Executive Cockpit | RegX³ Portfolio Sentinel

Standardized Capital (8%)

$11.1M

Call Report Basel III 100% Floor

Economic Capital (A-IRB)

$12.9M

Risk-Sensitive Vasicek Model

Capital Arbitrage

-$1.8M

Economic Capital Deficit

Relationship EP Tiers

4 Prem | 0 Hurdle | 4 Disc

Tier-1 Institutional Value Tiers

Executive Summary & OCC Overview

Interagency OCC 2006-46 CRE Concentration & Maturity Horizon

Total Outstandings

WAPD (Default Prob)

WALGD (Loss Given)

Weighted Risk Rating

Criticized (OAEM+)

Classified (Substd+)

STRUCTURED CREDIT

CRE CLO Waterfall & Structured Transmission Radar™

OCC 2006-46 • CECL Contagion Shock

FREDDIE MAC GSE POOLS LOW DISTRESS

0.80% ($4.2B / $519.0B)

Agency guarantee; conservative debt coverage.

PRIVATE-LABEL CMBS CRITICAL DELINQUENCY

7.69% ($5.8B / $75.5B)

Top-5 assets drive 39% of distress ($2.26B).

CRE CLO TRANSITIONAL SHADOW DISTRESS

3.87%* ($1.6B / $41.4B)

*Artificially suppressed via manager repurchases.

OVER-COLLATERALIZATION (OC) WATERFALL & CASH-FLOW DIVERSION SIMULATOR

Collateral Pool Par ($M)

Issued Senior Notes ($M)

Contractual OC Hurdle (%)

Defaulted Loans ($M)

Carry Haircut (% of Par)

Simulated Over-Collateralization Ratio

118.75% COVENANT BREACH DETECTED

Cash-Flow Diversion Status Junior Distributions Frozen • Diverting to Senior Notes

Bank Warehouse Line Contagion Exposure $50.0M Sponsor Liquidity Drain

Construction & Land / Total Risk-Based Capital OCC Threshold: 100%

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Total Non-Owner CRE / Total Risk-Based Capital OCC Threshold: 300%

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Quarterly Refinance Maturity Wall ($ Millions) Principal Refinance Roll-off Schedule

Peak Exposure Monitor