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Home , Commercial mortgage, Mortgage loan

® March 2021 ASSET MANAGEMENT | FACT SHEET

Conning has partnered with Innovative Capital Advisors (ICA) to provide insurers with cost-efficient access to the commercial mortgage market. Conning’s strategic asset allocation models demonstrate that these loans may benefit portfolios through enhanced and diversification while receiving favorable capital treatment.

ICA’s experienced professionals deliver a full spectrum of expertise including origination, underwriting, servicing and . Through this partnership, insurers can benefit, in a flexible and tactical manner, from exposure to the commercial mortgage loan market without the associated with maintaining an internal team.

Focused Expertise ICA’s Most Recent Lending Period1 ICA focuses on offering strong and predictable flows with moderate loan-to-value ratios in the major types. By partnering with ICA, a tactical allocation to commercial mortgage loans Equivalent Yield 4.0% can be achieved in a cost-effective manner, while adhering to rigorous Loan-to-Value 57% underwriting standards. Conning’s investment and advisory expertise supports the process through an evaluation of how the program supports Service Coverage Ratio 2.0x client portfolios based on various risk parameters. Average Life 8.7 years

Yield Advantage Prepared by Conning, Inc. Sources: ICA and Bloomberg Index Services Limited. Used with permission. Bloomberg is a trademark In the most recent lending period, ICA’s program provided an incremental of Bloomberg Finance L.P. and its affiliates 1 spread benefit of +250 basis points to the 10-year U.S. Treasury Bond. All (collectively “Bloomberg”). Barclays is a commercial mortgage loans possess positive convexity due to embedded trademark of Barclays Plc (collectively with Treasury make-whole-call protection. its affiliates, “Barclays”), used under license. Neither Bloomberg nor Barclays approves this material, guarantees the accuracy of any information herein, or makes any warranty as to Portfolio Diversification Benefits the results to be obtained therefrom, and neither shall have any liability for injury or damages arising ICA’s unique loan participation structure provides insurers maximum in connection therewith. Data as of 3/31/21. opportunity to invest in commercial mortgage loans in a diversified manner. Insurers immediately benefit by obtaining exposure to a basket of commercial mortgage loans diversified by product type and geography. Additionally, insurers benefit from vintage diversification through consistent investment over an extended period of time.

1Past performance does not guaruntee future results. conning.com 1 Commercial Mortgage Loans ®

Favorable Risk-Based Capital Treatment

Commercial mortgage loan RBC revision adopted by NAIC applied to 2013 year-end reporting. The new approach is consistent with RBC charges on corporate bonds. Commercial mortgages are assigned to a risk category based on the risk profile of each mortgage determined using the debt service coverage (“DSC”) and loan-to-value (“LTV””) of that loan.

Geographic Diversification* Property Type Diversification*

TX Mini Storage 16% Industrial/Mfg 6% 3% Other 7% Office 30% 21% OH 11% Flex Space 7%

Med Office 8%

KS GA 3% 9% IN S.T. 3% 8% MI AR 8% 3% VA Strip Retail 20% 4% AZ FL Off/Whse WI 9% Mixed Use 3% 4% 6% 10%

*Includes proposed loans. Source: ICA Analytics as of March 31, 2021.

NAIC CML RBC Description

1 0.40% AAA to A-

1 0.90% DSC=>1.50x and LTV<85%

2 1.30% BBB+ to BBB-

2 1.75% 0.95%<=DSC<1.50X/LTV<75%

3 3.00% DSC<0.95X and LTV<85%

3 4.60% BB+ to BB-

4 5.00% DSC<1.15X and LTV=>100%

5 7.50% DSC<0.95X and LTV=>105%

4 10.00% B+ to B-

Key Attributes of ICA’s Commercial Risks of Investing in Commercial Mortgage Loans Mortgage Loans

