 of thisA greement.

(b) C apitalized terms u sed herein withou t d efinition have the meaningsassigned to them in the O fferingM emorand u m.

2. D u ties and Services. (a) The C ompany hereby appoints H P S as its InvestmentA d viserforthe period and on the terms setforth in this A greement. The InvestmentA d viseraccepts su chappointmentand agrees to rend erthe services herein setforth.

(b) Su bjectto Section 9 of this A greement,the C ompany hereby appoints theInvestmentA d viser,and the InvestmentA d viserhereby accepts su chappointment,forsolongas this A greementis in effect,to perform the followingservices:

(i) ad visingwithrespectto the evalu ation,makingand hold ingof theC ompany’s investmentin Su bC o,and the formation of Su bC o and otherwiseprovid ing investment ad vice consistent with the terms of the C ompanyD ocu ments,inclu d ingad vice withrespectto the benefits and risks of investmentopportu nities;

(ii) ad visingthe C ompany withrespectto d ecisions thatare related to,or ancillary or incid ental to Investments, su ch as acqu isition, d isposition,stru ctu ring,valu ation and managementd ecisions,and the C ompany’s hed gingtransactions (u pon the requ estof amajority of the hold ers of C ompany N otes andthe approvalby the A d visory C ommittee of ahed gingprogram withrespectto theC ompany);

(iii) ad visingthe C ompany withrespectto the openingof accou nts withbanks,brokerage firms orotherfinancialinstitu tions,and d epositing,maintainingand withd rawingfu nd s in the name of the C ompany and d rawingchecks orotherord ers forthe paymentof moneys in eachcase in connection withits provision ofservices u nd erthis A greement;

(iv) ad vising the C ompany with respectto su bscription agreements,note pu rchase agreements and otheragreements,contracts orinstru ments relatingto,orancillary orincid entalto,the Investments (inclu d ing cash and temporaryinvestments);

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965917 3.21

(v) ad vising the C ompany with respect to negotiating,approving,entering into, and taking actions u nd er, any contract, agreement or otherinstru ments necessary or d esirable to fu rther the pu rposes of the C ompany,inclu d ing granting or refraining from granting any waivers, consents andapprovals withrespectto anyof the foregoingand anymatters incid entalthereto;

(vi) su bjectto Section 2(c)of this A greement,ad vising the C ompanywithrespectto employingfinancialad visers,u nd erwriters,attorneys,accou ntants,consu ltants,appraisers,cu stod ians of the assets of the C ompany,orotheragents,inclu d ingwithrespectto the compensation and otherterms of su chemployment,whetherornotsu chP erson may be an A ffiliate of the InvestmentA d viser,ormayalso be otherwise employed by any su ch A ffiliate,and ad vising the C ompanywith respectto terminating su ch employment(alistof the initially agreed mainservice provid ers is attached as Sched u le A hereto);

(vii) ad vising the C ompany with respect to making all elections,investigations,assessments,evalu ations and d ecisions thatmay be necessary ord esirable for the acqu isition, hold ing or realization of Investments by theC ompany;

(viii) ad visingthe C ompany withrespectto the investmentof cashheldby the C ompany (inclu d ing allamou nts being held by the C ompany for fu tu reinvestmentin Investments,paymentof expenses ord istribu tion to the hold ers ofthe C ompany N otes u nd erthe C ompany D ocu ments)in temporary investments,inclu d ing (i) d ebtinstru ments issu ed or gu aranteed by the United States;(ii)interest-bearing d eposits in commercialbanks,savings and loan associations,brokerage firms orotherfinancialinstitu tions withatotalcapitaland su rplu s of atleast$500 million and which have arating forits long-term u nsecu red and noncred it-enhanced d ebtobligations by atleasttwo ratings agencies of A orhigherbyStand ard & P oor’s Rating Services or Fitch Ratings L td ,A 2 or higher byM ood y’s Investor Services L imited ,or similar rating by another rating agencybelonging to the N ationally Recognized StatisticalRating O rganization;or (iii)money marketfu nd s with assets of atleast$100 million belonging to abank orfinancialinstitu tion whichhas aratingforits long-term u nsecu red and non cred it-enhanced d ebtobligations by atleasttwo ratings agencies of A or higher ofStand ard & P oor’s Rating Services or Fitch Ratings L td ,A 2 or higher byM ood y’s Investor Services L imited ,or similar rating by another rating agencybelongingto the N ationallyRecognized StatisticalRatingO rganization;and to theextent permitted by applicable law and provid ed that the above mentionedcond itions are matched ,su chshort-term investments may inclu d e investments inmoney marketfu nd s orcashequ ivalentinvestments sponsored by A ffiliates of theInvestmentA d viser(inclu d ing JP M organ)with respectto which su ch A ffiliatesmayreceive fees from the C ompany;

(ix) for any matter,d etermine if su ch matter is to be brou ghtto theA d visory C ommittee (itbeingu nd erstood thatcertain matters mu stbe brou ghttothe A d visory C ommittee pu rsu antto Section 5(b)and pu rsu antto the Investment

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Gu id elines), oversee any su ch A d visory C ommittee meeting, prepare anymaterials need ed atany su chmeetingand actas chairman and /orobserveratanysu chmeeting;and

(x) ad vising the C ompany and the B oard of D irectors in allmattersincid entalto the foregoing;

in each case,in accord ance with the C ompany’s pu rposes,powers,policies andrestrictions as setforthin the C ompanyD ocu ments.

In ad d ition to the services of its own staff,in connection with its provision of servicesu nd erthis A greement,the InvestmentA d viser,solely u pon the priorwritten consentof the B oardof D irectors,may arrange for,coord inate and pay for the services of consu ltants and otherprofessionals (inclu d ingaccou ntants and attorneys of the InvestmentA d viser,H ighbrid ge,any oftheirrespective A ffiliates and JP M organ)forthe C ompany as d eemed necessary ord esirable bythe InvestmentA d viser;provided thatthe InvestmentA d visershallnotbe relieved of any of itsd u ties u nd erthis A greement,inclu d ing pu rsu antto this Section 2(b),Section 2(e)and Section2(f)of this A greementregard less of the performance of anyservices bythird parties.

(c) The appointmentof the InvestmentA d viserhereu nd ershallbe exclu sived u ringthe term of this A greement,and ,accord ingly,the C ompany shallnotappointanyotherparty to perform investmentad visory services forthe C ompany d u ringthe term ofthis A greement;provid ed thatthe service provid ers listed on Sched u le A hereto areexpressly permitted to carry ou t their respective fu nctions for the C ompany.TheInvestmentA d visershallnotd elegate orassign (i)any responsibility withrespectto theotherservices provid ed hereu nd erto any person notlisted on Sched u le A hereto withou tthe prior written consentof the B oard of D irectors or (ii) other than to H ighbrid geP rincipalStrategies (UK)L L P (so longas itis wholly owned by the InvestmentA d viser),any responsibility withrespectto investmentad visory activities listed u nd erSection 2(b)above.The C ompany shallcooperate withthe InvestmentA d viserin connection withtheperformance su ch activities and services to be performed by the InvestmentA d viserpu rsu antto Section 2(b)of this A greement.

(d ) The InvestmentA d viseragrees to perform allactivities and services u nd erSection 2(b) of this A greementin accord ance with the C ompany’s pu rposes,powers,policies and restrictions as setforthin the C ompany D ocu ments.The InvestmentA d visershallu se its bestju d gmentin the performance of its d u ties u nd erthis A greementand actin accord ance with the fid u ciary d u ties applicable to a registered investmentad viseru nd erthe A d visers A ct.

(e) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b)of this A greement,the InvestmentA d visershallad vise the B oardof D irectors concerning:

(i) amou nts and timingof sales,red emptions and issu ances of theC ompanyN otes and of borrowings thereu nd er;and

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(ii) establishmentof reasonable reserves forcontingencies and foranyother C ompany pu rpose in accord ance with this A greementand the C ompanyD ocu ments.

(f) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b) of this A greement, the Investment A d viser shall haveresponsibilityforcertain activities and matters relatingto the C ompanyN otes,inclu d ing:

(i) facilitatingthe d raftingof the C ompany D ocu ments and provid ingcertain legaland tax review services in connection therewith;

(ii) cond u ctingallcommu nications relatingto sales of the C ompanyN otes;

(iii) coord inatingpayments of interestand otherd istribu tions to thehold ers of the C ompany N otes as requ ired pu rsu antto the C ompanyD ocu ments;and

(iv) provid ingorfacilitatingthe provision of certain legaland taxreview services withrespectto Su bscription A greements and otherd ocu mentationprovid ed byprospective pu rchasers of the C ompanyN otes;

provided,forthe avoid ance of d ou bt,thatthe acceptance of anysu bscription d ocu mentsshallbe su bjectto the approvalof the B oard of D irectors.

(g) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b) of this A greement,the InvestmentA d viser shallreview andad vice the B oard of D irectors with respectto allprox y solicitations in relation to theInvestments held bythe C ompany.

(h) The InvestmentA d viser shallmaintain ad equ ate record s relating to theservices performed forthe C ompany hereu nd er,and su chrecord s shallbe accessible forinspection (and making copies thereof and taking extracts therefrom)by the B oard ofD irectors d u ring normal bu siness hou rs u pon reasonable notice to the InvestmentA d viser.

(i) The Investment A d viser shall rend er to the B oard of D irectors su chinformation and instru ctions concerningthe InvestmentA d viser’s activities,actions andd ecisions as the InvestmentA d viserd eems necessary orad visable in connection withtheperformance of the Investment A d viser’s obligations and d u ties hereu nd er or asreasonably requ ested by the B oard of D irectors,inclu d ingany su chperiod ic and specialreports as the B oard of D irectors may reasonably requ estor may requ ire in ord er toprepare reportingrequ ired u nd erthe C ompanyD ocu ments.

(j) The InvestmentA d viser represents,warrants and covenants thatatalltimes d u ringthe Term of this A greement,itshallrenew and keepin fu llforce and effectthe rights,licenses,permits,privileges,registrations,filings,approvals,au thorizations orconsents necessary forormaterialto the cond u ctof the InvestmentA d viser’s bu siness

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and the performance of the services u nd erthis A greement,and shallperform the servicesu nd erthis A greementin accord ance withallapplicable laws,ru les,regu lations,and otherau thority applicable to the Investment A d viser and /or the services rend ered by theInvestmentA d viserhereu nd er,in eachcase to the extentnecessary forormaterialto thecond u ctof the InvestmentA d viser’s bu siness and the performance of the services u nd erthis A greement. In ad d ition,the InvestmentA d visershallretain record s related to theperformance of its obligations hereu nd er to the extentrequ ired u nd er applicable laws,ru les and regu lations (inclu d ingfollowingthe termination of this A greement),and shallprovid e anysu chrecord s to the B oard of D irectors,u pon its reasonable requ est.

(k) N othingherein shallrelieve the B oard of D irectors of its obligations to theC ompany u nd er the C ompany D ocu ments or applicable law or cau se the InvestmentA d viserto be treated as amanagerord irectorof the C ompany.

3. IndependentC ontractor.The InvestmentA d visershallforallpu rposes herein bed eemed to be an ind epend entcontractor with respectto the C ompany and shall,exceptasexpressly provid ed herein,the C ompany D ocu ments,orotherwise au thorized by the B oard ofD irectors from time to time:(i)to the fu llestextentpermitted by applicable law,have no d u tiesorobligations to any sharehold erof the C ompany orany hold erof the C ompany N otes,(ii)haveno au thority to actfororrepresentthe C ompany in any way,and (iii)nototherwise be d eemedan agentof the C ompany. The InvestmentA d viser shallnot,by reason of its d u ties andfu nctions hereu nd er,be d eemed to be actingas apartnerof orto be engaged in ajointventu re,association orsynd ication with,the C ompany.A d d itionally,no activitywillbe cond u cted bytheInvestmentA d viserhereu nd erwith any su ggestion of any jointventu re orpartnershipwith theC ompany.A llassets of the C ompany willbe held forthe accou ntof the C ompany (and notonaccou ntof the InvestmentA d viser) and the InvestmentA d viser willnotclaim any d irectorind irectownershipinterestin the assets fortax,accou ntingoranyotherpu rpose.

4. C ompensation. In connection with its services rend ered pu rsu ant to thisA greementand pu rsu antto the investmentmanagementagreementthatshallbe entered into byand between the InvestmentA d viserand Su bC o (the “SubCo Management Agreement”),theInvestmentA d visershallreceive su chad visory,incentive orsimilarfees as shallbe setforthinthe Su bC o M anagementA greement.N o separate fees willbe charged bythe InvestmentA d viserto the C ompanyhereu nd er.

5. O ther A ctivities;A dvisory C ommittee. (a) The C ompany agrees thatin ad d itionto transactions specifically contemplated by this A greement, to the extent permitted byapplicable law,the Investment A d viser,H ighbrid ge,any of their respective A ffiliates andJP M organ are au thorized to acqu ire investments orobtain services from,borrow moneyorobtaina cred it facility from,sellinvestments or provid e services to,or otherwise enter into anytransaction with any sharehold er of the C ompany or any hold er of the C ompany N otes,anyissu erof an Investment,orany A ffiliate of any of the foregoingP ersons.W ithrespectto any ofthe foregoingtypes of transactions between the C ompany,on the one hand ,and the InvestmentA d viser,H ighbrid ge oranyof theirA ffiliates and JP M organ,on the otherhand ,su chtransactionwillrequ ire the priorconsentof the A d visoryC ommittee as setforthin Section 5(b)below.

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(b) A n ad visory committee (the “A dvisory C ommittee”)comprised of atleastthree representatives of hold ers of the C ompany N otes,nominated by su chhold ers of theC ompany N otes and appointed by the B oard of D irectors (whichappointmentwillnotbeu nreasonably withheld )and one non-votingobserverappointed by the board of managersof the C ompany’s sole sharehold er willbe established with respectto the C ompany,provided thatno member of the A d visory C ommittee shallbe an A ffiliate,employee,agentorrepresentative of the InvestmentA d viser,bu tthatany su chP erson may serve asthe non-votinginvestmentad viserrepresentative orobserverof the A d visory C ommittee.The A d visory C ommittee will(i)provid e su chad vice and cou nselas is requ ested by theInvestment A d viser in connection with potential conflicts of interest involving theC ompany,inclu d ing,where appropriate,approvalord isapprovalof transactions orothermatters giving rise to su ch conflicts,and (ii)provid e su ch otherad vice and cou nsel,orapprove ord isapprove su chothermatters,as are reasonably requ ested by the InvestmentA d viser. In ad d ition,the consentof the A d visory C ommittee shallbe requ ired (w)withrespectto the extension of the Issu ance P eriod ,(x)in connection withany amend mentofthis A greementand /or any change to the main service provid ers listed on Sched u le Ahereto orany termination of this A greementby the C ompany,(y)in connection withanytransferorassignmentof this A greement,orthe d u ties and obligations hereu nd er,by theInvestmentA d viser,or the appointmentof a new investmentad viser in place of theInvestmentA d viser and (z) in connection with the ad option of any cu rrency hed gingprogram with respectto the C ompany. A ny approvalby the A d visory C ommittee shallrequ ire the consentof the majority of its members. N otwithstand ing the foregoing,theInvestmentA d viser and the B oard of D irectors willretain u ltimate responsibility formakingalld ecisions relatingto the operation,cond u ctand managementof the bu sinessand affairs of the C ompany. A ny memberof the A d visory C ommittee nominated by ahold erof the C ompany N otes may be removed by su chhold er,and anew membermaythen be nominated by su ch hold er for appointmentby the InvestmentA d viser. Theoperations of the A d visory C ommittee shallbe governed by the A d visory C ommittee’scharter.

(c) The InvestmentA d visershallpromptly,and in any eventwithin 5 d ays,notify the C ompany and the hold ers of the C ompany N otes if any of ScottKapnick,P u rnimaP u riand Serge A d am resign from H C M orH P S.

(d ) The InvestmentA d viser shallperiod ically consu ltL u x embou rg cou nselregard ing whether there has been a change in L u x embou rg law and if,after su chconsu ltation,the InvestmentA d viserd etermines thatany su chchange in law wou ld haveamaterialad verse impacton the taxation of the C ompany orthe Su bC o,the InvestmentA d viser shallnotify the C ompany and the hold ers of the C ompany N otes as soon asreasonably practicable. In ad d ition,if and when the InvestmentA d viserbecomes awarethat the C ompany is su bject to any materialtax au d it by any L u x embou rg taxingau thorities,the InvestmentA d viser shallpromptly notify the hold ers of the C ompanyN otes.

6. Excu lpation and Indemnification.(a) N one of the InvestmentA d viser,orany ofits officers, d irectors, members, employees or partners (each, an “Investment AdviserIndemnified Person”)shallbe liable to the C ompany orany otherP erson who is party to or

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bou nd by this A greementforany losses,claims,d amages orliabilities,inclu d ing liabilities inrespectof taxes (and any interest,ad d itions to tax,penalties orexpenses relating to any su chtaxes) (collectively,“Damages”) arising ou tof,related to or in connection with any actoromission performed or omitted by it in connection with this A greement, the C ompanyD ocu ments orthe C ompany’s bu siness oraffairs,exceptforany D amages resu lting from su chInvestmentA d viserInd emnified P erson’s frau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu ld isregard of fid u ciary d u ties,any knowingand materialviolation of any applicable law orany other intentional and criminal wrongd oing on the part of su ch Investment A d viserInd emnified P erson. A n InvestmentA d viser Ind emnified P erson shall,to the fu llestextentpermitted by applicable law,be treated as having acted in good faith and with the requ isited egree of care if su chInvestmentA d viserInd emnified P erson has relied on reports and writtenstatements of the d irectors,officers,employees,agents,stockhold ers,members,managers andpartners of an issu er of an Investment or Related P erson with respect to the applicableInvestment,u nless su chInvestmentA d viserInd emnified P erson had reason (takinginto accou ntsu ch InvestmentA d viserInd emnified P erson’s professionalskills and expertise)to believe thatsu ch reports orstatements were nottru e and complete.N otwithstand ing the foregoing,nothingcontained in this Section 6(a) or elsewhere in this A greementshallconstitu te a waiver orlimitation of the rights of the C ompany or any sharehold er of the C ompany or hold er of theC ompany N otes u nd erapplicable U.S.fed eralorstate secu rities laws (inclu d ing u nd erSection10(b)and Ru le 10b-5of the Secu rities Exchange A ctof 1934).

(b) The C ompany shall,to the fu llestextentpermitted by applicable law,ind emnify and hold harmless each InvestmentA d viserInd emnified P erson againstanyD amages arising ou t of,related to or in connection with this A greement or theC ompany’s bu siness or affairs, except for any su ch D amages resu lting from anInvestmentA d viserInd emnified P erson’s frau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu ld isregard of fid u ciary d u ties,any knowingand materialviolation of anyapplicable law or any other intentionaland criminalwrongd oing on the partof su chInvestmentA d viserInd emnified P erson.The C ompany shallperiod ically reimbu rse eachInvestmentA d viserInd emnified P erson forallexpenses (inclu d ing reasonable fees andexpenses of cou nsel) as su ch expenses are incu rred in connection with investigating,preparing,pu rsu ing or d efend ing any P roceed ing related to,arising ou t of or inconnection with this A greementor the C ompany’s bu siness or affairs whether or notpend ingorthreatened and whetherornotany InvestmentA d viserInd emnified P erson isapartythereto;provided thatsu chInvestmentA d viserInd emnified P erson shallpromptlyrepay to the C ompanythe amou ntof any su chreimbu rsed expenses paid to itif itshallbeju d icially d etermined by ju d gmentorord ernotsu bjectto fu rtherappealord iscretionaryreview thatsu chInvestmentA d viserInd emnified P erson is notentitled to be ind emnifiedby the C ompany. If for any reason (other than su ch InvestmentA d viser Ind emnifiedP erson’s frau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu ld isregard offid u ciary d u ties,any knowingand materialviolation of any applicable law orany otherintentionaland criminalwrongd oingon the partof su chInvestmentA d viserInd emnifiedP erson)the ind emnification d escribed in this paragraphis u navailable to any InvestmentA d viserInd emnified P erson,orinsu fficientto hold itharmless,then the C ompany shallcontribu te to the amou ntpaid orpayable by su chInvestmentA d viserInd emnified P ersonas aresu ltof su ch D amages in su ch proportion as is appropriate to reflectthe relative

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benefits received by the C ompany,on the one hand ,and su ch Investment A d viserInd emnified P erson,on the other hand ,or,if su ch allocation is not permitted byapplicable law,to reflectnotonly the relative benefits referred to above bu talso anyother relevantequ itable consid erations. The C ompany’s ind emnification obligationsu nd erthis Section 6 shallterminate on the second anniversary of the C ompany’s finald istribu tion of assets to hold ers of C ompanyN otes.

(c) The C ompany’s obligation,if any,to ind emnify orad vance expenses toany InvestmentA d viser Ind emnified P erson is intend ed to be second ary to any su chobligation of,and shallbe red u ced by any amou ntsu chInvestmentA d viserInd emnifiedP erson collects as ind emnification orad vancementfrom,(i)any issu erof an Investmentorsu bsid iary thereof,or(ii)any applicable insu rance policy. If any InvestmentA d viserInd emnified P erson is entitled to ind emnification orad vancementfrom (x)any issu erofan Investment or su bsid iary thereof,or (y) any applicable insu rance policy,su chInvestmentA d viserInd emnified P erson shallu se commercially reasonable efforts to firstseek ind emnification or ad vancementfrom su ch issu er of an Investmentor su bsid iarythereof orinsu rance policy. N otwithstand ing anything to the contrary in the C ompanyD ocu ments or this A greement,the C ompany may in the d iscretion of the B oard ofD irectors pay any obligations orliabilities arisingou tof this A greementas asecond aryind emnitoratany time priorto any primary ind emnitor(whichshallinclu d e any issu erofan Investmentor su bsid iary thereof or any applicable insu rance policy) making anypayments any su chprimary ind emnitorowes,itbeingu nd erstood thatany su chpaymentby the C ompany shallnotconstitu te awaiverof any rightof contribu tion orsu brogationto which the C ompany is entitled (inclu d ing againstany primary ind emnitor)orrelieveany other ind emnitor from any ind emnity obligations. N either an InvestmentA d viserInd emnified P erson nor the C ompany shallbe requ ired to seek ind emnification orcontribu tion from any othersou rces withrespectto any amou nts paid by the C ompany inaccord ance withthis Section 6(c).

7 . C ertain L imitations. The InvestmentA d visershallin no eventbe obligated toprovid e any services to the C ompany to the extentthatsu chservices,in the reasonable d iscretionof the InvestmentA d viser,may notcomply with,orwou ld cau se the InvestmentA d viseroranyof its A ffiliates to violate,any applicable law,regu lation,ord erord ecree.Forthe avoid ance ofd ou bt,the InvestmentA d viser represents and warrants that,to the bestof its knowled ge,theservices hereu nd er comply with,and wou ld notcau se the InvestmentA d viser or any of itsA ffiliates to violate,any applicable law,regu lation,ord erord ecree,in each case to the extentnecessary for or material to the cond u ct of the Investment A d viser’s bu siness and theperformance of the services u nd erthis A greement.

8 . Expenses.

(a) The InvestmentA d visershallbearits own O verhead Expenses. A s u sedherein,the term “Overhead Expenses”means allsalaries and employee benefitexpensesof employees of the InvestmentA d viserand related overhead (inclu d ingrent,u tilities andother similar items) resu lting from the activities of su ch employees on behalf of theC ompany or in connection with this A greement;provided,that,for the avoid ance of

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d ou bt,the O verhead Expenses to be borne by the InvestmentA d visershallnotinclu d eany expenses to be borne bythe C ompanypu rsu antto the C ompanyD ocu ments.

(b) The C ompany bears its own operatingand otherexpenses,inclu d ing,bu tnotlimited to,(i)organizationalexpenses,(ii)ad ministrative,legal,au d it,d irectors’fees,internaland externalaccou nting fees and expenses (inclu d ing expenses of u pd ating thegoverningd ocu ments of the C ompany),(iii)otheroperatingexpenses (inclu d ingcosts ofinvestorcommu nications (inclu d ingreports to the hold ers of C ompany N otes),tax filingpreparation expenses and taxes or assessments (if any)),(iv) rating agency fees,(v)expenses related to Eu ro-U.S.d ollar conversion and hed ging with respect to theC ompany N otes and profitand loss arisingfrom those hed gingactivities (su chfees andexpenses listed in (iv) and (v) “Investor Expenses”) and (vi) extraord inary or non-recu rringexpenses.

(c) N otwithstand ingthe foregoingin this Section 8 ,the ord inaryand recu rringexpenses (exclu d ing organizational expenses,Investor Expenses,Incentive Fees (asd efined in the C ompany D ocu ments),M anagementFees (as d efined in the C ompanyD ocu ments)and ,to the extentany permitted ind ebted ness is approved by the A d visoryC ommittee,expenses related to su chind ebted ness)forthe C ompany and Su bC o shallnotin the aggregate exceed 0.12% per annu m of the aggregate pu rchase price of theou tstand ing C ompany N otes,provid ed thatthe A d visory C ommittee and the Trad ingM anagerwillconsu ltin good faithin case of large red emptions (cu mu latively more than20% of the aggregate su bscriptions)and willperiod ically review in good faithin lightofactu alexpenses incu rred .

(d ) A tany time d u ring each fiscalyear the A d visory C ommittee membershave the rightto requ estand to receive from the Trad ingM anagerthe fu lland d etailedlistof the expenses charged to the C ompany and /or to Su bC o u p to the d ate of therequ est.

9. Term and Termination. (a)This A greementshallbecome effective on the d atehereof and shallcontinu e u ntilthe earliestof:

(i) the mu tu alagreementof allof the parties hereto to terminate thisA greement;

(ii) the red emption orothertermination of allof the C ompany N otesu nd ercircu mstances su chthatthe B oard of D irectors d oes nothave areasonableexpectation thatfu rtherC ompanyN otes willbe issu ed shortlythereafter;

(iii) the completion of the liqu id ation of the C ompany;

(iv) the termination d ate setforth in anotice of termination d eliveredby the C ompany to the InvestmentA d viser,with the consentof the A d visoryC ommittee notless than 60 d ays priorto the termination d ate setforth therein;and

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(v) the termination d ate setforth in anotice of termination d eliveredby the InvestmentA d viserto the C ompany notless than 9 months priorto thetermination d ate setforththerein (orsu chshorterperiod as proposed by the B oardof D irectors and approved bythe A d visoryC ommittee).

(b) Upon and following termination of this A greementfor any reason,theInvestment A d viser shall u se commercially reasonable efforts to provid e su chinformation and other assistance as shallbe reasonably requ ested by the C ompany tofacilitate the transition of the services contemplated hereu nd er to another investmentad viser.

(c) Upon the termination of this A greement,the InvestmentA d visershallbed eemed to be removed or,if appropriate,to have resigned as investmentad viserto theC ompanyas of the effective d ate of su chtermination.

10. P owerof A ttorney.The C ompany hereby constitu tes and appoints the InvestmentA d viseras its tru e and lawfu lrepresentative and attorney-in-fact,in its name,place and stead tomake,execu te,sign,d eliverand file,if appropriate,any d ocu mentnecessary to effectu ate andex ecu te the powerand au thority of the InvestmentA d visercontemplated hereby,inclu d inganyd ocu ments referred to in Section 2(b),and to take any other actions in connection with theInvestmentA d viser’s powerand au thority contemplated hereby.The powerof attorney grantedhereby and thereby (i)is d eemed to be given to secu re aproprietary interestof the d onee of thepower or performance of an obligation owed to the d onee;(ii) to the extentpermitted byapplicable law,shallsu rvive and shallnotbe affected by the su bsequ entinsolvency,bankru ptcyord issolu tion of the C ompany;and (iii)shallextend to the C ompany’s su ccessors,assigns andlegalrepresentatives.

11. D elivery of D ocu ments. The C ompany has d elivered to the InvestmentA d viser,and the Investment A d viser acknowled ges the receipt of,copies of each of the C ompanyD ocu ments,the Terms and C ond itions of the Su bC o N otes and the A rticles of A ssociation ofSu bC o,and the C ompany willpromptly notify and d eliverto the InvestmentA d viserallfu tu reamend ments and su pplements thereto,if any.

12. N on-Exclu sivity.N othingin this A greementshalllimitorrestrictthe rightof anyofficeroremployee of the InvestmentA d viserto serve as ad irectororofficerof the C ompany,of H ighbrid ge,of JP M organ and any of theirrespective A ffiliates and /orto engage in any otherbu siness orto d evote his orhertime and attention in partto any otherbu siness.N othingin thisA greementshalllimitor restrictthe rightof the InvestmentA d viser to engage in any otherbu siness or to rend er services of any kind to any other corporation,firm,ind ivid u al orassociation. In this regard ,the C ompany acknowled ges that,in the ord inary cou rse of itsbu siness,the InvestmentA d viser d oes and willcontinu e to provid e similar services to othersecu ritization vehicle orfu nd s sponsored by H ighbrid ge and JP M organ as wellas otherclients ofH ighbrid ge and JP M organ.

13. N otices Generally. A llnotices,requ ests and othercommu nications to any partyhereu nd ershallbe in writingand shallbe given:

13

965917 3.21

(i) If to the InvestmentA d viser,at:

Highbridge Principal Strategies, LLC40 W est57 thStreet,33rd FloorN ew Y ork,N Y 10019A ttn:FaithRosenfeld

(ii) If to the C ompany,at:

Highbridge – GIM Credit Lux S.A.c/o TM F L u x embou rgS.A .46,A venu e J.F.Kenned yL -18 55L u x embou rgL u x embou rg

orto su chotherad d ress,telecopy nu mberorelectronic mailad d ress as su chparty may hereafterspecifyforthe pu rpose by notice to the otherparties hereto.

14. Entire A greement. This A greementshallconstitu te the entire agreementandu nd erstand ingamongthe parties hereto withrespectto the su bjectmatterhereof.

15. A mendment; W aiver. This A greement may be amend ed only by writtenagreementsigned by each of the parties hereto.N one of the rights hereu nd ermay be waived ,exceptbyan instru mentin writingsigned bythe partysou ghtto be charged withsu chwaiver.

16. Governing L aw. This A greementshallbe constru ed in accord ance with andgoverned by the laws of the State of N ew Y ork withou tgiving effectto the principles thereofrelatingto choice orconflictof laws.

17 . Foru m Selection;Service of P rocess.(a) To the fu llestextentpermitted by law,the parties hereto agree thatany su it,action orproceed ingseekingto enforce any provision of,orbased on any matterarisingou tof orin connection with,this A greementshallonly be brou ghtinthe Fed eralcou rts located in the C ou nty of N ew Y ork in the State of N ew Y ork orthe Statecou rts located in the C ou nty of N ew Y orkin the State of N ew Y orkand notin any otherState orFed eralcou rts located in the United States of A mericaorany cou rtin any othercou ntry,andeachof the parties hereto hereby irrevocably consents to the ju risd iction of su chcou rts (and ofthe appropriate appellate cou rts therefrom)in any su chsu it,action orproceed ingand irrevocablywaives,to the fu llestextentpermitted by law,any objection thatitmay now orhereafterhave tothe layingof the venu e of any su chsu it,action orproceed ingin any su chcou rtorthatany su chsu it,action orproceed ingwhichis brou ghtin any su chcou rthas been brou ghtin an inconvenientforu m.

(b) N othingin this Section 17 shallaffectanyrightof the partyhereto to serveprocess in anymannerpermitted bylaw.

(c) EACH PARTY HERETO HEREBY IRREVOCABLY WAIVESANY AND ALL RIGHT TO A TRIAL BY JURY IN ANY LEGAL PROCEEDING

14

965917 3.21

ARISING OUT OF OR RELATED TO THIS AGREEMENT OR THETRANSACTIONS CONTEMPLATED HEREBY.

18 . P arties in Interest. Exceptas setforth in Section 6 above,this A greementshallbe bind ing u pon and inu re solely to the benefitof each party hereto and theirrespective legalrepresentatives,heirs,su ccessors and assigns,and nothingin this A greement,express orimplied ,is intend ed to orshallconferu pon any otherP erson,any right,benefitorremed y of any natu rewhatsoeveru nd erorby reason of this A greement.

19. C ou nterparts.This A greementmay be execu ted eitherd irectly orby an attorney-in-fact,in any nu mberof cou nterparts (inclu d ingfacsimile orP D F copies thereof),eachof whichshallconstitu te an original,bu tallof whichu pon d elivery when taken togethershallconstitu te asingle contract.

20. Severability.Eachprovision of this A greementshallbe consid ered severable andif forany reason any provision whichis notessentialto the effectu ation of the basic pu rposes ofthis A greementis d etermined by acou rtof competentju risd iction to be invalid oru nenforceableand contrary to N ew Y ork L aw orexisting orfu tu re applicable law,su ch invalid ity shallnotimpairthe operation of oraffectthose provisions of this A greementwhich are valid . In thatcase,this A greementshallbe constru ed so as to limitany term orprovision so as to make itenforceable orvalid within the requ irements of any applicable law,and in the eventsu chterm orprovision cannotbe so limited ,this A greementshallbe constru ed to omitsu ch invalid oru nenforceable provisions.

21. Su rvival. The provisions of Section 6 above shallsu rvive termination of thisA greement for any reason;provided that su ch provisions willterminate u pon the secondanniversaryof the C ompany’s finald istribu tion of assets to hold ers of C ompany N otes.

22. Use of N ame. Itis u nd erstood thatthe name “H ighbrid ge”or any d erivativethereof orlogo associated withsu chname is the valu able property of the InvestmentA d viserandits affiliates and thatthe C ompany has the rightto u se su chname (ord erivative orlogo)only solongas this A greementshallcontinu e.Upon termination of this A greement,the C ompany shallforthwithcease to u se su chname (ord erivative orlogo),and the C ompany shallpromptly seekto change its names to complyherewith.

23. M iscellaneou s. To the fu llestextentpermitted by law,no failu re on the partofany party hereto to exercise,and no d elay on its partin exercising,any rightorremed y u nd erthisA greementwilloperate as awaiverthereof,norwillany single orpartialexercise of any rightorremed y preclu d e any other or fu rther exercise thereof or the exercise of any other rightorremed y.The rights and remed ies provid ed in this A greementare cu mu lative and notexclu sive ofany rights orremed ies provid ed bylaw.

24. Ru les of C onstru ction.

(a) Forallpu rposes of this A greement,exceptas expressly provid ed herein oru nlessthe contextotherwise requ ires,the word s “inclu d ing,”“inclu d es,”“inclu d e,”and word s of

15

965917 3.21

similarimportshallbe d eemed to be followed by the phrase “withou tlimitation”and shallberegard ed as areference to non-exclu sive and non-characterizingillu strations.

(b) Exceptas otherwise expressly provid ed herein and su bjectto Section 24(e)below,in any case where the InvestmentA d viseris au thorized orrequ ired to take an action,make anyd etermination or give any approvalor consent,itshalld o so in its sole d iscretion or soleju d gmenttakinginto accou ntany consid erations itd eems appropriate,bu tsu bjectto its fid u ciaryobligations and the stand ard of care setforthherein.

(c) Itis intend ed thatthe terms of this A greementbe constru ed in accord ance withtheir fair meanings and notagainstany particu lar P erson,inclu d ing the InvestmentA d viser.D efined terms u sed in this A greementshallhave the same meaning whether d efined or u sedherein in the singu larorthe plu ral,as the case may be.

(d ) A llcalcu lations ord eterminations of valu e shallbe performed u singU.S.d ollarsas the base cu rrency,and ,exceptas otherwise provid ed herein,allnon-U.S.D ollarassets andliabilities shallbe consid ered to be the U.S.D ollarequ ivalentthereof d etermined based u pon therate of exchange qu oted by the Thomson Reu ters Enterprise P latform (or any su ccessor pagethereto)forsu chalternate cu rrency,as in effectat6:30 p.m.(C entralEu ropean Time)on the d ateof calcu lation ord etermination and allcalcu lations ord eterminations of valu e throu ghou tthisA greementshallbe performed u singU.S.d ollars as the base cu rrency.

(e) To the extentthatthe provisions of this A greementrestrictoreliminate the d u tiesand liabilities or rights and powers of any P erson otherwise existing atlaw or in equ ity,theP artners agree to restrictor eliminate su ch other d u ties,liabilities,rights and powers of su chP ersons as setforthin this A greement.

25. H eadings. Section and other head ings contained in this A greement are forreference only and are notintend ed to d escribe,interpret,d efine orlimitthe scope orintentofthis A greementoranyprovision hereof.

26. This A greementmay notbe assigned (within the meaningof Section 205(a)(2)ofthe A d visers A ct)withou tthe consentof the C ompany and may be assigned only in accord ancewiththe provisions of the A rticles.

