ICG Strategic Partnership Presentation to State of Connecticut Retirement Plans and Trust Funds (CRPTF)

PREPARED FOR CRPTF. PRIVATE AND CONFIDENTIAL. Certain Risk Factors and Potential Conflicts of Interest ICG CERTAIN OF THE FUND'S DEBT INVESTMENTS WILL HAVE VARIABLE INTEREST RATES THAT RESET PERIODICALLY BASED ON BENCHMARKS SUCH AS LIBOR, SOFR AND THE PRIME RATE, SO AN INCREASE IN INTEREST RATES FROM THEIR HISTORICALLY LOW PRESENT LEVELS MAY MAKE IT MORE DIFFICULT FOR ISSUERS TO SERVICE THEIR OBLIGATIONS UNDER THE DEBT INVESTMENTS THAT THE FUND WILL HOLD. (SEE ALSO "LIBOR AND OTHER 'IBOR' RATES".) IN LIGHT OF RISING INFLATION, MANY ECONOMISTS EXPECT THAT THE U.S. FEDERAL RESERVE WILL CONTINUE TO RAISE INTEREST RATES, AS IT HAS ALREADY DONE A NUMBER OF TIMES IN 2022. AS INTEREST RATES INCREASE, PERIODIC INTEREST OBLIGATIONS OWED BY THE RELATED OBLIGORS WILL ALSO INCREASE AND SOME OBLIGORS MAY NOT BE ABLE TO MAKE THE INCREASED INTEREST PAYMENTS ON THE LOANS OR REFINANCE THEIR BALLOON AND BULLET LOANS, RESULTING IN PAYMENT DEFAULTS. CONVERSELY IF INTEREST RATES DECLINE, UNDERLYING OBLIGORS MAY REFINANCE THEIR LOANS AT LOWER INTEREST RATES WHICH COULD SHORTEN THE AVERAGE LIFE OF THE INVESTMENTS. IN ADDITION, TO THE EXTENT THE FUND BORROWS MONEY TO MAKE INVESTMENTS, ITS RETURNS WILL DEPEND, IN PART, UPON THE DIFFERENCE BETWEEN THE RATE AT WHICH IT BORROWS FUNDS AND THE RATE AT WHICH IT INVESTS THOSE FUNDS. AS A RESULT, THERE CAN BE NO ASSURANCE THAT A SIGNIFICANT CHANGE IN MARKET INTEREST RATES WILL NOT HAVE A MATERIAL ADVERSE EFFECT ON THE FUND'S NET INVESTMENT INCOME TO THE EXTENT IT USES DEBT TO FINANCE ITS INVESTMENTS. IN PERIODS OF RISING INTEREST RATES, THE FUND'S COST OF FUNDS WOULD INCREASE, WHICH COULD REDUCE ITS NET INVESTMENT INCOME. FACTORS THAT MAY AFFECT MARKET INTEREST RATES INCLUDE, WITHOUT LIMITATION, INFLATION, SLOW OR STAGNANT ECONOMIC GROWTH OR RECESSION, UNEMPLOYMENT, MONEY SUPPLY, GOVERNMENTAL MONETARY POLICIES, INTERNATIONAL DISORDERS AND INSTABILITY IN DOMESTIC AND FOREIGN FINANCIAL MARKETS. IN PARTICULAR, CHANGES IN GOVERNMENT OR CENTRAL BANK POLICY, INCLUDING CHANGES IN TAX POLICY OR CHANGES IN A CENTRAL BANK'S IMPLEMENTATION OF SPECIFIC POLICY GOALS (INCLUDING WITH RESPECT TO LIQUIDITY PROGRAMS), MAY HAVE A SUBSTANTIAL IMPACT ON INTEREST RATES. THE FUND EXPECTS THAT IT MAY PERIODICALLY EXPERIENCE IMBALANCES IN THE INTEREST RATE SENSITIVITIES OF ITS ASSETS AND LIABILITIES AND THE RELATIONSHIPS OF VARIOUS INTEREST RATES TO EACH OTHER. IN A CHANGING INTEREST RATE ENVIRONMENT, THE FUND MAY NOT BE ABLE TO MANAGE THIS RISK EFFECTIVELY. IF THE FUND IS UNABLE TO