Connecticut Fund Risk Overview

State of Connecticut Use Only ENDNOTES 1. The target return stated herein is a levered, gross investment return target and does not take into account the promote, management fees or other expenses. Actual net returns to investors will be lower as a result of these expenses. The target returns and target distribution yields are premised on a number of factors, including, without limitation, prior investments made by certain Fortress managed funds and the opportunities that the Fortress Credit and Real Estate Funds team is currently seeing and/or expect to see in the future in the marketplace, which are inherently uncertain and are subject to numerous business, industry, market, regulatory, geo-political, competitive and financial risks that are outside of Fortress's control. There can be no assurance that the assumptions made in connection with the target returns and target distribution yield will prove accurate, and actual results may differ materially, including the possibility that an investor may lose some or all of any invested capital. The inclusion of the target returns or target distribution yields herein should not be regarded as an indication that Fortress or any of its representatives consider the target returns and target distribution yield to be a reliable prediction of future events and the target returns and target distribution yields should not be relied upon as such. Neither Fortress nor any of its representatives have made or make any representation to any person regarding the target returns or target distribution yields and none them intends to update or otherwise revise the target returns or target distribution yields to reflect circumstances existing after the date when made or to reflect the occurrence of future events, even in the event that any or all of the assumptions underlying the target returns or target distribution yields are later shown to be incorrect. 2. FLF III intends, but is not obligated, to make distributions on a quarterly basis. There is no guarantee that FLF III will be able to do so at any given time and on a regular basis. 3. Includes capital committed to a FLF II separately managed account. 4. Estimated returns: Estimated returns are through the life of FLF I or FLF II as applicable and are based on a variety of estimates and assumptions by the fund or Fortress. There can be no assurance that any such estimates and assumptions will prove accurate, and actual results may differ materially, including the possibility that an investor may lose some or all of any invested capital. The estimated gross returns are gross of management fees, incentive fees and fund expenses and interest on manager notes. The estimated net returns are net of management fees, incentive fees and fund expenses and interest on manager notes and assume a 1.5% management fee rate. Estimated returns have been calculated based on aggregate estimated cash flows of underlying investments and do not factor in the actual timing and amount of capital calls from and distributions to investors. Actual returns to individual investors may differ materially due to, among other things, the particular fund they are invested in, the timing of an investor's commitment and fee waivers or discounts, if any, for which a particular investor is eligible. 5. Liquidated Returns: Liquidated returns are calculated based on the actual timing and amount of capital calls from and distributions to Fortress Lending Fund I (A) LP or Fortress Lending Fund II (A) LP as applicable. Fund IRRs do not factor in the specific timing of cash flows of underlying investments and assume FLF I or FLF II is liquidated on the denoted date for an amount equal to its aggregate net market values of unrealized investments, cash and other fund assets. Actual returns to individual investors may differ materially due to, among other things, the particular fund they are invested in, the timing of an investor's commitment and fee waivers or discounts, if any, for which a particular investor is eligible. Current valuation and performance numbers are unaudited and are subject to change. There can be no assurance that any such investment can be liquidated at the current time or at current valuations. Net liquidated returns are for an investor paying the 1.5% management fee rate and are net of expenses, management fees, incentive fees and interest on manager notes. 6. Only includes monetary defaults (payment and maturity defaults) in relation to investments in the Fortress Lending Strategy as further described on the following page. 7. Includes all CLO management entities within the Credit Funds. 8. Based on December 31, 2021 FLF I and FLF II commitments. 9. Based on cumulative FLF I and FLF II investment count through December 31, 2021 and excludes BSL secondary purchases. 10. Not all employees are dedicated solely to the Fortress Lending Funds. 11. Based on cumulative FLF I and FLF II commitments through December 31, 2021 and excludes BSL secondary purchases. 12. Unlevered gross IRR of 9.6% and unlevered net IRR of 6.3%. Please note that the Fortress lending strategy information provided herein is based on December 31, 2021 data. Includes realized investments and assumes liquidation of all unrealized investments at the market values of each such investment as of December 31, 2021. No representation is made that any Fortress managed fund will, or is likely to, achieve a performance record similar to the one shown above. Gross IRRs and multiples are gross of fund level expenses, incentive fees and management fees, and any applicable hedging expenses. Net IRRs and multiples are net of estimated deal level and fund level expenses, incentive fees and management fees, applying the methodology described in Appendix A. Current valuation and performance numbers are unaudited and are subject to change. There can be no assurance that any such investment can be liquidated at the current time or at current valuations. 13. As of December 31, 2021. Certain servicers are owned by affiliates of Fortress-managed funds, including Fortress Private Equity Funds, and operate on a stand-alone basis and are independently capitalized and managed. As a result, these companies are subject to potential divestment and there can be no assurance that any of these servicers will remain a Fortress affiliate or continue to be owned by Fortress managed funds. Includes servicers in which Fortress managed funds hold a minority non-controlling equity interest, warrants or convertible debt interest. FORTRESS 5

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