27 . Representations, W arranties and C ovenants of the Investment A dviser.TheInvestmentA d viserrepresents,warrants and covenants that:

(a) The InvestmentA d viseris d u ly organized ,valid ly existing,and in good stand ingu nd erthe laws of the State of D elaware. The InvestmentA d viserhas fu llpowerand au thority(corporate orotherwise)to enterinto and perform its obligations u nd erthis A greement,and tocond u ctits bu siness in relation to the C ompanyas cu rrentlybeingcond u cted .

(b) This A greementhas been d u ly and valid ly au thorized ,execu ted ,and d elivered onbehalf of the InvestmentA d viser and is a valid and bind ing agreementof the InvestmentA d viser,enforceable in accord ance withits terms.

16

965917 3.21

(c) The execu tion and d elivery of this A greement, and the incu rrence andperformance of the obligations contemplated in this A greementby the InvestmentA d viser,d onotconflictwith,violate,breach,or constitu te a d efau ltu nd er any term or provision of itscertificate of formation,limited liability company agreementorotheragreementorinstru menttowhichthe InvestmentA d viseris aparty,orby whichitis bou nd ,orto whichany of the propertyorassets of the InvestmentA d viserare su bject,orany laws,ru les orregu lations applicable to it,or other legalrequ irementof any cou rtor any governmental,regu latory or self-regu latoryagency,organization,exchange,orotherbod yhavingju risd iction overthe InvestmentA d viser.

(d ) The InvestmentA d viser has allgovernmental,regu latory,self-regu latory,andexchange licenses,registrations,memberships,and approvals requ ired to perform its obligationsu nd erthis A greement,and itwillmaintain any su ch requ ired licenses,registrations,approvals,and memberships d u ringthe term of this A greement.

(e) The InvestmentA d viserwillengage and u tilize brokers foractivities relating tothe C ompany only in accord ance with the practices d escribed in the Form A D V P art2A ofH ighbrid ge C apitalM anagement,L L C ,on which the InvestmentA d viseris listed as a“relyingad viser”,on file withthe U.S.Secu rities and Exchange C ommission.

(f) The parent entity of the Investment A d viser,H C M ,is registered u nd er andgoverned by the provisions of the A d visers A ctand related regu lations,and the InvestmentA d viseris a“relyingad viser”withrespectto su chregistration.The InvestmentA d visershallatalltimes be su bjectto the fid u ciary stand ard s setforthin the A d visers A ctand willactin goodfaithand withreasonable d iscretion in exercisingits rights u nd erthis A greement.

28 . The InvestmentA d visershallnotd isclose the id entity of the sharehold ers of theC ompany orof the hold ers of the C ompany N otes orany confid entialorproprietary informationspecific to the C ompany orits sharehold ers orthe hold ers of the C ompany N otes (“ConfidentialInformation”) except(i) in connection with an actu alor potentialinvestmentwhere su chd isclosu re is requ ested fortax,legal,regu latory and /orothersimilarreasons,(ii)if requ ired bylaw orregu lation,(iii)pu rsu antto the requ estof any regu latory orqu asi-regu latory bod y,(iv)tothe C ompany’s lend ers orothercou nterparties,(v)to employees,accou ntants,attorneys,au d itorsand otheragents and representatives of the C ompany and the InvestmentA d viserwho are bou ndby ad u ty of confid entiality;and (vi)to employees,accou ntants,attorneys,au d itors and otheragents and representatives of the C ompany’s sharehold ers orthe hold ers of the C ompany N otes.N otwithstand ingthe foregoing,“C onfid entialInformation”shallnotinclu d e information that(i)is orhas been mad e generally available to the pu blic throu ghthe d isclosu re thereof in amannerthatwas au thorized by the C ompany orthe relevantthe C ompany sharehold erorthe hold erofthe C ompany N otes and d id notviolate any common law orcontractu alrightof the applicableparty;(ii)is orbecomes generally available to the InvestmentA d viserotherthan as aresu ltof ad isclosu re by the InvestmentA d viserin violation of the provisions hereof;(iii)was alread y inthe possession of the InvestmentA d viser withou tan obligation of confid entiality prior to theInvestmentA d viser becoming a party to this A greement;(iv) is obtained by the InvestmentA d viserfrom asou rce otherthan the C ompany orits sharehold ers orhold ers of the C ompanyN otes,and su ch sou rce d id notviolate a requ irementof confid entiality in d isclosing su chinformation;(v)relates in any way to any othervehicle,accou ntorbu siness of the InvestmentA d viser (even thou gh su ch information may relate to the C ompany as well);or (vi) certain

17

965917 3.21

general,non-id entifying information abou tthe C ompany d isclosed in the InvestmentA d viser’sord inarycou rse of bu siness.

[Remaind erof P age IntentionallyB lank]

965917 3.21

IN W ITN ESS W H EREO F,this A greementhas been execu ted and entered into by theu nd ersigned as ad eed as of the d ayand yearfirstabove written.

HIGHBRIDGE PRINCIPAL STRATEGIES, LLCas InvestmentA dviser

B y:N ame:Title:


B y:N ame:Title:D irector


[Signatu re P age of InvestmentA d visoryA greementforH ighbrid ge –GIM C red itL u x S.A .]

A -1965917 3.21

Schedule A

Initial Service Providers

TM F L u xembou rgS.A .B N P P aribas Secu rities Services L u xembou rgB ranchP ricewaterhou seC oopers L L PFried ,FrankH arris Shriver& Jacobson L L PA rend t& M ed ernachS.A .

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 25

Schedule 2

Advisory Committee Guidelines and Administrative Procedures

19686084.11

Company Advisory CommitteeGuidelines and Administrative Procedures

Capitalized terms used but not defined shall have the meaning given to the terms in the Terms and Conditions of the Company Notes (the “Terms and Conditions”) and the Information Memorandum (the “Memorandum”). In the event of a conflict between the Terms and Conditions and the Memorandum, the definition provided in the Terms and Conditions shall control.

1. Company Advisory Committee Mission

The Advisory Committee (the “Committee”) of Highbridge – GIM Credit Lux S.A., a securitization company incorporated as a société anonyme de titrisation under the laws of the Grand Duchy of Luxembourg (the “Company”), is an advisory committee established by the Company, in relation to the Company’s activities, in order to provide advice and views with respect to the Company including, among other things, to review certain transactions, addressconflicts of interest and deal with matters assigned to the Committee by the Terms and Conditions or other matters as Highbridge Principal Strategies, LLC (“HPS”), a Delaware limited liability company which acts as investment adviser (the “Investment Adviser”) of the Company under the terms of an investment advisory agreement (the “Investment Advisory Agreement”), in its sole discretion determines is appropriate, as set forth herein.

2. Transactions and Matters That May Be Brought For Committee Review

The Investment Adviser may seek the Committee’s advice, recommendation and/or approval with respect to certain transactions and matters from time to time, including (a) advice and counsel in connection with potential conflicts of interest involving the Company, including, where appropriate, approval or disapproval of transactions or other matters giving rise to such conflicts,(b) the Committee’s recommendation with regard to variations and deviations from the Investment Guidelines, and (c) such other advice, counsel or approvals or disapprovals as are reasonably requested by the Investment Adviser. Notwithstanding the foregoing, the Investment Adviser and the Board of Directors will retain ultimate responsibility for making all decisions relating to the operation, conduct and management of the business and affairs of the Company.

The following matters shall also be submitted to the Committee:

a. Any termination, transfer or assignment of the Investment Advisory Agreement, or the duties and obligations under the Investment Advisory Agreement, by the InvestmentAdviser, the appointment by the Company of a new investment adviser in place of the Investment Adviser;

b. Changes to the list of the Company’s main service providers set forth on Schedule A to the Investment Advisory Agreement;

c. Changes to, or waivers of, the Investment Advisory Agreement;

d. Borrowings by HoldCo;

e. Issuance of additional Company Notes;

f. Material amendment or waiver of the Terms and Conditions of the Company Notes;

29686084.11

g. Extension of the Issuance Period (as defined in the Memorandum);

h. The adoption of a currency hedging program;

i. Distributions in-kind to Noteholders; and

j. An increase in the expense cap above 0.12% per annum of the aggregate purchase price of the outstanding Company Notes.

3. Committee Membership and Structure

The Company’s board of directors will appoint the members of the Committee based on nominations submitted by the Noteholders (such appointment not to be unreasonably withheld).

The Committee will consist of at least three members. Each member of the Committee shall be an existing Noteholder or a representative or a nominee of a Noteholder, and none of whom shall be an Affiliate, employee, agent or representative of the Investment Adviser; provided that any such person may serve as the Investment Adviser representative or observer of the Committee. At the request of the Noteholders, the Committee shall permit up to three observers nominated by the Noteholders. The Committee may also permit observers designated by the Investment Adviser, the Company and/or the holders of the shares of the Company (the “Shareholder”).

The current members and non-voting participants of the Committee are set forth on Appendix A.

The Investment Adviser’s representative and scrivener of meetings of the Committee will be representatives of the Investment Adviser, but such representatives will not be considered members of the Committee and shall not be entitled to vote on any matters being discussed by the Committee.

The Company will not pay a fee to members of the Committee, but the members of the Committee will be reimbursed by the Company for all reasonable and documented out-of-pocket expenses incurred in connection with attending meetings of the Committee.

Any member of the Committee may resign upon delivery of written notice from such member to the Company’s board of directors.

Any member of the Committee nominated by a Noteholder may be removed by such Noteholder, and a new member may then be nominated by such Noteholder for appointment by the board of directors of the Company.

4. Committee Information Submission

The Investment Adviser will produce for the Committee a summary of the material terms of transactions or matters to be reviewed by the Committee and representatives of the Investment Adviser will be available to answer any questions presented by any member of the Committee. Unless otherwise agreed by the Committee members in connection with any particular meeting, the Investment Adviser will use best efforts to provide any such summaries or other meeting materials to the members of the Committee at least five Business Days prior to the applicable meeting.

39686084.11

5. Committee Operating Procedures

a. Meetings

The Committee will meet on an ad hoc basis as needed.

Members of the Committee may participate in a meeting of the Committee by means of telephone or video conferencing so long as all persons participating in the meeting can hear and be heard. Any member of the Committee who is unable to attend a meeting of the Committee may (i) grant in writing to another member of the Committee or any other person (including representatives of the Investment Adviser) such member’s proxy to vote on any matter upon which action is taken at such meeting and (ii) designate in writing to the Investment Adviser’s non-voting representative an alternate to observe, but not vote on any matter acted upon at such meeting (unless such alternate is also granted a proxy pursuant to the preceding clause (i)).

The Committee shall conduct its business by such other procedures as a majority of its members consider appropriate.

b. Voting

All members of the Committee and a representative of the Investment Adviser are required to be present or represented for a quorum for a meeting of the Committee. No more than two members of the Committee can be represented through delegation, according to Section (5)(a)(i), for each meeting. All other members of the Committee shall attend in person (physically or by means of telephone or video conferencing).

The Committee shall act by a majority of its members present or represented (according to Section 5(a)) at any meeting, and may choose to act by written consent of a majority of the entire Committee in lieu of a meeting. Such written consent may be related via email, facsimile, or other electronic communication.

Representatives of the Investment Adviser and the Shareholder will be entitled to attend meetings of the Committee, but will not be entitled to vote on any matters being discussed at such meetings.

c. Record Keeping

The scrivener will keep the memoranda and other materials submitted to the Committee and will record the minutes of any meeting where decisions are adopted by the Committee. The minutes shall include:

1. meeting attendees; and

2. brief descriptions of the transactions or matters brought before the Committee, including a statement of how the Committee disposed of each transaction (i.e., approved, declined, recommended or not recommended where applicable) or decided on each matter, where applicable.

49686084.11

6. Committee Exculpation and Indemnification

a. No member of the Committee or Noteholder that such Committee member represents (collectively, “Indemnified Persons”) shall be liable to the Company, to SubCo, the Noteholders or to any shareholders of the Company or SubCo for any losses, claims, damages or liabilities, including liabilities in respect of taxes (and any interest, additions to tax, penalties or expenses relating to any such taxes), arising out of, related to, or in connection with any act or omission performed or omitted by such party in connection with the activities of the Committee, except for any losses, claims, damages or liabilities resulting from such Indemnified Person’s failure to act in good faith in connection with their duties as a member of the Committee. An Indemnified Person shall, to the fullest extent permitted by applicable law, be treated as having acted in good faith if such Indemnified Person has relied on reports and written statements of the directors, officers, employees, agents, stockholders, members, managers and partners of any individual, partnership, corporation, limited liability company, trust or other entity that is the issuer of an investment by the Company with respect to the applicable Investment, unless such Indemnified Person had reason (taking into account such Indemnified Person’s professional skills and expertise) to believe that such reports or statements were not true and complete.

b. The Company shall, to the fullest extent permitted by applicable law, indemnify and hold harmless each Indemnified Person against any losses, claims, damages or liabilities, including liabilities in respect of taxes (and any interest, additions to tax, penalties or expenses relating to any such taxes), arising out of, related to or in connection with the activities of the Committee, except for any such losses, claims, damages or liabilities resulting from such Indemnified Person’s failure to act in good faith. The Company will periodically reimburse each Indemnified Person for all expenses (including reasonable fees and expenses of counsel) as such expenses are incurred in connection with investigating, preparing, pursuing or defending any proceeding related to, arising out of or in connection with the activities of the Committee or the Company’s or SubCo’s business or affairs whether or not pending or threatened and whether or not any Indemnified Person is a party thereto; provided that such Indemnified Person shall promptly repay to the Company the amount of any such reimbursed expenses paid to it if it shall be judicially determined by judgment or order not subject to further appeal or discretionary review that such Indemnified Person is not entitled to be indemnified by the Company. If for any reason other than such Indemnified Person’s failure to act in good faith the indemnification described in this paragraph is unavailable to any Indemnified Person, or insufficient to hold it harmless, then the Company shall contribute to the amount paid or payable by such Indemnified Person as a result of such loss, claim, damage or liability in such proportion as is appropriate to reflect the relative benefits received by the Company, on the one hand, and such Indemnified Person, on the other hand, or, if such allocation is not permitted by applicable law, to reflect not only the relative benefits referred to above but also any other relevant equitable considerations. The Company’s indemnification obligations under this Section 6 shall terminate on the second anniversary of the Company’s final distribution of assets to Noteholders.

c. Notwithstanding anything else contained herein, the reimbursement, indemnity and contribution obligations of the Company under this Paragraph 6 shall:

i. be in addition to any liability which the Company may otherwise have; and

ii. be binding upon and inure to the benefit of any successors, assigns, heirs and personal representatives of each Indemnified Person.

59686084.11

d. The Company’s obligation, if any, to indemnify or advance expenses to any Indemnified Person is intended to be secondary to any such obligation of, and shall be reduced by any amount such Indemnified Person collects as indemnification or advancement from any applicable insurance policy. The Company’s obligation to indemnify or advance expenses to any Indemnified Person shall be reduced by any amount such Indemnified Person collects as indemnification or advancement from any applicable insurance policy. If the Company or an Indemnified Person is entitled to indemnification or advancement from any applicable insurance policy, the Company or such Indemnified Person shall use commercially reasonable efforts to first seek indemnification or advancement from such insurance policy. Notwithstanding anything to the contrary herein, the Company may in the discretion of its board of directors pay any obligations or liabilities arising out of this Paragraph 6 as a secondary indemnitor at any time prior to any primary indemnitor (which shall include any applicable insurance policy) making any payments any such primary indemnitor owes, and will provide notice to the Committee of such payment obligations of the Company, it being understood that any such payment by the Company shall not constitute a waiver of any right of contribution or subrogation to which the Company is entitled (including against any primary indemnitor) or relieve any other indemnitor from any indemnity obligations. Neither an Indemnified Person nor the Company shall be required to seek indemnification or contribution from any other sources with respect to any amounts paid by the Company in accordance with this Paragraph 6(d).

69686084.11

Appendix A

Committee Members

1. Bruno Servant

2. Ulrich Ostholt

3. Stefano Manservisi

4. Raffaele Bratina

Committee Non-Voting Participants

Shareholder’s Representative (Observer)

Investment Adviser Representative (Observer)

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 26

Schedule 3


1

9807852.7







following criteria:





















management





a) Liquidity:





2

9807852.7








b) Single Borrower:











II. Borrower Level:












relevant industry










3

9807852.7





Holdco Financing)











defined below)



9. Debt sizing:












figure

4

9807852.7



All except:1. Tesco

2. Textron Inc.


4. Rio Tinto Ltd

5. Rio Tinto Plc


7. Serco Group Plc

8. GenCorp Inc







15. Freeport Mc



18. Boeing Co.




22. Safran SA



25. EADS Finance BV




29. Raytheon Co.


31. Norilsk Nickel


EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 27

Schedule 4

Form Month-End Performance Statement

ABC

Fund Currency: EURDate of Statement: Month end

Summary1

100.0000%

00

0.00%

1

value date : - value date : - value date : - value date : - value date : -

0

First Distribution value date : - Second Distribution value date : - Third Distribution: value date : - Fourth Distribution value date : - Fifth Distribution value date : -

0

-

First Distribution value date : - Second Distribution value date : - Third Distribution value date : - Fourth Distribution value date : - Fifth Distribution value date : -

–

0

Final Note valuation

EUR

Total Commitments% of Fund

Cumulative reconciliation of Notes

Highbridge - GIM Credit Lux S.A. (HoldCo)

Sample Report : statement of Monthly Note Valuation

Statement Monthly Note Valuation

Fourth contribution Fifth contribution

Cumulative PPN Drawn at DATE STATEMENT :

Noteholder ABC capital distribution from (inception date) to DATE STATEMENT :

Cumulative capital distributions c/fwd at DATE STATEMENT

Values of PPN Drawn from Inception to DATE STATEMENT : First contribution Second contribution Third contribution

current Advance drawn (nets of amounts available for redrawing) Total Values of Notes Drawns

% Commitment Drawn

Value of Available and undrawn PPN

Value of Notes currently drawn at DATE STATEMENT

Values of PPN Profit Distribution since Inception to DATE STATEMENT :

Cumulative PPN Profit distributions at DATE STATEMENT

NAV frequency: Monthly Fund FundCode Highbridge - GIM Credit Lux S.A. (Hol dCo) SDANR09

NAV date: Fund currency EUR Euro

Prev. NAV date: Type of NAV

Group Account Balance as per Month Balance as per Month

(acc group) Variation

Balance as per Previous Month

Balance as per Month (acc group)

Impact % NAV

- - FALSE

- - - - FALSE

- -

- - FALSE

- -

- -

- -

- -

- - - - FALSE

-

- -

- - - - -

- - - FALSE- - - - FALSE

- - - FALSE- - - - FALSE- - - - FALSE- - - - FALSE- - - - FALSE- - - - FALSE- - - - FALSE

- -

- - FALSE#REF! #REF!#REF! #REF!

NET ASSET VALUE CALCULATION

Description

Debtor - Prepayments

Excluding value of Profit Participating Notes

Long Term Liabilities

Cash at Sight

Cash and cash equivalents

Long Term Assets

Financial Assets: Loans and Receivables

Financial Assets: Investments at FVTPL

Short Term Assets

Net Asset Value excluding value of notesNAV - Technic CheckNAV - Difference

Derivative financial instruments

Valuation of swap instrument

Long term loan

Expenses - Managers Fee

Capital contribution Receivable

Trade and other receivables

Expenses - Audit FeesExpenses - Tax

Total Liabilities

Expenses - Directors FeesExpenses - Professional FeesExpenses - Administration FeesExpenses - Other

Total Assets

Expenses - Incorporation costs

Short Term Liabilities Other long term payable

P. 1 / 4

Monthly Fund FundCode Highbridge - GIM Credit Master Lux S.à r.l. (SubCo) SDANR09

Fund currency USD USD

Type of NAV





Impact % NAV

- - FALSE

- - - - FALSE

- -

- - FALSE- - - - - - - - FALSE

-

- -

- - - - -



- -



Expenses - Professional FeesExpenses - Administration FeesExpenses - OtherExpenses - Incorporation costs

Total Liabilities

Expenses - Directors Fees

Debtor - PrepaymentsCash at Sight Cash and cash equivalents

Total Assets

Long Term Liabilities Long term loan Other long term payable Short Term Liabilities Expenses - Managers FeeExpenses - Audit FeesExpenses - Tax

Trade and other receivables

NET ASSET VALUE CALCULATION NAV frequency:

NAV date:

Prev. NAV date: Excluding value of Profit Participating Notes

Description

Long Term Assets



Short Term AssetsCapital contribution Receivable

P. 2 / 4

Monthly Fund FundCode Highbridge - GIM Credit Lux S. A. (HoldCo) SDNAV 05

Fund currency

EUR Euro

Type of NAV

Account Description Balance Variation % Var iation Variation D-1

Difference

0000000000000000000000000000000

Total 0

NAV frequency:

Income Interest Income Loans & Receivables


NAV. STATEMENT OF CHANGE

NAV date:

Prev. NAV date:

Reserves

Realised ReserveUnrealised ReserveRevenue Reserve

Capital and ReservesCapital - SubscriptionsCapital - Capital ContributedCapital - Distributed - Income

Losses on foreign currencyOperational expensesExpenses - Managers Fee

Finance Costs

Foreign Exchange Gains on Loans & Effective Interest Rate Adjustment Foreign Exchange Gains on Loans & Commitment & Arrangement Fees

Expenses - Audit FeesExpenses - Tax

Interest expenses and bank charges

Expenses - Finance costsExpenses - Regulator FeesFX Gains and LossesUnreal Fx Gains and Losses on Cash

Expenses - Directors FeesExpenses - Bank chargesExpenses - Professional FeesExpenses - Administration FeesExpenses - Other expensesExpenses - Incorporation costs

Monthly Fund FundCode Highbridge - GIM Credit Master Lux S.à r.l. (SubCo) SDNAV 05

Fund currency

USD USD

Type of NAV


Difference

0000000000000000000000000000000

Total 0


Expenses - Administration FeesExpenses - Other expensesExpenses - Incorporation costsExpenses - Finance costsExpenses - Regulator FeesFX Gains and Losses

Expenses - Audit FeesExpenses - TaxExpenses - Directors FeesExpenses - Bank chargesExpenses - Professional Fees

Unreal Fx Gains and Losses on Cash

Commitment & Arrangement Fees Finance Costs Interest expenses and bank charges Losses on foreign currencyOperational expensesExpenses - Managers Fee


Foreign Exchange Gains on Loans &

Capital - SubscriptionsCapital - Capital ContributedCapital - Distributed - IncomeRealised ReserveUnrealised ReserveRevenue ReserveReserves Income Interest Income Loans & Receivables Foreign Exchange Gains on Loans & Effective Interest Rate Adjustment

Capital and Reserves

NAV frequency:

NAV date:

Prev. NAV date:

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 28

Schedule 5

Form Position Report

Reporting Date:

Security

Name

Legal Entity

DescriptionTICKER

Bloomberg

ID

Security Type

Code

Issuer

Description

Issuer

CountryGICS Code

CUSIP /

ISIN

Purchase

Date

Currency

Code

EUR Closing

Exchange Rate

Purchase Price

(%)

Purchase Price

(Local CCY)

Purchase Price

(EUR, at

historical

exchange rate)

Purchase Price

(EUR, at

current

exchange rate)

Transaction

Costs (Local

CCY)

Transaction

Costs (EUR, at

historical

exchange rate)

Transaction

Costs (EUR, at

current

exchange rate)

Monthly Portfolio Report part 1

HIGHBRIDGE - GIM Credit Master Lux S.à.R.L

Reporting Date:

Current exchange rate :

Security

Name

Original

Commitment

(Local CCY)

Original

Commitment

(EUR, at

historical

exchange rate)

Original

Commitment

(EUR, at

current

exchange rate)

Current

Commitment

(Local CCY)

Current

Commitment

(EUR, at historical

exchange rate)

Current

Commitment

(EUR, at current

exchange rate)

Current Face

Value (Local

CCY)

Current Face

Value (EUR, at

historical

exchange rate)

Current Face

Value (EUR, at

current

exchange rate)

Market Price

(%)

Market Value

(Local CCY)

Market Value (EUR,

at historical

exchange rate)

Market Value (EUR,

at current

exchange rate)

Maturity DateWeighted

Average Life

Rating (S&P

Equivalent)

Secured /

Not Secured

Accrued Interest

(Local CCY)

Accrued Interest

(EUR)



Reporting Date:


Expected (Local

CCY)Received (Y/N)

Delayed (Local

CCY)


Monthly Projected Interests

CUSIPIssuer

Description

Index

ReferenceIndex (%) Spread (%)

Libor Floor

(%)

Interest Rate

(%)

Accrued Interest

(EUR at current

exchange rate)

Exchange Rate

Date

Projected InterestsCoupon

FrequencyStart Date End Date Payment Date

Accrued Interest

(Local CCY)

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 29

Schedule 6

Form Monitoring Note

Company XX updated as of 9/22/14

Transaction Summary

Sources Uses

Revolving Credit Facility 0 Purchase Equity 0

1st Lien Term Loan 0 Repay Existing Debt 0

Senior Unsecured Notes 0 Fees & Expenses 0

Total Equity (includes Rollover) 0

Total $0 Total $0

Business Overview

Ratings S&P Moody's

Corp 0 0

1st Lien 0 0

Unsec Bonds 0 0

Other

Market Depth (Number of Dealers) 0

Liquid/Illiquid Bucket 0

Borrower Name

Borrower Domicile

90 Day Trading Price (Average)

Transaction Overview

*Inclusion related to where company has traded if public prior to acquisition

HPS Recommendation

Recent Events (below are examples of events)

Quarter xx Earnings Commentary related to recent earnings

Other Any relevant channel checks/Industry trends/KYC Check the box

Positives Negatives

Industry Dynamics are captured here Industry Dynamics are captured here

Position

First Lien Term Loan -

% of Facility Size #DIV/0!

Capital Structure (Include Name of Entity)

unadjusted

Date xx Adjustments Pro Forma % net gross maturity rate price YTW

Cash 0 0 0

Revolver 0 0 0

1st Lien Term Loan 0 0 0

Sr. Secured Bonds 0 0 0 xx L+325, 1% fl #NAME? #VALUE! 4.25% 0 BL127231 Corp

Total Sr Secured Debt 0 0 0 #DIV/0! #DIV/0! #DIV/0!

Bonds 0 0 0 #DIV/0! xx 7.875% #NAME? #NAME? 7.875% 0 EJ843288 Corp

Total Debt 0 0 0 #DIV/0! #DIV/0! #DIV/0!

Equity 0 0 0 #DIV/0!

Total Capitalization 0 0 0 #DIV/0! #DIV/0! #DIV/0!

6/30/2014 LTM EBITDA 0

Covenants

Financial Covenants Yes/No?

Covenants covenant test result & frequency of calculation

Equity Cure?

Excess Cash Flow Sweep

Company Description including sponsor information

Company XXKey Assumptions:

LTM

2012 2013 2014 Q1 2014 Q1 2015 Q1 2015 2015E 2016E 2017E

Revenues 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

% y/o/y growth #DIV/0! #DIV/0! #DIV/0! 3.0% 3.0% 3.0%

org growth % 0.0% 0.0% 0.0% 0.0% 0.0%

COGS 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Gross Profit 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

% of sales #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Operating Expenses 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


EBIT 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


D&A 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Total Adjustments 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adj. EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


EBITDA / Interest #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

DSCR ((EBITDA - Cap Ex) / Interest ) #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Secured Debt / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Total Debt / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

TEV / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Equity Cushion #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Junior Capital Cushion #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Gross Senior First Lien LTEV #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

FCF Avail For Debt Service

Adj. EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Cash Interest 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

CapEx 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Amortization 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Acquisitions 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Working Capital 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Earn Outs 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Cash Taxes, net of refunds 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Total FCF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Pro Forma

Cash 0.0 0.0 0.0 0.0

Total Sr Secured Debt 0.0 0.0 0.0 0.0

Total Debt 0.0 0.0 0.0 0.0

Equity 0.0 0.0 0.0 0.0

Total Capitalization 0.0 0.0 0.0 0.0

TEV 0.0 0.0 0.0 0.0

Generali Mandate

DSCR (EBITDA-Capex)/ Interest 1.50x

Secured Debt / EBITDA 4.50x

Total Debt / EBITDA 6.00x

Equity Cushion 30%

Junior Capital Cushion 40%

Gross Senior First Lien LTEV 60%

Pass/Fail

DSCR (EBITDA-Capex)/ Interest #DIV/0!

Secured Debt / EBITDA #DIV/0!

Total Debt / EBITDA #DIV/0!

Equity Cushion #DIV/0!

Junior Capital Cushion #DIV/0!

Gross Senior First Lien LTEV #DIV/0!

3 months HPS Base Case

EXECUTION VERSION

Arendt – 016414-70004.12148856vEXEC 30

Schedule 7

Investment Guidelines Checklist

5

9807852.7













Check the box




Check the box



management

Check the box













6

9807852.7






[ ] % of latest NAV










Check the box:




Check the box:





Check the box:


Ratings)*










*Meets Exception:




7

9807852.7

applicable):


Position Size $[MM]

[ ] % of latest NAV



Check the box:



judgment







4.5x:








underwriting case:

[provide DSCR]







normalized figure

8

9807852.7






If <30% but >20%:



feature)




Min ≥ 40%:





Check the box:



If yes, describe




covenant)


Check the box:

Loan Details Status




Spread:

OID:

Other fee:

D-1

9659577.19

APPENDIX D

SubCo Notes Terms and Conditions


EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 1

9692713.8

TERMS AND CONDITIONS

The following is the text of the terms and conditions which will be applicable to the Notes.

1. THE NOTES

1.1 General

Highbridge – GIM Credit Master Lux S.à r.l., a private limited liability company

incorporated as a "société à responsabilité limitée" under the laws of the Grand Duchy

of Luxembourg with a share capital of USD 20,000, having its registered office at 46,

Avenue J.F. Kennedy L-1855 Luxembourg, registered with the Luxembourg Trade and

Companies Register under number B 193.488 (the "SubCo") will issue notes

(together, the “Notes” pursuant to these terms and conditions (the “Terms and

Conditions”) in a maximum aggregate principal amount of the USD equivalent of

EUR 1,000,000,000 and to be divided into Notes with a nominal value of USD 100

each.

For the avoidance of doubt, and as further set out in Condition 6.6 (Priority of

Payments), all payment obligations of the Subco under the Notes will rank pari passu

and will be subject to these Terms and Conditions.

1.2 Form, Denomination and Title

The Notes are issued in registered form.

Notes are issued in US Dollars and with a denomination of USD 100 each (for a total

amount of up to the USD equivalent of EUR 1,000,000,000).

The SubCo will maintain a register of holders of Notes (the “Register”). The person

whose name is registered in the relevant Register as being a holder of any Note shall

(except as otherwise required by law) be treated as its absolute owner for all purposes,

including the making of payments and no person shall be liable for so treating such

person as such.

Title to the Notes shall pass upon registration of the transfer thereof in the Register

and in accordance with Condition 13 hereof. No transfer of title to a Note may be

made without written documentation, in form and substance satisfactory to the SubCo,

being given to that effect by the transferor and the transferee to the SubCo. Transfers of

Notes in the Register will be effected without charge to holders of the Notes (the

“Noteholders” and each a “Noteholder”), but upon payment of any tax or other

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 2

9692713.8

governmental charges which may be imposed in relation thereto.

Upon request of a Noteholder, the SubCo shall, at the cost of such Noteholder, issue

a certificate evidencing one or more Notes. In case such certificate evidences more

than one Note, the SubCo shall upon request of the holder of record replace, at the

cost of such holder, such certificate by new certificates evidencing one or more Notes.

Each holder of record shall promptly notify the SubCo of any mutilation, loss, theft, or

destruction of any certificate or certificates evidencing any Notes of which it is the

record holder. The SubCo shall issue a new certificate in place of any certificate

theretofore issued by it and alleged to have been mutilated, lost, stolen or destroyed,

upon satisfactory proof of such mutilation, loss, theft or destruction.

The SubCo intends the Notes to be treated as profit participating notes within the

meaning of § 2 (1) No. 9 of the German Insurance Ordinance for German regulatory

purposes only.

1.3 Eligible Investors

Except as set forth in the immediately following paragraph, the Notes shall be issued

to non-U.S. Persons only. The term “non-U.S. Person” means, generally, any person

who is not a “U.S. Person” within the meaning of (i) Regulation S under the U.S.

Securities Act of 1933, as amended, (ii) the U.S. Commodity Exchange Act, as

amended, and (iii) Section 7701(a)(30) of the U.S. Internal Revenue Code of 1986, as

amended (the “Code”).

Notwithstanding the foregoing, certain senior personnel of the Trading Manager

deemed eligible in the discretion of the board of managers of the SubCo may

purchase Notes.

1.4 Objective and Strategy

The SubCo will invest in a portfolio consisting primarily of first lien loans purchased in

primary or secondary markets in accordance with the Investment Guidelines (as

defined below).

1.5 Use of Proceeds

The proceeds of the issuance of the Notes shall be used for general corporate

purposes and in accordance with the terms of the investment management agreement

as attached hereto in Schedule 1. Upon receipt, issue proceeds be credited to the

SubCo Account and shall be applied as follows:

1. first, towards payment of the Expenses; and

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 3

9692713.8

2. second, to purchase and/or subscribe for the Underlying Assets.

For the purposes of these Terms and Conditions “Expenses” shall mean the SubCo’s

operating and other expenses, including, but not limited to:

(i) organizational expenses;

(ii) the cost of investments and associated expenses (including all

investment and transaction fees and expenses such as fees to agents

and settlement costs, brokerage commissions, interest expenses and

other expenses associated with leverage, custodial fees, bank service

fees and other charges for or related to transactions), research, data

fees, company or analyst conferences, due diligence meetings and

travel and lodging expenses related thereto, certain costs of computer

hardware, computer software, telecommunications equipment and

services, research, equipment leases and other equipment, and

professional fees relating to investments;

(iii) expenses related to any hedging program approved by the Advisory

Committee, including hedging of Note purchase proceeds, distributions

and investment exposure, and profit and loss arising from such hedging

activities;

(iv) administrative, custodial, domiciliation, legal, audit, managers’ fees,

internal and external accounting fees and expenses (including expenses

of updating the governing documents of the SubCo) and rating agency

fees;

(v) taxes due by the SubCo;

(vi) the management fees and incentive fees payable by the SubCo to the

Trading Manager (to the extent not rebated for a particular Noteholder);

(vii) other operating expenses; and

(viii) extraordinary or non-recurring expenses including indemnification of the

Trading Manager and other service providers to the SubCo.

1.6 Cancellation

All Notes redeemed shall be cancelled and may not be reissued or sold.

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 4

9692713.8

1.7 Rating

The Notes will not be rated.

1.8 Further Issues

Upon the determination of the SubCo to issue additional Notes, the SubCo shall

propose to each Noteholder to subscribe for new Notes (the “New Notes”), pro-rata to

its then current holding of Notes, and in accordance with provisions contained in the

subscription booklet signed by the relevant Noteholder and within the limits set therein.

Notes will generally be issued in series, with a new series established each time New

Notes are issued (each a “Note Series”), it being understood that each Note Series

shall be subject to the same terms and conditions.

Noteholders can subscribe for the New Notes in excess of their pro-rata share in case

not all Noteholders subscribe for their pro-rata share.

Subscription for New Notes by non-Noteholders will only be permitted if approved by

the majority of the existing Noteholders.

The New Notes shall have the same terms and conditions as the outstanding Notes,

so that the same shall be consolidated and form a single class of notes with the

outstanding Notes, rank equally and entitle the Noteholders to participate on a pro rata

basis in the profits of the SubCo as set forth herein.

The SubCo will send a notice containing such offer to each Noteholder or its

representative in accordance with Condition 10, indicating all information and

documentation necessary in order to evaluate the new issuance.

New Notes may only be issued within the period of three (3) years following the initial

issuance of Notes (the “Issuance Period”) except as set forth below.

Notwithstanding the foregoing, new Notes may, in certain circumstances, be issued

automatically in connection with certain amounts otherwise distributable to a

Noteholder as described further herein, and any such automatic issuances (i) will only

be made to Noteholders entitled thereto; and (ii) will be permitted at any time prior to

the Maturity Date (as defined below).

1.9 Maturity Date

All Notes, regardless of their date of issuance, shall have a maturity of seven (7) years

starting on the date of the initial issuance of Notes (the “Maturity Date”).

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 5

9692713.8

2. RIGHTS AND OBLIGATIONS UNDER THE NOTES

2.1 Status of the Notes

The Notes will rank equally amongst themselves.

