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Emerging Market Government Bond June 30, 2020

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Emerging Market Government Bond June 30, 2020 Emerging Market Government Bond June 30, 2020 STRATEGY INFORMATION PORTFOLIO STATISTICS 4 Inception Date JP Morgan EMBI Global June 1, 2016 EM Gov. Bond Diversified Total Strategy Assets1 Average Price ($) 93.39 100.79 $67.0 million Yield (%) 5.64 4.74 Portfolio Manager Effective Duration (yrs) 7.91 7.74 Thomas Smith Average Quality Ba2 Ba1 Todd Howard, CFA Coupon (%) 6.06 5.60 Investment Objective Issues 142 801 We believe emerging markets securities are frequently mispriced based on their exposure to country, currency and credit risk SECTOR POSITIONING (%)4 Benchmark2 JP Morgan EMBI Global Diversified Corporate 17 Typical Targets5 Sovereign 72 Alpha (bps) 150 Tracking Error (bps) 150 – 200 Local Markets 10 USD Sovereign / Quasi- 60 – 100 Sovereign EM Corporate (%) 25 – 75 Cash 1 Non-U.S. Dollar EM (%) 0 – 15 0 10 20 30 40 50 60 70 80 Cash (%) 0 – 10 Available Vehicles REGIONAL DISTRIBUTION (MV%)4 • Separately Managed Account North America Investment Approach EuroZone We seek to exploit inefficiencies in the market Latin America and provide excess returns to the benchmark by: Asia • Using global resources to help formulate and monitor macro views that influence security Middle East / Africa selection • Focusing on global relative value across the credit spectrum JP Morgan EMBI Global • Conducting proprietary in-depth fundamental EM Gov. Bond Diversified sovereign and corporate research North America 2 0 • Constructing diversified portfolios with attractive EuroZone 15 15 risk/reward characteristics Latin America 39 32 • Utilizing both US dollar and non-dollar securities Asia 13 18 Middle East / Africa 31 35 1. Stated at estimated fair value (unaudited). Emerging Markets Government Bond is a strategy of public fixed income assets. Total Strategy Assets for Emerging Markets Government Bond include all assets managed by MIM in the Emerging Markets Government Bond 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 Emerging Markets Government Bond.. 2. The performance benchmark for the Emerging Market Government Bond (“EM Gov. Bond”) Composite is the JP Morgan Emerging Markets Bond Index (“EMBI”) Global Diversified Index. For additional benchmark disclosure, please see GIPS® disclosures on the following page. 3. Past performance is indicative of future results. Net of fee returns reflect the deduction of investment advisory fees and are calculated in the same manner as gross of fee returns. Net of fee returns are calculated using the highest fee rate disclosed in the Form ADV. Fees for separate accounts may be negotiable depending upon asset size and type of account. 4. The characteristics displayed are for a representative account for this investment strategy. Actual account characteristics m ay differ. 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. 5. 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. www.metlife.com/investmentmanagement Emerging Market Government Bond June 30, 2020 COMPOSITE PERFORMANCE (%)4 20 15 10 5 0 -5 2Q20 YTD 1 Year 3 Years Since Inception EM Gov. Bond (Gross of fees) EM Gov. Bond (Net of fees) JP Morgan EMBI Global Diversified 2Q20 YTD 1 Year 3 Years Since Inception EM Gov. Bond (Gross of fees) 17.45 -1.13 3.71 6.35 7.61 EM Gov. Bond (Net of fees) 17.33 -1.36 3.24 5.87 7.13 JP Morgan EMBI Global Diversified 12.26 -2.76 0.49 3.60 4.97 4. Past performance is not indicative of future results. Net of fee returns reflect the deduction of investment advisory fees and are calculated in the same manner as gross of fee returns. Net of fee returns are calculated using the highest fee rate disclosed in the Form ADV. Fees for separate accounts may be negotiable depending upon asset size and type of account. www.metlife.com/investmentmanagement COMPOSITE STATISTICS AND PERFORMANCE Composite Gross-of-Fee Net-of-Fee Benchmark Number of Dispersion Composite Benchmark Assets % Total Firm Year Return Return Return2 Portfolios STDV 3 Yr STDV 3 Yr STDV (Billions) Assets 2016 4.82% 4.54% 3.22% ≤ 5 N/A N/A N/A $52,148,583 <1% (Inception June 1, 2016) 2017 12.43% 11.93% 10.26% ≤ 5 N/A N/A N/A $58,693,409 <1% 2018 -2.71% -3.15% -4.26% ≤ 5 N/A N/A N/A $57,377,325 <1% 2019 19.01% 18.48% 15.04% ≤ 5 N/A 5.33% 4.92% $67,802,778 <1% YTD to 6/30/2020 -1.13% -1.36% -2.76% ≤ 5 N/A 12.34% 10.62% $67,040,609 <1% Past performance is not indicative of future results. Please see the full