MANAGE INTEREST RATE RISK EFFECTIVELY, THE FUND'S PERFORMANCE COULD BE ADVERSELY AFFECTED. WHILE THE FUND MAY SEEK TO DO SO, IT IS NOT REQUIRED TO HEDGE ITS INTEREST RATE RISK OR MAINTAIN A BALANCE BETWEEN FLOATING RATE ASSETS AND LIABILITIES. ANY DECLINES IN INTEREST RATES WILL GENERALLY NEGATIVELY IMPACT YIELDS, AND ALTHOUGH AN INCREASE IN INTEREST RATES MAY FAVORABLY AFFECT THE FUND'S INVESTMENT ACTIVITIES, SUCH AN INCREASE MAY CAUSE THE VALUE OF ANY INVESTMENTS THAT ARE BASED ON FIXED RATES OR WHICH DO NOT ADJUST TO ADEQUATELY REFLECT THE INCREASE IN INTEREST RATES GENERALLY, TO DECLINE IN VALUE RELATIVE TO OTHER DEBT INVESTMENTS THAT REFLECT SUCH INTEREST RATE CHANGES. CREDIT RISK. ONE OF THE FUNDAMENTAL RISKS ASSOCIATED WITH THE FUND'S INVESTMENTS IS CREDIT RISK, WHICH IS THE RISK THAT AN ISSUER WILL BE UNABLE OR UNWILLING TO MAKE PRINCIPAL AND INTEREST PAYMENTS ON ITS OUTSTANDING DEBT OBLIGATIONS WHEN DUE. THE FUND'S RETURN TO LIMITED PARTNERS WOULD BE ADVERSELY IMPACTED IF AN ISSUER OF DEBT IN WHICH THE FUND INVESTS BECOMES UNABLE TO MAKE SUCH PAYMENTS WHEN DUE. MANY OF THE FUND'S INVESTMENTS ARE EXPECTED TO BE IN SUBORDINATED DEBT SECURITIES, LEVERAGED LOANS, MARKETABLE AND NON-MARKETABLE COMMON AND PREFERRED EQUITY SECURITIES AND OTHER UNSECURED INVESTMENTS, EACH OF WHICH INVOLVES A HIGHER DEGREE OF RISK THAN SENIOR SECURED LOANS. THERE ARE VARYING SOURCES OF STATISTICAL DEFAULT AND RECOVERY RATE DATA FOR LEVERAGED LOANS AND NUMEROUS METHODS FOR MEASURING DEFAULT AND RECOVERY RATES. THE HISTORICAL PERFORMANCE OF THE LEVERAGED LOAN MARKET IS NOT NECESSARILY INDICATIVE OF ITS FUTURE PERFORMANCE. THE FUND MAY ALSO MAKE SOME INVESTMENTS THAT THE GENERAL PARTNER BELIEVES ARE SECURED BY SPECIFIC COLLATERAL THE VALUE OR ENTERPRISE VALUE OF WHICH MAY INITIALLY EXCEED THE PRINCIPAL AMOUNT OF SUCH INVESTMENTS OR THE FUND'S FAIR VALUE OF SUCH INVESTMENTS, ALTHOUGH THERE CAN BE NO ASSURANCE THAT THE LIQUIDATION OF ANY SUCH COLLATERAL OR ENTERPRISE VALUE WOULD SATISFY THE BORROWER'S OBLIGATION IN THE EVENT OF NON-PAYMENT OF SCHEDULED INTEREST OR PRINCIPAL PAYMENTS WITH RESPECT TO SUCH INVESTMENT, OR THAT SUCH COLLATERAL COULD BE READILY LIQUIDATED. IN ADDITION, IN THE EVENT OF BANKRUPTCY OF A BORROWER, THE FUND COULD EXPERIENCE DELAYS OR LIMITATIONS WITH RESPECT TO ITS ABILITY TO REALIZE THE BENEFITS OF THE COLLATERAL SECURING AN INVESTMENT, WHICH COULD ADVERSELY AFFECT THE FUND'S INVESTMENT THEREIN. UNDER CERTAIN CIRCUMSTANCES, COLLATERAL SECURING AN INVESTMENT MAY BE RELEASED WITHOUT THE CONSENT OF THE FUND. MOREOVER, THE FUND'S INVESTMENTS IN SECURED DEBT MAY BE UNPERFECTED FOR