2.2 Obligations under the Notes

The Notes are obligations solely of the SubCo. The Notes are not, and will not be

insured or guaranteed by any of the SubCo’s affiliates or any other third person or

entity and none of the foregoing assumes or will assume any liability or obligation to

the holders of the Notes if the SubCo fails to make any payment due in respect of the

Notes.

2.3 Subordination

If and to the extent that Notes are no longer held by the parent company of the SubCo

or any other individual noteholder, the rights under the Notes shall, in the event of the

liquidation of the SubCo be subordinated to the ordinary liabilities of the SubCo (inter

alia obligations vis-à-vis any transactional party, such as the Administrator).

2.4 No shareholder rights

Noteholders do not have shareholder-like management or control rights.

2.5 No tranching

The SubCo shall not be permitted to issue any instruments which do not rank pari

passu with the Notes, but which are fully or partially senior or subordinated to the

Notes.

2.6 Reports

(a) The Noteholders will receive annual financial statements of the SubCo prepared in

accordance with Luxembourg generally accepted accounting principles audited by

PricewaterhouseCoopers (the “Auditor”). The SubCo fiscal year shall end on

December 31st of each year (“Fiscal Year”).

Upon the written request of one or more of the Noteholders, the books of account and

records of the SubCo, including with respect to prior periods, shall be prepared in

accordance with International Financial Reporting Standards.

(b) No later than 120 calendar days after the end of each Fiscal Year, the SubCo shall

prepare and cause the Auditor to audit, and shall deliver to each Noteholder, an

audited report setting forth as of the end of such Fiscal Year:

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 6

9692713.8

i. a balance sheet of the SubCo as of the end of such Fiscal Year;

ii. an income statement of the SubCo for such Fiscal Year.

(c) No later than 45 calendar days after 30 June of each Fiscal Year (“Half Year”), the

SubCo shall prepare and shall deliver to each Noteholder, an unaudited report setting

forth as of the end of such Half Year:

i. a balance sheet of the SubCo as of the end of such Half Year;

ii. an income statement of the SubCo for such Half Year.

(d) No later than 45 calendar days after 30 September of each Fiscal Year (“Third

Quarter”), the SubCo shall prepare and shall deliver to each Noteholder, an unaudited

report setting forth as of the end of such Third Quarter:

i. a balance sheet of the SubCo as of the end of such quarter;

ii. an income statement of the SubCo for such three quarters period.

(e) No later than 1 Business Day after the end of each calendar month the SubCo shall

deliver to each Noteholder a month-end performance estimate. No later than 3

Business Days after the end of each calendar month, the SubCo shall deliver to each

Noteholder a final month-end performance statement based in the form set out in

Schedule 5, including:

i. the valuation and the position report in the form set out in Schedule 6 for each investment performed by the SubCo;

ii. the fair market value of the SubCo’s assets less the SubCo’s liabilities (excluding the outstanding value of the Notes), in each case as determined in accordance with Luxembourg GAAP;

iii. the valuation of the Notes.

(f) No later than 45 calendar days after March 31st, June 30th, September 30th and

December 31st of each Fiscal Year or as soon as practicable thereafter, the SubCo

shall deliver to each Noteholder a monitoring note for each investment held by the

SubCo as of such quarter end, based on the form set out in Schedule 7 (a

“Monitoring Note”).

(g) Every Friday, the SubCo shall deliver to each Noteholder the checklist set out in

Schedule 8 (if any transaction has been closed meanwhile), evidencing that such

investments have been made in accordance with the Investment Guidelines.

(h) As promptly as practicable after the end of each calendar quarter, the SubCo shall

deliver to each Noteholder its account statement including quarter-to-date and

inception-to-date information concerning all subscription of Notes made by and

distributions made to such Noteholder (return of capital and profit distribution

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 7

9692713.8

severally).

(i) As promptly as practicable after the end of each calendar quarter, the SubCo shall

deliver to each Noteholder a statement setting the quarter-to-date and inception-to-

date information concerning accrued and, severally, paid management fees,

performance fees and expenses charged to the SubCo.

(j) All reporting for Noteholders as set forth in this Condition 2.6 shall be delivered by

BNP PARIBAS SECURITIES SERVICES, a société en commandite par actions

(S.C.A.) incorporated under the laws of France, registered with the Registre du

Commerce et des Sociétés of Paris under number 552 108 011, whose registered

office is at 3, rue d'Antin - 75002 Paris, France and acting through its Luxembourg

branch whose office is at 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of

Luxembourg and registered with the Luxembourg Register of Commerce and

Companies under number B-86.862 (the “Administrator”) to each Noteholder (or

such other person indicated by the relevant Noteholder ) via the Administrator’s online

dataroom and shall be deemed to have been delivered on the date the report is

delivered to an online dataroom. The Noteholders will have access to an online

system maintained by the Administrator for accessing Noteholders’ documents.

Notwithstanding the foregoing, the month-end performance estimate delivered

pursuant to clause (e) above will be delivered to the Noteholders via e-mail, rather

than through such online dataroom.

(k) Promptly after receiving such information, but in any event within 5 days, the SubCo

shall notify the Noteholders if any of Scott Kapnick, Purnima Puri and Serge Adam

resign from Highbridge Capital Management, LLC or Highbridge Principal Strategies,

LLC.

No later than 45 calendar days after the end of each fiscal quarter the SubCo shall

convene a meeting of the PRC (as defined below), in which the Trading Manager

presents (i) an overview of debt market trends relevant to the SubCo, (ii) a summary

of new Investments made during such fiscal quarter, (iii) a paydown / amortization

schedule of Investments, (iv) a qualitative assessment of performance, including any

relevant updates regarding investments, such as any changes in ratings of

Investments in the portfolio and (v) a discussion of the new issue pipeline (a

“Quarterly Letter”).

2.7 Limited Recourse

The Notes are direct and limited recourse obligations of the SubCo.

The SubCo's ability to satisfy its payment obligations under the Notes and its

operating and administrative expenses will be wholly dependent upon receipt by it of

sufficient amounts in respect of the Underlying Assets.

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Other than the foregoing, the SubCo will have no other funds available to meet its

obligations under the Notes and the Notes will not give rise to any payment obligation

in excess of the foregoing. Recourse to the SubCo shall be limited to the Underlying

Assets of the SubCo and the proceeds thereof applied in accordance with these

Terms and Conditions. If the aforementioned assets and proceeds prove ultimately

insufficient (after payment of all claims ranking in priority to amounts due under the

Notes) to pay in full all principal and profits on the Notes, then the Noteholders shall

have no further recourse against the SubCo or any other person for any shortfall

arising or any loss sustained.

The Underlying Assets of the SubCo and the proceeds thereof are the only remedy

available to the Noteholders for the purpose of recovering amounts payable in respect

of the Notes.

Such assets and proceeds shall be deemed to be “ultimately insufficient” at such time

when the SubCo certifies, providing the Auditor’s written statement to the Noteholders

that no further assets are available and no further proceeds can be realised therefrom

to satisfy any outstanding claims of the Noteholders, and neither assets nor proceeds

will reasonably likely be so available thereafter.

In respect of the Notes, the Noteholders shall, once such assets and proceeds are

deemed to be ultimately insufficient, have thereafter neither further claims against the

SubCo nor have recourse to the SubCo or any other person for the loss sustained

and their claims shall be extinguished.

2.8 Hedging

The SubCo may seek to hedge the U.S. dollar-Euro currency exposure of the

Noteholders upon the request of a majority of Noteholders if the Advisory Committee

has consented to implementation of a U.S. dollar-Euro currency hedging program,

provided that, per the Investment Guidelines, the SubCo may not invest in loans

denominated in a currency other than U.S. dollars without Advisory Committee and

majority Noteholder consent.

3. UNDERLYING ASSETS

The proceeds received by the SubCo from the issuance of the Notes, after payment of

the Expenses and the establishment of necessary reserves, are used to invest in

primarily first lien loans purchased in primary or secondary markets and any other

assets as may be provided for under the Investment Guidelines contained in the

investment management agreement dated __ 2015 between the SubCo and the

Trading Manager (as defined below) (the “Underlying Assets”).

4. REPRESENTATIONS AND WARRANTIES OF THE COMPANY

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The SubCo hereby represents and warrants that:

1. The SubCo is a validly organized and existing private limited liability company

incorporated as a "société à responsabilité limitée under the laws of the Grand

Duchy of Luxembourg and it has the corporate power and authority to enter into

these Terms and Conditions, to perform its obligations hereunder and to issue

the Notes.

2. The execution and the performance of these Terms and Conditions by the

SubCo have been duly authorized by the SubCo and no further corporate action

on the part of the SubCo or other approval is necessary to authorize these

Terms and Conditions and/or their performance.

5. GENERAL COVENANTS OF THE COMPANY

5.1 The SubCo hereby covenants that, so long as any of the Notes remain outstanding, it

will:

1. at all times keep such books of account as may be necessary to comply with all

applicable laws and so as to enable the financial statements of the SubCo to be

prepared and allow free access to Noteholders to the same at all reasonable

times and upon reasonable notice during normal business hours and to discuss

the same with responsible officers of the SubCo;

2. give notice in writing to the Noteholders forthwith upon becoming aware of any

Event of Default;

3. send to the Noteholders, as soon as practicable after their date of publication, a

copy of the SubCo's balance sheet, profit and loss account and accompanying

Auditor’s report;

4. at all times use its best efforts to maintain its residence for tax purposes in

Luxembourg;

5. at all times comply with and perform all of its obligations under, and in respect

of, the Notes use its best efforts to procure that the other parties hereto comply

with and perform all their respective obligations thereunder.

5.2 The SubCo agrees that, without the prior approval of the board of managers of the

SubCo, it will not:

1. engage in any activity which is not reasonably incidental to any of the activities

which these Terms and Conditions provide or envisage;

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2. have any employees, subsidiaries or premises or purchase, own, lease or

otherwise acquire any real property (other than premises at its registered office

in Luxembourg);

3. dispose of any of its assets, except in accordance with its trading activities and

as otherwise permitted pursuant to these Terms and Conditions;

4. consolidate or merge with any other person or convey or transfer its properties

or assets substantially as an entirety to any other person;

5. not purchase, subscribe for or otherwise acquire any shares (or other securities

or any interest therein) in, or incorporate, any other company or agree to do any

of the foregoing other than in accordance with these Terms and Conditions.

6. amend or alter the articles of association of the SubCo;

7. incur, except in connection with any credit facility, any indebtedness in respect

of borrowed money whatsoever or give any indemnity or assume any liability

whatsoever, except for indemnities in favour of the Trading Manager, the

Administrator, the custodian, the domiciliation agent, the Auditor, any other

service provider to the SubCo and as permitted pursuant to these Terms and

Conditions; or

8. except in connection with any credit facilities or hedging activities, create or

permit to subsist any mortgage, pledge, lien or charge upon its assets, present

or future other than pursuant to these Terms and Conditions.

The SubCo agrees that, without the prior approval of the Advisory Committee, it

will commit to ensure that the validity or effectiveness of these Terms and

Conditions is not impaired and that these Terms and Conditions are not

amended, hypothecated, subordinated, terminated or discharged, or that any

person be released from any covenants or obligations with respect to these

Terms and Conditions, except as may be expressly permitted hereby.

5.3 The investment adviser to HGIM (the “Investment Adviser”) and the Trading

Manager will, in all cases, be the same entity. Noteholders will be given the

opportunity to redeem their Notes prior to a resignation by the Investment Adviser or

the Trading Manager becoming effective. The appointment of a new Investment

Adviser or Trading Manager will require the consent of a majority of the members of

the Advisory Committee.

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6. PERIODIC PAYMENTS

6.1 General

Periodic payments in respect of Notes shall be made by the SubCo as of the end of

each calendar quarter (i.e. on each 31 March, 30 June, 30 September and 31

December) (each, a “Determination Date”) within 5 Business Days after each

Determination Date (a “Payment Date”) by wire transfer of same day funds to the

Noteholders to the account specified by the Noteholders; provided, however, that the

board of managers of the SubCo may determine to make additional distributions at

such other times as it may determine in its sole discretion, it being understood that

any outstanding amounts under these Terms and Conditions shall be paid at the

latest (i) as of the relevant Redemption Date or (ii) on the Maturity Date.

Such periodic payments to Noteholders will consist of the Fixed Interest (to the extent

not deferred) and the accrued Variable Interest (as defined under Clause 6.4, whether

actual Variable Interest or advance payments of Variable Interest) as well as any

extraordinary or non-recurring income (excluding any principal repayment) received in

connection with the investments financed by these Notes (“Current Proceeds”) and

will be made pro rata in respect of each series in accordance with the number of

Notes of such series held by each Noteholder as of the end of the applicable calendar

quarter. The SubCo, in its sole discretion, may pay or reserve some or all of the

Current Proceeds for current or estimated Expenses, liabilities or contingencies of any

kind. The SubCo will not be required to make distributions unless it has a sufficient

amount of Current Proceeds to distribute at such time.

Advance payments of Variable Interest may be decided and instructed for payment

from time to time by the board of managers of the SubCo at its sole discretion. Should

the advance payments of Variable Interest made during a calendar quarter exceed

the total amount of Variable Interest computed for that quarter, any excess amount

will be considered as an advance on Variable Interest payments due the following

calendar quarter.

The SubCo shall make the payments provided for in this Condition 6, in accordance

with its own calculations.

All payments to Noteholders shall be subject to the condition that if a payment is

made to a Noteholder in breach of these Terms and Conditions, such Noteholder shall

repay the amount so received to the SubCo Account. The SubCo shall then pay out

the moneys so received in the way they were payable in accordance with these

Terms and Conditions on the Payment Date. If such repayment is not enforceable, the

SubCo is authorised and obliged to make payments in such a way that any over-

payments or under-payments made in breach of these Terms and Conditions are set-

off by correspondingly decreased or increased payments on any applicable Payment

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Date.

Should a Noteholder wish for its allocable portion of periodic payments otherwise

payable under this Condition 6 to be retained by the SubCo rather than paid to it,

such Noteholder may elect as such by so indicating in the subscription agreement.

Such election, once made, may be changed with the consent of the relevant

Noteholder in writing. Periodic payments retained in this manner either will be credited

to the series from which they originated or result in the issuance to the applicable

Noteholder of additional Notes of a new series in an amount equal to the amount of

the retained periodic payments.

In connection with any rebated fees to any noteholder such rebate will be effected by

the SubCo retaining the amount of the rebated fees and issuing to the applicable

holder of Notes additional Notes in an amount equal to the amount of rebated fees.

6.2 Business Days

If the date for any payment in respect of any Note is not a Business Day, such

payment shall be made on the following Business Day and shall not bear any interest

due to such delay.

“Business Day” means any day except a Saturday, Sunday or any holiday on which

commercial banks are closed in New York, NY, Paris, France, Frankfurt, Germany,

Cologne, Germany, Luxembourg or Milan, Italy.

6.3 SubCo Account

Issuance proceeds pursuant to the issuance of the Notes shall be credited to the

SubCo’s bank account (the “SubCo Account”) and be used in accordance with

Condition 1.4.

Payments (whether of principal or interest) received in respect of the Underlying

Assets shall be credited to the SubCo Account.

6.4 Interest

1) Fixed Interest

The Notes will bear a fixed interest at a rate equal to (i) the nominal amount of the

outstanding Notes multiplied by (ii) 0.5 % per annum (the “Fixed Interest”). The Fixed

Interest accrues also in absence of income.

The Fixed Interest will accrue from the date of issuance of the Notes (of the relevant

Note Series, as the case may be) and shall be calculated based on a year of 360 days.

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The Fixed Interest shall be payable in accordance with Condition 6.5.

However, in case of lack of liquidity the SubCo shall be entitled to defer payment of

any portion of the Fixed Interest until the applicable Maturity Date or Redemption Date.

2) Variable Interest

The Noteholders are entitled to receive a participation in the proceeds resulting from

the Underlying Assets (excluding, in each case, any principal repayments) after

deduction of the Expenses, the Fixed Interest for the relevant period and the Margin

(the “Variable Interest”) on the Payment Date, to be paid in accordance with

Condition 6.5 hereunder.

For the avoidance of doubt, proceeds resulting from or connected to the investments

financed by a Note Series will be allocable to such Note Series only.

For the purposes of this clause “Margin” shall mean (i) an arm’s length remuneration

determined based on a transfer pricing study to be conducted and applied to the

aggregate amount of outstanding Notes multiplied by (ii) the aggregate corporate

income tax and municipal business tax rate due in the city of Luxembourg or in the

municipality where the company is resident.

Fixed Interest, Variable Interest and Current Proceeds will be allocated pro rata

among the series of Notes outstanding as of the end of each applicable period.

6.5 Priorities of Payments

On each Payment Date (subject to Condition 6.4 (1)) the aggregate amounts standing

to the credit of the SubCo Account in respect of item 1. and 2. below only, and on

each Redemption Date (with respect to Notes being redeemed) or Maturity Date (as

further set forth in Condition 7) the aggregate amounts standing to the credit of the

SubCo Account in respect of items 1. through 3., shall be applied by the SubCo in

making the following payments or provisions, if due and payable, in the following order

of priority (the “Priority of Payments”) to each applicable Noteholder with respect to

each applicable Note Series but, in each case, only to the extent that there are funds

available for the purpose and all payments or provisions of a higher priority that fall

due to be paid or provided for on such day have been made in full:

1. first in or towards the payment of all unpaid Expenses and/or any other fees,

costs and expenses and/or debt still due by the SubCo with respect to such

series at the Payment Date, the Maturity Date or the Redemption Date (as the

case may be);

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2. second in or towards payment of any Current Proceeds with respect to such

series for the relevant period; and

3. third, in or towards payment on a pro rata basis of all amounts then due and

payable by the SubCo in respect of principal of the redeemed Notes of such

series.

The SubCo may reinvest within 5 years of the date of the initial issuance of Notes (the

“Recycling Period”) any proceeds from its investments, excluding fees and interests

paid by the relevant borrowers, up to the principal amount of such investments.

Notwithstanding the above order and priority of payment:

1. at each calendar month-end, if the SubCo holds cash (excluding amounts

awaiting distribution to the Noteholders, amounts reserved in respect of pending

investments, all Expenses and/or any fees, costs and expenses and/or debt still

due by the SubCo at the Payment Date or other obligations) in excess of 10%,

or such other percentage as may be mutually agreed by the Investment Adviser

and the Advisory Committee, of the estimated Net Asset Value of the SubCo on

such date as calculated by the Administrator within 1 day of such date, the

Trading Manager will promptly advise the Advisory Committee whether, in light

of its anticipated investment pipeline for the SubCo, it recommends that such

excess should not be distributed by the SubCo to the Noteholders as principal

repayment and subsequently not distributed to the holders of the notes issued

by HGIM (as defined below).The Advisory Committee may then waive such

distribution within 2 days of receiving the Trading Manager’s recommendation,

provided that the distribution will occur 5 days after calendar-month end if the

Advisory Committee does not waive the distribution prior to the expiration of

such 5-day period. The SubCo, the Trading Manager and the Advisory

Committee shall, no sooner than one year following the initial issuance of the

Notes, consult in good faith as to whether such percentage should be amended,

provided that final consent on this topic remains with the Advisory Committee;

and

2. the SubCo may settle Expenses at its sole discretion as and when necessary.

If the Advisory Committee does not waive any such distribution, the SubCo, in turn,

will distribute to Noteholders its portion of such excess pro rata in accordance with the

face value of the Notes held by each Noteholder as of the end of the applicable

calendar month.

For the purposes of this paragraph, the “Net Asset Value” of the SubCo shall equal

the fair market value of the SubCo’s assets less the SubCo’s liabilities (excluding the

outstanding value of the Notes), in each case as determined in accordance with

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Luxembourg GAAP.

7. REDEMPTION

7.1 At Maturity

Unless previously redeemed as specified below, each Note will be redeemed by the

SubCo at its nominal amount plus accrued but unpaid Fixed Interest and Variable

Interest on the Maturity Date subject to the limitations set out in Condition 2.4.

7.2 Optional redemption

Subject to the following terms and conditions, a Noteholder may, upon at least 90

days’ prior written notice to the SubCo, redeem all or any portion of its Notes as of

December 31, 2016 and as of every second December thereafter (i.e. December 31,

2018, December 31, 2020, etc.) (each, a “Redemption Date”). The SubCo, in

consultation with Highbridge Principal Strategies, LLC, a Delaware limited liability

company (the “Trading Manager”), may waive such notice and other requirements

and/or limitations and/or permit redemptions at other times.

Upon the SubCo’s receipt of a redemption notice for a particular Redemption Date,

the Trading Manager shall determine which securities to liquidate, taking into account

the overall diversification and liquidity of the SubCo’s remaining securities, and shall

use commercially reasonable efforts to distribute liquidation proceeds to the SubCo.

The SubCo shall in turn use commercially reasonable efforts to distribute redemption

proceeds within 30 days of the applicable Redemption Date, provided that there can

be no assurances that redemption proceeds will be paid within in such time period and,

under certain circumstances, the SubCo may extend the payment period for the

redemption proceeds. Notwithstanding the foregoing, the SubCo may determine not to

effect partial redemptions of SubCo Notes in amounts less than EUR 1,000,000. The

SubCo, in consultation with the Investment Adviser, may waive such notice and other

requirements and/or limitations and/or permit redemptions at other times.

The SubCo may compel redemption of any or all of a Noteholder’s Notes in the event

that the board of managers of the SubCo, after receipt of written advice of counsel,

reasonably determines that the continued holding of Notes by such Noteholder (i) may

result in adverse legal, tax or regulatory consequences to the SubCo, or to the other

Noteholders generally or (ii) is in violation of applicable law or regulation.

Redemption proceeds will be paid in cash or, upon the request of a Noteholder or the

determination of the Trading Manager with the consent of the Advisory Committee, in

kind. Cash redemption proceeds will be paid by wire transfer at the expense of the

redeeming Noteholder. In-kind delivery of redemption proceeds may take the form of

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delivery of investments of the SubCo, with the value of either confirmed by a third-

party valuation agent approved by the Noteholders. The SubCo may withhold up to 10%

of the proceeds of a complete redemption until the SubCo has received the audited

financial statements for the relevant year and any resulting adjustments have been

made.

The SubCo, in consultation with the Trading Manager, may suspend or defer

redemptions or the payment of redemption proceeds during the existence of any state

of affairs as a result of which the board of managers of the SubCo is unable to value

and/or dispose of the SubCo’s assets (or, in the opinion of the Trading Manager, it is

not reasonably practicable or would be prejudicial to Noteholders to do so). The

SubCo shall notify in writing the requesting Noteholder the above mentioned

circumstances, clarifying the reasons of the suspended or deferred redemptions or of

the suspended or deferred payment of redemption proceeds and the related expected

timeline for the redemptions or payment.

Notes of a particular series redeemed pursuant to this Condition 7.2 will be redeemed

at (i) the redeemed Notes’ principal, plus (ii) a pro-rata portion of the Fixed Interest

applicable to such series through the applicable Redemption Date and plus (iii) a pro-

rata portion of the Variable Interest applicable to such series through the applicable

Redemption Date, in each case subject to the limitations set out in Condition 2.4.

7.3 Should the Notes not or no longer be an eligible investment for an Investor under

applicable regulations, the relevant Noteholder shall be entitled to accelerate the

Notes held by it by giving written notice of such acceleration to the SubCo and to

request delivery of the assets held by the SubCo pro rata to the aggregate number of

Notes outstanding.

7.4 If significant taxes are triggered at the level of the SubCo, Noteholders will have the

right, but shall not be obliged, to (i) terminate the Notes or (ii) redeem the Notes

against delivery of the assets held by the SubCo.

8. TAXATION

8.1 Tax Characterization

Each of the Noteholders acknowledges and agrees to treat the Notes as equity

interests in the SubCo for U.S. federal income tax purposes. Certain additional terms

and conditions applicable to the Notes for US federal income tax purposes are set

forth in Schedule 4.

8.2 Taxation

Payments in respect of the Notes shall only be made after the deduction and

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withholding of current or future taxes, levies or governmental charges, regardless of

their nature, which are imposed, levied or collected (collectively, "taxes") under any

applicable system of law or in any country which claims fiscal jurisdiction by, or for the

account of, any political sub-division thereof or government agency therein authorised

to levy taxes, to the extent that such deduction or withholding is required by law. The

SubCo shall account for the deducted or withheld taxes with the competent

government agencies and shall, upon request of a Noteholder, provide evidence

thereof.

8.3 Treatment of Taxes

Taxes payable by the SubCo or any of its subsidiaries as a result of the residence or

domicile of any Noteholder, or otherwise as a result of the tax status of any

Noteholder (including, for the avoidance of doubt, taxes imposed under the Foreign

Account Tax Compliance Act (“FATCA”) will be for the account of that Noteholder,

and the amount of any such taxes will be treated as paid to that Noteholder with

subsequent payments to that Noteholder being appropriately reduced. In the event

that any such taxes are not withheld from payments to the applicable Noteholder,

such Noteholder may be required to reimburse the SubCo for the amount of such

taxes. “Taxes” for purposes of this paragraph includes any interest, additions to tax,

penalties, or expenses relating to such taxes.

8.4 No Gross-Up

The Notes do not provide for gross-up payments in the case that any amount payable

under the Notes is or becomes subject to income taxes (including withholding taxes)

or taxes on capital. If any withholding or deduction on account of taxes is imposed

with respect to payments by the SubCo under the Notes, the amounts payable by the

SubCo under the Notes will be reduced by the amount of such withholding or

deduction.

8.5 Extraordinary Redemption Right

If (i) the anticipated tax treatment of the SubCo and the Notes is not or no longer

achieved, (ii) significant unanticipated taxes are triggered at the level of the SubCo or

(iii) the continued holding of Notes by a Noteholder may result in adverse legal, tax or

regulatory consequences to the Noteholder or is in violation of law or regulation

applicable to a Noteholder or (iv) the notes issued by HGIM for the purposes of

financing the purchase of the relevant Notes are not listed on the ISE within the

applicable timeframe, the affected Noteholders will have the right, but shall not be

obliged, to cause the SubCo to redeem the applicable Notes held by them as of the

month-end no sooner than 90 days following their written request for such redemption,

regardless of whether such date would otherwise be a Redemption Date. Proceeds of

any such extraordinary redemption will be paid as set forth under Condition 7 above.

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9. EVENT OF DEFAULT

Upon the occurrence of an Event of Default which is continuing, the relevant Meeting

may declare the outstanding Notes immediately due and payable. “Event of Default”

means (i) the existence of an Insolvency Proceeding against the SubCo, (ii) the

existence of a Court order for the liquidation of the SubCo or (iii) the initiation by

HGIM of an Insolvency Proceeding and “Insolvency Proceeding” means with

respect to any person, the winding-up, liquidation, dissolution, bankruptcy,

receivership, insolvency or administration of such person or any equivalent or

analogous proceedings under the law of the jurisdiction in which such person is

incorporated (or, if not a company or corporation, domiciled) or of any jurisdiction in

which such person carries on business or has any assets including the seeking of an

arrangement, adjustment, protection or relief of creditors.

10. NOTICES

All notices to the Noteholders regarding the Notes shall be delivered in writing to the

Noteholders in accordance with the information contained in the Register.

11. MEETINGS OF NOTEHOLDERS, MODIFICATION AND WAIVER

The provisions of Article 94-2 second paragraph and Article 94-4 of the Luxembourg

law of 10 August 1915 relating to commercial companies, as amended (the

“Companies Law”) do not apply.

The Noteholders may constitute a meeting representing together the entire body of

Noteholders (the “Meeting”), created inter alia for the purposes of representation of

the common interests of the Noteholders in accordance with the provisions of the

Companies Law (save as otherwise stated above).

The Meeting may appoint one or several representatives of the body of Noteholders

(the “Representative(s)”) and determine their powers. When the Representative(s)

has/have been appointed, the Noteholders will no longer be able to exercise

individually the rights attached to their Notes against the SubCo.

A meeting of the Noteholders may be convened at any time by the Representative(s)

or by the management of the SubCo. The Representative(s), provided that

he/she/they has/have received an advance on his/her/their expenses, or the

management must convene a Meeting if Noteholders representing 5% or more of the

total amount of outstanding Notes so request. Any Meeting of the Noteholders will be

held in Luxembourg at the venue specified in the convening notice.

Every Noteholder will have the right to attend and vote at meetings of the Noteholders

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in person or by proxy. Each note shall carry one vote. A Meeting may be convened (i)

in the event of a merger involving the SubCo, (ii) in order to approve certain changes

to the Noteholders’ rights and (iii) generally, in order to determine any measures

aimed at defending the Noteholders’ interests or to ensure the exercise by the

Noteholders of their rights.

A Meeting may validly decide, with at least 50% quorum requirements upon first

convening (no quorum is required at a reconvened meeting), and by a simple majority

of the votes cast by the Noteholders present or represented at the meeting, upon the

appointment and removal of Representatives and the approval of any protective

measures taken in the general interests of the Noteholders.

In respect of any other decision, the Meeting may validly decide upon first convening

only if the Noteholders present or represented hold at least 50% of the total amount of

the Notes outstanding at that time. No quorum is required at a reconvened meeting.

The decisions at such meetings will be passed by a majority consisting of not less

than two-thirds of the votes cast by Noteholders present or represented.

Each Noteholder shall have the right, during the 15 days prior to the general meeting

of the Noteholders as a body, to consult or take copies, or cause an agent to do so on

its behalf, of the text of the proposed resolutions and the reports to be presented to

the meeting, at the registered office of the SubCo and, as the case may be, at any

other place specified in the convening notice.

The SubCo undertakes to make premises available to the Noteholders for their

meetings. Should a meeting of the Noteholders be convened, in particular for the

appointment of a Representative, all expenses relating thereto shall be borne by the

SubCo.

12. ADVISORY COMMITTEE AND PERFORMACE REVIEW COMMITEE

Advisory Committee

An advisory committee (the “Advisory Committee”) comprised of at least three

representatives of the noteholders of Highbridge – GIM Credit Lux S.A. (“HGIM”),

nominated by such noteholders and appointed by the SubCo’s board of managers

(which appointment will not be unreasonably withheld) will be established with respect

to the SubCo, provided that no member of the Advisory Committee shall be an

affiliate, employee, agent or representative of the Trading Manager, but that any such

person may serve as the trading manager representative or observer of the Advisory

Committee. The Advisory Committee will (i) provide such advice and counsel as is

requested by the Trading Manager in connection with potential conflicts of interest

involving the SubCo including, where appropriate, approval or disapproval of

transactions or other matters giving rise to such conflicts, and, (ii) provide such other

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advice and counsel or approve or disapprove such other matters, as are reasonably

requested by the Trading Manager. In addition, the consent of the Advisory Committee

shall be required (w) with regard to the extension of the Issuance Period and/or the

Recycling Period, (x) in connection with any amendment of the investment

management agreement entered into by the SubCo (the “Investment Management

Agreement”) or any termination of the Investment Management Agreement by the

SubCo, and (y) in connection with any transfer or assignment of the Investment

Management Agreement, or the duties and obligations thereunder, by the Trading

Manager, or the appointment of a new trading manager in place of the Trading

Manager and (z) in connection with borrowing by the SubCo and/or the adoption any

currency hedging program. The Advisory Committee’s recommendation shall be

required with regards to variations and deviations from the Investment Guidelines (as

defined below). Any approval and/or recommendations by the Advisory Committee

shall require the consent of the majority of its members. Notwithstanding the

foregoing, the Trading Manager and the board of managers of the SubCo will retain

ultimate responsibility for making all decisions relating to the operation, conduct and

management of the business and affairs of the SubCo, as applicable. Any member of

the Advisory Committee nominated by a noteholder of HGIM may be removed by such

noteholder, and a new member may then be nominated by such noteholder for

appointment by the SubCo’s board of managers.

The Advisory Committee guidelines and administrative procedures are set out in

Schedule 2.

For the purposes of these Terms and Conditions, “Investment Guidelines” shall

mean the investment guidelines applying to the investment decisions of the SubCo

from time to time and attached hereto in Schedule 3.

Performance Review Committee

The Performance Review Committee (“PRC”) is a committee comprised of up to three

representatives of the noteholders of HGIM (with no voting rights) and representatives

of the Trading Manager’s management team. PRC members will be appointed by the

board of managers of the SubCo after nomination by the noteholder of HGIM and

PRC meetings will be held at least quarterly. The SubCo shall provide at least 7

Business Days’ prior notice of any PRC meeting. At each PRC meeting the Trading

Manager will provide updates regarding the performance of the portfolio investments

of the SubCo and the potential investments pipeline in the form of a Quarterly Letter.

13. TRANSFER OF NOTES

13.1 Noteholders may freely assign their Notes in accordance with these Terms and

Conditions. The rights and obligations arising from these Terms and Conditions shall

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9692713.8

be binding on the heirs, executors, receivers or other representatives, and the

successors, right-holders and assignees of each Noteholder.

13.2 Notes are freely transferable, provided that, a Noteholder may not transfer Notes if

such transfer would,

(i) cause a dissolution of the SubCo under Luxembourg law;

(ii) cause the SubCo’s assets to be deemed to be “plan assets” for

purposes of U.S. Employee Retirement Income Security Act of 1974, as

amended;

(iii) cause the SubCo to be an “investment company” within the meaning of

the U.S. Investment SubCo Act;

(iv) result in any adverse tax consequences to the SubCo (or to the

Noteholders generally);

(v) cause the Trading Manager or Highbridge Capital Management, LLC to

be in violation of the U.S. Advisers Act and the rules promulgated

thereunder; or

(vi) violate, or cause the SubCo, the Trading Manager or Highbridge Capital

Management, LLC to violate, any applicable law or regulation, including

any applicable securities laws.

13.3 Any permitted transfer of Notes in accordance with this Condition shall be performed

through the execution of a transfer agreement in the form approved by the SubCo duly

notified to the SubCo and the registration of such transfer in the relevant Register in

accordance with Condition 1.2.

13.4 None of the Noteholders may create any lien, claim, option, pledge, charge,

encumbrance or any other type of preferential arrangement (including, without

limitation, title transfer for security purposes and retention agreement) having a similar

effect, nor grant any mandate with a view to the creation thereof, in respect of any of

the Notes.

13.5 Insofar and as long as a German insurance company holds Notes as part of its

guarantee assets ("Sicherungsvermögen" as defined in Section 66 or Section 115 of

the German Insurance Supervisory Act (Versicherungsaufsichtsgesetz)) and such

German insurance company is either in accordance with Section 70 of the German

Insurance SubCo Act (Versicherungsaufsichtsgesetz) under the legal obligation to

appoint a trustee (Treuhänder) or is subject to similar legal requirements, such

German insurance company shall transfer of such Notes only with the prior written

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9692713.8

consent of such trustee or its authorised representative appointed in accordance with

Section 70 of the German Insurance Supervisory Act, as amended from time to time.

For the purposes of this Condition, “transfer” shall include sales, exchange, transfer,

assignment and pledge or other disposal of all or part of the Notes.

14. MISCELLANEOUS

14.1 Place of Performance

Place of performance of the Notes shall be Luxembourg, Grand Duchy of

Luxembourg.

14.2 Partial Invalidity

Without prejudice to any other provision hereof, if one or more provisions hereof is or

becomes invalid, illegal or unenforceable in any respect in any jurisdiction or with

respect to any person or entity, or if the SubCo becomes aware of any omission

hereto of any terms which were intended to be included herein, such invalidity,

illegality, unenforceability in such jurisdiction or with respect to such person or entity

or such omission shall not, to the fullest extent permitted by applicable law, render

invalid, illegal or unenforceable such provision or provisions in any other jurisdiction or

with respect to any other person or entity hereto. Such invalid, illegal or unenforceable

provision or such omission shall be replaced by the SubCo, without the consent of

Noteholders, with a provision which comes as close as reasonably possible to the

commercial intentions of the invalid, illegal, unenforceable or omitted provision.

14.3 Non Petition

Without prejudice to the other provisions of these Conditions, each of the Noteholders

acknowledges and agrees that until the expiry of one (1) year and one (1) day after

the last outstanding Note will have been redeemed, none of the Noteholders nor any

party on its behalf shall initiate or join any person in initiating any Insolvency

Proceedings in relation to the SubCo or the SubCo provided that this Condition shall

not prevent any Noteholder from taking any steps against the SubCo which do not

amount to the initiation or the threat of initiation of any Insolvency Proceedings in

relation to the SubCo or the SubCo or the initiation or threat of initiation of legal

proceedings.

15. APPLICABLE LAW AND PLACE OF JURISDICTION

15.1 Governing Law

The form and content of the Notes and all of the rights and obligations of the

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9692713.8

Noteholders and the SubCo under the Notes, as well as all other matters arising from

or connected with the Notes shall be governed in all respects by and shall be

construed in accordance with the laws of Luxembourg. Articles 86 through 97 of the

amended Luxembourg law of 10 August 1915 on commercial companies shall apply,

except for the second paragraph of Article 94-2 and for Article 94-4 and except as

otherwise set out herein, notably under Condition 11.

