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Bank Loan Fixed Income March 31, 2021

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Bank Loan Fixed Income March 31, 2021 Bank Loan Fixed Income March 31, 2021 Inception Date OUR STRENGTHS January 1, 2014 Our fundamental credit research process seeks to generate attractive returns from the leveraged loan market. Total Strategy Assets1 We believe our key competitive strengths are: Investment Style — Portfolio Managers, research analysts and traders $370.5 million work together; focused primarily on security selection Lead Portfolio Manager Size — Our size helps ensure sufficient diversification at the portfolio level, while being able to source new issue allocations, participate in smaller deals, Timothy Rabe, CFA and remain sufficiently nimble to reposition the portfolio as market opportunities arise. Strategy Vehicles Experience — Our deep credit experience helps enable us to navigate • Separately Managed Account various market cycles, looking for any market dislocations and exercising an appropriate sell discipline. Benchmark2 S&P/LSTA U.S. Performing Loans PHILOSOPHY AND PROCESS Index We believe fixed income markets are efficient with respect to interest rate risk, but regularly misprice securities that are exposed to credit, Typical Targets3 downgrade and liquidity risks. Alpha (bps) 150 – 250 We seek to exploit inefficiencies in the market and provide clients with excess returns to the benchmark without incurring undue risk through: Tracking Error (bps) 150 • Conducting proprietary, in-depth fundamental research • Targeting duration-neutral portfolios Leveraged Loans (%) 80 – 100 • Constructing portfolios with attractive risk / reward characteristics Senior Secured High 0 – 20 Yield Bonds (%) Senior Unsecured High ALPHA DRIVERS 0 – 10 Yield Bonds (%) • Portfolios are constructed from the bottom up, with a focus on relative value regardless of sector Cash (%) 0 - 10 • Emphasize specific characteristics of an issuer, industry consolidation, downgrades and upgrades, improving fundamentals, and identifiable potential catalysts • We do not put a large emphasis on macro bets • Willing to invest in off-the-run bonds and loans and allow our credit research team to take a deeper dive to identify value • Believe in the ability to turn the portfolio over to source new ideas at attractive levels and aim to exit positions with rich valuations 1. Stated at estimated fair value (unaudited). Bank Loan Fixed Income is a strategy of public fixed income assets. Total Strategy Assets for Bank Loan Fixed Income include all assets managed by MIM in the Bank Loan Fixed Income strategy and may include certain assets that are not included in Composite Assets (as presented in GIPS® Composite Statistics and Performance table on the following page) for Bank Loan Fixed Income. 2. Please see the full GIPS® disclosures at the end of this document. 3. Any portfolio targets and/or limits are used to illustrate the Investment Manager’s current intentions and may be subject to change without notice. Target Alpha is an investment objective and not a promise of future results or performance. This target is considered gross of fees and over a 3 to 5 year time horizon under normal market conditions. There can be no assurance that a portfolio will achieve its target alpha. COMPOSITE PERFORMANCE (%)1 Bank Loan Fixed Income 30 (Gross of Fees) 25 Bank Loan Fixed Income 20 (Net of Fees) 15 S&P / LSTA U.S. Performing 10 Loans Index 5 0 1Q21 1 Year 3 Years 5 Years 7 Years Since Inception Since 1Q21 1 Year 3 Years 5 Years 7 Years Inception Bank Loan Fixed Income (Gross of 2.22 24.18 4.71 5.55 4.27 4.23 fees) Bank Loan Fixed Income 2.10 23.57 4.19 5.03 3.75 3.72 (Net of fees) S&P / LSTA U.S. Performing Loans Index 1.87 21.93 4.33 5.48 4.26 4.27 RELATIVE PERFORMANCE (GROSS OF FEES) 2 Bank Loan Fixed Income (Gross) S&P/LSTA U.S. Performing Loans Index Universe: eVestment US Floating Rate Bank Loan Fixed Income Source: eVestment 1. Past performance is not indicative of future results. Returns are self-reported by participating investment managers and are not verified or guaranteed by eVestment. MIM has not verified and cannot verify the information from outside sources. This information is supplemental to the information requiredin a GIPS® compliant presentation. Additional information regarding net performance rankings is available upon request. See the Performance slide for the actual composite performanceand relative peer performance for all periods since inception and the GIPS® disclosures at the end of this Presentation. 