Real Estate Investment Strategies

Appendix Additional notes on PIMCO's track record in comparable opportunistic PE-style funds (page 23) 1 All funds presented are private equity-style investment funds. PIMCO manages or has managed other funds with different structures (e.g., hedge funds) whose primary investment strategies include or included similar asset classes; information about such funds is not presented herein. Assumes that BRAVO and BRAVO II are each liquidated as of December 31, 2016 (such date is the "Reference Date"). DMF II concluded operations on April 29, 2013 (a final de minimis distribution was made in September 2013), DMF concluded operations on November 16, 2012 (a final de minimis distribution was made in April 2013), DISCO concluded operations on March 5, 2012 (a final de minimis distribution was made in late October 2012), and TALF concluded operations on June 7, 2011. The returns for DMF and DMF II are subject to further changes as a result of the fund's final audit. Except for any Gross IRRS presented, the returns for each fund have been calculated net of all fees (including management fees and administration fees), expenses (including any expenses associated with leverage) and realized and unrealized carried interest and are shown since the date of the initial capital call of each fund (i.e., January 14, 2011 (for BRAVO); March 19, 2013 (for BRAVO II); October 31, 2007 (for DMF); December 1, 2008 (for DMF II); July 7, 2008 (for DISCO); and June 2, 2009 (for TALF). IRR represents the annualized internal rate of return for the period indicated (i.e., from the initial capital call date through the date on which operations concluded or, for the Active Prior Funds (as defined below), the Reference Date), based on capital contributions by investors, distributions to investors and (for the Active Prior Funds) the residual value of unrealized investments. Multiple represents the ratio of (i) distributions to investors plus (for the Active Prior Funds) the residual value of unrealized investments (net of fees, expenses and realized/unrealized carried interest) to (ii) capital contributions by investors. The returns shown above are those of each fund complex as a whole (i.e., the master fund and feeder funds). Returns to specific fund investors were different due to (among other factors) the impact of (i) fee and/or carried interest/performance allocation reductions, (ii) tax considerations applicable to different investors and (iii) certain investors electing or being required to prepay their entire commitments upon admission. In addition, the returns shown above take into account management fee and carried interest/performance allocation waivers granted to employee and affiliated investors and generally unavailable to third party investors, although such waivers did not materially impact fund returns. The returns for each fund reflect the use of leverage, which can magnify returns and/or make returns more volatile. The investment performance of each fund has been calculated on the basis of both net cash flows generated from the disposition of realized investments and, with respect to unrealized investments of the Active Prior Funds, estimated net cash flows as though such investments were disposed of at their valuations determined as of the Reference Date. In many cases these unrealized investments were "fair valued" as of the Reference Date. With respect to the performance returns for funds with unrealized investments, actual returns will vary from the estimates and the variations may be significant. Each of the funds listed above has one or more feeder funds that invest or invested all or substantially all of its assets in such fund. The performance of such feeder funds may differ from the performance listed in the chart above due to different fee and expense arrangements and/or tax consequences. 2 DMF has concluded operations and made a liquidation distribution to limited partners on November 16, 2012 (a final de minimis distribution was made in April 2013). 3 DISCO has concluded operations and made a liquidation distribution to its limited partners on March 5, 2012 (a final de minimis distribution was made in late October 2012). 4 DMF II concluded operations and made a liquidation distribution to limited partners on April 29, 2013 (a final de minimis distribution was made in September 2013). 5 TALF has concluded operations and made a final distribution to its limited partners on June 7, 2011. 6 As of December 6, 2013, BRAVO had called 100% of its committed capital. 7 Investment period has not ended. As of December 31, 2016, BRAVO II had called 80.0% of its committed capital. With respect to the Active Prior Funds (as defined below), the returns above represent the net return as of the applicable Reference Date, may have changed since such date, include both realized and unrealized returns and are likely to change over the life of these funds. BRAVO and BRAVO II seek to capitalize on capital infusion and risk disposition opportunities across the financial system, including residential and commercial real estate investments. DMF II and DMF sought to capitalize on the historic dislocation in the U.S. and global mortgage markets. DISCO sought to capitalize on the liquidity crisis in senior bonds across credit markets primarily in MBS, ABS, CMBS, investment grade and high yield. TALF sought to capitalize on government-guaranteed, non-recourse financing of TALF-eligible consumer ABS and CMBS. BRAVO and BRAVO II (collectively, the "Active Prior Funds") continue to be implemented based on their respective investment strategies; DMF II, DMF, DISCO and TALF (collectively, and together with the Active Prior Funds, the "Prior Funds") have concluded operations. The Prior Funds are closed to new investors and have different overall investment strategies, risks and investment considerations than the Fund. PIMCO believes that the performance records of these Prior Funds are relevant to prospective investors because PIMCO expects that mortgage and real estate-related assets that are distressed and/or undervalued due to market dislocations or other factors are expected to constitute a significant part of the overall strategy of PIMCO BRAVO Fund III (the "Fund"). In addition, while the Fund's investment team is not the same as the teams that are responsible for the performance of the Prior Funds, there is substantial overlap between the Prior Funds' investment teams and the Fund's investment team. PIMCO has managed and continues to manage a number of other private investment vehicles whose performance is not presented because they utilized or utilize different investment strategies, they utilized or utilize different investment structures, and/or they were or are managed by different teams; the performance of those other funds is different from the performance of the Prior Funds listed above. The performance of the Prior Funds was achieved during periods of extreme market dislocations that presented unique opportunities that may not repeat and is due in part to a general recovery in the securitized product sector that also may have been unique. Certain of the Prior Funds benefitted from financing terms (including the availability of financing through the U.S. Federal Reserve's Term Asset-Backed Securities Loan Facility program) that are not expected to be available to the Fund; in addition, the utilization of leverage contributed to the Prior Funds' performance, and there can be no assurance that the Fund will utilize leverage in a similar manner or to a similar extent. PIMCO 26