15.2 Jurisdiction

The exclusive place of jurisdiction for any action or other legal proceedings arising out

of or in connection with the Notes shall be the courts of Luxembourg, Grand Duchy of

Luxembourg. The SubCo and the Noteholders hereby submit to the jurisdiction of

such court.

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9692713.8

Signed on [***] 2015. Highbridge – GIM Credit Master Lux S.à r.l. ____________________________ By: Title: ____________________________ By: Title:

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Schedule 1

Investment Management Agreement

967 68 44.20

INVESTMENT MANAGEMENT AGREEMENT

IN V ESTM EN T M A N A GEM EN T A GREEM EN T (as amend ed from time to time,this“Agreement”)d ated as of _______,2015,by and amongH ighbrid ge P rincipalStrategies,L L C ,aD elaware limited liability company (“HPS”and ,in its capacity as trad ingmanagerto Su bC o,the “Trading Manager”),and H ighbrid ge – GIM C red it M aster L u x S.à r.l.,a companyincorporated as a socié té à responsabilité limité e u nd er the laws of the Grand D u chy ofL u x embou rg(“SubCo”).

W I T N E S S E T H :

W H EREA S,Su bC o has been formed for the pu rposes set forth in the A rticles ofA ssociation of Su bC o (as amend ed orrestated from time to time,the “Articles”);

W H EREA S,pu rsu antto the A rticles,the B oard of M anagers of Su bC o has d etermined toengage H P S as trad ingmanagerto Su bC o and to execu te and d eliverthis A greement;and

W H EREA S,the Trad ingM anagerd esires to serve in su chcapacity u nd erthe terms andcond itions setforthherein.

N O W , TH EREFO RE, in consid eration of the mu tu al promises and u nd ertakingshereinaftersetforth,the parties hereto herebyagree as follows:

1. D efinitions. (a) The followingterms shallhave the followingmeanings forthepu rposes of this A greement:

“Administrator”means B N P P aribas Secu rities Services L u x embou rg B ranch,in itscapacity as ad ministratorto Su bC o.

“Advisers Act”means the U.S.InvestmentA d visers A ctof 1940,as amend ed from timeto time.

“Advisory Committee”shall have the meaning set forth in Section 5(b) of thisA greement.

“Affiliate”of any P erson means any otherP erson that,d irectly orind irectly throu ghoneormore intermed iaries,controls,is controlled by oris u nd ercommon controlwithsu chP erson.The term “control”means the possession,d irectly orind irectly,of the powerto d irectorcau sethe d irection of the managementand policies of a P erson,whether throu gh the ownership ofvotingsecu rities,by contractorotherwise.

“Agreement”shallhave the meaningsetforthin the preamble to this A greement.

“Articles”shallhave the meaningsetforthin the preamble to this A greement.

“Board of Managers”means the board of managers of Su bC o.

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967 68 44.20

“Company”means H ighbrid ge – GIM C red it L u x S.A .,a secu ritization companyincorporated as a socié té anonyme de titrisation u nd er the laws of the Grand D u chy ofL u x embou rg.

“Company Documents”means the A rticles of A ssociation of the C ompany,the Termsand C ond itions of the C ompany N otes and the Information M emorand u m of the C ompany,d atedJu ly26,2015,collectively.

“Company Notes”means the participatingred eemable notes issu ed by the C ompany tothe pu rchasers thereof from time to time.

“Confidential Information” shallhave the meaningsetforthin Section 27 of thisA greement.

“Damages”shallhave the meaningsetforthin Section 6(a)of this A greement.

“Gross Negligence”means reckless ind ifference to or a d eliberate d isregard of thegeneralstand ard of care setforth in Section 2(d )or actions which are withou tthe bou nd s ofreason.

“HCM”means H ighbrid ge C apitalM anagement,L L C .

“Highbridge”means H C M and its su bsid iaries,inclu d ingH P S.

“HPS”shallhave the meaningsetforthin the preamble to this A greement.

“Incentive Fee”shallhave the meaningsetforthin Section 4(b)of this A greement.

“Investment”means an investmentof any type held ,d irectly or ind irectly,by Su bC ofrom time to time.Su bC o’s Investments are mad e in accord ance withthe InvestmentGu id elines.

“Investment Guidelines”means the investment gu id elines of Su bC o set forth inSched u le B hereto.

“Management Fee”shallhave the meaningsetforthin Section 4(a)of this A greement.

“Other HPS Investors”means other investment fu nd s,secu ritization vehicles oraccou nts sponsored ormanaged byH ighbrid ge orA ffiliates of H ighbrid ge.

“Overhead Expenses”shallhave the meaningsetforthin Section 8 of this A greement.

“Person”means any ind ivid u al,partnership,corporation,limited liability company,tru storotherentity.

“Proceeding”means any action,claim,su it,investigation orproceed ingby orbefore anycou rt,arbitrator,governmentalbod yorotheragency.

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967 68 44.20

“Related Person”means,with respectto any Investment,any P erson (other than theC ompany or Su bC o) thatis,d irectly or ind irectly,involved in any transaction related to,orgivingrise to,su chInvestment,orany A ffiliate of an issu erof an Investment.

“SubCo”shallhave the meaningsetforthin the preamble to this A greement.

“SubCo Contracts”shallhave the meaningsetforthin Section 2(b)of this A greement.

“SubCo Documents”means the A rticles and the Terms and C ond itions of the Su bC oN otes,collectively.

“SubCo Notes”means the participating red eemable notes issu ed by Su bC o to theC ompanyfrom time to time in accord ance withthe Su bC o D ocu ments.

“Threshold Rate”shallhave the meaningsetforthin Section 4(d )of this A greement.

“Threshold Value”shallhave the meaningsetforthin Section 4(d )of this A greement.

“Trading Manager” shallhave the meaningsetforthin the preamble to this A greement.

“Trading Manager Indemnified Person”shallhave the meaning setforth in Section6(a)of this A greement.

2. D u ties and Services.(a) Su bC o hereby appoints H P S as its Trad ingM anagerforthe period and on the terms setforth in this A greement. The Trad ing M anager accepts su chappointmentand agrees to rend er the services herein setforth for the compensation hereinprovid ed .

(b) Su bjectto Section 9 of this A greement,Su bC o hereby d elegates to theTrad ingM anager,and the Trad ingM anagerhereby accepts the d elegation to itof,forsolong as this A greementand the power of attorney herein are in effect,the power andau thority to take any and allactions and make any and alld ecisions in the Trad ingM anager’s d iscretion on behalf of Su bC o withregard to allactivities and matters thatarerelated to,or ancillary or incid ental to,the Investments and Su bC o’s investmentactivities,inclu d ingthe powerand au thorityto:

(i) id entify and evalu ate investment opportu nities for Su bC oconsistentwiththe InvestmentGu id elines,inclu d ingthe benefits and risks of su chinvestmentopportu nities;

(ii) review and analyze the cred itof the issu ers of Investments;

(iii) negotiate the terms and cond itions of the Investments, asappropriate,and id entify,evalu ate and negotiate the terms of Su bC o’s hed gingtransactions (u pon the requ estof amajority of the hold ers of C ompany N otes andthe approvalby the A d visory C ommittee of ahed ging program with respecttoSu bC o);

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967 68 44.20

(iv) cau se Su bC o to originate, acqu ire, stru ctu re, hold , monitor,manage,own,sell,transfer,convey,assign,exchange,grantoptions with oron,d ispose of orotherwise d ealin any Investment,assetorinstru mentmad e orheldby Su bC o,su bjectto the InvestmentGu id elines and the provisions regard ingrecycling and d istribu tions setforth in the Su bC o D ocu ments,the Terms andC ond itions of the C ompany N otes and the A rticles of A ssociation of theC ompany;

(v) make on behalf of Su bC o finaland bind ing d ecisions,elections,assessments,evalu ations and investigations thatare related to,or ancillary orincid entalto,(x) the Investments (inclu d ing cash and temporary Investments),su chas acqu isition,d isposition,stru ctu ring,valu ation,managementand financingd ecisions,(y)borrowings by Su bC o (to the extentpermitted u nd erthe InvestmentGu id elines and approved by the A d visory C ommittee)and (z)Su bC o’s hed gingtransactions (u pon the requ estof amajority of the hold ers of C ompany N otes andthe approvalby the A d visory C ommittee of ahed ging program with respecttoSu bC o);

(vi) form,with the consent of the B oard of M anagers,su bsid iaryvehicles,inclu d ingpartnerships,limited liability companies,corporations orotherappropriate entities throu ghwhichSu bC o mayhold one ormore Investments;

(vii) open accou nts with banks,brokerage firms or other financialinstitu tions,and d eposit,maintain and withd raw fu nd s in the name of Su bC o andd raw checks orotherord ers forthe paymentof moneys in eachcase in connectionwithits provision of services u nd erthis A greement;

(viii) bind Su bC o with respectto,and ex ecu te on behalf of Su bC o,allcommitment letters,pu rchase agreements and other agreements,contracts orinstru ments relating to,or ancillary or incid entalto,the Investments (inclu d ingcash and temporary Investments),borrowings by Su bC o (to the extentpermittedu nd er the InvestmentGu id elines) and Su bC o’s hed ging transactions (u pon therequ estof amajority of the hold ers of C ompany N otes and the approvalby theA d visory C ommittee of a hed ging program with respectto Su bC o) (“SubCoContracts”);

(ix) negotiate,approve,enter into,and take any action u nd er,anycontract, agreement (inclu d ing prime brokerage agreements, ISD A M asterA greements,sched u les and confirmations thereto) or other instru ments as theTrad ing M anager shalld etermine to be necessary or d esirable to fu rther thepu rposes of Su bC o,inclu d ing granting orrefraining from granting any waivers,consents and approvals with respectto any of the foregoing and any mattersincid entalthereto;

(x) su bjectto Section 2(c) of this A greement,employ on behalf ofSu bC o financial ad visers, u nd erwriters, attorneys, accou ntants, consu ltants,appraisers,cu stod ians of the assets of Su bC o,or other agents,inclu d ing with

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967 68 44.20

respectto the compensation and otherterms of su chemployment,whetherornotsu ch P erson may be an A ffiliate of the Trad ing M anager,or may also beotherwise employed by any su ch A ffiliate,and ad vising Su bC o with respecttoterminatingsu chemployment(alistof the initially agreed main service provid ersis attached as Sched u le A hereto);

(xi) d elegate the au thority to selectinvestments on behalf of Su bC o toH ighbrid ge P rincipalStrategies (UK) L L P ,provid ed thatH ighbrid ge P rincipalStrategies (UK)L L P is su bjectto atleastthe same stand ard of care setforth inSection 6(a);

(xii) enterinto and perform any agency cross transaction in which anyA ffiliate of the Trad ing M anager acts as broker for and receives commissionsfrom both Su bC o and aparty on the othersid e of the transaction and enterinto,consentto and perform any principaltransactions in which Su bC o pu rchasesproperty (inclu d ing secu rities) from or sells property (inclu d ing secu rities) toH C M or JP M organ,su bject to A d visory C ommittee consent,as set forth inSection 2(k)(ii);

(xiii) incu r expenses which are reasonable in the d iscretion of theTrad ing M anager, reasonable travel and entertainment expenses and otherobligations,and make payments,on behalf of Su bC o in its own name orin thename of Su bC o in connection withits provision of services u nd erthis A greement,inclu d ingpaymentof expenses and otherobligations;

(xiv) cau se cash held by Su bC o (inclu d ing allamou nts being held bySu bC o forfu tu re investmentin Investments,paymentof expenses ord istribu tionto the hold ers of the Su bC o N otes u nd erthe Su bC o D ocu ments)to be invested intemporary investments,inclu d ing(i)d ebtinstru ments issu ed orgu aranteed by theUnited States;(ii)interest-bearingd eposits in commercialbanks,savings and loanassociations,brokerage firms orotherfinancialinstitu tions withatotalcapitalandsu rplu s of at least $500 million and which have a rating for its long-termu nsecu red and non cred it-enhanced d ebt obligations by at least two ratingsagencies of A orhigherby Stand ard & P oor’s Rating Services orFitch RatingsL td ,A 2 or higher by M ood y’s Investor Services L imited ,or similar rating byanotherrating agency belonging to the N ationally Recognized StatisticalRatingO rganization;or (iii) money marketfu nd s with assets of atleast$100 millionbelonging to abank orfinancialinstitu tion which has arating forits long-termu nsecu red and non cred it-enhanced d ebt obligations by at least two ratingsagencies of A orhigherof Stand ard & P oor’s Rating Services orFitch RatingsL td ,A 2 or higher by M ood y’s Investor Services L imited ,or similar rating byanotherrating agency belonging to the N ationally Recognized StatisticalRatingO rganization;and to the extentpermitted by applicable law and provid ed thattheabove mentioned cond itions are matched ,su ch short-term investments mayinclu d e investments in money market fu nd s or cash equ ivalent investmentssponsored by A ffiliates of the Trad ing M anager (inclu d ing JP M organ) withrespectto whichsu chA ffiliates may receive fees from Su bC o;

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(xv) offerto any P erson orP ersons (who may inclu d e H ighbrid ge,anyof its A ffiliates orJP M organ)the opportu nityto investin one ormore of the samesecu rities ord ebtinstru ments as Su bC o in an amou ntand on terms d etermined bythe Trad ing M anager;provid ed thatwhere Su bC o makes su ch co-investmentsalongsid e an O ther H P S Investor,the terms of the d ocu ments governing su chInvestmentshallnotbe more favorable to the O therH P S Investorthan the termsapplicable to Su bC o;

(xvi) for any matter,d etermine if su ch matter is to be brou ghtto theA d visory C ommittee (itbeingu nd erstood thatcertain matters mu stbe brou ghttothe A d visory C ommittee pu rsu antto Section 5(b)and pu rsu antto the InvestmentGu id elines), oversee any su ch A d visory C ommittee meeting, prepare anymaterials need ed atany su chmeetingand actas chairman and /orobserveratanysu chmeeting;and

(xvii) engage in d u e d iligence and activelymonitorInvestments;

in eachcase,su bjectto the oversightof the B oard of M anagers and in accord ancewithSu bC o’s pu rposes,powers,policies and restrictions as setforthin the Su bC oD ocu ments.

In ad d ition to the services of its own staff,in connection with its provision of servicesu nd erthis A greement,the Trad ingM anager,solely u pon the priorwritten consentof the B oardof M anagers,may arrange for,coord inate and pay for the services of consu ltants and otherprofessionals (inclu d ing accou ntants and attorneys of the Trad ingM anager,H ighbrid ge,any oftheirrespective A ffiliates and JP M organ)forSu bC o as d eemed necessary ord esirable by theTrad ing M anager;provided thatthe Trad ing M anagershallnotbe relieved of any of its d u tiesu nd erthis A greement,inclu d ing pu rsu antto this Section 2(b),Section 2(e)and Section 2(f)ofthis A greementregard less of the performance of anyservices bythird parties.

(c) The d elegation of d u ties to the Trad ingM anagerhereu nd ershallbe non-exclu sive d u ringthe term of this A greement.The Trad ingM anagershallnotd elegate orassign (i)any responsibility withrespectto the otherservices provid ed hereu nd erto anyperson notlisted on Sched u le A hereto withou tthe priorwritten consentof the B oard ofM anagers or(ii)otherthan to H ighbrid ge P rincipalStrategies (UK)L L P (so longas itiswholly owned by the Trad ing M anager),any responsibility with respect to trad ingactivities listed u nd er Section 2(b) above. Su bC o shallcooperate with the Trad ingM anagerin connection withthe performance su chactivities and services to be performedbythe Trad ingM anagerpu rsu antto Section 2(b)of this A greement.

(d ) The Trad ing M anageragrees to perform allactivities and services u nd erSection 2(b)of this A greementin accord ance with the InvestmentGu id elines and withSu bC o’s pu rposes,powers,policies and restrictions as setforthin the Su bC o D ocu ments.The Trad ingM anagershallu se its bestju d gmentin the performance of its d u ties u nd erthis A greementand actin accord ance withthe fid u ciary d u ties applicable to aregisteredinvestmentad viseru nd erthe A d visers A ct.

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(e) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b)of this A greement,the Trad ingM anagershallad vise the B oardof M anagers concerning:

(i) amou nts and timingof sales,red emptions and issu ances of theSu bC o N otes and of borrowings thereu nd er;and

(ii) establishmentof reasonable reserves forcontingencies and foranyother Su bC o pu rposes in accord ance with this A greement and the Su bC oD ocu ments.

(f) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b)of this A greement,the Trad ingM anagershallhave responsibilityforcertain activities and matters relatingto the Su bC o N otes,inclu d ing:

(i) facilitatingthe d raftingof the Su bC o D ocu ments and provid ingcertain legaland tax review services in connection therewith;

(ii) cond u ctingallcommu nications relatingto sales of the Su bC oN otes;

(iii) coord inatingpayments of interestand otherd istribu tions to thehold ers of the Su bC o N otes as requ ired pu rsu antto the Su bC o D ocu ments;and

(iv) provid ingorfacilitatingthe provision of certain legaland taxreview services withrespectto Su bscription A greements and otherd ocu mentationprovid ed bythe C ompany as pu rchaserof the Su bC o N otes;

provided,forthe avoid ance of d ou bt,thatthe acceptance of anysu bscription d ocu mentsshallbe su bjectto the approvalof the B oard of M anagers.

(g) Su bjectto Section 9 of this A greementand in ad d ition to the servicesou tlined in Section 2(b)of this A greement,the Trad ingM anagershallvote on Su bC o’sbehalf withrespectto allprox ysolicitations in relation to the Investments held bySu bC o.

(h) The Trad ing M anager shallmaintain ad equ ate record s relating to theservices performed for Su bC o hereu nd er,and su ch record s shall be accessible forinspection (and making copies thereof and taking extracts therefrom)by the B oard ofM anagers d u ringnormalbu siness hou rs u pon reasonable notice to the Trad ingM anager.In ad d ition,u pon the requ estof the B oard of M anagers,the Trad ingM anagershallreportalltransactions in Investments to the B oard of M anagers atleastonce every six monthstogetherwithsu chinformation as the B oard of M anagers mayreasonably requ estin ord erto appropriatelyexercise oversightof the Trad ingM anager.

(i) The Trad ing M anager shall rend er to the B oard of M anagers su chinformation and instru ctions concerning the Trad ing M anager’s activities,actions andd ecisions as the Trad ing M anagerd eems necessary orad visable in connection with theperformance of the Trad ingM anager’s obligations and d u ties hereu nd eroras reasonably

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requ ested by the B oard of M anagers,inclu d ingany su chperiod ic and specialreports asthe B oard of M anagers may reasonablyrequ est.

(j) The Trad ingM anagerrepresents,warrants and covenants thatatalltimesd u ring the term of this A greement,itshallrenew and keep in fu llforce and effecttherights,licenses,permits,privileges,registrations,filings,approvals,au thorizations orconsents necessary forormaterialto the cond u ctof the Trad ingM anager’s bu siness andthe performance of the services u nd er this A greement,and shallperform the servicesu nd erthis A greementin accord ance withallapplicable laws,ru les,regu lations,and otherau thority applicable to the Trad ingM anagerand /orthe services rend ered by the Trad ingM anagerhereu nd er,in eachcase to the extentnecessary forormaterialto the cond u ctofthe Trad ing M anager’s bu siness and the performance of the services u nd er thisA greement. In ad d ition,the Trad ing M anager shall retain record s related to theperformance of its obligations hereu nd er to the extentrequ ired u nd er applicable laws,ru les and regu lations (inclu d ingfollowingthe termination of this A greement),and shallprovid e anysu chrecord s to the B oard of M anagers u pon its reasonable requ est.

(k) Su bC o hereby au thorizes the Trad ingM anagerto execu te principaland /oragency cross transactions on behalf of Su bC o with or throu gh the Trad ing M anager’saffiliates,inclu d ing,withou tlimitation,JP M organ C hase & C o.or any of its affiliates(collectively,“JPM”),in allcases su bjectto applicable law.

(i) Su bC o acknowled ges and agrees that,withrespectto anyagencycross transactions,an affiliate of the Trad ingM anagermayactas brokerfor,receive commissions from,and have apotentially conflictingd ivision of loyaltiesand responsibilities regard ing,bothparties to su chtransactions.Su bC o’s consentto su chagency cross transactions maybe revoked atanytime by written noticefrom Su bC o to the Trad ingM anager.

(ii) A d visoryC ommittee approvalshallbe requ ired in ord erfortheTrad ingM anagerto enterinto anyprincipaltransactions in amannerconsistentwithapplicable law,inclu d ingSection 206(3)of the A d visers A ct.Su bC oacknowled ges thatthe consent(orwithhold ingthereof)bythe A d visoryC ommittee on behalf of Su bC o to anytransaction shallbe bind ingon Su bC o.

(l) N othing herein shallrelieve the B oard of M anagers of its obligations toSu bC o u nd erthe Su bC o D ocu ments orapplicable law orcau se the Trad ingM anagertobe treated as amanagerord irectorof Su bC o.

3. IndependentC ontractor. The Trad ing M anagershallforallpu rposes herein bed eemed to be an ind epend entcontractorwith respectto Su bC o and shall,exceptas expresslyprovid ed herein,the Su bC o D ocu ments,orotherwise au thorized by the B oard of M anagers fromtime to time:(i)to the fu llestextentpermitted by applicable law,have no d u ties orobligations toany sharehold erof Su bC o orany hold erof the Su bC o N otes,(ii)have no au thority to actfororrepresentSu bC o in any way,and (iii)nototherwise be d eemed an agentof Su bC o.The Trad ingM anagershallnot,by reason of its d u ties and fu nctions hereu nd er,be d eemed to be actingas apartner of or to be engaged in a joint ventu re,association or synd ication with,Su bC o.

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A d d itionally,no activity will be cond u cted by the Trad ing M anager hereu nd er with anysu ggestion of any jointventu re orpartnershipwithSu bC o.A llassets of Su bC o willbe held forthe accou ntof Su bC o (and noton accou ntof the Trad ing M anager)and the Trad ing M anagerwillnotclaim any d irectorind irectownershipinterestin the assets fortax,accou nting oranyotherpu rpose. The parties hereto fu rtheragree thatany amou nts paid to the Trad ing M anagerpu rsu antto this A greementshallconstitu te payments forservices rend ered and the Incentive Feeis intend ed to be treated as contingentperformance-d riven compensation.

4. C ompensation.

(a) In consid eration for the services rend ered pu rsu antto this A greement,Su bC o shallpay to the Trad ing M anageramanagementfee (the “Management Fee”).The M anagement Fee shallbe accru ed and payable monthly in arrears on the lastbu siness d ay of eachcalend armonth,in an amou ntequ alto 1/12 of 0.37 5% (0.37 5% perannu m) of Su bC o’s month-end N etA ssetV alu e attribu table to each series of Su bC oN otes (withou t red u ction for any Investor Expenses and after red u ction for Su bC oexpenses)as of the end of su chmonth.In the case of any partialmonth,the M anagementFee shallbe prorated by the ratio which the nu mber of bu siness d ays d u ring whichSu bC o’s bu siness operations were cond u cted ,ord u ring which Su bC o u sed the servicesof the Trad ingM anager,bears to the totalnu mberof bu siness d ays in the month.The netassetvalu e of Su bC o shallequ althe fairmarketvalu e of Su bC o’s assets less Su bC o’sliabilities (exclu d ing the ou tstand ing valu e of the Su bC o N otes),in each case asd etermined by the A d ministrator in accord ance with L u x embou rg GA A P (“Net AssetValue”). Forpu rposes of calcu lating the M anagementFee,Incentive Fee,H igh W aterM arkand Threshold V alu e (eachas d efined below),the N etA ssetV alu e of Su bC o willbe red u ced forsu ch pu rpose by the amou ntof any expenses incu rred by the C ompany(otherthan any amou nts ou tstand ingu nd erthe C ompanyN otes and InvestorExpenses).

(b) In ad d ition,su bjectto the remaind erof this Section 4,atthe end of eachfiscalyearof Su bC o (orearlierwhere aC ompany N ote is fu lly orpartially red eemed ortransferred ),10% of the amou nt,if any,by which (i) Su bC o’s N et A sset V alu eattribu table to each series of Su bC o N otes (after red u ction for the M anagementFeeattribu table to su ch series and C ompany and Su bC o expenses bu twithou tred u ction forany InvestorExpenses (as d efined in the C ompany D ocu ments))exceed s (ii)the H ighW aterM ark attribu table to su ch series willbe paid to the Trad ing M anagerby Su bC o(the “Incentive Fee”);provid ed ,however,thatthe Trad ing M anager willbe paid anIncentive Fee with respectto aseries of Su bC o N otes foragiven fiscalyear(orsu chotherperiod )only if Su bC o’s N etA ssetV alu e withrespectto su chseries as of the end ofsu ch fiscalyear (or su ch other period ) exceed s the Threshold V alu e of su ch series.Incentive Fees paid u pon red emptions ortransfers of C ompany N otes willbe paid solelywithrespectto the Su bC o N otes correspond ingto the amou ntred eemed ortransferred ,asthe case may be. The Incentive Fee willtake into accou ntallfees,inclu d ing,withou tlimitation,the M anagementFee attribu table to su chseries of Su bC o N otes,and expensesincu rred bySu bC o and the C ompany (exceptas otherwise noted herein).

(c) The “High Water Mark”attribu table to aseries of Su bC o N otes is theportion of Su bC o’s N etA ssetV alu e immed iately followingthe d ate as of whichthe last

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Incentive Fee was paid with respectto su ch series (or,if no Incentive Fee has yetbeenpaid ,the N etA ssetV alu e of Su bC o attribu table to su chseries immed iately followingitsestablishment. The H igh W ater M ark attribu table to a series willbe appropriatelyad ju sted to accou ntforany red emptions and transfers and willbe appropriatelyincreasedto accou ntforanyreinvestmentof otherwise d istribu table C u rrentP roceed s (as d efined inthe Su bC o D ocu ments).

(d ) The “Threshold Value”attribu table to aseries of Su bC o N otes is the N etA ssetV alu e of Su bC o attribu table to su ch series thatwou ld have been reached atyear-end (oratthe end of su chotherperiod forwhichthe Incentive Fee is beingcalcu lated )ifSu bC o had achieved ,with respectto su ch series of Su bC o N otes,an annu alized rate ofretu rn equ alto 6% (the “Threshold Rate”) on the opening N etA ssetV alu e of su chseries immed iately followingits establishment,appropriately ad ju sted to accou ntforanyred emptions and transfers.The Threshold V alu e is cu mu lative from period to period bu tis notcompou nd ed .Forexample,if aseries of Su bC o N otes is established on Janu ary 1of ayearwithaN etA ssetV alu e of $100 on su chd ate,the Threshold V alu e attribu tableto su chseries wou ld be $106 on D ecember31 of su chyear,$112 on D ecember31 of thefollowingyear,and $118 on D ecember31 of the nextyear,assu mingthatno red emptionsor transfers have been mad e. The Threshold Rate and the Threshold V alu e willbeprorated forpartialperiod s. N otwithstand ingthe foregoing,the Threshold Rate shallbead ju sted to 6.7 5% from and afterthe d ate thatSu bC o commences u tilizing(and forthed u ration of the period d u ring which itu tilizes)leverage in connection with its trad ingprogram.

(e) O n D ecember31 of eachyeard u ringwhichSu bC o N otes are ou tstand ing(commencing on D ecember 31,2016) and on the d ate of the finalcalcu lation of theIncentive Fee in connection with the termination of this A greement(each su ch d ate,a“Clawback Date”),there shallbe calcu lated the amou nt,if any,by whichthe aggregateamou ntof Incentive Fees actu ally paid withrespectto eachSu bC o N ote ou tstand ingonsu ch C lawback D ate with respectto the period from the laterof the d ate of issu ance ofsu chSu bC o N ote or(ii)Janu ary 1 of the yearpriorto the yearin whichsu chC lawbackD ate occu rs throu ghthe applicable C lawbackD ate (in eachcase,a“Clawback Period”)exceed s the aggregate amou nt of Incentive Fees that wou ld be payable as of su chC lawback D ate with respectto su ch Su bC o N ote if the Incentive Fee were calcu lated(su bjectto the H igh W ater M ark and Threshold V alu e) u sing the relevantC lawbackP eriod as a single measu rementperiod (su ch excess,the “Clawback Amount”). Forexample,assu mingaSu bC o N ote issu ed on Ju ne 1,2015and thatremains ou tstand ingonD ecember31,2019,there wou ld be calcu lated on D ecember31,2019 the amou nt,if any,by which (a)the aggregate amou ntof Incentive Fees actu ally paid with respectto su chSu bC o N ote forthe period from Janu ary 1,2018 throu ghD ecember31,2019 (inclu d ingany Incentive Fee payable as of D ecember31,2019)exceed s (b)the aggregate amou ntofIncentive Fees thatwou ld be payable as of D ecember 31,2019 with respectto su chSu bC o N ote if the Incentive Fee were calcu lated (su bjectto the H igh W aterM ark andThreshold V alu e)u singthe period from Janu ary 1,2018 throu ghD ecember31,2019 as asingle measu rementperiod . (Forthe avoid ance of d ou bt,clawback calcu lations wou ldalso be performed on D ecember31,2016,D ecember31,2017 and D ecember31,2018with respectto su ch Su bC o N ote,in each case with respectto the trailing 24-month

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period .) The Trad ingM anagershallpay the C lawback A mou nt,if any,with respecttoeachSu bC o N ote to Su bC o followingthe applicable C lawbackD ate,provid ed thatin noeventwillthe Trad ingM anagerbe obligated to pay amou nts u nd erthis Section 4(e)withrespectto aSu bC o N ote in excess of (x)the aggregate Incentive Fees received by theTrad ing M anager with respectto su ch Su bC o N ote and C lawback P eriod ,less (y)thetotalamou ntof any U.S.fed eral,state and localincome taxes paid or payable withrespectto su ch Incentive Fees,which shallbe d eemed to have been calcu lated atthehighestcombined U.S.fed eral,state and localincome tax rates applicable to eitherind ivid u als resid ing orcorporations d oing bu siness in N ew Y ork C ity. The C lawbackA mou nt shallbe calcu lated solely with respect to Su bC o N otes ou tstand ing at therelevantC lawbackD ate and shallbe appropriately allocated amongthe series of Su bC oN otes. The H igh W ater M ark willbe appropriately ad ju sted forthe actu alamou ntofIncentive Fees paid d u ring each C lawback P eriod (taking into accou ntany C lawbackA mou nts paid ).

(f) Su bC o shallgenerally pay the Incentive Fee to a reserve accou nt(the“Reserve Account”). A mou nts in the Reserve A ccou nt shallserve as secu rity forpotentialobligations of the Trad ingM anageru nd erSection 4(e).Su bjectto Section 4(e),Incentive Fees d eposited in the Reserve A ccou ntwithrespectto afiscalyearand aseriesof Su bC o N otes shallbe d istribu ted to the Trad ingM anageras follows:

(i) 50% of su ch Incentive Fees shallbe d istribu table immed iately tothe Trad ingM anager;and

(ii) the remaining 50% of su ch Incentive Fees shallbe d istribu ted tothe Trad ingM anageras of Janu ary 1 of the second fiscalyearfollowingthe fiscalyearin whichsu chfees were earned .

A ny C lawback A mou nts shall first be satisfied ou t of the ReserveA ccou nt.

(g) In the eventof the termination of this A greement,the M anagementFeeand the Incentive Fee shallbe compu ted and payable throu gh the laterof the effectived ate of termination and the d ate throu gh which Su bC o ceases u sing the services of theTrad ingM anager.In the case of the Incentive Fee,su chlaterd ate shallbe treated as if itwere the lastd ay of the then-cu rrentyear,and if H P S liqu id ates the entire portfolio ofSu bC o in its role as Trad ing M anager of Su bC o,the Incentive Fee willbe calcu latedbased on the red emption proceed s d istribu ted to the C ompany as hold er of the Su bC oN otes.

(h) The valu e of Su bC o’s assets shallbe d etermined in good faith by theA d ministrator,in consu ltation withthe Trad ingM anager,and verified by the cu stod ian,and su chd etermination shallbe bind ingand conclu sive on the parties to this A greement,provid ed thatany in-kind d elivery of red emption proceed s may take the form of d eliveryof Su bC o N otes orinvestments of Su bC o,withthe valu e of eitherconfirmed by athird -party valu ation agentselected by the Trad ingM anagerand approved by the N otehold ers.For pu rposes of calcu lating the H igh W ater M ark and the Threshold V alu e for the

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pu rpose of d eterminingthe Incentive Fee,the N etA ssetV alu e of Su bC o willbe red u cedby the amou ntof any expenses incu rred by the C ompany exclu sive of any amou ntsou tstand ingu nd erthe C ompany N otes and exclu sive of InvestorExpenses (as d efined inthe C ompanyD ocu ments).

(i) The Trad ing M anager may rebate some or allof its M anagementFeeand /orIncentive Fee withrespectto any hold erof the Su bC o N otes and intend s to rebatesome orallof the M anagementFee and /orIncentive Fee withrespectto certain principalsand employees of the Trad ingM anager,H ighbrid ge orJP M .

(j) A n Incentive Fee willbe payable in connection witheachd istribu tion bySu bC o to hold ers of the Su bC o N otes atthe end of each fiscalyear. A ny amou ntsrepresentingcu rrentincome thatare d istribu ted in respectof aseries by Su bC o to hold ersof Su bC o N otes d u ringafiscalyearwillbe ad d ed backto calcu late the N etA ssetV alu eof su chseries of Su bC o N otes solely forpu rposes of calcu latingthe Incentive Fee attheend of su chfiscalyear.

(k) The Incentive Fee will be treated as an expense attribu table to theapplicable series of Su bC o N otes.The A d ministratorwillconfirm the M anagementFee,Incentive Fee and C lawbackA mou ntcalcu lations.

For illu strative pu rposes,a sample calcu lation of the M anagement Fee,Incentive Fee andC lawbackA mou ntis attached hereto as ExhibitA .

5. O ther A ctivities;A dvisory C ommittee. (a) Su bC o agrees thatin ad d ition totransactions specifically contemplated by this A greement,to the extentpermitted by applicablelaw,the Trad ing M anager,H ighbrid ge,any of their respective A ffiliates and JP M organ areau thorized to acqu ire investments or obtain services from,borrow money or obtain a cred itfacility from,sellinvestments orprovid e services to,orotherwise enterinto any transaction with,Su bC o,any sharehold er of Su bC o or the C ompany or any hold er of the Su bC o N otes orC ompany N otes,any issu erof an Investment,orany A ffiliate of any of the foregoingP ersons.W ithrespectto any of the foregoingtypes of transactions between Su bC o,on the one hand ,andthe Trad ing M anager,H ighbrid ge orany of theirA ffiliates and JP M organ,on the otherhand ,su chtransaction willrequ ire the priorconsentof the A d visory C ommittee as setforthin Section5(b)below.

(b) A n ad visory committee (the “A dvisory C ommittee”)comprised of atleastthree representatives of hold ers of C ompany N otes,nominated by su ch hold ers ofC ompany N otes and appointed by the board of managers of Su bC o (whichappointmentwillnotbe u nreasonably withheld )and one non-votingobserverappointed by the boardof managers of the C ompany’s sole sharehold er,willbe established with respecttoSu bC o,provid ed thatno member of the A d visory C ommittee shallbe an A ffiliate,employee,agentorrepresentative of the Trad ingM anager,bu tthatany su chP erson mayserve as the non-voting trad ing manager representative or observer of the A d visoryC ommittee. The A d visory C ommittee will(i) provid e su ch ad vice and cou nselas isrequ ested by the Trad ing M anager in connection with potentialconflicts of interestinvolving the C ompany and Su bC o, inclu d ing, where appropriate, approval or

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d isapprovalof transactions orothermatters givingrise to su chconflicts,and (ii)provid esu ch other ad vice and cou nsel,or approve or d isapprove su ch other matters,as arereasonably requ ested by the Trad ingM anager. In ad d ition,the consentof the A d visoryC ommittee shallbe requ ired (w) with regard to the extension of the Issu ance P eriodand /orof the Recycling P eriod as d efined in the Su bC o D ocu ments,(x)in connectionwithany amend mentof this A greementand /orany change to the main service provid erslisted on Sched u le A hereto or any termination of this A greementby Su bC o,(y) inconnection with any transfer or assignment of this A greement,or the d u ties andobligations hereu nd er,by the Trad ing M anager,or the appointmentof a new trad ingmanagerin place of the Trad ingM anagerand (z)in connection with any borrowingbySu bC o and the ad option of any cu rrency hed gingprogram with respectto Su bC o. TheA d visory C ommittee recommend ation shallbe requ ired with regard to variations andd eviations from the InvestmentGu id elines.A ny approvaland /orrecommend ation by theA d visory C ommittee shall requ ire the consent of the majority of its members.N otwithstand ingthe foregoing,the C ompany’s investmentad viser,the Trad ingM anager,the board of d irectors of the C ompany and the B oard of M anagers willretain u ltimateresponsibility formakingalld ecisions relatingto the operation,cond u ctand managementof the bu siness and affairs of the C ompany and Su bC o,as applicable. A ny memberofthe A d visory C ommittee nominated by ahold erof C ompany N otes may be removed bysu chhold er,and anew membermay then be nominated by su chhold erforappointmentby the board of d irectors of the C ompany. The operations of the A d visory C ommitteeshallbe governed bythe A d visoryC ommittee’s charter.

