Disclosures pursuant to Articles 3, 4 and 5 of the EU Sustainable Finance Disclosure Regulation (2019/2088) (SFDR)

Sustainability-related disclosures

III Capital Management (“III”) manages certain alternative investment funds (the “Funds”) registered for marketing under the Alternative Investment Fund Managers Directive (2011/61/EU) (the “AIFMD”) in one or more member states of the European Economic Area. Pursuant to the Sustainable Finance Disclosure Regulation (Regulation 2019/2088) (the “SFDR”) which is applicable to alternative investment fund managers registered under the AIFMD, III is required to make certain disclosures on its website, including information about III’s policies on the integration of sustainability risks into its investment decision-making process; its approach to adverse sustainability impacts; and the consistency of its remuneration policies with the integration of sustainability risks. For these purposes, sustainability risk means an environmental, social or governance event or condition that, if it occurs, could cause an actual or a potential material negative impact on the value of the investment.

No consideration of sustainability adverse impacts

III does not currently consider adverse impacts of investment decisions on sustainability factors as the Funds are not designed to be environmental, social and governance (“ESG”) focused investment products. III’s primary focus is to generate total return in various market environments for the Funds.

Policies on the integration of sustainability risks into the investment decision-making process

III’s Environmental Social and Governance Investment Policy outlines its approach and commitment to incorporating ESG considerations in its investment processes, where applicable.

III subscribes to the services of an external ESG data provider, which enables it to access ESG “norm-based reports,” company evaluations and certain screening tools in order to assist its staff in identifying issuers that may raise ESG concerns. However, III does not currently take account of sustainability risks as part of its investment decisions relating to the Funds. This is because, following an assessment of possible sustainability risks in light of the investment strategies undertaken by III on behalf of the Funds, III has determined that such risks are not directly relevant to the Funds.

In particular, given the types of investments and asset classes in which the Funds may be invested, III considers that the occurrence of an ESG event or condition would not negatively impact the value of the Funds’ investments to a material extent (for example, because the returns of a Fund do not derive from the absolute price or value of investments held by such Fund); and/or because it is not possible to determine whether the occurrence of an environmental, social or governance event or condition would negatively affect the value of the Funds’ investments to a material extent (for example, because a Fund is invested in structured credit securities, in respect of which III is provided with limited information regarding the specific assets that may be included in the structured credit vehicle by the manager or sponsor, meaning that III has limited ability to assess the impact of sustainability risks on the underlying portfolio (a “Look-Through Investment”)).

Nonetheless, when considering an investment in a Look-Through Investment, III endeavours, where possible, to look through the Look-Through Investment to the companies underlying the Look-Through Investment and check if those issuers have been flagged by III’s ESG data provider for failing to respect international ESG norms and standards. If more than 10% of the Look-Through Investment is made up of red-flagged issuers, III may refrain from investing in the Look-Through Investment. In general, III’s ESG-related diligence on Look-Through Investments is limited to the issuers covered by III’s ESG data provider.

In addition, as part of its ongoing monitoring of the Funds’ portfolios under its risk management framework and in relation to the valuation of the Funds’ assets, III takes into account emerging risks that could impact the value of the Funds’ portfolios. If, in the future, circumstances were to arise in which III were to identify that sustainability risks had become relevant to the Funds’ portfolio, III may take steps to determine whether any revisions to its investment decision making processes would be required.