» Longer duration asset » Sharp decline in values of commercial » Secured lending provides greater control over loans » Lack of liquidity » Diversifying asset within investment portfolio » Poor underwriting of individual loans by manager » Schedule B asset » Rigorous underwriting process and avoidance of volatile property types » Locked in cash flows via make whole call protection » All loans amortize - no -only concerns

conning.com 2 Commercial Mortgage Loans ®

About ICA

Innovative Capital Advisors was formed in 2003 to offer access to a time tested and very desirable asset class: commercial mortgage loans. This asset class requires specialized knowledge, market access and experience to prudently originate and assess the quality of each individual loan opportunity. For many investors these barriers to entry prove too costly to make a lending effort worthwhile. ICA offers a cost-effective solution to this dilemma. We have an established lending process, from underwriting to to ongoing management, which has been developed over many years by our team of experienced professionals. This process has proven highly successful with and deliquency rates well below industry averages; in fact from 1992 through 2008 our team suffered no losses on default.

About Conning

Conning (www.conning.com) is a leading investment management firm with a history of serving the industry. Conning supports institution- al investors, including insurers and plans, with investment solutions, risk modeling software, and industry research. Founded in 1912, Conning has investment centers in Asia, Europe and North America.

Organization

Conning, Inc., Goodwin Capital Advisers, Inc., Conning Investment Products, Inc., a FINRA-registered broker-dealer, Conning Asset Management Limited, Conning Asia Pacific Limited, Octagon Investors, LLC and Global Evolution Holding ApS and its group of companies (“Global Evolution”) are all direct or indirect subsidiaries of Conning Holdings Limited (collectively, “Conning”) which is one of the family of companies owned by Cathay Financial Holding Co., Ltd., a Tai- wan-based company. Conning has investment centers in Asia, Europe and North America.

Conning, Inc., Conning Investment Products, Inc., Goodwin Capital Advisers, Inc., Octagon Credit Investors, LLC, and Global Evolution USA, LLC are registered with the Securities and Exchange Commission (“SEC”) under the Investment Advisers Act of 1940 and have noticed other jurisdictions they are conducting securities advisory business when required by law. In any other jurisdictions where they have not provided notice and are not exempt or excluded from those laws, they cannot transact business as an investment adviser and may not be able to respond to individual inquiries if the response could potentially lead to a transaction in securities. SEC registration does not carry any official imprimatur or indicates that the adviser has attained a level of skill or ability.

Conning, Inc. is also registered with the National Futures Association and Korea’s Commission. Conning Investment Products, Inc. is also registered with the Ontario Securities Commission. Conning Asset Management Limited is Authorised and regulated by the ’s Financial Conduct Authority (FCA#189316), Conning Asia Pacific Limited is regulated by Hong Kong’s Securities and Futures Commission for Types 1, 4 and 9 regulated activities, Global Evolution Fondsmæglerselskab A/S is regulated by Finanstilsynet (the Danish FSA) (FSA #8193), Global Evolution Fondsmæglerselskab A/S (London Branch) is regulated by the United Kingdom’s Financial Conduct Authority (FCA# 479582) and Global Evolution Manco S.A. is regulated by The Commission de Surveillance du Secteur Financier (the Luxembourg FSA) (CSSF# S00001031). Conning primarily provides asset management services for third-party assets.

All investment performance information included in this document is historical. Past performance is not a guarantee of future results. Any -related infor- mation contained in this document is for informational purposes only and should not be considered tax advice. You should consult a tax professional with any questions.

For complete details regarding Conning and its services in the U.S., you should refer to our Form ADV Part 2, which may be obtained by calling us.

Legal Disclaimer

©2021 Conning, Inc. This document and the software described within are copyrighted with all rights reserved. No part of this document may be distributed, reproduced, transcribed, transmitted, stored in an electronic retrieval system, or translated into any language in any form by any means without the prior written permission of Conning. Conning does not make any warranties, express or implied, in this document. In no event shall Conning be liable for damages of any kind arising out of the use of this document or the information contained within it. This document is not intended to be complete, and we do not guarantee its accuracy. Any opinion expressed in this document is subject to change at any time without notice.

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