(c) The Trad ing M anager shallpromptly,and in any eventwithin 5 d ays,notify Su bC o if any of ScottKapnick,P u rnimaP u riand Serge A d am resign from H C MorH P S.

6. Excu lpation and Indemnification.(a) N one of the Trad ingM anager,orany of itsofficers,d irectors,members,employees orpartners (each,an “Trading Manager IndemnifiedPerson”) shallbe liable to Su bC o or any other P erson who is party to or bou nd by thisA greementforany losses,claims,d amages orliabilities,inclu d ingliabilities in respectof taxes(and any interest,ad d itions to tax,penalties orexpenses relatingto any su chtaxes)(collectively,“Damages”)arising ou tof,related to orin connection with any actoromission performed oromitted by itin connection withthis A greement,the Su bC o D ocu ments orSu bC o’s bu siness oraffairs,exceptfor any D amages resu lting from su ch Trad ing M anager Ind emnified P erson’sfrau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu ld isregard of fid u ciary d u ties,anyknowing and materialviolation of any applicable law or any other intentionaland criminalwrongd oing on the partof su ch Trad ing M anager Ind emnified P erson. A Trad ing M anagerInd emnified P erson shall,to the fu llestextentpermitted by applicable law,be treated as havingacted in good faith and with the requ isite d egree of care if su ch Trad ing M anagerInd emnifiedP erson has relied on reports and written statements of the d irectors,officers,employees,agents,stockhold ers,members,managers and partners of an issu erof an InvestmentorRelated P ersonwithrespectto the applicable Investment,u nless su chTrad ingM anagerInd emnified P erson hadreason (takinginto accou ntsu chTrad ingM anagerInd emnified P erson’s professionalskills andexpertise)to believe thatsu chreports orstatements were nottru e and complete.N otwithstand ingthe foregoing,nothing contained in this Section 6(a) or elsewhere in this A greementshallconstitu te awaiverorlimitation of the rights of Su bC o orany sharehold erof Su bC o orhold erof

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the Su bC o N otes u nd erapplicable U.S.fed eralorstate secu rities laws (inclu d ingu nd erSection10(b)and Ru le 10b-5of the Secu rities Exchange A ctof 1934).

(b) Su bC o shall,to the fu llestextentpermitted by applicable law,ind emnifyand hold harmless each Trad ing M anager Ind emnified P erson against any D amagesarising ou tof,related to orin connection with this A greementorSu bC o’s bu siness oraffairs,exceptfor any su ch D amages resu lting from a Trad ing M anager Ind emnifiedP erson’s frau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu ld isregard offid u ciary d u ties,any knowingand materialviolation of any applicable law orany otherintentionaland criminalwrongd oing on the partof su ch Trad ing M anagerInd emnifiedP erson. Su bC o shallperiod ically reimbu rse each Trad ing M anagerInd emnified P ersonforallexpenses (inclu d ingreasonable fees and expenses of cou nsel)as su chexpenses areincu rred in connection with investigating, preparing, pu rsu ing or d efend ing anyP roceed ing related to,arising ou tof orin connection with this A greementorSu bC o’sbu siness oraffairs whetherornotpend ingorthreatened and whetherornotany Trad ingM anager Ind emnified P erson is a party thereto;provided thatsu ch Trad ing M anagerInd emnified P erson shallpromptly repay to Su bC o the amou ntof any su ch reimbu rsedexpenses paid to itif itshallbe ju d icially d etermined by ju d gmentorord ernotsu bjecttofu rtherappealord iscretionary review thatsu ch Trad ingM anagerInd emnified P erson isnotentitled to be ind emnified by Su bC o. If for any reason (other than su ch Trad ingM anager Ind emnified P erson’s frau d ,Gross N egligence,willfu lmiscond u ct,bad faith,willfu l d isregard of fid u ciary d u ties, any knowing and material violation of anyapplicable law or any other intentionaland criminalwrongd oing on the partof su chTrad ingM anagerInd emnified P erson)the ind emnification d escribed in this paragraphisu navailable to any Trad ing M anager Ind emnified P erson,or insu fficient to hold itharmless,then Su bC o shallcontribu te to the amou ntpaid or payable by su ch Trad ingM anager Ind emnified P erson as a resu ltof su ch D amages in su ch proportion as isappropriate to reflectthe relative benefits received by Su bC o,on the one hand ,and su chTrad ing M anager Ind emnified P erson,on the other hand ,or,if su ch allocation is notpermitted by applicable law,to reflectnotonly the relative benefits referred to above bu talso any other relevantequ itable consid erations. Su bC o’s ind emnification obligationsu nd er this Section 6 shall terminate on the second anniversary of Su bC o’s finald istribu tion of assets to hold ers of Su bC o N otes.

(c) Su bC o’s obligation,if any,to ind emnify or ad vance expenses to anyTrad ingM anagerInd emnified P erson is intend ed to be second ary to any su chobligationof,and shallbe red u ced by any amou ntsu ch Trad ing M anager Ind emnified P ersoncollects as ind emnification or ad vancementfrom,(i) any issu er of an Investmentorsu bsid iary thereof,or (ii) any applicable insu rance policy. If any Trad ing M anagerInd emnified P erson is entitled to ind emnification orad vancementfrom (x)any issu erofan Investmentorsu bsid iary thereof,or(y)any applicable insu rance policy,su chTrad ingM anager Ind emnified P erson shallu se commercially reasonable efforts to firstseekind emnification orad vancementfrom su chissu erof an Investmentorsu bsid iary thereoforinsu rance policy. N otwithstand inganythingto the contrary in the Su bC o D ocu mentsor this A greement,Su bC o may in the d iscretion of the B oard of M anagers pay anyobligations orliabilities arisingou tof this A greementas asecond ary ind emnitoratanytime priorto any primary ind emnitor(whichshallinclu d e any issu erof an Investmentor

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su bsid iary thereof or any applicable insu rance policy)making any payments any su chprimary ind emnitorowes,itbeingu nd erstood thatany su chpaymentby Su bC o shallnotconstitu te awaiverof any rightof contribu tion orsu brogation to whichSu bC o is entitled(inclu d ing againstany primary ind emnitor) or relieve any other ind emnitor from anyind emnity obligations. N eitheraTrad ingM anagerInd emnified P erson norSu bC o shallbe requ ired to seekind emnification orcontribu tion from any othersou rces withrespecttoany amou nts paid bySu bC o in accord ance withthis Section 6(c).

7 . C ertain L imitations. The Trad ing M anager shallin no eventbe obligated toprovid e any services to the Su bC o to the extentthatsu chservices,in the reasonable d iscretion ofthe Trad ingM anager,may notcomply with,orwou ld cau se the Trad ingM anagerorany of itsA ffiliates to violate,any applicable law,regu lation,ord erord ecree.Forthe avoid ance of d ou bt,the Trad ing M anager represents and warrants that,to the bestof its knowled ge,the serviceshereu nd er comply with,and wou ld notcau se the Trad ing M anager or any of its A ffiliates toviolate,anyapplicable law,regu lation,ord erord ecree,in eachcase to the extentnecessaryforormaterialto the cond u ctof the InvestmentA d viser’s bu siness and the performance of the servicesu nd erthis A greement.

8 . O verhead Expenses. The Trad ing M anager shall bear its own O verheadExpenses. A s u sed herein,the term “Overhead Expenses”means allsalaries and employeebenefitexpenses of employees of the Trad ing M anager and related overhead (inclu d ing rent,u tilities and other similar items)resu lting from the activities of su ch employees on behalf ofSu bC o or in connection with this A greement;provided,that,for the avoid ance of d ou bt,theO verhead Expenses to be borne by the Trad ing M anagershallnotinclu d e any expenses to beborne bySu bC o pu rsu antto the C ompanyD ocu ments.

9. Term and Termination. (a)This A greementshallbecome effective on the d atehereof and shallcontinu e u ntilthe earliestof:

(i) the mu tu alagreementof allof the parties hereto to terminate thisA greement;

(ii) the red emption or other termination of allof the Su bC o N otesu nd ercircu mstances su chthatthe B oard of M anagers d oes nothave areasonableexpectation thatfu rtherSu bC o N otes willbe issu ed shortlythereafter;

(iii) the completion of the liqu id ation of Su bC o;

(iv) the termination d ate setforth in anotice of termination d eliveredby Su bC o to the Trad ingM anager,with the consentof the A d visory C ommitteenotless than 60 d ays priorto the termination d ate setforththerein;and

(v) the termination d ate setforth in anotice of termination d eliveredby the Trad ingM anagerto Su bC o notless than 9 months priorto the terminationd ate set forth therein (or su ch shorter period as proposed by the B oard ofM anagers and approved bythe A d visoryC ommittee).

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(b) Upon and following termination of this A greementfor any reason,theTrad ingM anagershallu se commercially reasonable efforts to provid e su chinformationand otherassistance as shallbe reasonably requ ested by Su bC o to facilitate the transitionof the services contemplated hereu nd erto anotherinvestmentmanager.

(c) Upon the termination of this A greement,the Trad ing M anager shallbed eemed to be removed or,if appropriate,to have resigned as investmentmanager toSu bC o as of the effective d ate of su chtermination.

10. P owerof A ttorney.Su bC o hereby constitu tes and appoints the Trad ingM anageras its tru e and lawfu lrepresentative and attorney-in-fact,in its name,place and stead to make,execu te,sign,d eliverand file,if appropriate,any d ocu mentnecessary to effectu ate and ex ecu tethe powerand au thority of the Trad ingM anagercontemplated hereby,inclu d ingany d ocu mentsreferred to in Section 2(b),and to take any other actions in connection with the Trad ingM anager’s powerand au thority contemplated hereby.The powerof attorney granted hereby andthereby (i)is d eemed to be given to secu re aproprietary interestof the d onee of the powerorperformance of an obligation owed to the d onee;(ii)to the extentpermitted u nd erapplicablelaw,shallsu rvive and shallnot be affected by the su bsequ ent insolvency,bankru ptcy ord issolu tion of Su bC o; and (iii) shall extend to Su bC o’s su ccessors, assigns and legalrepresentatives. N otwithstand ing the foregoing,the power of attorney granted hereby shallau tomatically expire on M arch 31, 2015, provid ed that su ch power of attorney shallau tomatically renew forsu ccessive six-monthperiod s (end ingon September30 and M arch31 ofeach year) while this A greement is in effect u nless the B oard of M anagers u nanimou slyd etermines notto allow su charenewaland informs the Trad ingM anagerof su chd eterminationatleast30 d ays priorto the applicable expiration d ate.

11. D elivery of D ocu ments. Su bC o has d elivered to the Trad ing M anager,and theTrad ing M anager acknowled ges the receiptof,copies of each of the Su bC o D ocu ments,theTerms and C ond itions of the C ompany N otes and the A rticles of A ssociation of the C ompany,and Su bC o willpromptly notify and d eliverto the Trad ingM anagerany fu tu re amend ments andsu pplements thereto,if any.

12. N on-Exclu sivity.N othingin this A greementshalllimitorrestrictthe rightof anyofficer or employee of the Trad ing M anager to serve as a d irector or officer of Su bC o,ofH ighbrid ge,of JP M organ and any of their respective A ffiliates and /orto engage in any otherbu siness orto d evote his orhertime and attention in partto any otherbu siness.N othingin thisA greementshalllimitorrestrictthe rightof the Trad ingM anagerto engage in anyotherbu sinessorto rend erservices of any kind to any othercorporation,firm,ind ivid u alorassociation.In thisregard ,Su bC o acknowled ges that,in the ord inary cou rse of its bu siness,the Trad ing M anagerd oes and willcontinu e to provid e similar services to other investmententities sponsored byH ighbrid ge and JP M organ as wellas otherclients of H ighbrid ge and JP M organ.

13. N otices Generally. A llnotices,requ ests and othercommu nications to any partyhereu nd ershallbe in writingand shallbe given:

17

967 68 44.20

(i) If to the Trad ingM anager,at:

Highbridge Principal Strategies, LLC40 W est57 thStreet,33rd FloorN ew Y ork,N Y 10019A ttn:FaithRosenfeld

(ii) If to Su bC o,at:

Highbridge – GIM Credit Master Lux S.à r.l.c/o TM F L u x embou rgS.A .46,A venu e J.F.Kenned yL -18 55L u x embou rgL u x embou rg

orto su chotherad d ress,telecopy nu mberorelectronic mailad d ress as su chparty may hereafterspecifyforthe pu rpose by notice to the otherparties hereto.

14. Entire A greement. This A greementshallconstitu te the entire agreementandu nd erstand ingamongthe parties hereto withrespectto the su bjectmatterhereof.

15. A mendment; W aiver. This A greement may be amend ed only by writtenagreementsigned by each of the parties hereto.N one of the rights hereu nd ermay be waived ,exceptbyan instru mentin writingsigned bythe partysou ghtto be charged withsu chwaiver.

16. Governing L aw. This A greementshallbe constru ed in accord ance with andgoverned by the laws of the State of N ew Y ork withou tgiving effectto the principles thereofrelatingto choice orconflictof laws.

17 . Foru m Selection;Service of P rocess.(a) To the fu llestextentpermitted by law,the parties hereto agree thatany su it,action orproceed ingseekingto enforce any provision of,orbased on any matterarisingou tof orin connection with,this A greementshallonly be brou ghtinthe Fed eralcou rts located in the C ou nty of N ew Y ork in the State of N ew Y ork orthe Statecou rts located in the C ou nty of N ew Y orkin the State of N ew Y orkand notin any otherState orFed eralcou rts located in the United States of A mericaorany cou rtin any othercou ntry,andeachof the parties hereto hereby irrevocably consents to the ju risd iction of su chcou rts (and ofthe appropriate appellate cou rts therefrom)in any su chsu it,action orproceed ingand irrevocablywaives,to the fu llestextentpermitted by law,any objection thatitmay now orhereafterhave tothe layingof the venu e of any su chsu it,action orproceed ingin any su chcou rtorthatany su chsu it,action orproceed ingwhichis brou ghtin any su chcou rthas been brou ghtin an inconvenientforu m.

(b) N othingin this Section 17 shallaffectanyrightof the partyhereto to serveprocess in anymannerpermitted bylaw.

(c) EACH PARTY HERETO HEREBY IRREVOCABLY WAIVESANY AND ALL RIGHT TO A TRIAL BY JURY IN ANY LEGAL PROCEEDING

18

967 68 44.20

ARISING OUT OF OR RELATED TO THIS AGREEMENT OR THETRANSACTIONS CONTEMPLATED HEREBY.

18 . P arties in Interest. Exceptas setforth in Section 6 above,this A greementshallbe bind ing u pon and inu re solely to the benefitof each party hereto and theirrespective legalrepresentatives,heirs,su ccessors and assigns,and nothingin this A greement,express orimplied ,is intend ed to orshallconferu pon any otherP erson,any right,benefitorremed y of any natu rewhatsoeveru nd erorby reason of this A greement.

19. C ou nterparts.This A greementmay be execu ted eitherd irectly orby an attorney-in-fact,in any nu mberof cou nterparts (inclu d ingfacsimile orP D F copies thereof),eachof whichshallconstitu te an original,bu tallof whichu pon d elivery when taken togethershallconstitu te asingle contract.

20. Severability.Eachprovision of this A greementshallbe consid ered severable andif forany reason any provision whichis notessentialto the effectu ation of the basic pu rposes ofthis A greementis d etermined by acou rtof competentju risd iction to be invalid oru nenforceableand contrary to N ew Y ork L aw orexisting orfu tu re applicable law,su ch invalid ity shallnotimpairthe operation of oraffectthose provisions of this A greementwhich are valid . In thatcase,this A greementshallbe constru ed so as to limitany term orprovision so as to make itenforceable orvalid within the requ irements of any applicable law,and in the eventsu chterm orprovision cannotbe so limited ,this A greementshallbe constru ed to omitsu ch invalid oru nenforceable provisions.

21. Su rvival. The provisions of Section 6 above shallsu rvive termination of thisA greement for any reason;provided that su ch provisions willterminate u pon the secondanniversaryof Su bC o’s finald istribu tion of assets to hold ers of Su bC o N otes.

22. Use of N ame. Itis u nd erstood thatthe name “H ighbrid ge”or any d erivativethereof orlogo associated withsu chname is the valu able property of the Trad ingM anagerandits affiliates and thatSu bC o has the rightto u se su chname (ord erivative orlogo)only so longasthis A greementshallcontinu e. Upon termination of this A greement,Su bC o shallforthwithcease to u se su ch name (or d erivative or logo),and Su bC o shallpromptly seek to change itsnames to complyherewith.

23. M iscellaneou s. To the fu llestextentpermitted by law,no failu re on the partofany party hereto to exercise,and no d elay on its partin exercising,any rightorremed y u nd erthisA greementwilloperate as awaiverthereof,norwillany single orpartialexercise of any rightorremed y preclu d e any other or fu rther exercise thereof or the exercise of any other rightorremed y.The rights and remed ies provid ed in this A greementare cu mu lative and notexclu sive ofany rights orremed ies provid ed bylaw.

24. Ru les of C onstru ction.

(a) Forallpu rposes of this A greement,exceptas expressly provid ed herein oru nlessthe contextotherwise requ ires,the word s “inclu d ing,”“inclu d es,”“inclu d e,”and word s of

19

967 68 44.20

similarimportshallbe d eemed to be followed by the phrase “withou tlimitation”and shallberegard ed as areference to non-exclu sive and non-characterizingillu strations.

(b) Exceptas otherwise expresslyprovid ed herein and su bjectto Section 24(d )below,in any case where the Trad ing M anageris au thorized orrequ ired to take an action,make anyd etermination or give any approvalor consent,itshalld o so in its sole d iscretion or soleju d gmenttakinginto accou ntany consid erations itd eems appropriate,bu tsu bjectto its fid u ciaryobligations and the stand ard of care setforthherein.

(c) Itis intend ed thatthe terms of this A greementbe constru ed in accord ance withtheir fair meanings and notagainstany particu lar P erson,inclu d ing the Trad ing M anager.D efined terms u sed in this A greementshallhave the same meaning whether d efined or u sedherein in the singu larorthe plu ral,as the case may be.

(d ) A llcalcu lations ord eterminations of valu e shallbe performed u singU.S.d ollarsas the base cu rrency,and ,exceptas otherwise provid ed herein,allnon-U.S.D ollarassets andliabilities shallbe consid ered to be the U.S.D ollarequ ivalentthereof d etermined based u pon therate of exchange qu oted by the Thomson Reu ters Enterprise P latform (or any su ccessor pagethereto)forsu chalternate cu rrency,as in effectat6:30 p.m.(C entralEu ropean Time)on the d ateof calcu lation ord etermination and allcalcu lations ord eterminations of valu e throu ghou tthisA greementshallbe performed u singU.S.d ollars as the base cu rrency.

(e) To the extentthatthe provisions of this A greementrestrictoreliminate the d u tiesand liabilities or rights and powers of any P erson otherwise existing atlaw or in equ ity,theP artners agree to restrictor eliminate su ch other d u ties,liabilities,rights and powers of su chP ersons as setforthin this A greement.

25. H eadings. Section and other head ings contained in this A greement are forreference only and are notintend ed to d escribe,interpret,d efine orlimitthe scope orintentofthis A greementoranyprovision hereof.

26. This A greementmay notbe assigned (within the meaningof Section 205(a)(2)ofthe A d visers A ct)withou tthe consentof Su bC o and may be assigned only in accord ance withthe provisions of the A rticles.

27 . Representations, W arranties and C ovenants of the Investment A dviser.TheTrad ingM anagerrepresents,warrants and covenants that:

(a) The Trad ing M anageris d u ly organized ,valid ly existing,and in good stand ingu nd erthe laws of the State of D elaware. The Trad ing M anagerhas fu llpowerand au thority(corporate orotherwise)to enterinto and perform its obligations u nd erthis A greement,and tocond u ctits bu siness in relation to Su bC o as cu rrentlybeingcond u cted .

(b) This A greementhas been d u ly and valid ly au thorized ,execu ted ,and d elivered onbehalf of the Trad ing M anagerand is avalid and bind ing agreementof the Trad ing M anager,enforceable in accord ance withits terms.

20

967 68 44.20

(c) The execu tion and d elivery of this A greement, and the incu rrence andperformance of the obligations contemplated in this A greementby the Trad ingM anager,d o notconflictwith,violate,breach,orconstitu te ad efau ltu nd erany term orprovision of its certificateof formation,limited liability company agreementorotheragreementorinstru mentto whichtheTrad ingM anageris aparty,orby whichitis bou nd ,orto whichany of the property orassets ofthe Trad ingM anagerare su bject,orany laws,ru les orregu lations applicable to it,orotherlegalrequ irement of any cou rt or any governmental, regu latory or self-regu latory agency,organization,exchange,orotherbod yhavingju risd iction overthe Trad ingM anager.

(d ) The Trad ing M anager has all governmental,regu latory,self-regu latory,andexchange licenses,registrations,memberships,and approvals requ ired to perform its obligationsu nd erthis A greement,and itwillmaintain any su ch requ ired licenses,registrations,approvals,and memberships d u ringthe term of this A greement.

(e) The Trad ing M anager willengage and u tilize brokers for activities relating toSu bC o only in accord ance withthe practices d escribed in the Form A D V P art2A of H ighbrid geC apitalM anagement,L L C ,on which the Trad ingM anageris listed as a“relyingad viser”, onfile withthe U.S.Secu rities and Exchange C ommission

(f) The Trad ingM anager,accord ingto the instru ctions received ,confirms to Su bC othatu pon settlementof the su bscription of the firstissu ance of Su bC o N otes,the Trad ingM anagerwillcau se Su bC o to pu rchase the initialportfolio of assets as setforth,inclu d ing theproposed face valu e and pu rchase price in Sched u le C ,hereto,from an investmentfu nd managedby the Trad ing M anager,and Su bC o confirms its consentto the acqu isition of su ch initialportfolio of assets forboththe face valu e and the pu rchase price ind icated in Sched u le C ,fromsu ch investment fu nd , at a price not higher than su ch price ind icated in Sched u le C .N otwithstand ing the foregoing, if, following execu tion of this A greement, the A d visoryC ommittee d ispu tes the pu rchase price of su ch an asset,itshallprovid e written notice to theTrad ing M anager of su ch d etermination within two (2) bu siness d ays of execu tion of thisA greement,and the Trad ing M anager and the A d visory C ommittee shallu se commerciallyreasonable efforts to resolve the issu e (inclu d ingby makingany pu rchase price ad ju stments withrespectto the applicable assetas the Trad ing M anager and the A d visory C ommittee shallmu tu ally d etermine and amend ingSched u le C accord ingly). If su chissu e is notresolved to theA d visory C ommittee’s satisfaction within three (3)bu siness d ays of su ch notice to the Trad ingM anager,the applicable assetshallbe removed from the listof assets being transferred andSched u le C shallbe amend ed accord ingly.Forthe avoid ance of d ou bt,in ad d ition to the assetsacqu ired from su chinvestmentfu nd ,Su bC o’s initialportfolio willalso inclu d e certain “top-u p”positions in respectof su ch assets pu rchased in the marketforaprice less than orequ alto themaximu m pu rchase price reflected on Sched u le C .

(g) The parententity of the Trad ingM anager,H C M ,is registered u nd erand governedby the provisions of the A d visers A ctand related regu lations,and the Trad ing M anager is a“relying ad viser”with respectto su ch registration. The Trad ing M anagershallatalltimes besu bjectto the fid u ciary stand ard s setforthin the A d visers A ctand willactin good faithand withreasonable d iscretion in exercisingits rights u nd erthis A greement.

21

967 68 44.20

28 . The Trad ingM anagershallnotd isclose the id entity of the sharehold ers of Su bC oorof the hold ers of the Su bC o N otes orany confid entialorproprietary information specific toSu bC o or its sharehold ers or the hold ers of the Su bC o N otes (“Confidential Information”)except(i)in connection withan actu alorpotentialinvestmentwhere su chd isclosu re is requ estedfortax,legal,regu latory and /orothersimilarreasons,(ii)if requ ired by law orregu lation,(iii)pu rsu antto the requ estof any regu latory orqu asi-regu latory bod y,(iv)to Su bC o’s lend ers orother cou nterparties,(v) to employees,accou ntants,attorneys,au d itors and other agents andrepresentatives of Su bC o and the Trad ingM anagerwho are bou nd by ad u ty of confid entiality;and (vi)to employees,accou ntants,attorneys,au d itors and otheragents and representatives ofSu bC o’s sharehold ers or the hold ers of the Su bC o N otes. N otwithstand ing the foregoing,“C onfid entialInformation”shallnotinclu d e information that(i)is orhas been mad e generallyavailable to the pu blic throu ghthe d isclosu re thereof in amannerthatwas au thorized by Su bC oorthe relevantthe Su bC o sharehold erorthe hold erof the Su bC o N otes and d id notviolate anycommon law orcontractu alrightof the applicable party;(ii)is orbecomes generally available tothe Trad ingM anagerotherthan as aresu ltof ad isclosu re by the Trad ingM anagerin violation ofthe provisions hereof;(iii)was alread y in the possession of the Trad ing M anager withou tanobligation of confid entiality priorto the Trad ingM anagerbecomingaparty to this A greement;(iv)is obtained by the Trad ingM anagerfrom asou rce otherthan Su bC o orits sharehold ers orhold ers of the Su bC o N otes,and su chsou rce d id notviolate arequ irementof confid entiality ind isclosingsu chinformation;(v)relates in any way to any othervehicle,accou ntorbu siness ofthe Trad ingM anager(even thou ghsu chinformation may relate to Su bC o as well);or(vi)certaingeneral,non-id entifying information abou tSu bC o d isclosed in the Trad ingM anager’s ord inarycou rse of bu siness.

[Remaind erof P age IntentionallyB lank]

967 68 44.20

IN W ITN ESS W H EREO F,this A greementhas been execu ted and entered into by theu nd ersigned as ad eed as of the d ayand yearfirstabove written.

HIGHBRIDGE PRINCIPAL STRATEGIES, LLCas TradingM anager

B y:N ame:Title:

HIGHBRIDGE – GIM CREDIT MASTER LUX S.À R.L.



[Signatu re P age of InvestmentM anagementA greementforH ighbrid ge –GIM C red itM asterL u x S.à r.l.]

A -1967 68 44.20

Schedule A

Initial Service Providers

TM F L u xembou rgS.A .B N P P aribas Secu rities Services L u xembou rgB ranchP ricewaterhou seC oopers L L PFried ,FrankH arris Shriver& Jacobson L L PA rend t& M ed ernachS.A .

B-1 9676844.16

Schedule B

Investment Guidelines

1

9807852.7







following criteria:





















management





a) Liquidity:





2

9807852.7








b) Single Borrower:











II. Borrower Level:












relevant industry










3

9807852.7





Holdco Financing)











defined below)



9. Debt sizing:












figure

4

9807852.7



All except:1. Tesco

2. Textron Inc.


4. Rio Tinto Ltd

5. Rio Tinto Plc


7. Serco Group Plc

8. GenCorp Inc







15. Freeport Mc



18. Boeing Co.




22. Safran SA



25. EADS Finance BV




29. Raytheon Co.


31. Norilsk Nickel


5

9807852.7













Check the box




Check the box



management

Check the box













6

9807852.7






[ ] % of latest NAV










Check the box:




Check the box:





Check the box:


Ratings)*










*Meets Exception:




7

9807852.7

applicable):


Position Size $[MM]

[ ] % of latest NAV



Check the box:



judgment







4.5x:








underwriting case:

[provide DSCR]







normalized figure

8

9807852.7






If <30% but >20%:



feature)




Min ≥ 40%:





Check the box:



If yes, describe




covenant)


Check the box:

Loan Details Status




Spread:

OID:

Other fee:

C-19676844.17

Schedule C

Initial Portfolio Assets – To be purchased from an investment fund managed by the Trading Manager

# Obligor LoanX ID Face Value Spread PurchasePrice

1

2

3

4

5

Initial Portfolio Assets - To be purchased on the market (“top-up”)

# Obligor LoanX ID Face Value Spread MaximumPurchase

Price

1

2

3

4

5

9676844.17

Exhibit A

Sample Calculation

PLEASE SEE ATTACHED

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 26

Schedule 2

Advisory Committee Guidelines and Administrative Procedures

19731516.7

SubCo Advisory CommitteeGuidelines and Administrative Procedures

Capitalized terms used but not defined shall have the meaning given to the terms in the Terms and Conditions of the SubCo Notes (the “Terms and Conditions”) and the Information Memorandum of the Company (the “Memorandum”). In the event of a conflict between the Terms and Conditions and the Memorandum, the definition provided in the Terms and Conditions shall control.

1. SubCo Committee Mission

The Advisory Committee (the “SubCo Committee”) of Highbridge – GIM Credit Master Lux S.à r.l., a company incorporated as a société à responsabilité limitée under the laws of the Grand Duchy of Luxembourg (“SubCo”), is an advisory committee established by SubCo, in relation to SubCo’s activities, in order to provide advice and views with respect to SubCo including, among other things, to review certain transactions, address conflicts of interest and deal with matters assigned to the SubCo Committee by the Terms and Conditions or other matters as Highbridge Principal Strategies, LLC (“HPS”), a Delaware limited liability company which acts as trading manager (the “Trading Manager”) of SubCo, under the terms of an investment management agreement (the “Investment Management Agreement”), in its sole discretion determines isappropriate, as set forth herein.

2. Transactions and Matters That May Be Brought For SubCo Committee Review

The Trading Manager may seek the SubCo Committee’s advice, recommendation and/or approvalwith respect to certain transactions and matters from time to time, including (a) advice and counsel in connection with potential conflicts of interest involving SubCo, including, where appropriate, approval or disapproval of transactions or other matters giving rise to such conflicts,(b) the SubCo Committee’s recommendation with regard to variations and deviations from the Investment Guidelines, and (c) such other advice, counsel or approvals or disapprovals as are reasonably requested by the Trading Manager. Notwithstanding the foregoing, the Trading Manager and the Board of Managers will retain ultimate responsibility for making all decisions relating to the operation, conduct and management of the business and affairs of SubCo.

The following matters shall also be submitted to the SubCo Committee:

a. Any termination, transfer or assignment of the Investment Management Agreement, or the duties and obligations under the Investment Management Agreement, by the Trading Manager, or the appointment by SubCo of a new trading manager in place of the Trading Manager;

b. Changes to the list of SubCo’s main service providers set forth on Schedule A to the Investment Management Agreement;

c. Increase of the Management Fee and/or the Incentive Fees paid to the Trading Managerpursuant to the Investment Management Agreement;

d. Changes to, or waivers of, the Investment Management Agreement;

e. Borrowings by SubCo;

f. Issuance of additional SubCo Notes;

29731516.7

g. Material amendment or waiver of the Terms and Conditions of the SubCo Notes;

h. Extension of the Issuance Period and/or the Recycling Period (both as defined in the Memorandum);

i. The adoption of a currency hedging program;

j. Entry by SubCo entities into principal transactions with JPM;

k. Distributions in-kind to Noteholders;

l. The waiver of the requirement that SubCo distribute any cash held in an amount above 10% of the net asset value of SubCo or any change to such percentage;

m. Approval of the Trading Manager’s selection of a third-party valuation agent; and

n. An increase in the expense cap above 0.12% per annum of the aggregate purchase price of the outstanding Company Notes.

3. SubCo Committee Membership and Structure

SubCo’s board of managers will appoint the members of the SubCo Committee based on nominations submitted by the Noteholders (such appointment not to be unreasonably withheld).

The SubCo Committee will consist of at least three members. Each member of the SubCo Committee shall be an existing Noteholder or a representative or a nominee of a Noteholder, and none of whom shall be an Affiliate, employee, agent or representative of the Trading Manager; provided that any such person may serve as the Trading Manager’s representative or observer of the SubCo Committee. At the request of the Noteholders, the SubCo Committee shall permit up to three observers nominated by the Noteholders. The SubCo Committee may also permit observers designated by the Trading Manager, the Company and/or the holders of the shares of the Company (the “Shareholder”).

The current members and non-voting participants of the SubCo Committee are set forth on Appendix A.

The Trading Manager’s representative and scrivener of meetings of the SubCo Committee will be representatives of the Trading Manager, but such representatives will not be considered members of the SubCo Committee and shall not be entitled to vote on any matters being discussed by the SubCo Committee.

SubCo will not pay a fee to members of the SubCo Committee, but the members of the SubCo Committee will be reimbursed by SubCo for all reasonable and documented out-of-pocket expenses incurred in connection with attending meetings of the SubCo Committee.

Any member of the SubCo Committee may resign upon delivery of written notice from such member to SubCo’s board of managers.

Any member of the SubCo Committee nominated by a Noteholder may be removed by such Noteholder, and a new member may then be nominated by such Noteholder for appointment by the board of managers of SubCo.

39731516.7

4. SubCo Committee Information Submission

The Trading Manager will produce for the SubCo Committee a summary of the material terms of transactions or matters to be reviewed by the SubCo Committee and representatives of the Trading Manager will be available to answer any questions presented by any member of the SubCo Committee. Unless otherwise agreed by the SubCo Committee members in connection with any particular meeting, the Trading Manager will use best efforts to provide any such summaries or other meeting materials to the members of the SubCo Committee at least five Business Days prior to the applicable meeting. If the Trading Manager seeks the SubCo Committee’s recommendation with regard to variations and/or deviations from the Investment Guidelines, the Trading Manager shall provide the SubCo Committee with materials similar in form to the template attached as Appendix B.

5. SubCo Committee Operating Procedures

a. Meetings

The SubCo Committee will meet on an ad hoc basis as needed.

Members of the SubCo Committee may participate in a meeting of the SubCo Committee by means of telephone or video conferencing so long as all persons participating in the meeting can hear and be heard. Any member of the SubCo Committee who is unable to attend a meeting of the SubCo Committee may (i) grant in writing to another member of the SubCo Committee or any other person (including representatives of the Trading Manager) such member’s proxy to vote on any matter upon which action is taken at such meeting and (ii) designate in writing to the Trading Manager’s non-voting representative an alternate to observe, but not vote on any matter acted upon at such meeting (unless such alternate is also granted a proxy pursuant to the preceding clause (i)).

The SubCo Committee shall conduct its business by such other procedures as a majority of its members consider appropriate.

b. Voting

All members of the SubCo Committee and a representative of the Trading Manager are required to be present or represented for a quorum for a meeting of the SubCo Committee. No more than two members of the SubCo Committee can be represented through delegation, according to Section (5)(a)(i), for each meeting. All other members of the SubCo Committee shall attend in person (physically or by means of telephone or video conferencing).

The SubCo Committee shall act by a majority of its members present or represented (according to Section 5(a)) at any meeting, and may choose to act by written consent of a majority of the entire SubCo Committee in lieu of a meeting. Such written consent may be related via email, facsimile, or other electronic communication.

Representatives of the Trading Manager and the Shareholder will be entitled to attend meetings of the SubCo Committee, but will not be entitled to vote on any matters being discussed at such meetings.

49731516.7

c. Record Keeping

The scrivener will keep the memoranda and other materials submitted to the SubCo Committee and will record the minutes of any meeting where decisions are adopted by the SubCo Committee. The minutes shall include:

1. meeting attendees; and

2. brief descriptions of the transactions or matters brought before the SubCo Committee, including a statement of how the SubCo Committee disposed of each transaction (i.e., approved, declined, recommended or not recommended where applicable) or decided on each matter, where applicable.

