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Quarterly Update

Investment grade private credit

IG Private Credit Q1 2022 Update

Deal flow remains strong

First quarter 2022 markets were volatile. Drivers included rising interest rates and inflation as well as the Russia/Ukraine conflict.

Despite current market conditions, we expect to see continued high market issuance and will seek out deals offering adequate relative value.

Departure from the low-rate environment is beneficial. We recognize the Fed’s need to time future rate hikes as a necessity to avoid adding additional volatility to capital markets.

Rising inflation is pressuring the economy. Certain cyclical names in our portfolio expressed weakness in Q4 2021 but have successfully passed on pricing increases to their customers.

We continue to monitor the Russia/Ukraine conflict. We conducted an initial portfolio review and found no material exposure to the area. If the conflict expands, we expect disruption to hard assets and supply chains.

Q1 2022 Production Summary

Total Commitments $345.5 MM
Internal Rating*  BBB+
Average Life* 10.1
Acquisition Yield* 3.47%
Excess spread over UST*  +159 bps
# of issuers 10
# of securities 27

ANNUAL PRODUCTION BY SECTOR

Production by sector weights q122

Securian Asset Management, Inc. * Average. **Year to date as of 03/31/2022. UST: US Treasuries. Q1 2022 Summary shows summary statistics of deals committed to from 12/31/2021 to 03/31/2022. The chart shows annual production by sector data spans from 01/01/2011 to 03/31/2022.

Securian AM Representative Account

As of 03/31/2022

CREDIT QUALITY

Credit quality q122

CHARACTERISTICS

Average life 6.78
Average credit quality BBB+
Effective duration 5.53

SECTOR WEIGHTS

Sector weights Q1 22

Source: Private Placement Monitor, S&P, Moody’s and Securian Asset Management, Inc.

Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. This quarterly update should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy. Investment characteristics shown are of the Securian AM-selected representative account that invests its assets pursuant to the Securian AM Investment Grade Private Credit strategy. This account represents a large, long-term discretionary mandate, that is well diversified, and is managed to an IPS containing general limitations common to insurance clients. As such, it was selected by the firm as the representative account that is deemed to best represent this management style. Each client account is individually managed; actual holdings will vary for each client and there is no guarantee that a particular client's account will have the same characteristics as described. Investing involves many inherent risks, including the potential loss of the entire investment. Opinions expressed herein are those of Securian AM only, and only as of the date indicated.

Private Placement Acquisition Spreads Disclosure

The “Spread Advantage” and “Average Quality” rows represent the average data for all securities purchased by Securian AM that provide a yield pick-up to plain vanilla, public corporate bonds. For each year through 2008, this data includes all private placement securities and certain 144a structured securities purchased by Securian AM. The 144a securities were included because each security had a combination of one or more of the following characteristics that made them more similar to private placements rather than public bonds, lack of registration rights, collateral, covenants, non-DTC eligibility and/or amortization. Beginning in 2009, private placement securities include securities that are private placements only.

The data represents 10-year industrial public corporate bonds of comparable quality to those purchased by Securian AM during the same period. Years 2006 to 9/1/2018 are compared to the Merrill Lynch U.S. Corporate Master Index derived spread matrix, in order to match term. The Merrill Lynch spreads is an interpolation between maturities and credit quality. Public spreads refer to the sector-specific (FIN, IND and UTIL) Factset derived daily matrices beginning 09/01/18 to present.

This material may not be reproduced or distributed without the written permission of Securian Asset Management, Inc.

Securian Asset Management, Inc. is a subsidiary of Securian Financial Group, Inc.

For Institutional Investment use Only.

Securian Financial is the marketing name for Securian Financial Group, Inc. and affiliates. Minnesota Life Insurance Company is an affiliate of Securian Financial Group, Inc.

DOFU 4-2022
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