Real Estate Investment Strategies

Investment example: U.S. non-qualified mortgage (QM) loans Take advantage of the spread differential between conforming and non-conforming mortgage rates Asset type Location Initial closing date Non-QM residential mortgage loans National October 2014 Up to $400 million / $283 million Deal size/peak equity Expected holding period 5 years Leverage L+2.50% Underwritten IRR / multiple 15-18% 1.6x NO WA MT MN SD W MI Toronto OR WY NY IA NE PA он IL IN NV San Francisco 5 UT New York Philadelphia K'S MO CO VA OK IN NO AR Los Angele NM SC Dall MS AL LA GA Houston • . • Transaction summary •Acquire newly originated non-qualified residential mortgages Sourced through a forward flow arrangement with a local originator Concurrent investment in a warrant to purchase 25% of the originator's equity • Investment thesis Strong investor demand for non-prime collateral due to the absence of a new origination non-Agency securitization market This void was driven in large part by uncertain / unproven regulatory changes with regards to non- QM legislation • • Upside potential via equity investment in originator • Status update Purchased $750 million in non-QM loans to date, including $517 million in 2016 Entered into additional forward flow agreements with originators. To date, we have purchased loans from 5 different sellers Moving forward with plans to complete our first non-QM securitization in early 2017 As of 31 December 2016. SOURCE: PIMCO. Sample investment for illustrative purposes only. IRR represents the annualized internal rate of return for a specified period, based on capital contributed, expected distributions received and the residual value of unrealized investments. Multiple represents the ratio of (i) expected distributions received plus the residual value of unrealized investments to (ii) capital contributed. IRRS and multiples are net of deal-related expenses and gross of fund expenses. IRRs and multiples reflect PIMCO's views at the time of investment, and may no longer be accurate or reflect PIMCO's current views. Expected holding period and deal size / peak equity are subject to change. Underwritten IRR / multiple as of initial closing date. Current estimates of future returns may differ materially from the Underwritten IRR. Note: investment owned by BRAVO II; BRAVO III does not own such an investment Past performance is not a guarantee or reliable indicator of future results. There can be no guarantee that the expectations identified will be met. The case study discussed herein has been selected as a representative example of the types of transactions that are intended to be pursued by BRAVO III and has not been selected based on performance. QM: Qualified mortgages, L: LIBOR Refer to Appendix for additional investment strategy and risk information PIMCO 10

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