6. SubCo Committee Exculpation and Indemnification

a. No member of the SubCo Committee or Noteholder that such SubCo Committee member represents (collectively, “Indemnified Persons”) shall be liable to the Company, to SubCo, the Noteholders or to any shareholders of the Company or SubCo for any losses, claims, damages or liabilities, including liabilities in respect of taxes (and any interest, additions to tax, penalties or expenses relating to any such taxes), arising out of, related to, or in connection with any act or omission performed or omitted by such party in connection with the activities of the SubCo Committee, except for any losses, claims, damages or liabilities resulting from such Indemnified Person’s failure to act in good faith in connection with their duties as a member of the SubCo Committee. An Indemnified Person shall, to the fullest extent permitted by applicable law, be treated as having acted in good faith if such Indemnified Person has relied on reports and written statements of the directors, officers, employees, agents, stockholders, members, managers and partners of any individual, partnership, corporation, limited liability company, trust or other entity that is the issuer of an investment by the Company and/or by SubCo with respect to the applicable Investment, unless such Indemnified Person had reason (taking into account such Indemnified Person’s professional skills and expertise) to believe that such reports or statements were not true and complete.

b. SubCo shall, to the fullest extent permitted by applicable law, indemnify and hold harmless each Indemnified Person against any losses, claims, damages or liabilities, including liabilities in respect of taxes (and any interest, additions to tax, penalties or expenses relating to any such taxes), arising out of, related to or in connection with the activities of the SubCo Committee, except for any such losses, claims, damages or liabilities resulting from such Indemnified Person’s failure to act in good faith. SubCo will periodically reimburse each Indemnified Person for all expenses (including reasonable fees and expenses of counsel) as such expenses are incurred in connection with investigating, preparing, pursuing or defending any proceeding related to, arising out of or in connection with the activities of the SubCo Committee or the Company’s or SubCo’s business or affairs whether or not pending or threatened and whether or not any Indemnified Person is a party thereto; provided that such Indemnified Person shall promptly repay to SubCo the amount of any such reimbursed expenses paid to it if it shall be judicially determined by judgment or order not subject to further appeal or discretionary review that such Indemnified Person is not entitled to be indemnified by SubCo. If for any reason other than such Indemnified Person’s failure to act in good faith the indemnification described in this paragraph is unavailable to any Indemnified Person, or insufficient to hold it harmless, then SubCo shall contribute to the amount paid or payable by such Indemnified Person as a result of such loss, claim, damage or

59731516.7

liability in such proportion as is appropriate to reflect the relative benefits received by SubCo, on the one hand, and such Indemnified Person, on the other hand, or, if such allocation is not permitted by applicable law, to reflect not only the relative benefits referred to above but also any other relevant equitable considerations. SubCo’s indemnification obligations under this Section 6 shall terminate on the second anniversary of SubCo’s final distribution of assets to holders of SubCo Notes.

c. Notwithstanding anything else contained herein, the reimbursement, indemnity and contribution obligations of SubCo under this Paragraph 6 shall:

i. be in addition to any liability which SubCo may otherwise have; and

ii. be binding upon and inure to the benefit of any successors, assigns, heirs and personal representatives of each Indemnified Person.

d. SubCo’s obligation, if any, to indemnify or advance expenses to any Indemnified Person is intended to be secondary to any such obligation of, and shall be reduced by any amount such Indemnified Person collects as indemnification or advancement from any applicable insurance policy. SubCo’s obligation to indemnify or advance expenses to any Indemnified Person shall be reduced by any amount such Indemnified Person collects as indemnification or advancement from any applicable insurance policy. If SubCo or an Indemnified Person is entitled to indemnification or advancement from any applicable insurance policy, SubCo or such Indemnified Person shall use commercially reasonable efforts to first seek indemnification or advancement from such insurance policy. Notwithstanding anything to the contrary herein, SubCo may in the discretion of its board of directors pay any obligations or liabilities arising out of this Paragraph 6 as a secondary indemnitor at any time prior to any primary indemnitor (which shall include any applicable insurance policy) making any payments any such primary indemnitor owes, and will provide notice to the SubCoCommittee of such payment obligations of SubCo, it being understood that any such payment by SubCo shall not constitute a waiver of any right of contribution or subrogation to which SubCo is entitled (including against any primary indemnitor) or relieve any other indemnitor from any indemnity obligations. Neither an Indemnified Person nor SubCo shall be required to seek indemnification or contribution from any other sources with respect to any amounts paid by SubCo in accordance with this Paragraph 6(d).

69731516.7

Appendix A

SubCo Committee Members

1. Fabrizio Vitiello

2. Bruno Servant

3. Ulrich Ostholt

4. Maurizio Verbich

SubCo Committee Non-Voting Participants

Shareholder’s Representative (Observer)

Trading Manager Representative (Observer)

79731516.7

Appendix B

Please see attached.

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 27

9692713.8

Schedule 3


1

9807852.7







following criteria:





















management





a) Liquidity:





2

9807852.7








b) Single Borrower:











II. Borrower Level:












relevant industry










3

9807852.7





Holdco Financing)











defined below)



9. Debt sizing:












figure

4

9807852.7



All except:1. Tesco

2. Textron Inc.


4. Rio Tinto Ltd

5. Rio Tinto Plc


7. Serco Group Plc

8. GenCorp Inc







15. Freeport Mc



18. Boeing Co.




22. Safran SA



25. EADS Finance BV




29. Raytheon Co.


31. Norilsk Nickel


EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 28

Schedule 4

I. Definitions

Capitalized terms used in this Schedule 4 shall have the meanings set forth below:

"Code" means the US Internal Revenue Code of 1986, as amended.

"Negative Basis" means, with respect to any Noteholder redeeming in whole

or in part and as of the time of calculation, the amount by

which (x) the value of its Capital Account as of such time (or

the portion being redeemed in the case of a partial

redemption) plus an amount equal to any deemed

distributions to such Noteholder for US federal income tax

purposes pursuant to Section 752(b) of the Code resulting

from its redemption is less than (y) its “adjusted tax basis”

for US federal income tax purposes, in respect of its

redeemed Notes as of such time.

"Negative Basis Noteholder" means any Noteholder who redeems its Notes in whole or in

part and who has Negative Basis as of the effective date of

such redemption (determined prior to any allocations under

Section II.c-e of this Schedule 4).

"Positive Basis" means, with respect to any Noteholder redeeming in whole

or in part and as of the time of calculation, the amount by

which (x) the value of its Capital Account as of such time (or

the portion being redeemed in the case of a partial

redemption) plus an amount equal to any deemed

distributions to such Noteholder for US federal income tax

purposes pursuant to Section 752(b) of the Code resulting

from its redemption exceeds (y) its “adjusted tax basis" for

US federal income tax purposes, in respect of its redeemed

Notes as of such time.

"Positive Basis Noteholder" means any Noteholder who redeems its Notes in whole or in

part and who has Positive Basis as of the effective date of

such redemption (determined prior to any allocations under

Section II.c-e of this Schedule 4).

"Treasury Regulations" means the regulations promulgated under the Code.

Terms which are used and not otherwise defined in this Schedule 4 shall have the meanings

ascribed to them in the Terms and Conditions to which this Schedule 4 is attached and into

which it is incorporated.

II. Capital Accounts And Allocations Of Profits And Losses

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 29

a) If HGIM owns any Notes in the Company at the time the U.S. federal information tax

return of the Company is filed with the U.S. Internal Revenue Service, then HGIM, as

the case may be, shall be appointed Tax Matters Partner, as defined under Section

6231 of the Code; otherwise, the Tax Matters Partner shall be a Noteholder designated

as such by the board of managers of the Company (“Board of Managers”) at the

direction of the Investment Adviser and with the consent of such Noteholder. In the

event the Company shall be subject to an income tax audit by any United States

federal, state or local authority, for purposes of such audit, including administrative

settlements and judicial review, the Tax Matters Partner shall be authorized to act for,

and its decision shall be final and binding upon, the Company and each Noteholder

thereof. All expenses in connection with any such audit, investigation, settlement or

review shall be borne by the Company. No Noteholder shall act independently with

respect to tax audits or tax litigation affecting the Company, unless previously

authorized to do so in writing by the Tax Matters Partner, which authorization may be

withheld in the complete discretion of the Tax Matters Partner.

b) The Company shall maintain a capital account (“Capital Account”) in accordance with

Section 704(b) of the Code and the regulations promulgated thereunder in respect of

each Noteholder.

c) For each tax year, items of income, deduction, gain, loss or credit shall be allocated for

United States federal income tax purposes among the Noteholders, in such manner as

to reflect equitably amounts credited or debited to each such Noteholder's Capital

Account for the current and prior fiscal years (or relevant portions thereof). Allocations

under this Schedule 4 shall be made pursuant to the principles of Section 704(b) and

704(c) of the Code and Treasury Regulations Sections 1.704-1(b)(2)(iv)(f) and (g),

1.704-1(b)(4)(i) and 1.704-3(e) promulgated thereunder, as applicable, or the successor

provisions to such Section and Treasury Regulations. Notwithstanding the foregoing,

the Investment Adviser, in its sole discretion, may adjust the allocation of items of

Company taxable income, gain, loss and deduction among the Noteholders as it shall

deem to be equitable, necessary or desirable.

d) If the Company realizes ordinary income and/or capital gains (including short term

capital gains) for United States federal income tax purposes (collectively, "income") for

any tax year during or as of the end of which one or more Positive Basis Noteholders

redeem all or any portion of their Notes, the Investment Adviser may elect to allocate

such income as follows (i) first, among such Positive Basis Noteholders, pro rata in

proportion to the respective Positive Basis of each such Positive Basis Noteholder in

respect of the Notes redeemed, until either the full amount of such income shall have

been so allocated or the Positive Basis of each such Positive Basis Noteholder in

respect of the Notes redeemed shall have been eliminated and (ii) then, to the

Noteholders in such manner as shall equitably reflect the amounts allocated to such

Noteholders' Capital Accounts for the current and prior fiscal years (or relevant portions

thereof).

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 30

e) If the Company realizes deductions, ordinary losses and/or capital losses (including

long-term capital losses) for United States federal income tax purposes (collectively,

"losses") for any tax year during or as of the end of which one or more Negative Basis

Noteholders redeem all or any portion of their Notes, the Investment Adviser may elect

to allocate such losses as follows (i) first, among such Negative Basis Noteholders, pro

rata in proportion to the respective Negative Basis of each such Negative Basis

Noteholder in respect of the Notes redeemed, until either the full amount of such losses

shall have been so allocated or the Negative Basis of each such Negative Basis

Noteholder in respect of the Notes redeemed shall have been eliminated, and (ii) then

to the Noteholders in such manner as shall equitably reflect the amounts allocated to

such Noteholders' Capital Accounts for the current and prior fiscal years (or relevant

portions thereof).

f) If the Code, Treasury Regulations or other law requires a withholding or other

adjustment to the Capital Account of a Noteholder or an event occurs necessitating, in

the Investment Adviser’s judgment, an equitable adjustment to the Capital Account of a

Noteholder, the Investment Adviser shall make such adjustments in the determination

and allocation among the Noteholders of items of income, deduction, gain, loss, credit

or withholding for tax purposes, or such other tax items and accounting procedures as

shall equitably take into account such events and applicable provisions of law, and the

determination thereof by the Investment Adviser shall be final and conclusive as to all of

the Noteholders.

g) All matters concerning the allocation of income, deduction, gain, loss and credit among

the Noteholders thereof, including the allocation of any withholding taxes and any other

taxes thereon, and accounting procedures not expressly provided for by the terms of

these Articles, shall be determined by the Investment Adviser, whose determination

shall be final and conclusive as to all of the Noteholders.

h) All tax elections required or permitted to be made under the Code and any applicable

state, local or non-U.S. tax law shall be made in the discretion of the Board of

Managers. The Company intends to be treated as a partnership or disregarded entity

for U.S. federal income tax purposes. The Board of Managers shall file an election

under Section 7701 of the Code for the Company to be treated as a partnership or

disregarded entity from and after the date of its formation by filing Internal Revenue

Service Form 8832 and shall not revoke such election. Any decision with respect to the

treatment of the Company’s transactions in the Company’s federal, state, local or non-

U.S. tax returns shall be made in such manner as may be approved by the Board of

Managers. Without the consent of the Company, Noteholders shall not treat any

Company item inconsistently on such Noteholder’s individual tax return with the

treatment of the item on the Company’s tax return unless, with respect to items in a

U.S. tax return. The Board of Managers shall prepare and file or cause the accountants

of the Company to prepare and file any required U.S. federal information tax returns in

compliance with Section 6031 of the Code, and any required state and local income tax

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 31

and information returns for each taxable year of the Company.

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 32

Schedule 5

Form Month-End Performance Statement

ABC

Fund Currency: USDDate of Statement: Month end

Summary1

100.0000%

00

0.00%

1

value date : - value date : - value date : - value date : - value date : -

0

First Distribution value date : - Second Distribution value date : - Third Distribution: value date : - Fourth Distribution value date : - Fifth Distribution value date : -

0

-

First Distribution value date : - Second Distribution value date : - Third Distribution value date : - Fourth Distribution value date : - Fifth Distribution value date : -

–

0

Final Note valuation

Value of Notes currently drawn at DATE STATEMENT

Values of PPN Profit Distribution since Inception to DATE STATEMENT :

Cumulative PPN Profit distributions at DATE STATEMENT

Values of PPN Drawn from Inception to DATE STATEME NT : First contribution Second contribution Third contribution Fourth contribution

Total Values of Notes Drawns

% Commitment Drawn

Value of Available and undrawn PPN

Total Commitments% of Fund

Cumulative reconciliation of Notescurrent Advance drawn (nets of amounts available for redrawing)

Highbridge - GIM Credit Master Lux S.à r.l. (SubCo)

Sample Report : statement of Monthly Note Valuation

Statement Monthly Note Valuation

USD

Fifth contribution

Cumulative PPN Drawn at DATE STATEMENT :

Noteholder ABC capital distribution from (inception date) to DATE STATEMENT :

Cumulative capital distributions c/fwd at DATE STATEMENT

Monthly Fund FundCode Highbridge - GIM Credit Master Lux S.à r.l. (SubCo) SDANR09

Fund currency USD USD

Type of NAV





Impact % NAV

- - FALSE

- - - - FALSE

- -

- - FALSE- - - - - - - - FALSE

-

- -

- - - - -



- -



Expenses - Professional FeesExpenses - Administration FeesExpenses - OtherExpenses - Incorporation costs

Total Liabilities

Other long term payable Short Term Liabilities Expenses - Managers FeeExpenses - Audit FeesExpenses - TaxExpenses - Directors Fees

Debtor - PrepaymentsCash at Sight Cash and cash equivalents

Total Assets

Long Term Liabilities Long term loan

Long Term Assets



Short Term AssetsCapital contribution Receivable Trade and other receivables

NET ASSET VALUE CALCULATION NAV frequency:

NAV date:


Description

P. 1 / 2

Monthly Fund FundCode Highbridge - GIM Credit Master Lux S.à r.l. (SubCo) SDNAV 05

Fund currency

USD USD

Type of NAV


Difference

0000000000000000000000000000000

Total 0


Expenses - Administration FeesExpenses - Other expensesExpenses - Incorporation costsExpenses - Finance costsExpenses - Regulator FeesFX Gains and Losses

Expenses - Audit FeesExpenses - TaxExpenses - Directors FeesExpenses - Bank chargesExpenses - Professional Fees

Unreal Fx Gains and Losses on Cash

Commitment & Arrangement Fees Finance Costs Interest expenses and bank charges Losses on foreign currencyOperational expensesExpenses - Managers Fee

Reserves Income Interest Income Loans & Receivables Foreign Exchange Gains on Loans & Effective Interest Rate Adjustment Foreign Exchange Gains on Loans &

Capital - SubscriptionsCapital - Capital ContributedCapital - Distributed - IncomeRealised ReserveUnrealised ReserveRevenue Reserve

NAV frequency:

NAV date:


Capital and Reserves

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 33

Schedule 6

Form Position Report

Reporting Date:

Security

Name

Legal Entity

DescriptionTICKER

Bloomberg

ID

Security Type

Code

Issuer

Description

Issuer

CountryGICS Code

CUSIP /

ISIN

Purchase

Date

Currency

Code

EUR Closing

Exchange Rate

Purchase Price

(%)

Purchase Price

(Local CCY)

Purchase Price

(EUR, at

historical

exchange rate)

Purchase Price

(EUR, at

current

exchange rate)

Transaction

Costs (Local

CCY)

Transaction

Costs (EUR, at

historical

exchange rate)

Transaction

Costs (EUR, at

current

exchange rate)



Reporting Date:


Security

Name

Original

Commitment

(Local CCY)

Original

Commitment

(EUR, at

historical

exchange rate)

Original

Commitment

(EUR, at

current

exchange rate)

Current

Commitment

(Local CCY)

Current

Commitment

(EUR, at historical

exchange rate)

Current

Commitment

(EUR, at current

exchange rate)

Current Face

Value (Local

CCY)

Current Face

Value (EUR, at

historical

exchange rate)

Current Face

Value (EUR, at

current

exchange rate)

Market Price

(%)

Market Value

(Local CCY)

Market Value (EUR,

at historical

exchange rate)

Market Value (EUR,

at current

exchange rate)

Maturity DateWeighted

Average Life

Rating (S&P

Equivalent)

Secured /

Not Secured

Accrued Interest

(Local CCY)

Accrued Interest

(EUR)



Reporting Date:


Expected (Local

CCY)Received (Y/N)

Delayed (Local

CCY)


Monthly Projected Interests

CUSIPIssuer

Description

Index

ReferenceIndex (%) Spread (%)

Libor Floor

(%)

Interest Rate

(%)

Accrued Interest

(EUR at current

exchange rate)

Exchange Rate

Date

Projected InterestsCoupon

FrequencyStart Date End Date Payment Date

Accrued Interest

(Local CCY)

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 34

Schedule 7

Form Monitoring Note

Company XX updated as of 9/22/14

Transaction Summary Sources UsesRevolving Credit Facility 0 Purchase Equity 01st Lien Term Loan 0 Repay Existing Debt 0Senior Unsecured Notes 0 Fees & Expenses 0Total Equity (includes Rollover) 0

Total $0 Total $0

Business OverviewRatings S&P Moody'sCorp 0 01st Lien 0 0Unsec Bonds 0 0

OtherMarket Depth (Number of Dealers) 0Liquid/Illiquid Bucket 0Borrower NameBorrower Domicile90 Day Trading Price (Average)

Transaction Overview

*Inclusion related to where company has traded if public prior to acquisition

HPS Recommendation

Recent Events (below are examples of events)Quarter xx Earnings Commentary related to recent earnings

Other Any relevant channel checks/Industry trends/KYC Check the box

Positives NegativesIndustry Dynamics are captured here Industry Dynamics are captured here

Position First Lien Term Loan - % of Facility Size #DIV/0!

Capital Structure (Include Name of Entity)unadjusted

Date xx Adjustments Pro Forma % net gross maturity rate price YTWCash 0 0 0

Revolver 0 0 01st Lien Term Loan 0 0 0Sr. Secured Bonds 0 0 0 xx L+325, 1% fl #NAME? #VALUE! 4.25% 0 BL127231 Corp

Total Sr Secured Debt 0 0 0 #DIV/0! #DIV/0! #DIV/0!

Bonds 0 0 0 #DIV/0! xx 7.875% #NAME? #NAME? 7.875% 0 EJ843288 CorpTotal Debt 0 0 0 #DIV/0! #DIV/0! #DIV/0!

Equity 0 0 0 #DIV/0!Total Capitalization 0 0 0 #DIV/0! #DIV/0! #DIV/0!

6/30/2014 LTM EBITDA 0

CovenantsFinancial Covenants Yes/No?Covenants covenant test result & frequency of calculationEquity Cure?Excess Cash Flow Sweep

Company Description including sponsor information

BL127231 Corp

EJ843288 Corp

Company XXKey Assumptions:

LTM2012 2013 2014 Q1 2014 Q1 2015 Q1 2015 2015E 2016E 2017E

Revenues 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

% y/o/y growth #DIV/0! #DIV/0! #DIV/0! 3.0% 3.0% 3.0%org growth % 0.0% 0.0% 0.0% 0.0% 0.0%

COGS 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Gross Profit 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


Operating Expenses 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


EBIT 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


D&A 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adjustment x 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Total Adjustments 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Adj. EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0


EBITDA / Interest #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!DSCR ((EBITDA - Cap Ex) / Interest ) #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Secured Debt / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!Total Debt / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!TEV / EBITDA #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Equity Cushion #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!Junior Capital Cushion #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!Gross Senior First Lien LTEV #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

FCF Avail For Debt ServiceAdj. EBITDA 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Cash Interest 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0CapEx 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Amortization 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Acquisitions 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Working Capital 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Earn Outs 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Cash Taxes, net of refunds 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Total FCF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Pro FormaCash 0.0 0.0 0.0 0.0

Total Sr Secured Debt 0.0 0.0 0.0 0.0Total Debt 0.0 0.0 0.0 0.0Equity 0.0 0.0 0.0 0.0Total Capitalization 0.0 0.0 0.0 0.0

TEV 0.0 0.0 0.0 0.0

Generali MandateDSCR (EBITDA-Capex)/ Interest 1.50xSecured Debt / EBITDA 4.50xTotal Debt / EBITDA 6.00x

Equity Cushion 30%Junior Capital Cushion 40%Gross Senior First Lien LTEV 60%

Pass/FailDSCR (EBITDA-Capex)/ Interest #DIV/0!Secured Debt / EBITDA #DIV/0!Total Debt / EBITDA #DIV/0!

Equity Cushion #DIV/0!Junior Capital Cushion #DIV/0!Gross Senior First Lien LTEV #DIV/0!

3 months HPS Base Case

EXECUTION VERSION

Arendt – 016414-70004.12302445vEXEC 35

Schedule 8

Investment Guidelines Checklist

5

9807852.7













Check the box




Check the box



management

Check the box













6

9807852.7






[ ] % of latest NAV










Check the box:




Check the box:





Check the box:


Ratings)*










*Meets Exception:




7

9807852.7

applicable):


Position Size $[MM]

[ ] % of latest NAV



Check the box:



judgment







4.5x:








underwriting case:

[provide DSCR]







normalized figure

8

9807852.7






If <30% but >20%:



feature)




Min ≥ 40%:





Check the box:



If yes, describe




covenant)


Check the box:

Loan Details Status




Spread:

OID:

Other fee:

E-1

9659577.19

APPENDIX E

CONTACT INFORMATION

HIGHBRIDGE – GIM CREDIT LUX S.A.

THE COMPANY Highbridge – GIM Credit Lux S.A.

46A, Avenue J.F. Kennedy L-1855 Luxembourg Luxembourg

INVESTMENT ADVISER: Highbridge Principal Strategies, LLC 40 West 57th Street, 33rd Floor New York, New York 10019 Telephone: 212-287-4900 Facsimile: 212-287-4915

ADMINISTRATOR: BNP Paribas Securities Services, Luxembourg Branch 33, Rue de Gasperich – L- 5826 Hesperange Email: [email protected] Telephone: +352 26 96 61 742 Facsimile: +352 26 96 97-58

LEGAL ADVISORS: Fried, Frank, Harris, Shriver & Jacobson LLP One New York Plaza New York, New York 10004 Arendt and Medernach SA 14, rue Erasme L-2082 Luxembourg Luxembourg

INDEPENDENT AUDITOR: PricewaterhouseCoopers LLP

1177 Avenue of the Americas New York, New York 10036

F-1

9659577.19

APPENDIX F

FORM ADV PART 2A


Item 1 - Cover Page

Highbridge Capital Management, LLC

40 West 57th Street, 33rd Floor New York, NY 10019

(212) 287-4900

www.highbridge.com

Form ADV, Part 2A

March 31, 2015 This brochure provides information about the qualifications and business practices of Highbridge Capital Management, LLC (“HCM”). If you have any questions about the contents of this brochure, please contact us at (212) 287-4900. The information in this brochure has not been approved or verified by the United States Securities and Exchange Commission (“SEC”) or by any state securities authority. HCM is a registered investment adviser. Registration with the SEC does not imply a certain level of skill or training. This brochure does not constitute an offer to sell or the solicitation of an offer to purchase any securities of any entities described herein. Additional information about HCM also is available on the SEC’s website at www.adviserinfo.sec.gov.

Item 2 - Material Changes

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Item 3 - Table of Contents Item 1 - Cover Page ...................................................................................................................................... 1 Item 2 - Material Changes ............................................................................................................................. 2 Item 3 - Table of Contents ............................................................................................................................ 3 Item 4 - Advisory Business ........................................................................................................................... 4 Item 5 - Fees and Compensation ................................................................................................................... 5 Item 6 - Performance-Based Fees and Side-By-Side Management .............................................................. 7 Item 7 - Types of Clients .............................................................................................................................. 8 Item 8 - Methods of Analysis, Investment Strategies and Risk of Loss ....................................................... 9 Item 9 - Disciplinary Information ............................................................................................................... 20 Item 10 - Other Financial Industry Activities and Affiliations ................................................................... 21 Item 11 - Code of Ethics, Participation or Interest in Client Transactions and Personal Trading .............. 24 Item 12 - Brokerage Practices ..................................................................................................................... 29 Item 13 - Review of Accounts .................................................................................................................... 33 Item 14 - Client Referrals and Other Compensation ................................................................................... 34 Item 15 - Custody........................................................................................................................................ 35 Item 16 - Investment Discretion.................................................................................................................. 36 Item 17 - Voting Client Securities .............................................................................................................. 37 Item 18 - Financial Information .................................................................................................................. 38

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Item 4 - Advisory Business HCM is a global alternative investment management firm founded in 1992. Since its inception, the firm has developed a leading, diversified investment platform that includes hedge funds, traditional investment management products and private credit and equity investing. With approximately 340 employees, including approximately 130 investment professionals as of December 31, 2014, HCM manages capital for sophisticated investors, including financial institutions, public and corporate pension funds, sovereign wealth funds, fund of funds, endowments, foundations and family offices, as well as individuals. HCM is based in New York with its principal offices in New York, Hong Kong, and London. HCM is a subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), a wholly owned subsidiary of JPMorgan Chase & Co. (“JPM”). HCM generally provides investment advisory services directly and through subsidiary advisory entities (each, a “Relying Adviser” and collectively, the “Relying Advisers”) that are listed in Item 10 below. Unless specifically noted otherwise, the responses to this Form ADV Part 2A combine information about HCM and the Relying Advisers. HCM provides investment advisory services to clients pursuant to the investment objectives, strategies and restrictions as set forth in each client’s offering documents and/or agreements with each client. HCM currently does not participate in wrap fee programs, but it may do so in the future. As of December 31, 2014, HCM managed $23,418,000,000 of client assets on a discretionary basis and $0 of client assets on a non-discretionary basis.

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Item 5 - Fees and Compensation HCM Funds Private collective investment vehicles including domestic and foreign partnerships, companies and trusts managed by HCM (collectively, the “HCM Funds”) pay a monthly or quarterly management fee at the beginning or end of the applicable period. A certain HCM Fund pays a semi-monthly management fee in arrears at the end of the 15th day and the last day of each month. The management fees are based on the net assets of each HCM Fund and are generally equal to a rate of between 0.6% and 2.0% on an annualized basis. In addition, HCM or Highbridge Capital Administrators, LLC (“HCA”), an affiliate of HCM and special limited partner of certain HCM Funds, is entitled to receive performance compensation. For certain HCM Funds, the performance compensation is generally equal to between 0% and 25% of the net trading profits (in excess of applicable hurdles, if any) with respect to each fiscal year, payable as of the fiscal year end. For other HCM Funds, the performance compensation is equal to 6.25% of the net trading profits for each of the last four quarters (generally comparable to a 25% rate for four quarters), payable as of each fiscal quarter end. With respect to a certain HCM Fund, HCM is not entitled to receive any performance based compensation. Although the above fees are generally not negotiable, HCM and/or HCA may rebate, reduce and/or waive some or all of its management fee and/or performance compensation, as applicable, with respect to any investor in an HCM Fund, and intends to rebate, reduce and/or waive some or all of its management fee and/or performance compensation with respect to, but not limited to, principals, employees and certain affiliates of HCM as well as certain investment funds managed by HCM or its affiliates. Certain HCM Funds have been made available only to eligible HCM employees, and HCM receives no management fee or performance compensation with respect to such investments. HPS Funds Highbridge Principal Strategies, LLC (“HPS”, and together with HCM, the “HCM Entities” and each, an “HCM Entity”) is a wholly owned subsidiary of HCM. References herein to HPS generally mean HPS and its direct and indirect subsidiaries, collectively. Certain private collective investment vehicles including domestic and foreign partnerships and corporations managed by HPS (“HPS Funds”) pay a quarterly or monthly management fee generally at the beginning or end of each quarter or month. Certain HPS Funds pay a monthly management fee in arrears or a semi-monthly management fee in arrears at the end of the 15th day and the last day of each month. During the commitment period of certain HPS Funds, the management fee is based on total commitments to or leveraged or unleveraged invested capital of the relevant HPS Fund and is generally comparable to a rate of between 0.50% and 1.50% on an annualized basis. Thereafter, the management fee is based on the outstanding leveraged or unleveraged invested capital of each HPS Fund and is generally comparable to a rate of between 0.50% and 1.50% on an annualized basis. Certain HPS Funds pay management fees based on the net assets of such HPS Funds and are equal to a rate of between 0.60% and 1.50% on an annualized basis. In addition, HPS and certain of its affiliates serve as the general partners, or act as special limited partners, of certain of the HPS Funds and are apportioned allocations of net profits, or “carried interest,” generally comparable to 20% of net profits, generally subject to or in excess of applicable hurdles or preferred rates of return to the investor. Other HPS Funds have an independent general partner. With respect to certain HPS Funds, HPS receives an incentive fee generally between 5% and 20% of net profits subject to or in excess of applicable hurdles or preferred rates of return. With respect to certain HPS Funds, HPS is not entitled to receive any performance based compensation. Although the above fees are generally not negotiable, HPS may rebate, reduce and/or waive some or all of its management fee and/or performance compensation, as applicable, with respect to any investor in an HPS Fund, and intends to rebate, reduce and/or waive some or all of its management fee and/or performance compensation with respect to, but not limited to, principals, employees and certain affiliates of HPS as well as certain investment funds managed by HPS or its affiliates.

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SICAVs HCM serves as sub-investment manager to sub-funds of Luxembourg investment companies sponsored by affiliates of JPM (together, “SICAVs”). As compensation for services rendered as sub-investment manager, HCM receives a management fee based on net assets payable monthly, equal to 0.50% on an annualized basis. HCM is entitled to receive from one or more SICAVs a performance fee payable annually, equal to 20% in excess of applicable hurdles. Third-Party Funds Each of HCM and HPS serves as investment manager to separately managed accounts and single-investor vehicles each established by, or on behalf of, a single third party investor (or two or more affiliated third-party investors) (“Third Party Funds”). The Third Party Funds generally pay a management fee based on net assets or invested capital which is payable monthly or quarterly and is equal to between 0.20% and 1.5% on an annualized basis. HCM and HPS, as applicable, may also receive performance compensation generally payable annually or upon a distribution between 0% and 20% of the net trading profits, subject to or in excess of applicable hurdles or preferred rates of return in certain cases. The management fee for certain Third Party Funds includes a base management fee of 0.20% per annum and subordinated management fee of 0.30% per annum of the principal amount of the collateral obligations held by such Third Party Funds, including collateral obligations obtained through the use of leverage, which are payable only to the extent that funds are available for such purpose in accordance with the priority of payments described in the applicable Third Party Fund documents. Fees and Compensation The fees and compensation described under this Item 5 are deducted from clients’ assets for certain clients, while other clients, including certain Third Party Funds, are billed for such fees and compensation. Certain HCM Funds and HPS Funds must pay their management fees in advance. Such HCM Funds and HPS Funds may terminate their management agreements in accordance with the terms of such agreements and receive a prorated refund of any prepaid management fees.

In addition to the foregoing fees, clients may incur additional costs, including, but not limited to, (i) organizational and offering expenses, (ii) the cost of investments (including all direct expenses, investment expenses (e.g., brokerage commissions, exchange, National Futures Association and clearing fees, interest expenses, borrowing costs, clearing and settlement charges, custodial fees and bank service fees), legal, accounting and tax expenses relating thereto, unconsummated investment expenses and other charges for transactions), (iii) compensation paid to boards of directors, general partners or trustees, as applicable, (iv) administrative, legal and accounting fees, (v) other operating expenses, (vi) maintenance fees and (vii) extraordinary or non-recurring expenses. Clients that invest all or a portion of their assets through another investment vehicle may also pay their respective pro rata share of the expenses of such investment vehicle. See Item 12 for more detail on the brokerage practices of the HCM Entities.

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Item 6 - Performance-Based Fees and Side-By-Side Management As described in the response to Item 5 above, the HCM Entities receive performance-based compensation from certain clients. Certain employees of the HCM Entities manage both accounts that are charged a performance-based fee and accounts that are charged only an asset-based fee. With respect to clients from which an HCM Entity receives only an asset-based fee, such HCM Entity may have an interest in engaging in relatively safe investments in order to receive such asset-based fee. On the other hand, with respect to clients from which an HCM Entity receives performance-based compensation, such HCM Entity may have an interest in engaging in riskier investments than would be engaged in if the performance-based compensation did not exist in order to increase the potential compensation with respect to such clients. In addition, an HCM Entity may have incentives to favor a client that pays performance-based compensation over a client that (i) pays asset-based fees only or (ii) pays lower performance-based compensation. HCM has developed policies and procedures that provide that the HCM Entities will allocate investment opportunities and make purchase and sale decisions among applicable clients in a manner that the HCM Entities consider, in each HCM Entity’s sole discretion and consistent with the fiduciary obligation to each of the respective clients, to be reasonable. In many cases, these policies may result in the pro rata allocation of limited opportunities across accounts, but in many other cases, the allocations may reflect numerous other factors based upon the HCM Entity’s good faith assessment of the best use of such limited opportunities relative to the objectives, disclosure to and agreements with applicable clients including limitations and requirements of each such client and applying a variety of other factors, including those further described in each client’s offering documents or agreements with each client.

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Item 7 - Types of Clients As described in the responses to Items 4 and 5, the HCM Entities provide investment advisory services to (i) HCM Funds, (ii) HPS Funds, (iii) SICAVs, and (iv) Third Party Funds. Other than the SICAVs, most of such clients are U.S. and non-U.S. investment limited partnerships, companies, limited liability companies, trusts and other vehicles that are not registered or required to be registered under the U.S. Investment Company Act of 1940, as amended. In addition, the securities issued by HCM Funds, HPS Funds, SICAVs and Third Party Funds are not registered or required to be registered under the U.S. Securities Act of 1933, as amended, and, other than the SICAVs, are generally privately placed to qualified investors in the United States and elsewhere. The investors in the HCM Funds and HPS Funds are primarily sophisticated investors, which include, but are not limited to, financial institutions, public and corporate pension funds, sovereign wealth funds, fund of funds, endowments, foundations and family offices, as well as individuals. Generally, the minimum initial investment amount for investors in the HCM Funds and the HPS Funds is between $250,000 and $10,000,000. The minimum initial investment amount generally can be waived at the discretion of the general partner, board of directors, trustees and/or administrator of each HCM Fund or HPS Fund, but not below an amount required under applicable law. Agreements with Certain Investors Certain investors in the HCM Funds and the HPS Funds have been granted one or more of the following rights with respect to their investments: (i) a reduced management fee and/or performance compensation; (ii) subject to certain terms, the right to receive improved fees, liquidity, information rights and other terms received by other investors in the applicable fund; (iii) the right to receive certain additional information with respect to a certain fund; (iv) notification to the investor with respect to the investor’s ownership percentage of a certain fund; (v) limitation on the investor’s ownership percentage of a certain fund below certain thresholds; (vi) notification to the investor with respect to the ownership by benefit plan investors of a certain fund’s equity classes; (vii) certain limitations on an investor’s confidentiality obligations under a certain fund’s organizational documents pursuant to laws or regulations to which the investor is subject (such as the public information or “sunshine” laws); and (viii) an acknowledgement that such investor is entitled to sovereign status under U.S. federal, state or non-U.S. law. In addition to the above, certain investors in the HCM Funds and/or HPS Funds have been granted one or more additional rights with respect to their investments, including, but not limited to: (i) the right to opt out of the requirement to fund capital calls or otherwise be excused from participating in certain investments due to regulatory, tax or public policy or the investor’s internal considerations; (ii) the right to designate one member of an internal oversight committee; (iii) rights with respect to distributions in kind; (iv) rights with respect to transfers of interests; (v) the right to receive information regarding the investment and/or disposition strategy of the fund; and, (vi) the right to receive information regarding, and/or participate in potential co-investment opportunities.

