Claves para mejorar la Carrera Profesional

Quantitative Information about Level 3 Fair Value Measurements#

(amounts in thousands)

Fair Value at

February 28, 2015 Valuation Technique(s) Unobservable Input Range (Weighted Average)

$129,704 Discounted Cash Flow Constant Prepayment Rate 0.00% - 16.50% (1.88%)

Constant Default Rate 0.00% - 35.00% (16.02%)

Yield (Discount Rate of Cash Flows) 1.09% - 6.06% (4.41%)

Asset-Backed Securities 129,704

1,673 Discounted Cash Flow Constant Prepayment Rate 0.00% - 21.26% (6.32%)

Constant Default Rate 1.84% - 50.00% (35.68%)

Yield (Discount Rate of Cash Flows) 3.82% - 10.78% (5.89%) Collateralized Mortgage Obligations 1,673

37,954 Discounted Cash Flow Yield (Discount Rate of Cash Flows) 1.71% - 10.21% (4.29%) Commercial Mortgage-Backed Securities 37,954

Total $ 169,331

# The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At February 28, 2015, the value of these investments was approximately $101,287,000. The inputs for these investments are not readily available or cannot be reasonably esti- mated and are generally those inputs described in Note 2.A.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted and Illiquid Securities —Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds. As of February 28, 2015, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and Regulation S under the Securities Act. The following are the values and percentages of net assets of illiquid securities as of February 28, 2015 (amounts in thousands):

Value Percentage

Strategic Income Opportunities Fund $718,575 3.3%

Total Return Fund 1,424 0.3

Unconstrained Debt Fund 8,636 0.3

C. Loan Assignments —Strategic Income Opportunities Fund, Total Return Fund and Unconstrained Debt Fund may invest in direct debt instru- ments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Funds invest in loan assignments of all or a portion of the loans. When the Funds purchase a loan assignment, the Funds have direct rights against the borrower on a loan provided, however, the Funds’ rights may be more limited than the lender from which they acquired the assignment and the Funds may be able to enforce their rights only through an administrative agent. As a result, the Funds assume the credit risk of the Borrower (“Intermediate Participants”) and any other persons interpositioned between the Funds and the Borrower. Although certain loan assignments are secured by collateral, the Funds could experience delays or limitations in realizing the value on such collateral or have their interest subordinated to other indebtedness of the Borrower. In addition, loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid.

D. Unfunded Commitments —Strategic Income Opportunities Fund and Total Return Fund have entered into Preferred Shares, a type of Insurance- Linked Securities that have an unfunded commitment to settle on future dates as part of their initial investment. The Issuer may issue one or more subsequent capital call notices, which could be extended at the option of the Issuer until July 1, 2015.

Strategic Income Opportunities Fund

Commitment Security Description Units Amount Value

Alphacat 2015, Ltd. Class A Preferred Shares 1 $573 $573

Total Return Fund

Commitment Security Description Units Amount Value

Alphacat 2015, Ltd. Class A Preferred Shares —(a) $54 $54

(a) Amount rounds to less than 1,000 units.

E. Commercial Loans—Strategic Income Opportunities Fund invests in wholly owned limited liability companies or corporations; the Fund through these wholly owned entities make loans directly to the borrower. These loans are collateralized with real property or interests in real property.

F. Derivatives —The Funds use instruments including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. The Funds also use derivatives to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against the counterparties (i.e. decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Funds often include the ability to terminate (i.e. close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Funds. Notes F(1) — F(4) below describe the various derivatives used by the Funds.

(1). Options —Emerging Markets Debt Fund, Strategic Income Opportunities Fund and Total Return Fund purchase and sell (“write”) put and call options on various instruments including futures, securities, currencies and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Swaptions and Eurodollar options are settled for cash.

Options Purchased— Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/ depreciation of investments in non-affiliates on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire pre- mium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the security.

Options Written— Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unreal- ized appreciation/depreciation of Options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether

N O T E S T O F I N A N C I A L S T A T E M E N T S

A S O F F E B R U A R Y 2 8 , 2 0 1 5 ( c o n t i n u e d )

there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.

The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.

Transactions in options written during the year ended February 28, 2015 were as follows (amounts in thousands, except number of contracts):

Foreign Exchange Currency Options Notional

Amount

Premiums Received

Emerging Markets Debt Fund

Options outstanding at February 28, 2014 $ 5,300 $ 150

Options written 17,815 430

Options expired (23,115) (580)

Options closed — —

Options outstanding at February 28, 2015 $ — $ —

Options Number of

Contracts

Premiums Received

Strategic Income Opportunities Fund

Options outstanding at February 28, 2014 3,736 $ 1,621

Options written 19,939 3,103

Options expired — —

Options closed (23,675) (4,724)

Options outstanding at February 28, 2015 — $ —

Options Number of

Contracts

Premiums Received

Total Return Fund

Options outstanding at February 28, 2014 14 $ 6

Options written 99 17

Options expired — —

Options closed (113) (23)

Options outstanding at February 28, 2015 — $ —

The Funds’ exchange traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions). The Funds’ over the counter (“OTC”) options are subject to master netting agreements.

(2). Futures Contracts —The Funds use treasury, index or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also use futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts sub- jects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the pre- vious day’s settlement price, which could effectively prevent liquidation of positions.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(3). Forward Foreign Currency Exchange Contracts —The Funds may be exposed to foreign currency risks associated with portfolio investments and therefore use forward foreign currency exchange contracts to hedge or manage these exposures. The Funds also buy forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the for- ward foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed, or if a forward currency contract is offset by entering into another forward currency contract with the same counterparty upon settlement of net realized gain or loss.

As of February 28, 2015, the Funds did not receive or post collateral for forward foreign currency exchange contracts.

(4). Swaps —The Funds engage in various swap transactions, including interest rate, credit default, index, price locks, spread locks and total return swaps, to manage credit, interest rate (e.g., duration, yield curve), currency, and inflation risks within their respective portfolios. The Funds also use swaps as alternatives to direct investments. Swap transactions are negotiated contracts (“OTC swaps”) between a fund and a counterparty or cen- trally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Funds are recognized as a realized gain or loss when the contract matures or is terminated. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the State- ments of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or pay- able on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.F.) and is reported on the Statements of Assets and Liabilities as Investments in affiliates — restricted except for amounts posted to Bank of America and Goldman Sachs International, which are included on the Statements of Assets and Liabilities as Restricted Cash. Collateral received by the Funds is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are dis- closed in the table below.

N O T E S T O F I N A N C I A L S T A T E M E N T S

A S O F F E B R U A R Y 2 8 , 2 0 1 5 ( c o n t i n u e d )

The Funds’ swap contracts at net value and collateral posted or received by counterparty as of February 28, 2015 are as follows (amounts in thousands):

Fund Counterparty Value of swap contracts Collateral amount

Strategic Income Opportunities Fund Collateral Posted Barclays Bank plc $(20,724) $20,450 Credit Suisse International (3,358) 3,260 Deutsche Bank AG, New York (6,666) 4,710 Goldman Sachs International (8,214) 8,550 Union Bank of Switzerland AG (15,446) 15,630 Collateral Received Bank of America 4,486 (3,678)

BNP Paribas 5,860 (5,426) Citibank, N.A. 1,612 (1,730) Morgan Stanley Capital Services 3,778 (5,221) Royal Bank of Scotland 857 (1,270) Unconstrained Debt Fund Collateral Posted Barclays Bank plc (476) 520

Deutsche Bank AG, New York (172) 150