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Quarterly Update

Investment grade private credit

IG Private Credit Q4 2022 Update

Rising rates

Public credit spreads tightened in 4Q, marking the end of a year defined by rising rates and generally wide spreads. Both public and private markets saw significant pullbacks in issuance in response to restrictive monetary policy and inflation related challenges.

Despite increased market volatility in 2022, Securian AM has committed over $800MM in new private placements year-to-date. The portfolio has remained resilient to increased volatility and stresses.

With the Fed significantly raising interest rates, we have seen select deals with coupons yielding over 6%. Further signals of rate increases are beginning to strain capital markets. We continue to monitor future rate hikes, inflation, the Russia/Ukraine conflict, and COVID-19.

We remain disciplined on proceeding solely with new deals that offer relative value.

Q4 2022 Production Summary

as of 12/31/2022

Total Commitments $151 MM
Internal Rating*  A3
Average Life* 10
Acquisition Yield 6.70%
Excess spread over UST +255 bps
# of issuers 5
# of securities 9

Source: Securian Asset Management, Inc. Production Summary data shows summary statistics of deals committed to from 10/01/2022 to 12/31/2022.

ANNUAL PRODUCTION BY SECTOR

Production by sector q4

Source: Securian Asset Management, Inc. The chart shows annual production by sector data spans from 01/01/2011 to 12/31/2022. *Internal Rating and Average Life are shown as Averages. UST: US Treasuries. Production Summary data shows summary statistics of deals committed to from 01/01/2022 to 12/31/2022.

SPREAD ADVANTAGE OVER PUBLIC COMPARABLES

Spread advantage q4

Source: Securian Asset Management, Inc. Data as of 12/31/2022 and spans from 01/01/2008 to 12/31/2022. See Private Placement Acquisition Spreads Disclosure in Appendix. Private spreads represent average for all securities purchased by Securian AM during the calendar year and public spreads refer to the sector-specific (FIN, IND and UTIL) Factset derived daily matrices beginning 09/01/2018, and to the Merrill Lynch U.S. Corporate Master Index derived spread matrix for the periods prior to 09/01/2018. Spreads are the difference between a private credit security or public security and a government security of comparable duration. Excess spread represents the private spread minus the public spread for that calendar year shown in basis points.

Securian AM Representative Account

as of 12/31/2022

CREDIT QUALITY

Credit quality q4

CHARACTERISTICS

Average life 6.84
Average credit quality BBB+
Effective duration 5.35

SECTOR WEIGHTS

Sector weights q4

Source: Securian Asset Management, Inc. Data is as of 12/31/2022. Investment characteristics shown are of the Securian AM-selected representative account that invests its assets pursuant to the Investment Grade Private Credit strategy. See additional disclosures at the end of the materials.

Source: Private Placement Monitor, GIP, 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.

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 01-2023

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