Funding Agreement-Backed Note Program

Collateralized Securities are Highly Rated ($ in millions) Residential mortgage- backed securities: Mortgage-Backed and Other Asset-Backed Securities December 31, 2021 Carrying Value % of Total Fair Value % of Total Gains/ Carrying Value (Losses) NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 NAIC 6 Total Government Agency $33 1.0% $35 1.1% $2 $331 $33 Non-Agency RMBS $700 21.7% $751 22.6% $51 $670 I $12 $7 $11 $700 CMBS $1,806 56.0% $1,848 55.7% $42 $1,801 $5 $1,806 Asset Backed Securities (ABS) $195 6.1% $195 5.9% $0 $163 | $32 $195 Collateralized Loan $489 15.2% $488 14.7% ($1) $415 | $74 $391 Obligations (CLO) Total $3,223 100% $3,168 100% $94 $3,082 $30 $17 $3,125 8 Guardian 16

View entire presentation