Real Estate Investment Strategies

Investment example: U.S. CMBS AJ tranche Provide liquidity to forced sellers during periods of market volatility • • • • • Asset type Location Initial closing date Deal size/peak equity Expected holding period Leverage Underwritten IRR / multiple Transaction summary Purchased in limited competition from a distressed hedge fund at a discount to fundamental value • Acquired 2006 and 2007 vintage CMBS AJ tranches Controlling class positions Top ten loans represented between 60-70% of unpaid principal balance at purchase Underlying collateral is primarily office buildings located in core markets U.S. CMBS U.S. various = February 2016 $93 million $93 million 1-2 years L+225 28-30% 1.6-1.7x Investment thesis • Capitalized on market • dislocations to acquire seasoned, short duration securities with solid carry profiles Represented attractive relative value when compared to new issue B-piece investments given the significant performance history of the underlying loans • Potential upside as bond continues to de-lever over the next two years or as market recovers Status update Cumulative losses 100% 90% 80% 70% Duper 60% 50% 40% Duper AM . Acquired in February 2016 utilizing a combination of PIMCO's CMBS, CRE and quantitative desk expertise to underwrite and stress test securities 30% . Both vintages have de-levered since acquisition: AM 2006 vintage AJ tranche now represents 100% of the transaction and PIMCO has received 46% of the bond's face value in principal pay downs 20% AJ 10% AJ - 2007 vintage AJ tranche now represents 0-30% versus 0-14% at time of purchase Improved financing to L+150 bps from L+225 bps at time of purchase 0% 2007 vintage - at purchase 2007 vintage - current 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. Refer to Appendix for additional investment strategy and risk information PIMCO 15

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