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Item 8 - Methods of Analysis, Investment Strategies and Risk of Loss Investment Strategies I. HCM: HCM engages, on behalf of clients, in one or more of the investment strategies summarized below. More detailed information with respect to the following investment strategies is included in each client’s offering and/or disclosure documents. Convertible and Volatility Arbitrage: This strategy seeks to profit from both the optionality of the underlying convertibles and the convergence of the securities to fair value. The strategy employs sophisticated pricing/risk management tools which include quantitative modeling and screening software to identify underpriced options imbedded in convertible securities. The strategy may also rely on fundamental analysis with a focus on idiosyncratic volatility creating events. The strategy typically involves the purchase of a convertible bond or other equity linked security that is hedged with one or more of the following: stock, listed equity and index options, interest-rate futures, and credit derivatives. Convertible Credit and Capital Structure Arbitrage: This strategy employs fundamental, bottom-up credit research to identify and isolate idiosyncratic opportunities within the credit portion of the convertible market as well as off-the-run credit opportunities. Position-level, intra-capital structure hedges seek to isolate an attractive credit, an undervalued equity or an inefficiency in a capital structure. Interest rate exposure is systematically hedged, with a target duration of zero, while strategy level hedges are utilized to minimize the impact of broad, directional moves in credit and equity markets. Asia Capital Structure Arbitrage: This strategy employs both a fundamental and quantitative approach to seek idiosyncratic opportunities across the capital structures and within securities, with a focus on credit relative to equity, volatility strategies including correlation and volatility convexity, and dividend swaps versus index and relative share class trades. The strategy implements hedges across the equity, credit, rate and foreign exchange markets. Statistical Arbitrage: This strategy seeks to provide long-term absolute returns by utilizing, as part of its investment strategy, statistically based computer algorithms that model the predictable components in the pricing of financial instruments.

North America Long/Short Equity: This strategy employs a fundamental research-based approach, which examines companies and industries from the bottom up. This analysis is driven by both qualitative and quantitative research that ultimately leads to an investment conclusion. The investment approach seeks to develop single-name long and short ideas through a thorough understanding of the fundamentals of a business and/or investment situation, with a focus primarily on large-cap and mid-cap companies in North America.

Tactical Credit & Convertibles: This strategy seeks to achieve a positive return on capital by applying fundamental credit research combined with intra-capital structure hedging strategies to select credit-sensitive investment opportunities. The strategy typically involves the purchase of convertible securities, non-convertible bonds and loans, preferred and common equity securities, and warrants, options, and other derivatives.

Short Focused Equity: The strategy employs a fundamental, bottom-up approach that seeks to generate the majority of alpha from short positions. The strategy covers equities globally with a focus on North America. For short exposure, the strategy generally targets companies HCM believes to be overvalued, misallocating capital and/or approaching a correction. These short investments are typically reflected through short equity positions, options or credit default swaps. Long positions typically reflect a value

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orientation favoring catalyst-centric special situations and companies undergoing value enhancement such as through management changes, capital structure enhancements, mergers and acquisitions and spin-offs.

Asia Long-Short Equity: The strategy employs a fundamental, bottom-up approach to identify relative value, thematic and deep value opportunities through equity investments in Asia. The strategy attempts to identify dislocations between intrinsic and market value and to isolate idiosyncratic sources of risk and return through single stock and index hedges.

Event-Focused European Long/Short Equity: The strategy seeks to identify securities at inflection points through fundamental, bottom-up analysis and focuses on catalysts to uncover those inflections. These inflection points may result from a wide variety of factors such as regulatory changes, mergers and acquisitions, disposals, restructurings, management changes or significant variations in earnings trajectories due to business fundamentals. The strategy generally focuses on equity investments in Europe.

Merger Arbitrage: The strategy seeks to achieve attractive risk-adjusted returns by employing both a qualitative and quantitative analysis of merger transactions. The strategy attempts to capture the spread between the current market price of a merger target and its expected value upon deal completion. In building the portfolio HCM focuses on, among others, yield and relative value, industry diversification and issuer concentration. Credit Opportunities: The strategy seeks to generate attractive risk-adjusted returns with an emphasis on capital preservation. This strategy seeks to invest primarily in corporate debt instruments, including bank loans and high yield bonds and may also invest in other instruments, including equities, credit default swaps, structured credit instruments, and other derivative products. This strategy may also hedge its portfolio to reduce volatility and protect against systemic risks as well as enter into opportunistic short positions in specific circumstances.

European Relative Value Credit: The strategy seeks to generate attractive risk-adjusted and non-market correlated returns generally by employing fundamental analysis to identify long and short credit trades. The strategy can invest in opportunities across the credit spectrum in Europe, from investment-grade to high yield to stressed and distressed, primarily through bonds, credit default swaps and indices to express single name and directional views. The strategy seeks to identify opportunities in both the secondary and new issues market, working closely with banks to structure, price and invest in new issues. In addition to fundamental analysis, the strategy factors in liquidity and market technicals when formulating and implementing trading ideas.

Tactical Commodities: This strategy employs a systematic investment strategy based upon the quantitative analysis of technical and fundamental factors across multiple short-term holding periods. This strategy analyzes term-structure to gauge supply and demand fundamentals, and models price trend and volatility to form a bullish or bearish bias on individual markets and spreads.

HCM may and currently does allocate a portion of its management responsibilities to affiliated and unaffiliated sub-advisers pursuant to sub-advisory agreements.

In addition, HCM utilizes leverage in its investment program. The leverage is generated from loans made by its clearing brokers for the purchase or sale of securities and from total return swaps.

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II. HPS: HPS engages, on behalf of clients, in one or more of the investment strategies summarized below. More detailed information with respect to the following investment strategies is included in each client’s offering and/or disclosure documents.

Due to various reasons including, but not limited to, regulatory, tax, or jurisdictional requirements, HCM may be appointed as investment manager for certain HPS Funds or Third Party Funds. The Investment Strategies associated with said HCM-managed HPS Funds or Third Party Funds have been included in this HPS Investment Strategies section.

Collateralized Loan Obligations (“CLO”): This strategy consists of structured credit vehicles that invest principally in floating rate secured corporate loans through a leveraged capital structure which seeks to benefit from low cost, long term, stable debt financing. This strategy is subject to certain thresholds, as is typical for CLOs, with respect to collateral quality, asset-type concentration, geographic exposure, ratings, covenant terms, and coverage tests.

Credit Opportunities: The strategy seeks to generate attractive risk-adjusted returns with an emphasis on capital preservation. This strategy seeks to invest primarily in corporate debt instruments, including bank loans and high yield bonds and may also invest in other instruments, including equities, credit default swaps, structured credit instruments, and other derivative products. This strategy may also hedge its portfolio to reduce volatility and protect against systemic risks as well as enter into opportunistic short positions in specific circumstances.

Leveraged Loans: This strategy is expected to invest primarily in senior secured term loans. The strategy may also invest in: (i) second lien term loans, (ii) senior secured bonds, which typically (a) are first lien debt, (b) have a first lien on certain pieces of the issuer’s assets, (c) have a second lien on all or certain of the issuer’s assets, and/or (d) are a combination of the foregoing, and (iii) unsecured high yield bonds, which are debt obligations that are often subordinate in right of payment to senior secured term loans, senior secured bonds, and second lien term loans but are senior to equity in a leveraged capital structure. This strategy is similar to the Liquid Loans strategy, save for different exposure targets and specific investment guidelines.

Liquid Loans: This strategy provides exposure to a diversified, actively managed portfolio consisting primarily of broadly syndicated senior secured loans. This strategy is expected to invest mainly in senior secured term loans. The strategy may also invest in: (i) second lien term loans, (ii) senior secured bonds, and (iii) unsecured high yield bonds, which are debt obligations that are often subordinate in right of payment to senior secured term loans, senior secured bonds, and second lien term loans but are senior to equity in a leveraged capital structure. This strategy is similar to the Leveraged Loans strategy, save for different exposure targets and specific investment guidelines. Additionally, certain funds managed pursuant to this strategy have named HCM as their investment manager due to one or more of a variety of reasons, including, but not limited to, regulatory, tax, or jurisdictional requirements.

Media, Communications and Technology Growth Equity: This private equity strategy seeks significant long-term capital appreciation by making early- to late-stage investments in media, communications and technology-based companies both in the United States and internationally. This strategy will generally seek to make equity investments in portfolio companies with a focus on target portfolio companies that fit a specific profile within the media, communications, and technology industry sectors.

Mezzanine: This strategy focuses on investments in privately offered mezzanine securities, which are fixed-income securities, such as debt or preferred stock, typically in conjunction with an equity

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component such as common stock, warrants or options. This strategy will consider a variety of transactions, including leveraged buyouts, recapitalizations, refinancings, restructurings, and acquisitions. The majority of investments are expected to be in securities of mid-cap companies in North America and Europe, although investment may be made in Latin America, Asia, and elsewhere globally.

Real Estate: This strategy will utilize a strategic relationship with a third party real estate developer, owner, and operator in the United States to invest in real estate debt securities. The strategic relationship will pursue gap financing for real estate projects in transition (re-development, conversion, new construction, etc.) through both uni-tranche loans and mezzanine financing. It is expected that this strategy will invest in a variety of transition financing for real estate projects, a majority of which are expected to be sponsored by third party equity partners and/or developers. The real estate projects will generally include redevelopment, conversions, and new development within the residential, office, retail, and hotel markets both in the United States and internationally.

Specialty Loans: This strategy primarily invests in newly originated secured debt. Investments made under this strategy are typically floating-rate fixed-income instruments and typically represent the most senior portion of the issuer’s capital structure, ahead of any mezzanine, high yield bonds and equity tranches. The term “secured debt” refers to debt that is secured by a security interest in one or more assets of the issuer, without reference to the legal form of the debt contract (loan, bond, note or otherwise). . Additionally, certain funds managed pursuant to this strategy have named HCM as their investment manager due to one or more of a variety of reasons, including, but not limited to, regulatory, tax, or jurisdictional requirements.

Opportunistic CLO: This strategy will make investments in CLO tranches managed by unaffiliated third party CLO managers in either the primary or secondary market. The strategy is focused on providing credit exposure diversification based on the underlying assets of the CLO tranche as well as diversification with respect to manager style due to investments in a variety of CLO managers. This strategy may, at times, focus solely on investing in CLO tranches of a specific rating. The strategy will seek to achieve current income and preservation of capital consistent with investments in rated notes of CLOs. Additionally, certain funds managed pursuant to this strategy have named HCM as their investment manager due to one or more of a variety of reasons, including, but not limited to, regulatory, tax, or jurisdictional requirements.

European Asset Value: This strategy will seek to invest opportunistically over a cycle in a variety of performing and non-performing single assets, portfolios, and platforms. For performing assets and/or loans, the strategy will focus on acquiring and aggregating like assets with dedicated operating platforms and for non-performing loans, the strategy will pursue complex, non-commoditized portfolios and utilize operating platforms. Utilization of operating platforms will provide the strategy with the ability to leverage sector and/or asset specific expertise, benefit from economies of scale, and seek multiple paths to exit scenarios.

In addition, HPS utilizes leverage in certain of its investment programs. The leverage is generated from loans made by banks with capital commitments or assets as security or from total return swaps. Risk Factors

I. HCM: The investment strategies employed by HCM on behalf of clients involve substantial risks, including the risk of loss of a client’s entire investment. The following is a summary of the material risks associated with the investment strategies employed by HCM. More detailed information with respect to

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the following risk factors and the applicability of the following risk factors to each client managed by HCM is included in each client’s offering and/or disclosure documents.

Risks Associated with Trading Instruments:

Securities. Clients may purchase a wide variety of debt and equity securities. Some of these securities may be low rated or unrated and illiquid. Clients may purchase privately placed and unregistered securities (including investments in private placements by publicly held companies (PIPES)). Such transactions are not subject to exchange rules. In addition, limitations on resale with respect to such securities may have an adverse effect on the marketability of portfolio securities, and the clients might be unable to dispose of securities purchased in private placements or other illiquid securities promptly or at reasonable prices. The value of equity securities generally will vary with the performance of the issuer and movements in the equity markets. Long, unhedged or only partially hedged investments in, and exposure to, equities may decline in value in the event of a general decline of the equity markets, a decline in a sector or a decline in a specific security. The value of convertible securities is sensitive to changes in (i) equity volatility and price and (ii) interest rates and credit spreads. The market for “high yield” bonds, preferred securities and other debt products, including bank loans, which are rated in the lower rating categories by the various credit rating agencies (or in comparable non-rated securities), is thinner and less active than that for higher-rated securities. Further, no assurances can be given that the ratings on such securities accurately reflect their risk profiles.

Investing in Non-U.S. Instruments. Investing in non-U.S. instruments involves considerations that are not applicable to investing in U.S. instruments, including unfavorable changes in currency rates and exchange control regulations, reduced and less reliable information about issuers and markets, less stringent accounting standards, illiquidity of securities and markets, higher brokerage commissions and custody fees, local economic or political instability and greater market risk in general. Furthermore, the clients may incur costs in connection with conversions between various currencies. In addition, there can be no assurance that currency hedging transactions will be effective.

Futures. Futures markets are highly volatile and are influenced by factors such as changing supply and demand relationships, governmental programs and policies, national and international political and economic events and changes in interest rates. In addition, because of the low margin deposits normally required in futures trading, a high degree of leverage is typical of a futures trading account.

Over-the-Counter Derivatives and Principal Transactions. The trading of over-the-counter derivatives will subject the clients to a variety of risks including: 1) counterparty risk; 2) basis risk; 3) interest rate risk; 4) settlement risk; 5) legal risk and 6) operational risk. There is less protection against defaults in principal trading than in trades executed on exchanges and cleared at a clearing house that are subject to regulatory oversight. The clients are generally not restricted from dealing with any particular counterparty or from concentrating any or all of their transactions with one counterparty. Such potential counterparty concentration could result in significant losses to the clients. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) grants the Commodity Futures Trading Commission (the “CFTC”) and SEC broad rulemaking authority to implement various provisions of the Dodd-Frank Act including comprehensive regulation of the over-the-counter derivatives market, which could adversely affect certain clients by increasing transaction costs and imposing restrictions on the investment or other operations of the HCM Funds, HCM or their affiliates. In addition, until the compliance date for various provisions of the Dodd-Frank Act, over-the-counter derivative instruments not traded on exchanges or cleared will not be subject to similar types of government regulation as exchange-traded instruments as well as the protections afforded to participants in a regulated environment.

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Options. Specific market movements of the securities, commodities, futures contracts or other instruments underlying an option cannot be predicted accurately.

Credit Default Swaps and CDS Indices Transactions. When a CDS Index is bought, the buyer is taking on the credit exposure to the loan and is exposed to defaults similar to when a loan portfolio is bought.

Bank Loans. Bank loans and participations are subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent conveyance under relevant creditors’ rights laws; (ii) so-called lender-liability claims by the issuer of the obligations; (iii) environmental liabilities that may arise with respect to collateral securing the obligations; and (iv) limitations on the ability of the clients to directly enforce compliance by the obligor with the terms of the loan or credit agreement or other instrument evidencing such loan obligation, or enforce any rights of set-off against the obligor.

Distressed Assets. Certain clients may purchase securities and other obligations, such as bank debt, trade claims and accounts receivable of companies that are experiencing significant financial or business distress. Such purchases may not show any return for a considerable period of time and they may result in substantial, or at times even total, losses.

Other Risks Associated with Investing:

Leverage and Short Exposure. Certain clients may seek to maximize their investment positions by borrowing funds or engaging in short selling of securities. As a result, the possibilities of profit and loss are increased.

Statistical Arbitrage; Quantitative Trading. Quantitative trading strategies, including statistical arbitrage, are highly complex, and could be severely compromised by, among other things, a diminution in the liquidity of the markets traded, telecommunications failures, power loss and software-related “system crashes.” Due to the high trading volume of quantitative trading strategies, the resulting transaction costs may be significant. Because this strategy is automated, HCM’s ability to respond to sudden developments in the markets may be constrained.

Prime Broker Risk; Clearing Brokers; Futures Commission Merchants; Custodians. Most or all of a client’s securities, other investments and cash are held by its brokers and custodians. If such brokers and/or custodians became insolvent and there were not sufficient customer assets to pay all customers in full, then the securities and cash held in customers’ accounts at the broker or custodian would be distributed pro rata among customers. In addition, if a futures commission merchant fails to properly segregate customer funds, a client may be subject to a risk of loss of its funds on deposit.

Exchange Risk. Certain clients are subject to the risk of the failure of any exchanges on which

their positions trade or of the exchanges’ clearinghouses. In addition, each exchange typically has the right to suspend or limit trading in all securities, futures or other instruments that it lists.

Trading on Non-U.S. Exchanges. Trading on a foreign exchange may involve certain risks not applicable to trading on U.S. exchanges, such as risks of fluctuations in the exchange rate between the currency of the locale of the foreign exchange and U.S. dollars, exchange controls, expropriation, burdensome or confiscatory taxation, moratoriums, or political or diplomatic events. In addition, certain clients may be affected by political and economic developments in or affecting certain non-U.S. markets in which the clients may trade, including those of developing countries, including changes in government policy, taxation and social, ethnic and religious instability.

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Off-Balance Sheet Risk. A financial instrument with off-balance sheet risk exposes an investor to a loss in excess of the investor’s recognized asset carrying value in such financial instrument, if any, or if the ultimate liability associated with the financial instrument has the potential to exceed the amount that the investor recognizes as a liability in the investor’s statement of assets and liabilities.

Effect of the Dodd-Frank Act. Among other changes to applicable law, the Dodd-Frank Act has been enacted and certain provisions therein (known as the “Volcker Rule”) will restrict banking entities from acquiring or retaining any equity or other ownership interest in, or sponsoring, certain private funds (referred to in the final rules implementing the Volcker Rule as “covered funds”). However, the final rules permit a banking entity to organize and offer a covered fund if certain conditions are satisfied, including the requirement that the banking entity does not acquire an equity interest or other ownership interest in the covered fund except for a permitted investment (generally, not more than 3% of the total number or value of outstanding ownership interests of the fund) as defined in the final regulations.

Withdrawals from investment vehicles managed by HCM Entities by individuals or entities that are related to, or affiliated with, JPM, including without limitation any investment vehicles advised by JPM and certain employees of JPM as a result of, or in connection with, the Volcker Rule could require liquidations of positions sooner than would otherwise be desirable, which could adversely affect the performance. In addition, regardless of the period of time in which such withdrawals occur, the resulting reduction in net assets, and thus in the equity base, could make it more difficult to diversify holdings and achieve the investment objective. Substantial withdrawals by investors related to or affiliated with JPM could cause the distribution of a considerable percentage of the liquid assets, leaving the remaining portfolio comparatively less liquid and could significantly increase expenses. Similarly, certain investors related to or affiliated with JPM may be required to transfer their interests to a third party as a result of, or in connection with, the Volcker Rule and such transfers may have an adverse effect.

The Volcker Rule’s prohibition on “covered transactions,” as defined in section 23A of the Federal Reserve Act, between an HCM Entity or any of its affiliates and the investment vehicles managed by such HCM Entities, or any other covered fund that is controlled by such investment vehicles, will restrict the activities of the investment vehicles. There may be certain investment opportunities, investment strategies or actions that an HCM Entity will not undertake on behalf of an investment vehicle it manages in view of its relationship with JPM or JPM’s client or firm activities. Further, the investment opportunities, investment strategies or actions of any such investment vehicle may be limited in order to comply with the Volcker Rule’s restriction on material conflicts of interest. A fund that is not advised by JPM or its affiliates, including an HCM Entity, may not be subject to these considerations.

Regulatory Intervention and Changing Regulatory Environment. The SEC, other regulators and self-regulatory organizations and exchanges are authorized to intervene, directly and by regulation, in certain markets and may restrict or prohibit market practices, such as the short-selling of certain stocks. In addition, the regulatory environment for private investment funds is evolving, and changes in regulation may adversely affect the clients and their investment results. In addition, governmental regulatory activity, especially that of the Board of Governors of the U.S. Federal Reserve System, may have a significant effect on interest rates and on the economy generally, which in turn may affect the price of the instruments in which certain clients plan to deal.

Turnover. HCM may make trading decisions on the basis of short-term market considerations. Therefore, the portfolio turnover rate could be significant, requiring substantial brokerage commissions and fees.

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II. HPS: The investment strategies employed by HPS on behalf of clients involve substantial risks, including the risk of loss of a client’s entire investment. In addition to certain of the risk factors listed above, the following is a summary of the additional material risks associated with the investment strategies employed by HPS. To the extent any clients managed by HCM invest in any HPS Funds, the following risks would apply as well. More detailed information with respect to the following risk factors and the applicability of the following risks factors to each client managed by HPS is included in each client’s offering and/or disclosure documents. As noted in the Investment Strategies section within this Item 8, due to various reasons including, but not limited to, regulatory, tax, or jurisdictional requirements, HCM may be appointed as investment manager for certain HPS Funds or Third Party Funds. The risk factors associated with said HCM-managed HPS Funds or Third Party Funds have been included in this HPS Risk Factors section. Risks Associated with Trading Instruments:

Senior Secured Loans. Senior secured loans and participations are subject to risks, including: (i) the possible invalidation, avoidance, unwinding or subordination of an investment transaction; (ii) so‐called lender liability claims; (iii) environmental liabilities; (iv) limitations on the ability to directly enforce compliance by the obligor with the terms of the loan or credit agreement or enforce (or retain all the proceeds realized from) any rights of set‐off against the obligor; and (v) the possibility of being outvoted by other lenders in syndicated senior secured loans on important issues. In addition, these investments may be subject to the risk that the clients’ security interests in the underlying collateral are not properly or fully perfected. Compounding these risks, the collateral securing debt investments will often be subject to casualty or devaluation risks. In addition, certain clients may invest in senior loans that, unlike typical senior loans, have limited mandatory amortization requirements. Lastly, the characterization of an investment as senior debt or senior secured debt does not mean that such debt will necessarily have repayment priority with respect to all other obligations of a portfolio company. Portfolio companies may have, and/or may be permitted to incur, other debt and liabilities that rank equally with or senior to the senior loans in which the clients invest.

Nature of Fixed-Income Securities. Fixed-income securities in which a client invests may be

unsecured, whereas all or a significant portion of the issuer’s senior indebtedness may be secured. In such situations, the ability of the client to influence a portfolio company’s affairs, especially during periods of financial distress or following an insolvency, is likely to be substantially less than that of senior creditors. Investments in fixed-income securities may be subject to early redemption features, refinancing options, prepayment options or similar provisions which, in each case, could result in the issuer repaying the principal on an obligation held by a client earlier than expected.

Debtor Risks. A fundamental risk associated with certain of the client’s investment activities is

the risk that a corporate debtor will be unable to make principal and interest payments when due.

Subordinated Loans. A client may acquire and/or originate subordinated loans. If a borrower defaults on a subordinated loan or on debt senior to the client’s loan, or in the event of the bankruptcy of a borrower, the loan held by the client will be satisfied only after the senior loans are repaid in full.

Below Investment Grade Debt Obligations. Below investment grade debt obligations have

greater credit and liquidity risk than investment grade obligations as the lower rating of such obligations reflects a greater possibility that adverse changes in the financial condition of an obligor or in general economic conditions, or both, may impair the obligor’s ability to make payments in respect of such debt. In addition, obligors of below investment grade debt obligations may be highly leveraged and may not

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have available to them more traditional methods of financing. During an economic downturn, a sustained period of rising interest, or a period of fluctuating exchange rates (in respect of those obligors with operations located in non-U.S. countries), such obligors may be more likely to experience financial stress and may be unable to meet their debt obligations due to the obligors’ inability to achieve sufficient financial results or the unavailability of financing or under certain market conditions may not be able to refinance their debt obligations which may increase their risk of default.

General Real Estate Market Risks. Investments in real estate and real estate-related assets

(whether in the form of debt or equity) are subject to various risks, including changes in regional, national and international economic conditions, adverse local market conditions, the financial condition of tenants, buyers and sellers of properties, changes in the availability of debt financing, changes in interest rates, real estate tax rates and other operating expenses, environmental laws and regulations, zoning laws and other governmental rules and fiscal policies, environmental claims arising in respect of real estate acquired with undisclosed or unknown environmental problems or as to which inadequate reserves had been established, energy prices, changes in the relative popularity of property types and locations, risks due to dependence on cash flow and risks and operating problems arising out of the presence of certain construction materials, as well as acts of God, natural disasters and uninsurable losses, acts of war (declared and undeclared), terrorist acts, strikes and other factors which are beyond the control of the borrower and/or property owner.

Cov-Lite Loans. Generally, “Cov-Lite” loans either do not require the obligor to maintain debt service or other financial ratios or do not contain common restrictions on the ability of the obligor to change significantly its operations or to enter into other significant transactions that could affect its ability to repay such loans. Ownership of Cov-Lite loans may expose the fund to different risks, including with respect to liquidity, price volatility and ability to restructure loans, than in the case with loans that have such requirements and restrictions, which could result in an adverse impact on the fund’s ability to make payments on its interests/shares.

Potential Early Redemption of Some Investments. The terms of loans in which the clients

invest may be subject to early redemption features, refinancing options, prepayment options or similar provisions which, in each case, could result in the issuer repaying the principal on an obligation held by the clients earlier than expected, either with no or a nominal prepayment premium.

Risks Arising from Purchases of Secondary Debt. Clients are unlikely to be able to negotiate the terms of secondary loans as part of their acquisition of the debt and, as a result, these investments may not include some of the covenants and protections generally sought when the clients originate loans.

Non-Recourse Obligations. The clients may invest in certain securities that are non-recourse obligations of issuers. Such securities are payable solely from proceeds collected in respect of collateral pledged by an issuer to secure such obligations.

Certain Guarantees. Certain clients may invest in debt that is guaranteed by a subsidiary of the issuer. In some circumstances, guarantees of senior debt issued by subsidiaries of a portfolio company may be subject to fraudulent conveyance or similar avoidance claims made by other creditors. As a result, such creditors may take priority over the claims of the clients under such guarantees.

Investment in Restructurings. The clients may make investments in restructurings that involve

portfolio companies that are experiencing or are expected to experience severe financial difficulties, which may never be overcome. Such investments could, in certain circumstances, subject the clients to certain additional potential liabilities.

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Investments in Undervalued Assets. Certain clients may invest in undervalued loans and other assets as part of their investment strategy. The identification of investment opportunities in undervalued loans and other assets is a difficult task, and there is no assurance that such opportunities will be successfully recognized or acquired.

Minority Equity Investments. Certain clients may make minority equity investments in entities in which the clients do not control the business or affairs of such entities.

Term Loan Total Return Swap. Certain clients may obtain leverage for senior term loans and second lien term loans by borrowing funds through a total return swap. Exposure to such loans through the total return swap presents risks in addition to those resulting from direct purchases of the loans. Other Risks Associated with Investing:

Long-Term Investments. Certain investments will typically not be liquidated for a number of years after the initial investment. Factors such as overall economic conditions and the competitive environment may shorten or lengthen the intended holding period for any investment or group of investments.

Lender Liability Considerations and Equitable Subordination. Courts in the United States have upheld the right of borrowers to sue lending institutions on the basis of various evolving legal theories (collectively termed “lender liability”). Because of the nature of certain of the investments, a client could be subject to allegations of lender liability. A court may elect to subordinate the claim of the offending lending institution to the claims of the disadvantaged creditor or creditors, a remedy called “equitable subordination.”

Fraud; Financial Reporting. Of paramount concern in lending is the possibility of material misrepresentation or omission on the part of the borrower.

Diversification Risk. Certain clients may invest in a limited number of investments. A consequence of a limited number of investments is that the aggregate returns realized by the clients may be substantially affected by the unfavorable performance of a small number of such investments.

Control Person Liability. Certain clients may have controlling interests in some of their portfolio companies. The exercise of control over a company may impose additional risks of liability.

Reliance on Company Management. Management will be primarily responsible for the operations of the portfolio companies in which a client invests on a day-to-day basis. Although it is the intent of HPS that the clients invest in companies with strong operating management, there can be no assurance that the existing management team, or any new one, will be able to operate the company successfully.

Risk Arising from Provision of Managerial Assistance. The clients may obtain rights to participate in the governance of certain portfolio companies. Such rights could expose the assets of the clients to claims by a portfolio company, its security holders and its creditors, including claims that a client is a controlling person and thus is liable for securities laws violations.

Creditors Committee and/or Board Participation. In connection with some of the investments, the clients may, but are not obligated to, seek representation on official and unofficial creditors committees and/or boards (or comparable governing bodies) of the portfolio companies. While such representation may enable the client to enhance the value of the investments, it may also prevent the client

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from disposing of the investments in a timely and profitable manner, because serving on a creditors committee increases the possibility that the clients will be deemed an “insider” or a “fiduciary” of the portfolio company.

Bankruptcy. A client’s investment and lending activities may result in its becoming a creditor in bankruptcy cases. Investment in the debt of financially distressed companies domiciled outside the United States involves additional risks.

Competitive Debt Environment. The business of investing in debt investments is highly competitive. Market competition for investment opportunities includes traditional lending institutions, including commercial and investment banks, as well as a growing number of non-traditional participants, such as private funds and other investors. Strong competition for investments could result in fewer investment opportunities for the clients, as certain of these competitors are establishing investment vehicles that target the same or similar investments that the clients intend to purchase.

Hedging Policies and Risks. The clients may employ hedging or other risk management techniques. However, unanticipated changes in interest rates, currency exchange rates or securities prices may result in a poorer overall performance for the clients than if they had not entered into such hedging transactions.

Effect of Changes in Interest Rates on Investments. Many loans, especially fixed rate loans, decline in value when long-term interest rates increase. Declines in market value, if not offset by any corresponding gains on hedging instruments, may ultimately reduce earnings or result in losses to the clients.

Investment in the HCM Funds, the HPS Funds and/or the Third Party Funds involves significant risks and is suitable only for investors who can bear the economic risk of loss of their entire investment and who generally have limited need for liquidity in their investment. There can be no assurance that the HCM Funds the HPS Funds and/or the Third Party Funds will achieve their investment objectives. Investment in the HCM Funds, the HPS Funds and/or the Third Party Funds carries with it inherent and material risks that clients may be subject to other than those described above. Additional risks pertaining to specific clients are disclosed in greater detail in the offering materials and/or disclosure documents of each client. We encourage prospective clients to carefully review the full description of risk factors presented in their offering and/or disclosure documents prior to making a decision to invest in the HCM Funds, the HPS Funds and/or the Third Party Funds.

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Item 9 - Disciplinary Information We do not believe that there have been any legal or disciplinary events that are material to our advisory business or the integrity of our management.

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Item 10 - Other Financial Industry Activities and Affiliations HCM is registered with the CFTC as a commodity trading advisor and commodity pool operator. Certain HCM employees are registered with the CFTC as associated persons of HCM. Certain HCM employees are registered representatives of an affiliated broker-dealer. HCM, either directly or indirectly, controls, the following Relying Advisers:

• Highbridge Capital Management (UK), Ltd. • Highbridge Capital Management (Hong Kong) Limited • Highbridge Principal Strategies, LLC • Highbridge Mezzanine Partners, LLC • Highbridge Mezzanine Partners II, LLC • Constellation Growth Capital LLC • CVC III Partners LLC • Highbridge Principal Strategies (UK), LLP. • HB RV Partners GP, L.P.

Each of the Relying Advisers is involved in identifying and monitoring investments recommended or made on behalf of one or more clients. The Relying Advisers conduct no other investment advisory activities. Principals and employees of the Relying Advisers are subject to HCM’s Code of Ethics. Highbridge Capital Management (UK), Ltd. (“HCMUK”), a subsidiary of HCM in the United Kingdom, was organized in January 1998 and has its principal place of business at Devonshire House, 1 Mayfair Place, London W1J 8AJ. HCMUK is authorized in the United Kingdom to carry out asset management services to HCM. HCMUK currently provides investment advice solely to HCM with respect to certain HCM Funds. Highbridge Capital Management (Hong Kong), Limited (“HCMHK”) was incorporated in March 2004 and is a subsidiary of HCM. HCMHK has its principal place of business at 15 Queen’s Road, The Landmark, York House, 14th Floor Central, Hong Kong. HCMHK has obtained a license in Hong Kong to carry out asset management services to HCM. HCMHK currently provides investment advice solely to HCM with respect to certain HCM Funds. Highbridge Principal Strategies, LLC (“HPS”) was formed in March 2007, Highbridge Mezzanine Partners, LLC (“HMP”) was formed in November 2007, Highbridge Mezzanine Partners II, LLC (“HMPII”) was formed in January 2012, Constellation Growth Capital, LLC (“CGC”) was formed in September 2008, CVC III Partners LLC (“CVC”) was formed in April 2007 and HB RV Partners GP, L.P. (“HBRV”) was formed in March 2013. Each of HMP, HMPII, CGC, CVC and HBRV is a subsidiary of HPS, and references in this paragraph to HPS include such subsidiaries. HPS has its principal place of business at 40 West 57th Street, New York, New York 10019. HPS and its affiliates manage and/or serve as general partner to certain private investment vehicles that invest in debt and equity opportunities. In addition, principals of HPS and HCM have made commitments to invest in investment vehicles managed by HPS. HPS also directly manages certain assets of Highbridge International LLC, an HCM Fund. Highbridge Principal Strategies (UK), LLP (“HPS-UK”), an indirect subsidiary of HPS in the United Kingdom, was organized in December 2007 and has its principal place of business at Devonshire House, 1 Mayfair Place, London W1J 8AJ. HPS-UK is authorized in the United Kingdom to carry out asset

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management services. Affiliates of funds managed by HPS and an affiliate of JPM are parties to a services agreement that provides for arm’s length fee arrangements in consideration of certain operational and financial services provided by one or more employees of the JPM affiliate. HCM is engaged in a strategic partnership with Gávea Investimentos Ltda., a majority owned subsidiary of JPM (“Gávea”). Gávea is a Brazilian investment manager that was organized in 2003 and its principal place of business is at Av Ataulfo de Paiva, 1100, 7° andar, Rio de Janeiro RJ, 22440-035, Brazil. Gávea is registered with the CFTC as a commodity pool operator and is an exempt reporting adviser relying on the private fund adviser exemption. Gávea generally provides investment advisory services directly and through subsidiary advisory entities. In addition affiliates of Gávea serve as the general partners and directors of funds managed by Gávea. Additionally, HCM clients invest in certain Gavea funds. A trading manager is required to aggregate those futures and options on futures positions that it or its principals own or control for speculative position limit purposes. Therefore, all futures and options on futures positions owned or controlled by HCM will be aggregated for speculative position limit purposes. In the future, positions of other entities that are owned or controlled by HCM or its principals may be aggregated with HCM’s positions. As a result, HCM, as well as any such other entities in the future, may be required to revise trading orders for their respective clients as a result of such aggregation. As mentioned in Item 5 above, HCM acts as sub-adviser to certain Luxembourg funds pursuant to investment sub-advisory agreements with J.P. Morgan Asset Management (Europe) S.à.r.l. CGC has a sub-advisory agreement with Bear Stearns Asset Management Inc. (“BSAM”), an affiliated investment adviser of HCM, to manage certain private equity funds. BSAM also has a revenue sharing arrangement with CGC. Certain affiliates of JPM, including, but not limited to, J.P. Morgan Securities LLC, JPMorgan Distribution Services, Inc., J.P. Morgan Institutional Investments, Inc., J.P. Morgan Asset Management Marketing Limited, J.P. Morgan Asset Management (UK) Limited, JPMorgan Asset Management (Europe) S.à.r.l., J.P. Morgan (Suisse) SA, JPMorgan Asset Management (Japan) Limited, JPMorgan Funds (Asia) Limited, JPMorgan Asset Management (Singapore) Limited, J.P. Morgan Securities plc (together with its affiliates, “JPMS”) serve as placement agents for HCM Funds and HPS Funds. JPMS does not receive placement fees from HCM Funds and HPS Funds but in certain cases receives fees directly or indirectly from HCM and HPS, as applicable, and from certain investors subscribing for shares/interests in certain HCM Funds and HPS Funds. In addition, JPM, as owner of the HCM Entities, indirectly benefits from the services of JPMS, which places shares/interests in HCM Funds and HPS Funds, by increasing the assets upon which the HCM Entities receive fees directly or indirectly from HCM Funds and HPS Funds. As such, JPM may separately compensate JPMS for certain placement activities undertaken by JPMS on behalf of HCM and HPS Funds. Certain affiliates of JPM, including J.P. Morgan Bank (Ireland) plc and J.P. Morgan Bank Luxembourg S.A. serve as the administrator and/or custodian for certain HCM Funds and SICAVs. Certain clients engage in principal transactions with JPM and its affiliates as counterparty, including, but not limited to, J.P. Morgan Securities LLC, Chase Lincoln First Commercial Corporation and J.P. Morgan Securities plc, and may do so in the future. Certain clients may also engage in agency cross transactions with or through JPM and its affiliates with respect to which JPM or its affiliates receive commissions, fees or markups. These transactions create a conflict of interest between an HCM Entity’s interest in assuring that clients receive best execution on all transactions and in limiting or reducing the fees paid by the clients, and an HCM Entity’s interest in generating profits and fees for JPM and its affiliates. An agency cross transaction arises when an investment adviser, or any broker-dealer affiliated

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with the adviser, acts as a broker in a securities transaction for both an advisory client and another client on the opposite side of the transaction. The affiliated broker-dealer effects the securities transaction by transferring (or crossing) the securities from one account to another and earns commissions from both sides. An HCM Entity would not be able to cause a client to enter into principal transactions with JPM absent consent on a transaction-by-transaction basis before completion of each such transaction. In addition, an HCM Entity would not be able to cause a client to enter into agency cross transactions through JPM absent consent on a blanket prospective basis and disclosures on a transaction-by-transaction basis. In order for clients to enter into these principal and/or agency cross transactions with or through JPM, the HCM Entities or any of their affiliates, in an efficient manner that is also consistent with applicable law, including Section 206(3) of the Advisers Act, the board of directors or general partner of the client or the client directly may select a third party unaffiliated with the HCM Entities, or ask the relevant fund investors’ advisory committee, to review and approve or disapprove any such transactions consistent with applicable law. In connection with principal transactions, this means that the unaffiliated third party reviews the terms of each transaction before its completion and approves or disapproves it. In connection with agency cross transactions, this means that the unaffiliated third party would be provided with disclosure of certain details regarding the agency cross transactions with other clients of JPM. A more complete description of this process is included in the client’s offering and/or disclosure documents. The fee charged by the unaffiliated third party for these services will generally be an expense of the client. Such unaffiliated third party may perform other services for clients, including valuation services. Certain HCM Funds and HPS Funds will be treated as affiliated entities for purposes of Sections 23A and B of the Federal Reserve Act, as amended. Those sections require that banking subsidiaries of JPM comply with certain standards and restrictions in dealing with affiliates such as HCM Entities. As a result, certain HCM Funds and HPS Funds may be prohibited from engaging in certain transactions directly with JPM. Certain clients may be deemed indirectly “controlled” for purposes of the Bank Holding Company Act of 1956, as amended (the “BHCA”). As a result, so long as such clients are deemed “controlled,” those clients will be limited in investment activities, including the amount of their equity investment in a particular issuer, the length of time that they may hold a particular investment, and if applicable, the ability to have input into the business plans of an issuer. In addition, during any time clients are deemed “controlled,” for purposes of calculating maximum permitted ownership under various statutes, positions held by such clients will be aggregated with positions held by JPM and certain accounts managed by affiliates of JPM. JPM Special Purpose Vehicles JPM and its affiliates have established various special purpose vehicles (the “JPM SPVs”) for certain JPM clients to hold interests in certain HCM Funds and HPS Funds. Neither HCM nor HPS serves as the investment manager of the JPM SPVs. J.P. Morgan Private Investments Inc. (“JPMPI”), a wholly owned subsidiary of JPM, is the administrator of the JPM SPVs. JPMPI, on behalf of the JPM SPVs, has engaged Harmonic Fund Services (“Harmonic”) to provide certain administrative functions to the JPM SPVs. Harmonic also serves as the administrator for certain HCM Funds, and HPS Funds. JPMPI has no role in the business, operations, investments or investment decisions of HCM Funds or HPS Funds, and JPMPI does not serve as administrator to HCM Funds or HPS Funds. The HCM Entities may in the future advise other managed accounts and may establish and/or advise other investment vehicles.

