Rimrock Capital Management, LLC - Special Announcement

Following today’s joint statement from the United States Treasury Department, the Federal Reserve Bank (the “Fed”) and the Federal Deposit Insurance Corporation (the “FDIC”) (https://home.treasury.gov/news/press-releases/jy1337), it would appear the potential for a systemic run on the nation’s banking system has been averted.

Be that as it may, we wanted to relay a few key points.

First, Rimrock Capital Management and our associated funds, have no cash deposits at Silicon Valley Bank (“SVB”), nor do we have any transactional relationship with SVB.

Next the Rimrock High Income PLUS and Rimrock Low Volatility Funds have a small exposure to securities related to SVB’s parent company, which were mostly sold on Friday. This exposure has had a tiny and non-material negative impact on performance. The exposure to SVB was part of a limited portfolio of companies in the finance sector, including a small number of national and super-regional banks, which we continue to monitor closely.

In the meantime, we continue with our more conservative approach by focusing on short average-life, higher-quality bonds with an emphasis on structured products, which has allowed us to hold up better than some of the traditional indices and credit focused products. In addition, our lower use of financial leverage and higher cash positions will help us maintain purchasing power for most dislocations that come our way. And, having greater diversification from securities with different return profiles and sensitivities to changes in yield spreads and rates will better support us if things really turn for the worst.

Please contact us if you have any questions or need any additional information.

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Paul C. Westhead, 949-381-7802, [email protected]

Brunello Nucci, 203-564-3111, [email protected]

Carl Svahn, 949-381-7808, [email protected] 

Rimrock Capital Management, LLC

100 Innovation Drive, Suite 200

Irvine, CA 92617

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The sender is registered with Foreside Financial Services, LLC which is not affiliated with Rimrock or its affiliates. Foreside Financial Services, LLC is the U.S. distributor of fund securities. Check the background of this firm on FINRA's BrokerCheck.

Performance data shown represents past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so that investors' shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited.

This is neither an offer to sell nor a solicitation of an offer to purchase any security and may not be relied upon in evaluating the merits of investing in the fund described herein. No such offer or solicitation will be made prior to the delivery of a definitive offering memorandum and other materials relating to the matters herein. Offers and sales will be made only pursuant to a confidential private placement memorandum (“PPM”), complete documentation of the fund and in accordance with applicable securities laws. This report is qualified in its entirety by reference to such complete documentation.

The funds are subject to a variety of risks, including but not limited to: investments may be speculative and subject to a high degree of risk; investments may be illiquid; and an investor could lose all or a substantial amount of any investment in the fund. Therefore, a potential investor considering an investment in any commingled investment vehicle should review this information in conjunction with the separate PPM for said fund for complete risk disclosures and other important information about the fund before investing. This information does not constitute an offer or solicitation to invest. The returns for the current year are preliminary and unaudited, and subject to change.

Investors may not invest directly in Rimrock High Income PLUS (Master) Fund, Ltd., Rimrock Structured Product (Master) Fund, Ltd., or Rimrock Low Volatility (Master) Fund, Ltd. but instead may invest through an onshore or offshore feeder fund which invests substantially all of its assets in the respective Master Fund.

Fixed income investments are subject to certain risks including market, interest-rate, issuer, credit, and inflation risk. High-yield, lower-rated securities involve greater risk than higher-rated securities; portfolios that invest in high yield securities may be subject to greater levels of credit and liquidity risk than portfolios that do not. Mortgage and asset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk, and while generally backed by a government, government agency, or private guarantor, there is no assurance that the guarantor will meet its obligations. Derivatives involve certain costs and risks such as liquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested.

You should carefully consider whether your financial condition permits you to participate in a commodity pool. You should be aware that commodity interest trading by a pool can quickly lead to large losses as well as gains. Such losses can sharply reduce the net asset value of the pool and consequently, the value of your interest in the pool. In addition, restrictions on redemptions may affect your ability to withdraw your participation in the pool.

NOTICE TO PERSONS IN JAPAN

Units of Rimrock-managed investment trusts may be offered only for private placements in Japan to a limited number of investors not exceeding 49 and to the Qualified Institutional Investors (as defined in Article 2, Paragraph 3, Item 1 of the FIEL and Article 10, Paragraph 1 of the Cabinet Office Ordinance on Definitions provided in Article 2 of the Financial Instruments and Exchange Law of Japan (Ordinance No. l4 of 1993 of the Ministry of Finance, as amended).

NOTICE TO PERSONS IN THE EUROPEAN ECONOMIC AREA (“EEA”)

Rimrock’s funds are alternative investment funds for the purpose of the European Union Alternative Investment Fund Managers Directive (Directive 2011/61/EU) (“AIFMD”). Rimrock Capital Management, LLC is the alternative investment fund manager (“AIFM”) of the funds.

Interests in the funds may only be marketed to prospective investors which are domiciled or have a registered office in a member state of the EEA (“EEA Persons”) in which marketing has been registered or authorised (as applicable) under the relevant national implementation of Article 42 of AIFMD and in such cases only to EEA Persons which are Professional Investors or any other category of person to which such marketing is permitted under the national laws of such member state.

A “Professional Investor” is an investor who is considered to be a “professional client” or which may, on request, be treated as a professional client within the relevant national implementation of Annex II of Directive 2014/65/EU (Markets in Financial Instruments Directive) and AIFMD.

As of the date hereof, the AIFM has qualified the Fund for marketing under the laws of Sweden, pursuant to its implementation of Article 42 of the AIFMD.