RHOCORE

Rhocore UpdateApril 2016

An offering memorandum containing important information relating to any securities described in this document has or will be filed with the securities regulatory authorities in each of the jurisdictions where a distribution has occurred or will occur pursuant to the offering memorandum. A copy of the offering memorandum is required to be delivered to you at the same time or before you sign the agreement to purchase the securities described in this document pursuant to the offering memorandum. This document does not provide disclosure of all information required for an investor to make an informed investment decision. Investors should read the offering memorandum of Rhocore Income Trust (the “Fund”), especially the risk factors relating to the securities offered, before making an investment decision.

2

Portfolio construction utilising a basket of private debt instruments can present challenges. The private debt market in Canada presents with a wide range of asset classes, structures, credit qualities, terms etc.

Rather than suggest a definitive methodology which arguably is too challenging a task to be implemented, perhaps a better approach is to focus on an initial set of portfolio construction questions to produce further discussion with your clients. I would argue that private debt portfolio construction should at the very least contemplate the following:

§Duration – In the simplest terms “duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.” 1 Simply put if you expect interest rates to change then the aggregate duration of your client’s private debt investments matters. Imagine a portfolio composed solely of long duration (7 year, interest only, 10% face yield)

private debt investments if market interest rates were to increase from 7% to 14%. As a rough rule of thumb, in a raising interest rate environment you should consider shortening your duration, and consider lengthening it in a falling rate environment.

§Yield Spread – Is the yield that the security pays sufficient compensation for the excess default risk as compared to a risk free investment of the same duration i.e. what is the risk of loss and what are you being paid to accept that risk?

§Credit Quality – One powerful observation from rating agency data is not that default rates increase as credit quality goes from high to low but more importantly that this change is non-linear – by this I mean that moving from high quality to low quality credits typically increases defaults at an ever increasing rate. In the chart below, moving from AAA to CCC increases the expected default rate over 100 times.

Remember that this non-linearity does not present a problem in and of itself as long as you can confirm that it is properly priced and managed.

Thoughts on Building a Portfolio of Private Debt Investments

CHART 1: CUMULATIVE HISTORIC DEFAULT RATES (% LEFT AXIS) WITH INDICATIVE CORPORATE YIELDS BY RATING (% ABOVE BARS)

Default Rate

Sources: St Louis Federal Reserve, BofA Merrill, Moody’s, S&P

2.6%

60%

40%

20%

0%Aaa/AAA Aa/AA A/A Baa/BBB Ba/BB B/B Caa- C/CCC- C

Moody’s S&P

2.7% 3.1%4.3%

5.8%

8.5%

18.3%

1 Investopedia

3

Rhocore Update (continued)

§Diversification Across Securities – Seek diversification across private debt investments by duration, asset class, credit quality, manager, structure, etc. Statistically, diversification is your ally when making private debt investments. Ideally you want the “law of large numbers” to be working in your favour as much as possible.

§Diversification Within Security – What are the portfolio diversification characteristics within the holdings represented by the individual private debt security? In general, I would also argue, given the larger probability of individual defaults, lower credit portfolios must be highly diversified to take advantage of the law of large numbers. Undiversified portfolios of lower credit quality investments may deviate significantly from historical defaults rates with possibly good or bad consequences but ultimately this merely represents increased volatility which is risk for which the investor must receive additional compensation over and above the already high yields that such portfolios should provide – i.e. with all other factors being equal, a less diversified portfolio of lower credits should attract even higher yields than a more diversified portfolio of the same credits. Simple question, is this a portfolio which contains a large number of individual investments or one which has a small number of concentrated positions?

§Cross Correlation – Are the assets classes or the underlying investments represented by each private debt investment being contemplated positively correlated in any obvious or more importantly, subtle fashion? An obvious example might be two securities – one representing a portfolio of loans to oilfield servicing companies, the other representing a portfolio of loans to oil production companies. The values of both underlying portfolios would tend to be highly correlated. A less obvious positive correlation might be one security with a negative correlation

to C$ exchange rates and another with positive correlation to domestic (C$ denominated) oil prices – in this example you may have unexpectedly magnified the foreign exchange risk in your client’s portfolio.