GIPS® disclosures on the following page. 1.The performance benchmark for the Emerging Market Government Bond composite is the JP Morgan Emerging Markets Bond Index (“EMBI”) Global Diversified Index, which includes US dollar-denominated Brady bonds, Eurobonds, and traded loans issued by sovereign and quasi-sovereign entities. The Emerging Market Government Bond strategy does not invest in all regions or sectors within the benchmark. It is not possible to invest directly in an unmanaged index. All index returns presented are provided to represent the investment environment existing during the time periods shown and will not be covered by the future report of independent verifiers. For comparison purposes, the index is fully invested and includes the reinvestment of income. The returns for the index do not include any transaction costs, management fees or other costs. 2.The dispersion of annual returns is measured by the standard deviation among asset-weighted portfolio returns represented in the composite for the full year. “N/A” is an indication that the information is not statistically meaningful due to an insufficient number of portfolios (five or fewer ) in the composite for the entire year. Standard deviation is only presented for accounts managed for a full calendar year. 3.The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36 month period. It is not presented for quarter-ends and periods when 36 monthly composite returns were not available. For purposes of the Global Investment Performance Standards (“GIPS”) compliance, the “Firm” is defined as MetLife Investment Management (“MIM”). MIM is MetLife, Inc.’s institutional investment management business. The Firm is defined to include all accounts captured in MetLife’s Assets Under Management. On September 15, 2017, MetLife, Inc. (“MetLife”) acquired Logan Circle Partners (“LCP”) and the Firm was redefined as of July 1, 2019 to include LCP in the MIM assets. MIM claims compliance with the Global Investment Performance Standards (“GIPS®”) and has prepared and presented this report ni compliance with the GIPS® standards. MIM has been independently verified for the periods January 1, 2011 to June 30, 2019. Verification assesses whether (1) the firmhas complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. The Emerging Market Government Bond Composite has been examined for the periods June 1, 2016 to June 30, 2019. The verification and performance examination reports are available upon request. The creation date of the Emerging Market Government Bond Composite is June 1, 2016 and the inception date is June 1, 2016. The Emerging Market Government Bond strategy seeks to generate current income and total return over changing market conditions by investing primarily in US Dollar denominated government and quasi-sovereign bonds domiciled in emerging markets countries, while having limited exposure (up to 30%) to corporate bonds and focusing on country and security selection across the credit spectrum. Derivatives make up a part of the composite strategy and the Firmuti lizes futures, forwards and interest rate swaps. The composite includes all portfolios managed on a discretionary basis according to the applicable composite strategy except as otherwise excluded herein. The Firm maintains a complete list and description of composites, which are available upon request. Policies for valuing portfolios, calculating performance and preparing compliant presentations are available upon request. The performance benchmark for the Emerging Markets Government Bond Composite is theJP Morgan Emerging Markets Bond Index (“EMBI”) Global Diversified Index. The JP Morgan EMBI Global Diversified Index includes US dollar-denominated Brady bonds, Eurobonds, and traded loans issued by sovereign and quasi-sovereign entities. The EMBI Global Diversified Index limits the current face amount allocations of the bonds in the Index and caps the maximum weight of countries at 10%. The Emerging Market Government Bond strategy does not invest in all regions or sectors within the benchmark. It is not possible to invest directly in an unmanaged index. All index returns presented are provided to represent the investment environment existing during the time periods shown and will not be covered by the future report of ndei pendent verifiers. For comparison purposes, the index is fully invested and includes the reinvestment of income. The returns for the index do not include any transaction costs, management fees or other costs.
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