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|Market Watch||Dec 2018||Dec 2019||July 2020||August 2020|
|CITI discount rate1||4.05%||3.01%||2.02%||2.32%|
|Long Credit yield1||4.89%||3.63%||2.78%||3.01%|
|U.S. 30Y TSY yield||3.02%||2.38%||1.20%||1.49%|
1The CITI discount rate corresponds to the FTSE short pension liability index. The Long Credit yield corresponds to the Bloomberg Barclays Long Credit Index.
2Data from reference Bloomberg Barclays Indices.
3Investment grade credit ratings of our private placements portfolio are based on a proprietary, internal credit rating methodology that was developed using both externally-purchased and internally developed models. This methodology is reviewed regularly. More details can be shared upon request. Although most U.S. dollar private placement investments have an external rating, for unrated deals, there is no guarantee that the same rating(s) would be assigned to portfolio asset(s) if they were independently rated by a major credit rating organization.