A VARIETY OF REASONS, INCLUDING THE FAILURE TO MAKE REQUIRED FILINGS BY LENDERS AND, AS A RESULT, THE FUND MAY NOT HAVE PRIORITY OVER OTHER CREDITORS AS ANTICIPATED. FURTHERMORE, THE FUND'S RIGHT TO PAYMENT AND ITS SECURITY INTEREST, IF ANY, MAY BE SUBORDINATED TO THE PAYMENT RIGHTS AND SECURITY INTERESTS OF THE SENIOR LENDER WITH RESPECT TO SOME OR ALL OF THE ASSETS OF AN UNDERLYING OBLIGOR, TO THE EXTENT APPLICABLE. CERTAIN OF THESE INVESTMENTS MAY HAVE AN INTEREST-ONLY PAYMENT SCHEDULE, WITH THE PRINCIPAL AMOUNT REMAINING OUTSTANDING AND AT RISK UNTIL THE MATURITY OF THE INVESTMENT. IN ADDITION, CERTAIN INSTRUMENTS MAY PROVIDE FOR PAYMENTS-IN-KIND, WHICH HAVE A SIMILAR EFFECT OF DEFERRING CURRENT CASH PAYMENTS. IN SUCH CASES, A PORTFOLIO COMPANY'S ABILITY TO REPAY THE PRINCIPAL OF AN INVESTMENT MAY BE DEPENDENT UPON A LIQUIDITY EVENT OR THE LONG- TERM SUCCESS OF THE COMPANY, THE OCCURRENCE OF WHICH IS UNCERTAIN. WITH RESPECT TO THE FUND'S INVESTMENTS IN ANY NUMBER OF CREDIT PRODUCTS, IF THE BORROWER OR ISSUER BREACHES ANY OF THE COVENANTS OR RESTRICTIONS UNDER THE INDENTURE GOVERNING NOTES OR THE CREDIT AGREEMENT THAT GOVERNS LOANS OF SUCH ISSUER OR BORROWER, IT COULD RESULT IN A DEFAULT UNDER THE APPLICABLE INDEBTEDNESS AS WELL AS THE INDEBTEDNESS HELD BY THE FUND. SUCH DEFAULT MAY ALLOW THE CREDITORS TO ACCELERATE THE RELATED DEBT AND MAY RESULT IN THE ACCELERATION OF ANY OTHER DEBT TO WHICH A CROSS-ACCELERATION OR CROSS-DEFAULT PROVISION APPLIES. THIS COULD RESULT IN AN IMPAIRMENT OR LOSS OF THE FUND'S INVESTMENT OR RESULT IN A PRE-PAYMENT (IN WHOLE OR IN PART) OF THE FUND'S INVESTMENT. SIMILARLY, WHILE THE FUND WILL GENERALLY TARGET INVESTING IN COMPANIES IT BELIEVES ARE OF HIGH QUALITY, THESE COMPANIES COULD STILL PRESENT A HIGH DEGREE OF BUSINESS AND CREDIT RISK. COMPANIES IN WHICH THE FUND INVESTS COULD DETERIORATE AS A RESULT OF, AMONG OTHER FACTORS, AN ADVERSE DEVELOPMENT IN THEIR BUSINESS, A CHANGE IN THE COMPETITIVE ENVIRONMENT OR THE CONTINUATION OR WORSENING OF THE CURRENT (OR ANY FUTURE) ECONOMIC AND FINANCIAL MARKET DOWNTURNS AND DISLOCATIONS. AS A RESULT, COMPANIES THAT THE FUND EXPECTED TO BE STABLE OR IMPROVE MAY OPERATE, OR EXPECT TO OPERATE, AT A LOSS OR HAVE SIGNIFICANT VARIATIONS IN OPERATING RESULTS, MAY REQUIRE SUBSTANTIAL ADDITIONAL CAPITAL TO SUPPORT THEIR OPERATIONS OR MAINTAIN THEIR COMPETITIVE POSITION, OR MAY OTHERWISE HAVE A WEAK FINANCIAL CONDITION OR BE EXPERIENCING FINANCIAL DISTRESS. IN ADDITION, EXOGENOUS FACTORS SUCH AS FLUCTUATIONS OF THE EQUITY MARKETS ALSO COULD RESULT IN SECURITIES OR INSTRUMENTS OWNED BY THE FUND BECOMING WORTHLESS. 22