2. The eVestment Universe ranking is calculated by eVestment using investment performance returns gross of fees and strategy descriptions self-reported by participating investment managers and are not are not verified or guaranteed by eVestment. eVestment defines each Universe and selects the participating managers for the Universe it determines have similar investment strategies. The Universe ranking uses gross performance as manager fees may vary so that returns will be reduced when advisory fees are deducted. Performance returns for periods greater than one year are annualized. Additional information regarding net performance rankings is available upon request. The reports of the Universe percentile ranks were sourced on October 27, 2020 and represent 91% of the reported eVestment US Floating-Rate Bank Loan Fixed Income Universe as of that date. MIM has not verified and cannot verify the information from outside sources. QUARTERLY PERFORMANCE ATTRIBUTION The portfolio’s outperformance in the quarter was driven by detailed security selection. Exposure to select issuers in Home Furnishings, Hotels & Casinos, and Oil & Gas contributed to performance. Covid-impacted sectors continued to perform well as vaccine optimism and an accommodative Fed fueled the risk-on tone. The Oil & Gas sector performed well during the quarter due to the improved commodity price environment, supported by tightening global supply and an improved demand outlook. The largest detractor during the quarter came in the Utilities space, with certain issuers displaying weakness due to coal exposure and ESG concerns. STRATEGY We believe the long-term recovery of the leveraged loan market, and broader risk assets, is supported by better-than-expected economic growth, a sizeable fiscal stimulus package, improving earnings fundamentals, declining numbers of positive cases, and continued vaccine dissemination. While the prospects of a second-half recovery are bright, we believe the short-term will be defined by pockets of volatility as the receptiveness to vaccination by the broader population and rising variant-cases challenge the path to herd immunity. As a result, we continue to maintain a moderately cautious approach as pandemic-related impacts continue to challenge improvements we are seeing in underlying company fundamentals. Thus, we will maintain our focus on trying to discern which credits will provide the best relative value opportunities to drive portfolio performance. Inflationary concerns and dramatic inflections in rates provide a compelling tailwind for the floating-rate asset class. We believe the supportive market conditions will result in a heavy primary calendar – buttressed by refinancing and ongoing repricing activity along with some increased sponsor and corporate M&A volume. As a result, we will selectively participate in the primary market, seeking to identify issuers with solid fundamentals and adding to existing higher conviction holdings. The views presented above are MIM’s and are subject to change over time. There can be no assurance that the views expressed above will prove accurate and should not be relied upon as a reliable indicator of future events. STRATEGY CHARACTERISTICS1 Average Price ($) Yield to Maturity (%) Coupon (%) Issuers Issues Bank Loan Fixed Income 97.41 4.42 4.32 130 143 Strategy1 S&P / LSTA U.S. Performing 98.16 4.61 4.06 1,074 1,347 Loans Index TOP 10 SECTOR POSITIONING1 Market Value (%) Bank Loan Fixed Income Strategy S&P / LSTA U.S. Performing Loans Index Business Equipment & Services 7.92 10.66 Building & Development 7.64 3.40 Lodging & Casinos 7.09 2.85 Utilities 5.97 2.47 Food Service 5.23 2.86 Retailers (ex. Food & Drug) 5.13 2.99 Industrial Equipment 4.90 3.47 Electronics/Electrical 4.54 15.23 Publishing 4.28 1.32 Insurance 3.79 4.27 CREDIT QUALITY DISTRIBUTION (%)1 BBB & Above NR Cash 2.5 1.6 6.1 CCC & Below Bank Loan Fixed S&P / LSTA U.S. Performing 6.4 BB Income Strategy Loans Index 22.8 BBB & Above 2.5 1.1 BB 22.8 22.1 B 60.6 67.7 CCC & Below 6.4 8.1 NR 1.6 1.0 B 60.6 Cash 6.1 0.0 1. The characteristics displayed are for a representative account for this investment strategy. Actual account characteristics may differ. The benchmark data is that of the S&P / LSTA U.S. Performing Loans Index. All data above is provided for illustrative purposes only. This data is supplemental to the information required in a GIPS® compliant document. Credit ratings reflect the index provider’s credit quality methodology. Average quality excludes cash and securities that are not rated. COMPOSITE STATISTICS AND PERFORMANCE % Total Gross-of-fee Net-of-fee Benchmark Number Of Dispersion Composite Benchmark Composite Year Firm Return RETURN Return1 Portfolios Stdv2 3 Yr Stdv3 3 Yr Stdv3 Assets Assets4 1/1/2014 (Inception) to 0.85% 0.34% 1.87% ≤ 5 N/A N/A N/A $503,179,353 - 12/31/2014 2015 0.00% -0.49% 0.10% ≤ 5 N/A N/A N/A $476,595,041 - 2016 10.57% 10.02% 10.41% ≤ 5 N/A 3.09% 2.90% $481,538,358 - 2017 3.92% 3.41% 4.32% ≤ 5 N/A 2.91% 2.75% $500,462.785 - 2018 0.52% 0.02% 0.60% ≤ 5 N/A 3.07% 2.99% $503,080,592 - 2019 9.09% 8.55% 8.58% ≤ 5 N/A 2.92% 2.83% $548,826,258 <1% 2020 3.97% 3.45% 3.48% ≤ 5 N/A 9.35% 9.03% $419,129,984 <1% 1Q2021 2.22% 2.10% 1.85% ≤ 5 N/A 9.35% 9.03% $370,491,431 <1% Past performance is not indicative of future results.
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