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|Market Watch||Dec 2019||Dec 2020||Aug 2021||Sep 2021|
|CITI discount rate2||3.01%||2.23%||2.50%||2.63%|
|Long Credit yield2||3.63%||2.78%||2.98%||3.13%|
|U.S. 30Y TSY yield||2.39%||1.64%||1.93%||2.04%|
¹Funded Status for the month of September is estimated and subject to change as final numbers are released. Data from reference Bloomberg Barclays Indices.
²The CITI discount rate is estimated for the month of September based on the change in the Bloomberg Long AA corporate Index. The Long Credit yield corresponds to the Bloomberg Long Credit Index.
Investment grade credit ratings of our private placement’s 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 ratings organization.
The relative value over public benchmarks estimate is derived by comparing each loan’s spread at funding with a corresponding public corporate bond benchmark based on credit rating. Loans that are internally rated as “AA” are compared to the Bloomberg Barclays U.S. Corporate Aa Index, loans rated “A” are compared to the Bloomberg Barclays U.S. Corporate A Index, while loans rated “BBB” are compared to the Bloomberg Barclays U.S. Corporate Baa Index. For certain power and utility project loans, a best fit approach of a variety of Bloomberg Barclays’ indices was employed prior to September 30, 2016. After this date, these types of loans were compared to Bloomberg Barclays Utilities A Index and Bloomberg Barclays Utilities Baa Index, for “A” and “BBB” internally rated loans, respectively. Relative spread values obtained through the above methodologies were then aggregated and asset-weighted (by year) to obtain the overall spread value indicated in the paper.