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Item 11 - Code of Ethics, Participation or Interest in Client Transactions and Personal Trading HCM has adopted a Code of Ethics (the “Code”) and each of the Relying Advisers has adopted the Code. The Code obligates all principals, officers, directors, employees and other persons associated with the HCM Entities or designated by the Compliance Department (“Supervised Persons”) to put the interests of the clients of the HCM Entities before their own personal interests in connection with their fiduciary duties. All of the Supervised Persons are also required to comply with all applicable federal securities laws and to report violations of the Code. As part of the Code of Ethics, HCM has adopted policies and procedures that are designed to mitigate potential conflicts of interest including, but not limited to, those related to insider trading and the misuse of material, non-public information, personal trading, political contributions, and outside activities. HCM also maintains a gifts and entertainment policy requiring the reporting of gifts and entertainment and restricts the acceptance of certain gifts. On at least an annual basis, but more often quarterly, Supervised Persons are required to complete certifications with respect to their personal accounts, holdings, transactions, political contributions, outside activities, and gifts and entertainment for the preceding period. Additionally, all HCM employees are subject to certain JPMC firm-wide policies and procedures including the JPMC Code of Conduct. HCM employees are required to periodically, but no less than annually, certify that they have complied with the provisions contained in the JPMC Code of Conduct. As part of HCM’s personal trading policy, Supervised Persons of the HCM Entities are required to disclose their securities holdings. Trading in securities in personal accounts of Supervised Persons as well as the purchase of any private placement or other private investment is subject to preclearance by HCM’s Compliance Department (the “Compliance Department”). Holding periods (generally 60 days) apply to purchases and sales of securities in personal trading accounts. Securities that have been or may be traded for client accounts may not be traded in personal trading accounts during certain blackout periods. Generally, no Supervised Person may purchase a security in an initial public offering. Trading in employee accounts is reviewed by the Compliance Department on a pre- and post-trade basis. The Compliance Department may choose to grant exceptions to the personal trading policy in limited circumstances, based on the consideration of individual facts and circumstances. Clients and prospective clients may obtain access to a copy of the Code by contacting the Compliance Department at (212) 287-4900. HCM has adopted Information Barrier policies and procedures related to communications between employees of the HCM Entities, which generally prohibit the sharing of information between HCM and HPS. In addition to the information barrier between HCM and HPS, there exists an information barrier, and associated policies and procedures, between JPM and the HCM Entities, which also generally prohibit the sharing of information between the HCM Entities and JPM. As such, HCM maintains one or more restricted lists which are composed of companies whose securities are subject to certain trading prohibitions due to HCM’s, HPS’s, JPM’s or their affiliates’ business activities. The principals, employees or other related persons of the HCM Entities may from time to time purchase interests in one or more clients. In addition, such principals may also serve on the board of directors of certain HCM Funds or HPS Funds. The offering memorandum of each client that is provided to each investor discloses such affiliated directorship, where applicable. As described in Item 10 above, certain clients engage in principal transactions with JPM and its affiliates as counterparty, and may do so in the future.

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Subject to requirements of applicable law, and without limiting the generality of the foregoing, an HCM Entity may from time to time cause a client to sell or transfer a security or an instrument to another client. HCM Entities may engage in the practice of cross trading in order to “rebalance” the portfolios, where a particular client needs liquidity, where investment objectives differ, to reduce or eliminate transaction costs or market impact, in order to combine accounts or otherwise. HCM has adopted policies and procedures designed to appropriately manage the conflicts associated with such transactions. HCM Entities may from time to time select JPMS as executing broker in transactions for clients. Such HCM Entity will be acting in a fiduciary capacity and JPMS will receive normal consideration for the services it renders. HCM Entities may effect trades on behalf of client accounts through exchanges, electronic communication networks or other alternative trading systems (“ECNs”), including ECNs sponsored by JPM or in which an HCM Entity or its affiliates have a direct or indirect ownership interest or on which an HCM Entity or its affiliates have a board seat. In certain instances, the HCM Entities and/or their affiliates may be deemed to control one or more such ECNs based on the level of such ownership interest and board representation. If an HCM Entity directly or indirectly effects client trades through ECNs in which the HCM Entity or its affiliates have an ownership interest, the HCM Entity or its affiliates may receive a direct or indirect economic benefit based on their ownership interest. For example, HCM Entities may effect client trades through JPM-X, an ECN sponsored and wholly-owned by JPM. The ECNs on which an HCM Entity trades for client accounts and in which an HCM Entity or its affiliates own interests may change from time to time. You may contact HCM for an up-to-date list of ECNs in which HCM or its affiliates own interests and on which HCM trades for client accounts. Certain ECNs offer cash credits for orders that provide liquidity to their books and charge explicit fees for orders that extract liquidity from their books. From time to time, the amount of credits that HCM receives from one or more ECNs may exceed the amount that is charged. Certain ECNs through which an HCM Entity may directly or indirectly effect client trades execute transactions on a “blind” basis, so that a party to a transaction does not know the identity of the counterparty to the transaction. It is possible that an order for a client account that is executed through such a ECN could be automatically matched with a counterparty that is (i) another investment advisory or brokerage client of an HCM Entity or one of its affiliates or (ii) an HCM Entity or one of its affiliates acting for its own proprietary accounts. JPM and its affiliates have, and continue to seek to develop, banking and other financial and advisory relationships with numerous domestic and overseas companies and governments. JPM and its affiliates also advise and represent potential buyers and sellers of businesses worldwide. Clients may have invested in, or may wish to invest in, such an entity represented by JPM or its affiliates or with which JPM or its affiliates have a banking or other financial relationship. JPM and its affiliates also have relationships with, and represent, entities that may have invested in or may wish to invest in companies in which the client invests. In addition, JPM and its affiliates may represent, or may provide acquisition financing to, a client competing with the client for an investment in a company. In providing services to its clients, JPM and its affiliates may recommend activities that would compete with or otherwise adversely affect the client or the client’s investments. It should be recognized that under certain circumstances identified actual or potential conflicts arising from such relationships may indirectly preclude the client from engaging in certain transactions and may constrain the client’s investment flexibility. The HCM Entities on behalf of clients, consistent with regulatory requirements and relevant client guidelines, may purchase securities or participate in offerings including, but not limited to, Initial Public Offerings (“IPOs”) and secondary offerings, in which JPM or an affiliate act as a manager, co-manager, underwriter, placement agent, arranger or in another capacity in which JPM or an affiliate receives fees or other compensation. In addition, an investment could be made where there is an indirect benefit to JPM or its affiliates (e.g., if the proceeds of the investment were used by the issuer to repay a loan that had been provided to the issuer

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by JPM or its affiliates). In addition, purchases may be made in offerings where JPM or its affiliates (or funds advised by its affiliates) are selling shareholders. Participation in such offerings are reviewed by Compliance to ensure that any such potential conflicts are identified and mitigated in accordance with regulatory requirements and internal procedures. From time to time, the activities of certain clients may be restricted because of regulatory requirements applicable to JPM or its internal policies designed to comply with, limit the applicability of, or that otherwise relate to such requirements. An investment fund not affiliated with JPM would not be subject to some of those considerations in relation to transactions with JPM. There may be periods when an HCM Entity may not initiate or recommend certain types of transactions, or may otherwise restrict or limit its advice in certain securities, derivatives and other instruments issued by or related to companies for which JPM is performing investment banking, market making or other services or has proprietary positions. For example, when JPM is engaged in an underwriting or other distribution of securities of, or advisory services for, a company, certain clients may be prohibited from or limited in purchasing or selling securities of that company. In addition, there may be certain investment opportunities, investment strategies or actions that an HCM Entity will not undertake on behalf of a client in view of JPM’s client or firm activities. If permitted by applicable law, including the Volcker Rule, certain clients will make short-term investments of excess cash in money market funds and other instruments sponsored or managed by JPM and/or its affiliates. In connection with any of these investments, such clients will pay all fees pertaining to investments in such money market funds, and, in such event, no portion of any fees otherwise payable by the clients will be offset against fees payable in accordance with any of these investments (i.e., there could be “double fees” involved in making any of these investments). In these circumstances, as well as in other circumstances in which JPM or its affiliates receive any fees or other compensation in any form relating to the provision of services, no accounting or repayment to such clients will be required. Currently, certain HCM Funds, HPS Funds and Third Party Funds invest in such money-market funds. JPM and its affiliates may provide financial, consulting, investment banking and other services to, and receive customary compensation from, an entity which is the issuer of a security or the borrower with respect to a loan investment purchased or held by a client. In addition, JPM and its affiliates may provide financial, consulting, investment banking and other services to the HCM Entities. Any fees or other compensation received by JPM or its affiliates in connection with such activities will not be shared with the client or any investor in the client. Such compensation could include financial advisory fees or fees in connection with restructurings or mergers and acquisitions, as well as underwriting or placement fees, financing or commitment fees, trustee fees and brokerage fees. Moreover, when JPM or its affiliates provide or arrange financing to a borrower in which a client has invested, the holder of the senior securities (which may include JPM or its affiliate) may have, and in the event of the borrower’s financial distress or insolvency will have, interests substantially divergent from those of the client. There can be no assurance that JPM will be able to accommodate the interests of such client or that of its other clients. JPM may derive ancillary benefits from providing investment advisory, distribution, transfer agency, administrative and other services to clients, and providing such services to a client may enhance JPM’s relationships with various parties, facilitate additional business development and enable JPM to obtain additional business and generate additional revenue. In addition, JPM may derive ancillary benefits from certain decisions made by the HCM Entities. While the HCM Entities will make decisions for their clients in accordance with their obligations to manage their assets appropriately, the fees, allocations, compensation and other benefits to JPM (including benefits relating to business relationships of JPM) arising from those decisions may be greater as a result of certain portfolio, investment, service provider or other decisions made by the HCM Entities for certain clients than they would have been had other decisions been made which also might have been appropriate for such clients.

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Under certain circumstances, clients may invest in connection with a transaction in which JPM and/or HCM or their affiliates, principals or employees (the “Affiliated Group”) have already invested or are expected to invest. In some cases, an HCM Entity may invite JPM or its affiliates or such HCM Entity’s principals to co-invest with the clients because, for example, the investment opportunity is larger than the typical investment amount for the clients or because co-investing with the Affiliated Group may provide the clients or the portfolio company in which the clients invest with certain benefits. In such cases, the amount available for investment by the clients may be correspondingly reduced to permit the Affiliated Group the opportunity to co-invest. Clients may also partner with other entities in which the Affiliated Group holds an investment or with which the Affiliated Group has a significant business relationship. An HCM Entity has the discretion to grant co-investment rights and to determine the terms of any co-investment by its clients, and the terms on which the Affiliated Group may co-invest in an investment opportunity may be substantially different, and potentially more favorable, than the terms on which such clients invest. In addition, the terms of the clients’ investment, including the type of security purchased, may be different from the terms of the Affiliated Group’s investment or the type of security the Affiliated Group purchases. Conflicts could arise after the Affiliated Group on the one hand, and the clients on the other hand, make investments in the same issuer with respect to the issuer’s strategy, growth and financing alternatives and with respect to the manner and timing of the clients’ exit from the investment compared to the Affiliated Group’s exit. Should the Affiliated Group invest in a different type of security from the security purchased by the clients, additional conflicts may arise, particularly if the issuer experiences financial difficulties. The Affiliated Group may also have short positions in the same security or instrument or a different security or instrument in the same issuer as a security or instrument purchased by the clients, which may present additional conflicts, particularly if the issuer experiences financial difficulties. JPM and/or its affiliates, subject to applicable law, may also make a market in and conduct proprietary trading activities in securities of, or other investments in, companies in which a client invests for JPM’s own account, or accounts of its affiliates, and for the account of JPM’s or its affiliates’ clients. Such activities will be conducted independently of the client but could affect the value of securities held by the client. HCM Entities may recommend that certain clients (including client funds) invest all of their investable assets in other client funds pursuant to a master-feeder fund structure. In addition, HCM and its affiliates, on the one hand, and one or more clients, on the other, may invest in different classes of securities of the same issuer, and the classes in which HCM and its affiliates invest may not have the same rights as the classes in which such clients invest. Moreover, multiple clients may pursue or enforce rights with respect to a particular issuer, or HCM, JPM and/or their affiliates may pursue or enforce rights with respect to a particular issuer on behalf of one or more clients, and such actions may not always be favorable to each of the clients. Finally, in certain instances, personnel of an HCM Entity may obtain information about an issuer that is material to the management of certain clients’ portfolios and that could limit the ability of personnel of the HCM Entities to buy or sell securities of the issuer on behalf of other clients. These facts are disclosed, when applicable, in the offering memorandum of each client that is provided to each investor. The principals, employees or other related persons of the HCM Entities may from time to time purchase interests in certain client funds that are “master funds” in which certain other client funds invest pursuant to a master-feeder fund structure.

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The principals, employees or other related persons of the HCM Entities may from time to time serve as directors of companies that clients invest in and, in that capacity, will be required to make decisions that they consider to be in the best interests of such companies. In certain circumstances, such as in situations involving bankruptcy or near insolvency of a company, actions that may be in the best interest of such company may not be in the best interests of the clients, and vice versa. Accordingly, in these situations, there may be conflicts of interests between an individual’s duties as a principal, employee or other related person of an HCM Entity and such individual’s duties as a director of such company. In addition, members of the Affiliated Group may trade for their own accounts and may invest in and trade the same securities and instruments that a client invests in and trades. In addition, the Affiliated Group may manage accounts for other individuals or entities, including entities in which the Affiliated Group or its directors or employees may hold an interest, either directly in managed accounts or indirectly through investments in private investment entities. Any of such accounts may pay different fees, trade with different amounts of leverage or utilize different trading strategies than the clients. In addition, clients may enter into transactions with such accounts and the Affiliated Group may invest in and trade the same securities and instruments on behalf of such accounts that a client invests in and trades. The Affiliated Group or its personnel may have income or other incentives to favor such accounts. The HCM Entities, however, will not knowingly or deliberately favor any such accounts over the clients in its dealings on behalf of such accounts.

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Item 12 - Brokerage Practices Selection Criteria, Generally In general, clients will invest directly or indirectly in securities and other interests. Subject to any limitations set out in the investment management agreements with Third Party Funds, an HCM Entity may select any broker or dealer, including its affiliates, and has a formal review process to approve such relationships. Each HCM Entity, as an investment adviser, is under a duty to obtain “best execution,” which the SEC generally describes as a duty to execute securities transactions so that a client’s total costs or proceeds in each transaction are the most favorable under the circumstances. This duty generally begins with a requirement that the HCM Entity obtain the best price available for the securities in each transaction. However, the HCM Entity may not always pay the lowest possible commission or markup or markdown, but may take into account a number of factors when determining best execution, including, but not limited to, a broker’s trading expertise, reliability, responsiveness, reputation, execution, clearance, settlement and error correction capabilities, willingness to commit capital, access to a particular trading market, availability of securities to borrow or short sales, and the value of research it provides. An HCM Entity may give consideration to certain of these factors more than others in choosing brokers depending on the particular investment strategy at issue. Each HCM Entity conducts periodic reviews of the execution quality provided by broker-dealers used by such HCM Entity. Each HCM Entity may have an incentive to select or recommend a broker-dealer based on its interest in receiving the research or other products or services, rather than solely relying on receiving the most favorable execution. Soft Dollars An HCM Entity is not required to select the broker or dealer that charges the lowest transaction cost, even if that broker provides execution quality comparable to other brokers or dealers. An HCM Entity may consider the value of research services or products that a broker-dealer provides to the clients of such HCM Entity. Because many of those research services could benefit such HCM Entity and other clients of such HCM Entity, a conflict of interest may exist in allocating a client’s brokerage business. Each HCM Entity intends to comply with Section 28(e) of the Securities Exchange Act of 1934, as amended, except with respect to securities transactions for which Section 28(e) is unavailable. Under Section 28(e), an HCM Entity’s use of a client’s commission dollars to acquire research products and services is not a breach of its fiduciary duty to the client—even if the brokerage commissions paid are higher than the lowest available—as long as (among certain other requirements) such HCM Entity determines that the commissions are reasonable compensation for both the brokerage services and the research acquired. The types of research HCM Entities acquired during the last fiscal year includes, but is not limited to: reports or other information about particular companies or industries; economic surveys and analyses; recommendations as to specific securities and financial publications. The “safe harbor” under Section 28(e) applies to the use of the client’s “soft dollars” even when the research acquired is used in making investment decisions for other clients. Conversely, the research information provided to an HCM Entity by brokers through which other clients of HCM or its affiliates effect securities transactions may be used by HCM or its affiliates in providing services to other clients. The safe harbor is not available where transactions are effected on a principal basis with a markup or markdown paid to the broker-dealer, and is not available for services or products that do not constitute research. Additionally, the safe harbor is not applicable to futures transactions. The HCM Entities do not currently engage in any third-party soft dollar arrangements.

Prime Brokers and Futures Commission Merchants Prime brokers and futures commission merchants may provide a variety of services to HCM Funds, HPS Funds and other clients of the HCM Entities, which may include clearance and settlement of transactions, placement agent services, custody of the clients’ investment instruments and cash, extending margin credit to clients, arranging for stock loans to implement short sales, lending of the clients’ portfolio

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securities to third parties and capital introduction services whereby the HCM Entities may be afforded the opportunity by the prime brokers and/or futures commission merchants to make a presentation regarding its services to certain qualified investors. While the prime brokers, futures commission merchants and/or their affiliates generally provide capital introduction services at no additional cost and certain other services at favorable or below market rates, the HCM Entity, and not the client, may be the principal or sole beneficiary of those services, thus presenting a potential conflict of interest between the client and the HCM Entity, which is responsible for selecting the prime brokers and/or futures commission merchants and negotiating such client’s brokerage, margin and other fees. An HCM Entity may have brokerage relationships with other clients of the HCM Entities which may benefit such other clients, thus presenting a potential conflict of interest between such other clients and such HCM Entity. HCM currently engages certain brokers, affiliates of which may refer investors to certain HCM Funds. HCM pays a portion of the management fee and/or incentive fee to such affiliates of the brokers for referring investors to HCM Funds. The HCM Entities do not currently have any clients that engage in direct brokerage. Aggregation and Allocation Aggregation (or “bunching”) describes the practice of combining the orders of more than one client for the purchase or sale of the same security. The HCM Entities will often employ this practice because generally, larger transactions may enable them to obtain better overall prices, including lower commission costs or mark-ups or mark-downs. In the event that an aggregated order is not completely filled (or is filled throughout the trading day at different prices), the partially filled order (or the various prices) will be average priced and allocated on a fair and consistent basis. With respect to the statistical arbitrage portfolios, because each portfolio has its own dedicated Optimizer, trade lists are not aggregated and orders are sent to market for specific portfolios. Therefore, there is no post trade allocation required. Subject to applicable law, including the Employee Retirement Income Security Act of 1974, as amended, HCM has developed policies and procedures that provide that it will allocate investment opportunities and make purchase and sale decisions among clients in a manner that it considers, in its sole discretion and consistent with its fiduciary obligation to the clients, to be reasonable. In many cases, these policies may result in the pro rata allocation of limited opportunities across clients’ accounts, but in many other cases, the allocations may reflect numerous other factors based upon HCM’s good faith assessment of the best use of such limited opportunities relative to the objectives, limitations and requirements of each client and applying a variety of factors, including those described herein. HCM seeks to treat all clients reasonably in light of all factors relevant to managing an account, and in some cases it is possible that the application of the factors described below may result in allocations in which certain clients may receive an allocation when other clients do not. Similarly, HCM may cause the liquidation of such positions for clients in its discretion in accordance with the foregoing principles. Such allocations or liquidations may benefit one client over another or may be detrimental to a client. Certain clients may be restricted from making some types of investments due to (i) regulatory prohibitions, such as with respect to “new issue” securities; (ii) prohibitions on investing in options or other contractual restrictions; or (iii) differing investment objectives, policies or risk parameters. Without limiting the generality of the foregoing, certain of the SICAVs employ trading strategies similar or substantially similar to the trading strategies employed on behalf of one or more HCM Funds. Certain of the SICAVs, however, do not employ certain categories of strategies or instruments employed by the related HCM Funds. There is a conflict of interest between the interest of investors investing in the HCM Funds to benefit from such strategies and/or instruments and the interest of HCM in allocating investment opportunities to the HCM Funds from which HCM receives higher fees. This allocation of investment

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opportunities may, among other reasons, impact the relative performance of such SICAV and their related HCM Funds. Initial public offerings and secondary offerings are purchased for certain HCM Funds and HPS Funds as disclosed in applicable offering memoranda. HCM Entities anticipate that certain clients may make an investment in a company in which another client holds an investment in a different class of such company’s debt or equity. In such circumstances, HCM may face a conflict in making decisions with respect to such securities given their different rights and economic interest in the company. Generally speaking, HCM expects that clients will make such investments only when, at the time of its investment, HCM believes that such investment is in the best interests of the client, notwithstanding the potential for conflict. In those circumstances where HCM clients hold investments in different classes of a company’s debt or equity, HCM may, to the fullest extent permitted by applicable law, take steps to reduce the potential for adversity between each of them, including causing the first account to take certain actions that, in the absence of such conflict, it would not take, such as (i) remaining passive in a restructuring or similar situations (including electing not to vote or voting pro rata with other security holders), (ii) investing in the same or similar classes of securities as the second client in order to align their interests, (iii) divesting investments or (iv) otherwise taking an action designed to reduce adversity. Any such step could have the effect of benefiting one HCM client or HCM or its affiliates and might not be in the best interests of or may be adverse to another client. HPS endeavors to allocate investment opportunities fairly and equitably among the HPS Funds and any similarly managed Third Party Funds. When HPS purchases and sells securities for more than one account, the trades must be allocated in a manner that is consistent with HPS’s fiduciary duties. No one account may be systematically favored over another in the allocation of orders. HPS also has policies and procedures in place for allocating investment opportunities and making acquisition and disposition decisions among the HPS Funds and similarly managed Third Party Funds in a manner that it considers, in its discretion and consistent with its fiduciary obligation to its clients, to be reasonable. In many cases, allocations will be made pro rata across eligible HPS Funds and similarly managed Third Party Funds, but in many other cases, depending on which of the HPS Funds and similarly managed Third Party Funds are eligible for a certain investment opportunity, the allocations may reflect other factors based upon HPS’s good faith assessment of the best use of such limited opportunities relative to the objectives, disclosure to and agreements with applicable clients including, limitations and requirements of each of its clients and applying a variety of other factors. Due to specific guidelines and investment parameters for individual HPS Funds and any similarly managed Third Party Funds, pro-rata allocations may not always be appropriate. Allocation decisions are also made dependent upon each HPS Fund’s or similarly managed Third Party Fund’s holdings, positioning and objectives at the specific time an allocation is made. Some of the factors that may be considered during the allocation process include, but may not be limited to, investment strategies, investment guidelines and restrictions, concentration limits, tax and regulatory issues, the nature and size of existing portfolio holdings, portfolio cash positions, and risk/return objectives. As a result, HPS may exercise a certain level of discretion during the allocation process and will accompany an allocation decision with an appropriate explanation of such decision. Trade Error Although the HCM Entities exercise due care in making and implementing investment decisions, employees of the HCM Entities may from time to time make errors with respect to trades made on behalf of a portfolio. Examples of trade errors include: (i) the placement of orders (either purchases or sales) in excess of the amount of securities the applicable HCM Entity intended to trade; (ii) the sale of a security

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when it should have been purchased; (iii) the purchase of a security when it should have been sold; (iv) the purchase or sale of the wrong security; (v) the purchase or sale of a security contrary to explicit regulatory restrictions or portfolio investment guidelines or explicit restrictions; and (vi) incorrect allocations of securities. Errors that do not result in transactions for a portfolio (such as transactions that result in loss of an investment opportunity) will not be viewed as trade errors. The applicable HCM Entity will not be liable to a portfolio for any trading losses, liabilities, damages, expenses or costs resulting from trade errors by the applicable HCM Entity except those losses, liabilities, damages, expenses or costs (i) resulting from the applicable HCM Entity’s intentional misconduct, bad faith or gross negligence or (ii) that may not be waived or limited under applicable law. When determining whether a trade error is the result of gross negligence or not, the HCM Entities do not determine whether the individual trading error resulted from the applicable HCM Entity’s gross negligence per se; rather, the HCM Entities consider if their supervisory procedures were inadequate to prevent such trading errors from recurring with any frequency. HCM Entities will be conflicted when making such decision.

Multiple Trading Desks and Similar Strategies The HCM Entities have multiple trading desks, which are utilized by different portfolio managers and managed by different traders. As noted in Item 8 above, the HCM Entities employ a variety of trading and investment strategies by which the HCM Funds, HPS Funds, SICAVs, and Third Party Funds are managed. In certain instances, one or more of the portfolio managers utilizing an HCM strategy may invest similarly (either by strategy or security type, etc.) to that of one or more of the portfolio managers utilizing an HPS strategy. There may also be an instance where an HCM portfolio manager utilizes a strategy similar to that of another HCM portfolio manager or an HPS portfolio manager utilizes a strategy similar to that of another HPS portfolio manager. The existence of similar strategies employed by multiple portfolio managers utilizing multiple trading desks may result in the trading desks placing simultaneous competing orders and/or opposite orders for the same or similar securities, which could cause one or more adverse consequences, including, among other things, paying a higher price or receiving a smaller allocation, for HCM Funds, HPS Funds, SICAVs, and/or Third Party Funds. The existence of similar strategies employed by multiple portfolio managers utilizing multiple trading desks may also result in opposite and/or subordinated positions being held in the same issuer’s securities due to the individual portfolio manager’s conviction and the applicable investment guidelines for the HCM Funds, HPS Funds, SICAVs, and/or Third Party Funds, which may present additional potentially adverse consequences, especially if the issuer experiences financial difficulties.

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Item 13 - Review of Accounts

The aggregate portfolio risk exposures are continuously monitored and reviewed for HCM Funds by an experienced in-house risk management team at the direction of HCM’s Chief Risk Officer. Generally, these reviews are performed to assess risk exposure across the spectrum of the HCM Entities’ investment activities and are driven by risk factor models, stress testing and scenario analysis. Additionally, in conjunction with the Risk Management team, the Chief Compliance Officer and/or his designee(s) conduct routine reviews of trading activity in client accounts. Transactions are reviewed to ensure compliance with internal policies and procedures, applicable regulatory limitations and certain investment guidelines. The risk exposures, trading activity, and profit and loss of HPS portfolios are reviewed daily by the risk and finance teams who report to HPS’s Chief Financial Officer (who also serves as Chief Risk Officer of HPS). In addition, a detailed valuation process for illiquid assets is conducted on either a monthly or quarterly basis and is audited annually by an independent third party. HPS investment professionals also conduct portfolio reviews on no less than a monthly basis. Additionally, in conjunction with the HCM and HPS Risk teams, the Compliance Department conducts routine reviews of trading activity in client accounts. Transactions are reviewed to ensure compliance with internal policies and procedures, applicable regulatory limitations and certain investment guidelines. On a daily basis the Operations team within HCM is responsible for reconciling transactions executed to ensure the accuracy of the books and records of the HCM Entities. Clients and/or shareholders and limited partners of HCM Funds will generally be sent bi-monthly performance estimates. In addition, shareholders or limited partners of HCM Funds, HPS Funds and Third Party Funds will generally be sent written monthly and/or quarterly performance statements setting forth customary information and certain additional information as agreed between certain shareholders or limited partners and the applicable HCM Entity. In addition, each shareholder and limited partner of the HCM Funds and the HPS Funds will receive written annual reports containing audited financial statements and other indicia of performance. Certain Third Party Funds receive a daily transaction report for the purposes of daily portfolio reconciliation. HCM Entities may provide clients with additional information on an as requested basis. Additionally, certain Third Party Funds receive additional reports, the frequency and details of which are set out in the relevant Third Party Fund’s investment management agreement.

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Item 14 - Client Referrals and Other Compensation Placement agents, including solicitors, who refer investors to HCM Funds and HPS Funds are paid separately by HCM and HPS. Such placement agents include, but are not limited to, JPMS and certain affiliates of the brokers of certain HCM Funds and HPS Funds. Certain placement agents, including JPMS, receive fees directly from investors subscribing for shares/interests in such HCM Funds and HPS Funds, as the case may be, in addition to any compensation received from HCM and HPS. Conflicts of interest may exist with respect to the use of such placement agents. The potential for placement agents affiliated with JPM, such as JPMS, and for JPM itself, to receive (directly or indirectly) compensation in connection with investors’ subscriptions for interests in HCM Funds and HPS Funds creates a conflict of interest in recommending that the potential investors purchase such interests. In addition, JPM, as owner of the HCM Entities, indirectly benefits from the services of affiliated placement agents, such as JPMS, which place interests in HCM Funds and HPS Funds, by increasing the assets upon which the HCM Entities receive fees from the clients. Moreover, an affiliated placement agent, such as JPMS, may also be an affiliate of a prime broker of certain HCM Funds, in which case the prime broker indirectly benefits from the services of such placement agent because the placement agent places interests in the HCM Fund, which increases the assets upon which the prime broker receives brokerage commissions from the HCM Fund. Compensation to placement agents, if any, will be in accordance with Rule 206(4)-3 under the Investment Advisers Act of 1940, as amended (the “Advisers Act”).

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Item 15 – Custody The HCM Entities do not generally maintain custody of client funds or securities except with respect to certain HCM Funds, HPS Funds, and/or Third Party Funds managed by HCM or HPS where an HCM Entity or its affiliate acts as general partner or qualified custodian for such entity. The HCM Entities are subject to the audit provision of Rule 206(4)-2 under the Advisers Act with respect to certain of the client funds over which they have custody and deliver audited financial statements to the investors in such client funds within 120 days of the applicable fiscal year-end. In addition, the assets of such HCM Funds, HPS Funds, and/or Third Party Funds over which the HCM Entities have custody are held by qualified custodians in accordance with Rule 206(4)-2.

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Item 16 - Investment Discretion The HCM Entities have discretionary authority to manage the securities portfolios of their respective clients pursuant to investment management agreements with such clients, which customarily do not place limitations on the HCM Entities’ authority to manage a client’s portfolio, except in limited circumstances where certain Third Party Funds have consent and/or opt out rights with respect to certain investments. The HCM Entities’ discretionary authority is generally subject to such restrictions as set forth in each client’s offering documents or agreements with such client and/or the rules and regulations of any exchange or market on which HCM and HPS trade securities on behalf of their respective clients. For certain HPS Funds, an investment committee exists that collectively has discretionary authority over investment decisions for the applicable HPS Fund.

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Item 17 - Voting Client Securities The HCM Entities have the authority to vote client securities on behalf of HCM Funds, HPS Funds and certain Third Party Funds. The proxy voting procedures for the HCM Entities are designed to address the resolution of any conflicts of interest that may arise in connection with proxy voting. The HCM Entities are responsible for voting and handling all proxies in relation to the securities held on behalf of the clients. The HCM Entities have contracted with Institutional Shareholder Services (“ISS”), a division of RiskMetrics Group, to vote proxies received by the HCM Entities for certain clients. Generally, ISS proxy voting guidelines provide for votes on a case-by-case basis and pursuant to certain guidelines. The proxy voting procedures for the HCM Entities also require that the applicable HCM Entity identify to ISS, and address, conflicts of interest between the applicable HCM Entity and its clients. At times, a Portfolio Manager may determine to vote a proxy contrary to the proposed vote of ISS. In such instances, the Portfolio Manager is required to confirm to the Compliance Department that no material conflict of interest exists personally or with the applicable HCM Entity. Clients may obtain a copy of the procedures for the HCM Entities and information about how the applicable HCM Entity voted a client’s proxies by contacting the Compliance Department at (212) 287-4900.

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Item 18 - Financial Information HCM is not required to include a balance sheet for its most recent fiscal year, is not aware of any financial condition reasonably likely to impair its ability to meet contractual commitments to clients, and has not been the subject of a bankruptcy petition at any time during the past ten years.

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G-1

9659577.19

APPENDIX G

Restrictions on Sales in Selected Jurisdictions

FOR PROSPECTIVE INVESTORS OF FRANCE

Except pursuant to any available authorization or consent from the Autorité des marchés financiers, the Company Notes are not being and may not be offered or sold in France and this Memorandum, or any information contained in this Memorandum or any material relating to the Company Notes, may not be distributed or caused to be distributed in France.

FOR PROSPECTIVE INVESTORS OF GERMANY

The Company Notes that are the subject of this Memorandum are neither registered for public distribution with the Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht—”BaFin”) according to the German Investment Act nor listed on a German exchange. No sales prospectus pursuant to the German Securities Prospectus Act has been filed with the BaFin. Consequently, the Company Notes must not be distributed within Germany by way of a public offer, public advertisement or in any similar manner, and this Memorandum and any other document relating to the Company Notes, as well as information or statements contained therein, may not be supplied to the public in Germany or used in connection with any offer for subscription of the Company Notes to the public in Germany or any other means of public marketing.

Any resale of the Company Notes in Germany may only be made in accordance with any applicable laws in Germany governing such resale of Company Notes. No view on taxation is expressed. Prospective investors in Germany are urged to consult their own tax advisers as to the tax consequences that may arise from an investment in the Company Notes.

FOR PROSPECTIVE INVESTORS OF ITALY

Neither this Memorandum nor the Company Notes have been registered, or are proposed to be registered, with the Italian Securities Authority (Consob). The Company Notes may not be offered to the public in Italy. No investment advertisement or other communication relating to the Company Notes will be made in Italy.

FOR PROSPECTIVE INVESTORS OF LUXEMBOURG

This Memorandum and the Company Notes referred to herein have not been registered in Luxembourg and are not subject to any supervision in or from Luxembourg. This Memorandum does not constitute and may not be used for or in connection with a public offer in Luxembourg of the Company Notes referred to herein.