§Correlation Drift – Will the cross correlation of the contemplated investments change over time. An example is that cross-correlations of many asset classes trend to 1 during a financial crisis or event where market liquidity drops materially. Will the proposed investments exhibit this behaviour? Have the underlying asset classes exhibited this behaviour in the past?

§Credit Enhancing Structures – Are there any structural features that act as credit enhancements to the underlying portfolio credits – equity tranche, security, seniority, management incentives etc?

§Economic Cycle Sensitivity – Another important pricing consideration is how the credit quality of differing investments’ underlying holdings might change during a change in underlying market/economic conditions. During a recession a AAA portfolio might become a A portfolio which, due to the non-linear change in defaults rates, results in a modest change in aggregate write-offs while a BBB portfolio might become a CCC portfolio completely eroding the benefit of the additional original yield and perhaps raising the spectre of significant capital loss.

This is by no means an attempt to be exhaustive. I would encourage you to build your own due diligence lists. Regardless, it is the act of asking these and other questions that helps put the features of the portfolio you are building into more clear contrast and hopefully im-proves the resulting risk adjusted returns because of it.

Stephen JohnstonDirector – Rhocore Income Trust

#2210, 8561 8A Ave SWCalgary, T3H 0V5Tel: 587 887 1541www.rhocorefund.com

LEGAL NOTICE

No securities regulatory authority has assessed the merits of, or expressed an opinion about these securities or the information contained in this presentation. The securities referred to herein will only be offered and sold in such jurisdictions where they may be lawfully offered for sale and, in such jurisdictions, only by persons permitted to sell such securities. The securities have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the “US Securities Act”) or the securities laws of any state of the United States and may not be offered or sold within the United States or to or for the account or benefit of U.S. persons (as such term is defined in Regulation S under the U.S. Securities Act)

This document contains certain forward-looking statements and forward-looking information as defined under applicable securities legislation (collectively, “forward-looking statements”). These forward-looking statements relate to future events or the Trust’s future performance. All statements other than statements of historical fact are forward-looking statements. Forward-looking statements are often, but not always, identified by the use of words such as “may”, “will”, “should”, “expect”, “plan”, “anticipate”, “believe”, “estimate”, “predict”, “potential”, “target-ing”, “intend”, “could”, “might”, “continue”, or the negative of these terms or other comparable terminology. These statements are only predictions. In addition, this document may contain forward-looking statements attributed to third-party industry sources.

Forward-looking statements contained in this document include, but are not limited to, statements with respect to: use of proceeds of the offering; the structure of the Trust; the business to be conducted by the Trust, Rhocore Income Ltd. and Stride; long term and short term objectives; timing and payment of distributions; the Trust’s, Rhocore Income Ltd.’s and Stride’s invest-ment objectives and strategy; the sources of funding for Stride; results of investments and the methods of funding.

Forward-looking statements involves numerous assumptions, known and unknown risks, uncertainties, and other factors, including those risks described in Item 8 – Risk Factors in the offer-ing memorandum to which this document is incorporated by reference, many of which are beyond the control of the Trust, the trustees and the Administrator, that contribute to the possibility that the predictions, forecasts, projections and other forward-looking statements will not occur and may cause actual results or events to differ materially from those anticipated in such forward-looking statements. In addition to other factors and assumptions which may be identified in this document, assumptions have been made regarding, among other things: the Trust’s qualification as a “mutual fund trust” and not as a “SIFT trust” under the Income Tax Act; use of proceeds of the offering; the retention of securities dealers in connection with the offering and payment of fees to such dealers; the business to be conducted by the Trust, Rhocore Income Ltd. and Stride; the general stability of the economic and political environment in which the Trust, Rhocore Income Ltd. and Stride operate; the Trust’s, Rhocore Income Ltd.’s and Stride’s investment objectives and strategy; timing and payment of distributions; treatment under governmental regulatory regimes and tax laws; the ability of the Trust, Rhocore Income Ltd. and Stride to obtain qualified staff, equipment and services in a timely and cost efficient manner; valuation of the Trust’s investments; the possibility of substantial redemptions of Units of the Trust; and currency, exchange and interest rates. Although the Administrator believes that the expectations reflected in the forward-looking statements are reasonable, undue reliance should not be placed on these forward-looking statements as there can be no assurance that the plans, intentions or expectations upon which they are based will occur, or if any of them do so, what benefits the Trust will derive therefrom.

