Duke Funding Management LLC

Item 5. Fees and Compensation

Duke Funding is compensated for providing services as set forth in the relevant offering materials,
collateral management agreement, or indenture applicable to the CDO Client. Compensation
usually includes a management fee based upon the net outstanding balance of collateral held by
the CDO. Such fees are customarily paid quarterly in arrears. In many cases, the management fee
is divided into a senior management fee and a subordinated management fee that is junior to certain
notes issued by the CDO. In some cases, Duke Funding may receive an incentive fee based upon
performance measurements or may receive a structuring fee in connection with the structuring of
the CDO. In certain cases, equity investors in Duke Funding-managed vehicles individually
negotiate more favorable fee terms with respect to their investment in the vehicles. Please see the
discussion of “Side Letters” below for further information.

Please see “Performance-Based Fees and Side-by-Side Management” and “Administrative,
Servicing, and Other Fees” below for further discussion of such fees and the conflicts of interest
they can create. See “Brokerage Practices” below for additional information regarding brokerage
expenses or costs.

Valuation

The amount of management or performance fees earned by Duke Funding depends in part upon
the valuations assigned to its Clients’ assets. These assets are valued in accordance with the terms
of the relevant CDO. Duke Funding’s Clients and investors should be aware that many
investments held in Client portfolios may be illiquid, infrequently traded, and difficult to value.
To the extent provisions of the relevant governing documents permit the collateral manager to
exercise discretion during the process that assigns valuations, including discretion as to the number
or source of third-party prices that may be solicited, Duke Funding has a conflict of interest in
exercising that discretion, especially in cases in which higher valuations will have the effect of
increasing the amount of fees paid to Duke Funding.

                            DUKE FUNDING MANAGEMENT
                                   Form ADV Part 2A Brochure

Expenses and Allocation of Expenses

In addition to the fees paid to Duke Funding, unless provided otherwise, Duke Funding’s CDO
Clients also bear their operational expenses or reimburse Duke Funding for any such expenses
paid by Duke Funding. The expenses that Clients pay can vary, so Clients and investors in Duke
Funding-managed pooled vehicles should review the applicable management agreement or
offering memorandum to determine which expenses they may pay. Unless provided to the contrary
in the management agreement or offering or similar document governing a Client Account, the
expenses that may be paid by Clients include the following:

       ▪   organizational and all initial and ongoing offering expenses (including expenses related
           to preparation of side letters and similar agreements with investors); the costs
           (including, without limitation, administration costs) of forming and operating any
           special-purpose vehicle (“SPV”) or any other entity through which the Client makes or
           holds an investment (including, without limitation, the Client’s pro rata share of any
           establishment or operational costs of any CLO, SPV, or related entity or vehicle in
           which the Client makes or holds an investment);

       ▪   investment expenses (such as brokerage commissions or mark-ups, custodial fees, bank
           service fees, interest expenses, and expenses incurred in connection with conducting
           due diligence on potential investments and surveillance of investments (including,
           without limitation, travel, meal, and accommodation expenses (together “travel
           expenses”) of the Ellington Group));

       ▪   legal and compliance expenses, including costs of external legal and compliance
           consultants and advisers; litigation, settlement, and indemnification expenses; expenses
           associated with the Ellington Group’s internal legal counsel; expenses associated with
           regulatory and statutory filings, including filings made by the Ellington Group with
           respect to a Client’s activities even if filing under investment advisory, National
           Futures Association, Commodity Futures Trading Commission, or tax-related rules or
           regulations (such as filings for Foreign Account Tax Compliance Act, Common
           Reporting Standard, and Form D and blue sky exemptions); industry association
           expenses;

       ▪   insurance expenses (including the Client’s allocated portion of professional liability
           insurance premiums of the Ellington Group, directors and officers insurance premiums,
           errors and omissions insurance premiums, and cyber insurance premiums); the cost of
           fidelity bonds intended to comply with the requirements of ERISA or other regulations;

       ▪   research and research-related expenses (including research-related travel expenses of
           the Ellington Group); the costs of financial and research databases, market, news, and
           other data services (such as Bloomberg), surveys, licenses, subscriptions and
           publications, and computer software; licensing, programming, information technology
           and security, and data processing costs (including costs of installation, integration, data
           transfer, data hosting, connectivity, servicing and maintenance, data management and
           recovery services, custom development, and related consultation);

                            DUKE FUNDING MANAGEMENT
                                  Form ADV Part 2A Brochure

       ▪   fees and expenses paid to third parties associated with sourcing, investigating, and
...

Item 7. Types of Clients

Duke Funding provides collateral management services to certain collateralized debt obligations.
Requirements for investing in these collateralized debt obligations are described in the applicable
offering memoranda. The Ellington Group in general provides investment advice to pooled
investment vehicles and to institutional Clients for whom the firm manages a separate account or
dedicated investment vehicle. The minimum investment amount and other requirements
applicable to an investment in an Ellington Group-managed pooled investment vehicle are
described in the relevant offering memoranda. Requirements for establishing a separately
managed account or dedicated investment vehicle are negotiable and may vary by strategy or
Client.