Connecticut Fund Risk Overview

Fortress Lending Fund lil Combined Fortress Lending Fund I & Fortress Lending Fund II Metrics $2,400 $1,800 $1,200 $600 $- 8 Loans Q4 2018 Total Commitment* ($ in millions) 8 Loans Q1 2019 Q1 2021 13 Loans $1,500 $1,200 $900 $600 $300 $- % Directly Sourced 58% Q2 2019 6 Loans Q3 2019 % Direct Corporate Loans 67% Weighted Average All- 8.85% 9.87% 10.52% 8.73% 8.58% in-Rate** Total Commitment* ($ in millions) of Connecticut Use Only 11 Loans Weighted Average All-in-Rate** 8.52% Q4 2019 69% 52% Weighted Average LTV** Q2 2021 75% 47 Loans Q1 2020 9.88% 18 Loans 8.90% 11.14% % Loans with Financial & Performance Covenants** 91% Q2 2020 *Includes BSL secondary purchases. **Excludes BSL secondary purchases. FORTRESS 11 Loans Weighted Average LTV** Q3 2020 15 Loans 9.16% 8.96% Q3 2021 55% Q4 2020 48% 87% 7.48% 15 Loans Q1 2021 8.52% 13 Loans Q2 2021 FORTRESS 9.88% 21 Loans Q3 2021 7.48% 47% 79% Q4 2021 85% 24 Loans 7.86% Q4 2021 7.86% 80% 60% 40% 20% 0% 60% 50% 40% 30% 20% 3

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