The forward-looking statements contained in this document are expressly qualified by these cautionary statements. The forward-looking statements are given as of January 27, 2016 and the Trust, the trustees and the Administrator disclaim any intent or obligation to update publicly any forward-looking statements, whether as a result of new information, future events or results or otherwise, other than as required by applicable securities laws.

This document contains future oriented financial information and financial outlook information (collectively, “FOFI”) about the Trust’s prospective results of operations and components thereof, all of which are subject to the same assumptions, risk factors, limitations, and qualifications as set forth in the above paragraphs. FOFI contained herein is made as of March, 2016 and is provided for the purpose of providing further information about the Trust’s anticipated future business operations. Readers are cautioned that reliance on such information may not be ap-propriate for other purposes

Securities legislation in certain of the provinces and territories of Canada provides purchasers with a statutory right of action for damages or rescission in cases where an offering memorandum or any amendment thereto contains an untrue statement of a material fact or omits to state a material fact that is required to be stated or is necessary to make any statement contained therein not misleading in light of the circumstances in which it was made (a “misrepresentation”). These rights, or notice with respect thereto, must be exercised or delivered, as the case may be, by purchasers within the time limits prescribed and are subject to the defenses and limitations contained under the applicable securities legislation. The following summary is subject to the express provisions of applicable securities legislation applicable and the regulations, rules and policy statements thereunder. Purchasers should refer to the securities legislation applicable in their province or territory along with the regulations, rules and policy statements thereunder for the complete text of these provisions or should consult with their legal advisor. The statutory rights of action described in below are in addition to and without derogation from any other right or remedy that purchasers may have at law.

If you are subject to the laws of Ontario, Saskatchewan, Nova Scotia or New Brunswick, those laws provide, in part, that if there is a misrepresentation in an offering memorandum, which was a misrepresentation at the time that you subscribed for the securities, then you will be deemed to have relied upon the misrepresentation and will, as provided below, have a right of ac-tion against the issuer of the securities (and, in certain instances, other persons) in respect of the securities purchased by you for damages or, alternatively, while still the owner of any of the securities purchased, for rescission, in which case, if you elect to exercise the right of rescission, you will have no right of action for damages against the issuer of the securities, provided that: (1) no person or company will be liable if it proves that you purchased the securities with knowledge of the misrepresentation; (2) in the case of an action for damages, the defendant will not be liable for all or any portion of the damages that it proves do not represent the depreciation in value of the securities as a result of the misrepresentation; and (3) in no case will the amount recoverable in any action exceed the price at which the securities were purchased by you. In the case of an action for rescission, no action may be commenced more than 180 days after the date of the transaction that gave rise to the cause of action. In the case of any action other than an action for rescission, (A) in Ontario or Nova Scotia, no action may be commenced later than the earlier of (i) 180 days after you first had knowledge of the facts giving rise to the cause of action, or (ii) three years after the date of the transaction that gave rise to the cause of action, and (B) in Saskatchewan or New Brunswick, no action may be commenced later than the earlier of (i) one year after you first had knowledge of the facts giving rise to the cause of action; or (ii) six years after the date of the transaction that gave rise to the cause of action. If you are subject to the laws of any other province or territory, reference should be made to the full text of the applicable provisions of the securities legislation in such provinces or territories or consultation should be undertaken with professional advisors.

© Rhocore Income Trust

RHOCORE